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Commission Delegated Regulation (EU) 2022/1301 of 31 March 2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) 2020/1226 as regards the information to be provided in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations

Type Delegated Regulation

Publication 2022-07-26

State In force

Text As published

Department European Commission, FISMA

Source EUR-Lex

articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

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26.7.2022	EN	Official Journal of the European Union	L 197/10

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ¹, and in particular Article 27(6), third subparagraph thereof,

Whereas:

(1) Commission Delegated Regulation (EU) 2020/1226 ² specifies the information that securitisation parties have to provide to the European Securities and Markets Authority (ESMA) in accordance with the simple, transparent and standardised (STS) notification requirements for traditional true sale securitisations laid down in Articles 19 to 22 and Articles 23 to 26 of Regulation (EU) 2017/2402.

(2) Regulation (EU) 2021/557 of the European Parliament and of the Council ³ amended Regulation (EU) 2017/2402 by extending the STS securitisation framework to on-balance-sheet synthetic securitisations. Accordingly, it is necessary to specify the information that originators have to submit to ESMA to comply with the STS notification requirements for on-balance-sheet synthetic securitisations.

(3) To provide investors, potential investors and competent authorities with a comparative overview of all types of STS securitisations, it is appropriate to ensure consistency across all the STS notifications. Therefore, the information that originators must submit regarding compliance with the STS requirements set out in Articles 26b to 26e of Regulation (EU) 2017/2402 should follow similar standards and level of detail as those set forth in Annexes I, II and III to Delegated Regulation (EU) 2020/1226. In particular, a simple confirmation of compliance is sufficient for some criteria, while others require additional information. It is therefore necessary to distinguish between those STS criteria for which a simple confirmation is sufficient and those for which a concise explanation or a detailed explanation is necessary.

(4) On-balance-sheet synthetic securitisations where no prospectus must be drawn up in accordance with Regulation (EU) 2017/1129 of the European Parliament and of the Council ⁴ allow parties to enter into securitisation transactions without disclosing sensitive commercial information. It is therefore appropriate to restrict the information to be published of the STS notifications of such securitisations to non-sensitive commercial information.

(5) To facilitate access to information relevant to the STS requirements, originators should be allowed to refer to any relevant prospectus drawn up for an on-balance-sheet synthetic securitisation in accordance with Regulation (EU) 2017/1129 or other relevant underlying documentation as referred to in Article 7(1), point (b) of Regulation (EU) 2017/2402. Additionally, originators should be allowed to refer to any other document relating to the investors and originators, the credit protection agreement, the third-party verification agent and, where available, the transaction documentation backing the credit linked notes.

(6) In order to improve the transparency and consistency of information between interrelated fields and to clarify specific features of certain securitisations, including master trust securitisations, it is necessary to clarify the information to be reported under the columns ‘Field name’ and ‘Content to be reported’ for certain fields in Annexes I, II and III to Delegated Regulation (EU) 2020/1226.

(7) Delegated Regulation (EU) 2020/1226 should therefore be amended accordingly.

(8) This Regulation is based on the draft regulatory technical standards submitted to the Commission by ESMA.

(9) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council ⁵,

HAS ADOPTED THIS REGULATION:

Article 1

Amendments to Delegated Regulation (EU) 2020/1226

Delegated Regulation (EU) 2020/1226 is amended as follows:

(1) Article 1 is amended as follows:

(a) in paragraph 1, the following point (d) is added:

‘(d) where the securitisation is an on-balance-sheet synthetic securitisation, the information specified in Annex IV to this Regulation.’;

(b) in paragraph 2, the following point (d) is inserted:

‘(d) where the securitisation is an on-balance-sheet synthetic securitisation, the information specified in fields STSSY2, STSSY10, STSSY12 and STSSY13 of Annex IV to this Regulation.’;

(2) Article 2 is amended as follows:

(a) the introductory sentence is replaced by the following:

‘Where the following documents include information relevant to the STS notification, a reference to the relevant parts of those documents may be provided in the additional information column in Annexes I, II, III or IV to this Regulation and, where such information is provided, that documentation shall be clearly identified:’;

(b) point (c) is replaced by the following:

‘(c) any other document with information relevant to the STS notification, including, for on-balance-sheet synthetic securitisations, documents related to any originator, any investor, the credit protection agreement, the third-party verification agent referred to in Article 26e(4) of Regulation (EU) 2017/2402, and, where available, the documentation supporting the credit linked notes referred to in Article 26e(10), fifth subparagraph, of Regulation (EU) 2017/2402.’;

(3) Annexes I, II and III are amended as set out in Annex I to this Regulation.

(4) Annex IV, as set out in Annex II to this Regulation, is added.

Article 2

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 31 March 2022.

For the Commission

The President

Ursula VON DER LEYEN

OJ L 347 28.12.2017, p. 35.

Commission Delegated Regulation (EU) 2020/1226 of 12 November 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements (OJ L 289, 3.9.2020, p. 285).

Regulation (EU) 2021/557 of the European Parliament and of the Council of 31 March 2021 amending Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation to help the recovery from the COVID-19 crisis (OJ L 116, 6.4.2021, p. 1).

Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71/EC (OJ L 168, 30.6.2017, p. 12).

Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331 15.12.2010, p. 84).

ANNEX I

Annexes I, II and III to Delegated Regulation (EU) 2020/1226 are amended as follows:

(1) Annex I is amended as follows:

(a) in the table ‘General information’, the rows corresponding to field codes STSS 4 and STSS17 are replaced by the following:


‘STSS4	N/A	Unique identifier	The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224⁶. Where more than one STS notification is notified using this unique securitisation identifier, a statement explaining why this is the case.	N/A
STSS17	Article 27(3)	Originator (or original lender) is a credit institution	A ‘Yes’ or ‘No’ statement as to whether the originator or original lender is a credit institution, or an investment firm established in the Union.	N/A

(b) in the table ‘Specific information’, the rows corresponding to field codes STSS21 and STSS22 are replaced by the following:


‘STSS21	Article 20(2)	Subject to severe clawback		√		A concise explanation on whether any of the severe clawback provisions referred to in Article 20(2), points (a) or (b), of Regulation (EU) 2017/2402 are found in the securitisation.	Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980
STSS22	Article 20(3)	Exemption for clawback provisions in national insolvency laws	√			A confirmation of whether the clawback provisions referred to in Article 20(3) of Regulation (EU) 2017/2402 apply.	Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980’

(2) Annex II is amended as follows:

(a) in the table ‘General information’, the rows corresponding to field codes STSAT4 and STSAT17 are replaced by the following:


‘STSAT4	N/A	Unique identifier	The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. Where more than one STS notification is issued for this unique securitisation identifier, a statement explaining why this is the case.	N/A
STSAT17	Article 27(3)	Originator (or original lender) is a credit institution	A ‘Yes’ or ‘No’ statement as to whether the originator or original lender is a credit institution, or an investment firm established in the Union.	N/A’

(b) in the table ‘Specific information’, the rows corresponding to field codes STSAT21 and STSAT22 are replaced by the following:


‘STSAT21	Article 24(2)	Subject to severe clawback		√		A concise explanation on whether any of the severe clawback provisions referred to in Article 24(2), points (a) or (b), of Regulation (EU) 2017/2402 are found in the securitisation.	Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980
STSAT22	Article 24(3)	Exemption for clawback provisions in national insolvency laws	√			A confirmation of whether the clawback provisions referred to in Article 24(3) of Regulation (EU) 2017/2402 apply.	Item 3.3 of Annex 19 of Delegated Regulation (EU) 2019/980’

(3) in Annex III, in the table ‘General information’, the row corresponding to field code STSAP4 is replaced by the following:


‘STSAP4	N/A	Unique identifier	The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. Where more than one STS notification is issued for this unique securitisation identifier, a statement explaining why this is the case.	N/A’

Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 1).;’

ANNEX II

‘ANNEX IV

Information to be submitted to ESMA pursuant to Articles 26b to 26e of Regulation (EU) 2017/2402 regarding on-balance-sheet securitisations

General information

Field code	Article of Regulation (EU) 2017/2402	Field name	Content to be reported	Additional information
STSSY1	Article 27(1), third subparagraph	First contact point	Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority.	Item 3.2 of Annex 19 of Delegated Regulation (EU) 2019/980
STSSY2	N/A	Notification date	The date of notification to ESMA.	N/A
STSSY3	N/A	Instrument identification code	Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code (including the credit linked notes), where available.	Where available under Item 3.1 of Annex 19 of Delegated Regulation (EU) 2019/980
STSSY4	N/A	Legal Entity Identifier (LEI)	The LEI of the originator(s) and sponsor(s) and, where available, original lender(s) and SSPE(s).	Item 4.2 of Annex 9 of Delegated Regulation (EU) 2019/980
STSSY5	Article 31(3)	Protection seller	The LEI, the name, the country of establishment of the initial protection seller(s) and the name of the competent authority.	N/A
STSSY6	N/A	Notification identifier	Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.	N/A
STSSY7	N/A	Unique identifier	The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224	N/A
STSSY8	N/A	Securitisation Repository	If applicable, the name of the registered securitisation repository.	N/A
STSSY9	Article 18, second subparagraph, and Article 27(3)	Country of establishment	The country of establishment of the originator(s), sponsor(s), original lender(s) and SSPE(s).	N/A
STSSY10	N/A	Synthetic securitisation classification	The type of synthetic securitisation: — synthetic securitisation with funded credit protection; — synthetic securitisation with unfunded credit protection.	N/A
STSSY11	N/A	Synthetic securitisation with unfunded credit protection	Name of the protection seller (government or supra national institution with a risk weight of 0 %)	N/A
STSSY12	N/A	Credit Protection Agreement used	The type of credit protection agreement used: — Credit derivatives; — Financial guarantees	N/A
STSSY13	N/A	Underlying exposures classification	The type of underlying exposures including: 1) Trade finance exposures 2) Small and Medium Enterprise (SMEs) loans 3) Consumer lending 4) Large corporates loans 5) Mix of SMEs and large corporates loans 6) Commercial real estate exposures 7) Others.	N/A
STSSY14	N/A	Issue date	The closing date of the transaction and, if different, the date at which the protection agreement comes into effect.	N/A
STSSY15	Article 27(2), second subparagraph	Authorised third party verifier – statement	Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party.	N/A
STSSY16	Article 27(2), second subparagraph	Authorised third party verifier – country of establishment	Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the third party’s name and country of establishment.	N/A
STSSY17	Article 27(2), second subparagraph	Authorised third party verifier – competent authority	Where an authorised third party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it.	N/A
STSSY18	Article 27(5)	STS status	If applicable, a reasoned notification by the originator that the synthetic securitisation is no longer to be considered as STS.	N/A

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