LegalizeCommission Implementing Regulation (EU) 2022/1929 of 31 March 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2020/1227 as regards the templates for the provision of information in accordance with the STS notification requirements for on-balance-sheet synthetic securitisations
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.
| 13.10.2022 | EN | Official Journal of the European Union | L 266/1 |
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(7), third subparagraph thereof,
Whereas:
- (1) Commission Implementing Regulation (EU) 2020/1227 2 lays down the use of templates for the provision of information in accordance with the simple, transparent and standardised (STS) notification requirements. In particular, Annexes I to III to Implementing Regulation (EU) 2020/1227, specify the information that is to be reported to the European Securities and Markets Authority (ESMA) for securitisations meeting the STS requirements set out 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 has amended Regulation (EU) 2017/2402 by extending the STS securitisation framework to on-balance sheet synthetic securitisations. Accordingly, it is necessary to specify the template for the provision of information in accordance 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. The notification template for STS on-balance-sheet securitisations should therefore follow the format of the template for STS traditional securitisations, while also taking into account the requirements concerning credit protection agreements and the role of the third-party verification agent laid down in Article 26e of Regulation (EU) 2017/2402.
- (4) The format for each of the fields to be reported in the notification of STS on-balance-sheet securitisations should be specified and any information submitted to ESMA should be submitted electronically.
- (5) Annex I to Implementing Regulation (EU) 2020/1227 reflects the amendments to Commission Delegated Regulation (EU) 2020/1226 4 laid down in Commission Delegated Regulation (EU) 2022/1301 5.
- (6) Implementing Regulation (EU) 2020/1227 should therefore be amended accordingly.
- (7) This Regulation is based on the draft implementing technical standards submitted to the Commission by ESMA.
- (8) ESMA has conducted open public consultations on the draft implementing 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 6,
HAS ADOPTED THIS REGULATION:
Article 1
Amendments to Implementing Regulation (EU) 2020/1227
Implementing Regulation (EU) 2020/1227 is amended as follows:
- (1) Article 1 is amended as follows:
- (a) the following paragraph 3a is inserted:
‘3a. The information referred to in Article 1(1), point (d), and Article 1(2), point (d), of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex IV to this Regulation.’;
- (b) paragraph 4 is replaced by the following:
‘4. Where the information to be provided pursuant to this Article is not available or required due to the application of the transitional provisions laid down in Articles 43 and 43a of Regulation (EU) 2017/2402, the notification shall state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of the Annexes to this Regulation’;
- (c) paragraph 6 is replaced by the following:
‘6. The additional information referred to in Article 2 of Delegated Regulation (EU) 2020/1226 shall be included in the field ‘Box to complete’ of Annexes I to IV to this Regulation.’;
- (2) Annexes I, II and III are amended as set out in Annex I to this Regulation;
- (3) 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
2
Commission Implementing Regulation (EU) 2020/1227 of 12 November 2019 laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements (OJ L 289, 3.9.2020, p. 315).
3
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).
4
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).
5
Commission Delegated Regulation (EU) 2022/1301 of 26 July 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 (OJ L 197, 26.7.2022, p. 10).
6
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 Implementing Regulation (EU) 2020/1227 are amended as follows:
-
- In Annex I, in the table ‘STS notification form for non-ABCP securitisations’, the rows corresponding to field codes STSS4, STSS17, STSS21 and STSS22 are replaced by the following:
| ‘STSS4 | Unique identifier | {ALPHANUM-1000} | |
| STSS17 | Originator (or original lender) is a credit institution | {Y/N} | |
| STSS21 | Subject to severe clawback | {ALPHANUM-10000} | |
| STSS22 | Exemption for clawback provisions in national insolvency laws | {ALPHANUM-10000}’ |
-
- In Annex II, in the table ‘STS notification form for ABCP securitisations’, the rows corresponding to field codes STSAT4, STSAT17, STSAT21 and STSAT22 are replaced by the following:
| ‘STSAT4 | Unique identifier | {ALPHANUM-1000} | |
| STSAT17 | Originator (or original lender) is a credit institution | {Y/N} | |
| STSAT21 | Subject to severe clawback | {ALPHANUM-10000} | |
| STSAT22 | Exemption for clawback provisions in national insolvency laws | {ALPHANUM-10000}’ |
-
- In Annex III, in the table ‘STS notification form for ABCP Programmes’, the row corresponding to field code STSAP4 is replaced by the following:
| ‘STSAP4 | Unique identifier | {ALPHANUM-1000}’ |
ANNEX II
‘ANNEX IV
Field formats to be applied to the STS notification form
| SYMBOL | DATA TYPE | DEFINITION |
|---|---|---|
| {ALPHANUM-n} | Up to n alphanumeric characters | Free text field. Should be entered in ASCII format (no accented characters). |
| {COUNTRYCODE_2} | 2 alphanumeric characters | 2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). |
| {CURRENCYCODE_3} | 3 alphanumeric characters | 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). |
| {DATEFORMAT} | ISO 8601 date format | Dates shall be formatted by the following format: YYYY-MM-DD |
| {Y/N} | 1 alphanumeric character | ‘true’- Y ‘false’ – N |
| {ISIN} | 12 alphanumeric characters | ISIN code, as defined in ISO 6166 |
| {LEI} | 20 alphanumeric characters | Legal entity identifier, as defined in ISO 17442 |
STS notification form for on-balance-sheet securitisations
| FIELD CODE | FIELD NAME | BOX TO COMPLETE | FIELD FORMAT |
|---|---|---|---|
| STSSY 1 | First contact point | {LEI} | |
| STSSY 2 | Notification date | {DATEFORMAT} | |
| STSSY 3 | Instrument identification code | {ISIN} | |
| STSSY 4 | Legal Entity Identifier (LEI) | {LEI} | |
| STSSY 5 | Protection seller | {ALPHANUM-100} | |
| STSSY 6 | Notification identifier | {ALPHANUM-100} | |
| STSSY 7 | Unique identifier | {ALPHANUM-1000} | |
| STSSY 8 | Securitisation Repository | {ALPHANUM-100} | |
| STSSY 9 | Country of establishment | {COUNTRYCODE_2} | |
| STSSY 10 | Synthetic securitisation classification | {LIST} | |
| STSSY 11 | Synthetic securitisation with unfunded credit protection | {LIST} | |
| STSSY 12 | Credit Protection Agreement used | {LIST} | |
| STSSY 13 | Underlying exposures classification | {LIST} | |
| STSSY 14 | Issue date | {DATEFORMAT} | |
| STSSY 15 | Authorised Third party verifier – statement | {ALPHANUM-100} | |
| STSSY 16 | Authorised Third party verifier – country of establishment | {COUNTRYCODE_2} | |
| STSSY 17 | Authorised Third party verifier – competent authority | {ALPHANUM-100} | |
| STSSY 18 | STS status | {ALPHANUM-1000} | |
| STSSY 19 | The originator is a supervised entity in the Union | {ALPHANUM-1000} | |
| STSSY 20 | Originator applying the purchased third party’s exposures policies | {ALPHANUM-10000} | |
| STSSY 21 | Underlying exposures’ origination | {ALPHANUM-10000} | |
| STSSY 22 | Assets held on originator’s balance sheet at transaction closing | {ALPHANUM-1000} | |
| STSSY 23 | Group category | {ALPHANUM-1000} | |
| STSSY 24 | No further hedging of originator’s exposure | {ALPHANUM-1000} | |
| STSSY 25 | Credit protection agreement meeting Article 249 of Regulation (EU) No 575/2013 | {ALPHANUM-1000} | |
| STSSY 26 | Credit protection agreement meeting other credit mitigation rules | {ALPHANUM-10000} | |
| STSSY27 | Representations and warranties – Legal title to the underlying exposures | {ALPHANUM-10000} | |
| STSSY28 | Representations and warranties – Originator keeps the credit risk of the underlying assets | {ALPHANUM-10000} | |
| STSSY29 | Representations and warranties – Exposure compliance with eligibility criteria | {ALPHANUM-10000} | |
| STSSY30 | Representations and warranties – Legal and enforceable obligation to the obligor | {ALPHANUM-10000} | |
| STSSY31 | Representations and warranties – Underwriting criteria | {ALPHANUM-10000} | |
| STSSY32 | Representations and warranties – No obligors in material breach or default | {ALPHANUM-10000} | |
| STSSY33 | Representations and warranties – No false information in transaction documentation | {ALPHANUM-10000} | |
| STSSY34 | Representations and warranties – Enforceability or collectability of the underlying exposures | {ALPHANUM-10000} | |
| STSSY35 | Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis | {ALPHANUM-10000} | |
| STSSY36 | Exemption to the prohibition of active portfolio management | {ALPHANUM-10000} | |
| STSSY37 | Exposure added after the closing date of the transaction meeting eligibility criteria | {ALPHANUM-10000} | |
| STSSY 38 | Fully repaid exposure | {ALPHANUM-10000} | |
| STSSY 39 | Underlying exposures disposed of | {ALPHANUM-10000} | |
| STSSY 40 | Not credit driven amendment | {ALPHANUM-10000} | |
| STSSY 41 | Eligibility criteria not met | {ALPHANUM-10000} | |
| STSSY 42 | Homogeneity of assets | {ALPHANUM} | |
| STSSY 43 | Only one asset type | {ALPHANUM} | |
| STSSY 44 | Obligations that are contractually binding and enforceable | {ALPHANUM-10000} | |
| STSSY 45 | Defined periodic payment | {ALPHANUM} | |
| STSSY 46 | Proceeds from the sale of assets | {ALPHANUM} | |
| STSSY 47 | No transferable securities | {ALPHANUM} | |
| STSSY 48 | No re-securitisation | {ALPHANUM-1000} | |
| STSSY 49 | Underwriting standards disclosed to potential investors | {ALPHANUM-1000} | |
| STSSY 50 | Full recourse to an obligor | {ALPHANUM-1000} | |
| STSSY 51 | Underwriting standards – No third parties | {ALPHANUM-1000} | |
| STSSY 52 | Underwriting standards – Residential loans | {ALPHANUM-1000} | |
| STSSY 53 | Underwriting standards – Borrower assessment | {ALPHANUM-1000} | |
| STSSY 54 | Originator or original lender expertise | {ALPHANUM-1000} | |
| STSSY 55 | No exposures at default | {ALPHANUM-10000} | |
| STSSY 56 | No adverse credit history | {ALPHANUM-10000} | |
| STSSY 57 | Risk of non-payment is not higher than for non-securitisation exposures | {ALPHANUM-1000} | |
| STSSY 58 | At least one payment made at the time of inclusion of the underlying assets | {ALPHANUM-1000} | |
| STSSY 59 | Compliance with risk retention requirements | {ALPHANUM} | |
| STSSY 60 | Mitigation of interest rates and currency risks | {ALPHANUM-1000} | |
| STSSY 61 | Credit protection collateral and credit protection payment denominated in same currency | {ALPHANUM-1000} | |
| STSSY 62 | SSPE’s liabilities equal or less than the SSPE’s income | {ALPHANUM-10000} | |
| STSSY 63 | No derivatives used except for hedging interest or currency risks | {ALPHANUM-1000} | |
| STSSY 64 | Using derivatives based on common standards | {ALPHANUM-10000} | |
| STSSY 65 | Referenced interest payments based on generally used interest rates without complex formulae or derivatives | {ALPHANUM-10000} | |
| STSSY 66 | Enforcement event without prejudice for investor’s enforcement action | {ALPHANUM-10000} | |
| STSSY 67 | Enforcement of the credit protection agreement – No amount of cash shall be trapped in the SSPE | {ALPHANUM-10000} | |
| STSSY 68 | Losses allocated in order of seniority | {ALPHANUM-10000} | |
| STSSY 69 | Sequential amortisation | {ALPHANUM-10000} | |
| STSSY 70 | Non-sequential priority of payments | {ALPHANUM-10000} | |
| STSSY 71 | Performance-related triggers | {ALPHANUM} | |
| STSSY 72 | Performance-related triggers | {ALPHANUM} | |
| STSSY 73 | Performance-related triggers | {ALPHANUM} | |
| STSSY 74 | Amount of collateral equal to the amount of tranches being amortised | {ALPHANUM-10000} | |
| STSSY 75 | Credit event occurred and amount of credit protection available at any payment date. | {ALPHANUM-10000} | |
| STSSY 76 | Early amortisation provisions or triggers – Credit quality | {ALPHANUM-10000} | |
| STSSY 77 | Early amortisation provisions or triggers – Losses | {ALPHANUM-10000} | |
| STSSY 78 | Early amortisation provisions or triggers – New exposures | {ALPHANUM-10000} | |
| STSSY 79 | Contractual obligations, duties and responsibilities – Servicer | {ALPHANUM-10000} | |
| STSSY 80 | Contractual obligations, duties and responsibilities – Trustee | {ALPHANUM-10000} | |
| STSSY 81 | Contractual obligations, duties and responsibilities – Third-party verification agent | {ALPHANUM-10000} | |
| STSSY 82 | Contractual obligations, duties and responsibilities – Default or insolvency | {ALPHANUM-10000} | |
| STSSY 83 | Contractual obligations, duties and responsibilities – Servicing procedures | {ALPHANUM-10000} | |
| STSSY 84 | Servicing standards | {ALPHANUM-10000} | |
| STSSY 85 | Required expertise from the servicer | {ALPHANUM-1000} | |
| STSSY 86 | Well documented and adequate policies, procedures and risk management controls in place | {ALPHANUM-1000} | |
| STSSY 87 | Servicing procedures at least as stringent as the ones applied to similar not securitised exposures | {ALPHANUM-1000} | |
| STSSY 88 | Reference register in place | {ALPHANUM} | |
| STSSY 89 | Reference register – Content | {ALPHANUM-10000} | |
| STSSY 90 | Timely resolution of conflicts between different classes of investors | {ALPHANUM-1000} | |
| STSSY 91 | SSPE – Voting rights clearly defined | {ALPHANUM-1000} | |
| STSSY 92 | Historical Default and Loss Performance Data | {ALPHANUM-1000} | |
| STSSY 93 | Sample of the underlying exposures subject to external verification | {ALPHANUM-1000} | |
| STSSY 94 | Availability of a liability cash flow model to potential investors | {ALPHANUM-1000} | |
| STSSY 95 | Publication on environmental performance of underlying exposures consisting of residential loans or auto loans or leases | {ALPHANUM-10000} | |
| STSSY 96 | Derogation from the requirement to publish environmental performance of underlying exposures consisting of residential loans or car loans or leases | {ALPHANUM-10000} | |
| STSSY97 | Originator responsible for compliance with Article 7 of Regulation (EU) 2017/2402 | {ALPHANUM-1000} | |
| STSSY 98 | Information on Article 7(1), point (a), of Regulation (EU) 2017/2402 available to potential investors | {ALPHANUM-1000} | |
| STSSY 99 | Information on Article 7(1), points (b), (c) and (d) of Regulation (EU) 2017/2402 available to potential investors at least in draft or initial form | {ALPHANUM-1000} | |
| STSSY 100 | Credit events and use of guarantees | {ALPHANUM-10000} | |
| STSSY 101 | Credit events and use of credit derivatives | {ALPHANUM-10000} | |
| STSSY 102 | Credit protection agreement documented | {ALPHANUM-10000} | |
| STSSY 103 | Forbearance measures do not preclude the triggering of eligible credit events | {ALPHANUM-10000} | |
| STSSY 104 | Credit protection payment based on the actual realised loss and standard recovery policies and procedures | {ALPHANUM-10000} | |
| STSSY 105 | Credit protection payment payable within a specified period of time | {ALPHANUM-10000} | |
| STSSY 106 | Interim credit protection payment at the latest six months after a credit event | {ALPHANUM-10000} | |
| STSSY 107 | Interim credit protection payment higher than the applicable expected loss amount | {ALPHANUM-10000} | |
| STSSY 108 | Terms of the interim credit protection payment | {ALPHANUM-10000} | |
| STSSY 109 | Method for calculation of interim and final credit protection payments | {ALPHANUM-10000} | |
| STSSY 110 | Credit protection payment proportional to the share of the outstanding nominal amount | {ALPHANUM-10000} | |
| STSSY 111 | Enforceability of the credit protection payment | {ALPHANUM-10000} | |
| STSSY 112 | Amount payable under the credit protection agreement by investors is set out in the credit protection agreement. | {ALPHANUM-10000} | |
| STSSY 113 | Calculation of the amounts in all circumstances | {ALPHANUM-10000} | |
| STSSY 114 | Investors payments circumstances set out under the credit protection agreement. | {ALPHANUM-10000} | |
| STSSY 115 | Third-party verification agent’s assessment of circumstances triggering investors payments | {ALPHANUM-10000} | |
| STSSY 116 | Credit protection payment calculated at individual underlying exposure level. | {ALPHANUM-10000} | |
| STSSY 117 | Specification of maximum extension period for the debt workout process | {ALPHANUM-10000} | |
| STSSY 118 | Extension period less than two years | {ALPHANUM-10000} | |
| STSSY 119 | Final credit protection payment based on the originator’s final loss estimate | {ALPHANUM-10000} | |
| STSSY 120 | Termination of the credit protection agreement | {ALPHANUM-10000} | |
| STSSY 121 | Credit protection premiums contingent on the outstanding nominal amount | {ALPHANUM-10000} | |
| STSSY 122 | Credit protection agreement not stipulating mechanisms that may avoid or reduce the actual allocation of losses to the investors | {ALPHANUM-10000} | |
| STSSY 123 | Derogation for upfront premium payments | {ALPHANUM-10000} | |
| STSSY 124 | Description of the credit protection premium in the transaction documentation | {ALPHANUM-10000} | |
| STSSY 125 | Enforceability of the investor rights | {ALPHANUM-10000} | |
| STSSY 126 | Appointment of a third-party verification agent before the closing date of the transaction | {ALPHANUM-1000} | |
| STSSY 127 | Third party verification agent check – Credit event notice specified in the terms of the credit protection agreement | {ALPHANUM-1000} | |
| STSSY 128 | Third party verification agent check – Underlying exposure included in the reference portfolio | {ALPHANUM-1000} | |
| STSSY 129 | Third party verification agent check – Eligible criteria met at the time of inclusion in the reference portfolio | {ALPHANUM-1000} | |
| STSSY 130 | Third party verification agent check – Compliance with the replenishment conditions | {{ALPHANUM-1000} | |
| STSSY 131 | Third party verification agent check – Losses consistent with originator’s profit and loss statement | {ALPHANUM-1000} | |
| STSSY 132 | Third party verification agent check – Losses correctly allocated to investors | {ALPHANUM-1000} | |
| STSSY 133 | Third-party verification agent independent from originators, investors and (where applicable) the SSPE | {ALPHANUM-10000} | |
| STSSY 134 | Appointment of the third-party verification agent by the closing date | {ALPHANUM-10000} | |
| STSSY 135 | Third-party verification agent’s check made on a sample basis | {ALPHANUM-10000} | |
| STSSY 136 | Possibility for investors to require the third-party verification agent to check any underlying exposure | {ALPHANUM-10000} | |
| STSSY 137 | Possibility for the third-party verification agent to have access to all relevant information | {ALPHANUM-10000} | |
| STSS 138 | Termination events | {ALPHANUM-10000} | |
| STSS 139 | Transaction documentation – Call rights | {ALPHANUM-10000} | |
| STSS 140 | Transaction documentation – Time call not structured to avoid allocating losses to credit enhancements positions | {ALPHANUM-10000} | |
| STSS 141 | Time call | {ALPHANUM-10000} | |
| STSS 142 | Funded credit protection – Collateral return to investors in order of the seniority of the tranches | {ALPHANUM-10000} | |
| STSS 143 | Termination of transaction by investors upon failure to pay the credit protection premium | {ALPHANUM-10000} | |
| STSSY 144 | Amount of synthetic excess spread to investors specified in transaction documentation and expressed as a fixed percentage of the total outstanding portfolio balance | {ALPHANUM-10000} | |
| STSSY 145 | Unused synthetic excess spread to be returned to originator | {ALPHANUM-10000} | |
| STSSY 146 | Originators using Internal-Ratings-Based approach – Total committed amount per year not higher than the one-year regulatory expected loss amounts | {ALPHANUM-10000} | |
| STSSY 147 | Originators not using Internal-Ratings-Based approach – calculation of the one-year expected loss of the underlying portfolio be clearly determined in the transaction documentation | {ALPHANUM-10000} | |
| STSSY 148 | Synthetic excess spread conditions laid down in transaction documentation | {ALPHANUM-10000} | |
| STSS 149 | Credit protection used | {ALPHANUM-10000} | |
| STSSY 150 | Enforceability of the originator’s right to use the collateral to meet the protection payment obligations of the investors through appropriate collateral arrangements | {ALPHANUM} | |
| STSSY 151 | Investors’ right to receive any unused collateral when securitisation is unwound or as tranches amortise | {ALPHANUM-10000} | |
| STSSY 152 | Collateral invested in securities – Eligibility criteria and custody arrangement specified in transaction documentation | {ALPHANUM} | |
| STSSY 153 | Investors exposed to originator’s credit risk | {ALPHANUM-10000} | |
| STSSY 154 | Legal opinion confirming the enforceability of the credit protection in all jurisdictions | {ALPHANUM-1000} | |
| STSSY 155 | High quality collateral – 0 % risk-weighted debt securities | {ALPHANUM-10000} | |
| STSSY 156 | High quality collateral – cash with a third-party credit institution with a credit quality step 3 or above | {ALPHANUM-10000} | |
| STSSY 157 | Derogation – collateral in the form of cash on deposit with the originator | {ALPHANUM} | |
| STSSY 158 | Collateral in the form of cash on deposit with the originator – permission by competent authority | {ALPHANUM} | |
| STSSY 159 | Transfer of collateral where third-party credit institution or originator no longer satisfies the minimum credit quality step | {ALPHANUM} | |
| STSSY 160 | Compliance with collateral requirements in the case of investments in credit linked notes issued by the originator | {ALPHANUM-1000} |
’
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