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 requirementsText with EEA relevance.

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 (Text with EEA relevance) 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 OJ L 347, 28.12.2017, p. 35. and in particular Article 27(6) thereof, Whereas: (1) Regulation (EU) 2017/2402 requires originators and sponsors to submit certain information to the European Securities Markets Authority (ESMA) where they consider that a securitisation meets the requirements regarding simple, transparent and standardised criteria (STS) set out in Articles 19 to 22 and Articles 23 to 26 of that Regulation. The information to be provided varies according to the different types of securitisations notified. (2) In order to allow competent authorities to perform their duties and allow investors and potential investors to perform their due diligence, sufficiently detailed information, relevant to the STS notification, is necessary to determine whether the STS criteria is satisfied. Specifically, the rationale for selecting a homogeneity factor and for excluding others should be included in the notification to inform the assessment of the homogeneity criterion. For certain STS criteria, simple confirmation of compliance is sufficient while other criteria require further information. It is therefore necessary to distinguish requirements for which a simple confirmation is sufficient from those for which a concise explanation or a detailed explanation is necessary. (3) Securitisations where no prospectus must be drawn up in accordance with Regulation (EU) 2017/1129 of the European Parliament and of the Council 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). (private securitisations) 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. (4) To facilitate access to information relevant to the STS requirements, originators and sponsors should be allowed to refer to the relevant prospectus drawn up for that securitisation in accordance with Regulation (EU) 2017/1129, other relevant underlying documentation as referred to in Article 7(1)(b) of Regulation (EU) 2017/2402 or any other document with information relevant to the STS notification.

(5) This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission. (6) 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 opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council 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. 4). , HAS ADOPTED THIS REGULATION:

Article 1

Information to be included in the STS notification

1. The information to be included in the STS notification pursuant to Article 27 of Regulation (EU) 2017/2402 shall be the following: (a) where the securitisation is a non-ABCP securitisation, the information specified in Annex I to this Regulation; (b) where the securitisation is an ABCP securitisation, the information specified in Annex II to this Regulation; (c) for an ABCP programme, the information specified in Annex III to this Regulation.
2. For securitisations where no prospectus must be drawn up pursuant to Regulation (EU) 2017/1129, the information to be included in the STS notification pursuant to paragraph 1 shall be accompanied by the following: (a) where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of Annex I to this Regulation; (b) where the securitisation is an ABCP securitisation, the information specified in fields STSAT9 and STSAT10 of Annex II to this Regulation; (c) for an ABCP programme, the information specified in field STSAP9 of Annex III to this Regulation. For the purposes of the third subparagraph of Article 27(1) of Regulation (EU) 2017/2402, the publication of the STS notification for those securitisations shall be limited to the information referred to in this paragraph.

Article 2

Additional Information 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 or III to this Regulation and, where such information is provided, that documentation shall be clearly identified: (a) a prospectus drawn up pursuant to Regulation (EU) 2017/1129; (b) any other underlying documentation referred to in Article 7(1)(b) of Regulation (EU) 2017/2402; (c) any other document with information relevant to the STS notification.

Article 3

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, 12 November 2019.

For the Commission The President Jean-Claude Juncker

Annex

ANNEX I Information to be submitted to ESMA pursuant to Articles 19 to 22 of Regulation (EU) 2017/2402 regarding non-ABCP securitisations General information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Commission Delegated Regulation (EU) 2019/980 of 14 March 2019 supplementing Regulation (EU) 2017/1129 of the European Parliament and of the Council as regards the format, content, scrutiny and approval of the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Commission Regulation (EC) No 809/2004 (OJ L 166, 21.6.2019, p. 26). 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). 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). Field numberArticle of Regulation (EU) 2017/2402FIELD NAMECONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSS0Article 27(1)First contact pointLegal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authorityItem 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.STSS1N/AInstrument identification codeWhere available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation.Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.STSS2N/ALegal Entity Identifier (LEI)The LEI of the originator(s) and sponsor(s) and, where available, original lender(s).Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSS3N/ANotification identifierWhere reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.N/ASTSS4N/AUnique identifierThe unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224N/ASTSS5N/AProspectus identifierWhere available, the prospectus identifier as provided by the relevant competent authority.N/ASTSS6N/ASecuritisation RepositoryWhere available, the name of the registered securitisation repository.N/ASTSS7N/ASecuritisation nameThe securitisation name.Section 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSS8Article 18 and 27(3)Country of establishmentWhere available, the country of establishment of the originator(s), sponsor(s), SSPE(s) and original lender(s).N/A

STSS9N/ASecuritisation classification The type of securitisation: non-ABCP securitisation; ABCP securitisation; ABCP programme. N/ASTSS10N/AUnderlying exposures classification The type of underlying exposures including: 1) residential loans that are either secured by one or more mortgages on residential immovable property or that are fully guaranteed by an eligible protection provider among those referred to in Article 201(1) of Regulation (EU) No 575/2013 and qualifying for the credit quality step 2 or above as set out in Part Three, Title II, Chapter 2 of that Regulation;; 2) commercial loans that are secured by one or more mortgages on commercial immovable property, including offices or other commercial premises; 3) credit facilities provided to individuals for personal, family or household consumption purposes; 4) credit facilities, including loans and leases, provided to any type of enterprise or corporation; 5) auto loans/leases; 6) credit card receivables; 7) trade receivables; 8) other underlying exposures that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters; N/ASTSS11N/AIssue date Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, the date on which the prospectus was approved. In all other cases, the closing date of the most recent transaction. N/ASTSS12N/ANotification dateThe date of notification to ESMA.N/ASTSS13Article 27(2)Authorised Third partyWhere 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 firm.N/A STSS14Article 27(2)Authorised Third partyWhere an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the third party’s name and the country of establishment.N/ASTSS15Article 27(2)Authorised Third partyWhere 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/ASTSS16Article 27(5)STS statusA reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS.N/ASTSS17Article 27(3)Originator (or original lender) not a credit institutionA Yes or No statement as to whether the originator or original lender is a credit institution or investment firm established in the Union.N/ASTSS18Article 27(3)Confirmation of credit-granting criteriaWhere the answer to field STSS17 is No, confirmation that the originator’s or original lender’s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402.N/ASTSS19Article 27(3)Confirmation that the credit granting is subject to supervisionWhere the answer to field STSS17 is No, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision.N/A

Specific information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Commission Delegated Regulation (EU) 2019/1851 of 28 May 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on the homogeneity of the underlying exposures in securitisation (OJ L 280, 6.11.2019, p. 1). Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66). Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34). Field numberArticle of Regulation (EU) 2017/2402FIELD NAMEConfirmationConcise explanationDetailed explanationCONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSS20Article 20(1)Transfer of the underlying exposures by true sale or assignment√A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS21Article 20(2)No severe clawback√A concise explanation on whether any of the severe clawback provisions referred to in Article 20(2)(a) or (b) of Regulation (EU) 2017/2402 are found in the securitisation, and state whether the provisions in Article 20(3) of Regulation (EU) 2017/2402 apply.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS22Article 20(3)Exemption for clawback provisions in national insolvency laws√In conjunction with STSS21, where appropriate, a confirmation whether there are no circumstances that could give rise to clawback provisions in accordance with Article 20(1) and (2) of Regulation (EU) 2017/2402.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS23Article 20(4)Transfer where the seller is not the original lender√Where the seller is not the original lender, a statement confirming that the securitisation complies with Article 20(1) to 20(3) of Regulation (EU) 2017/2402.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS24Article 20(5)Transfer performed by means of an assignment and perfected at a later stage√ Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 20(5) of Regulation (EU) 2017/2402. Where alternative mechanisms of transfer are used, a confirmation that an insolvency of the originator would not prejudice or prevent the SSPE from enforcing its rights.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS25Article 20(6)Representations and warranties√A concise explanation on how and whether there are representations and warranties provided by the seller that the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect.Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS26Article 20(7)Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis√ A concise explanation on how: the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis; the selection and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active portfolio management on a discretionary basis. Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS27Article 20(8)Homogeneity of assets√A detailed explanation as to the homogeneity of the pool of underlying exposures backing the securitisation. For that purpose, include a reference to the EBA RTS on homogeneity (Commission Delegated Regulation (EU) 2019/1851), and explain in detail how each of the conditions specified in the Article 1 of that Delegated Regulation are met.Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS28Article 20(9)Underlying Exposure Obligations: no re securitisation√A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation.Item 2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS29Article 20(10)Soundness of the underwriting standard√ A detailed explanation: as to whether the underlying exposures were originated in the lender’s ordinary course of business and whether the applied underwriting standards were no less stringent that those applied at the same time of origination to exposures that were not securitised. as to whether the underwriting standards and any material changes from prior underwriting standards have been or will be fully disclosed to potential investors without undue delay. on how securitisations where the underlying exposures are residential loans, the pool of underlying exposures meet the requirement of the second paragraph of Article 20(10) of Regulation (EU) 2017/2402. as to whether an assessment of the borrower’s creditworthiness meets the requirements set out in Article 8 of Directive 2008/48/EC or paragraphs 1 to 4, point (a) of paragraph 5, and paragraph 6 of Article 18 of Directive 2014/17/EU or, where applicable, equivalent requirements in third countries.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS30Article 20(10)Originator/Lender Expertise√A detailed explanation as to whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised.Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS31Article 20(11)Transferred underlying exposures without exposures in default√ A detailed explanations as to whether: the transferred underlying exposures do not include, at the time of selection, defaulted exposures (or restructured exposures) as defined in Article 20(11) of Regulation (EU) 2017/2402. the requirements referred to in Article 20(11)(a)(i) and (ii) of Regulation (EU) 2017/2402 are met. the requirements referred to in Article 20(11)(b) of Regulation (EU) 2017/2402 are met; the requirements referred to in Article 20(11)(c) of Regulation (EU) 2017/2402 are met. Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS32Article 20(12)At least one payment at the time of transfer√ A confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. A confirmation whether or not the exemption under Article 20(12) of Regulation (EU) 2017/2402 applies. Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS33Article 20(13)Repayment of the holders shall not have been structured to depend predominantly on the sale of assets.√A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures.Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS34Article 21(1)Compliance with risk retention requirements√ A concise explanation as to how the originator, sponsor or original lender of a non-ABCP securitisation comply with the risk retention requirement as provided for in Article 6 of Regulation (EU) 2017/2402. An indication which entity retains the material net economic interest and which option is used for retaining the risk: (1) vertical slice in accordance with Article 6(3)(a) of Regulation (EU) 2017/2402; (2) seller’s share in accordance with Article 6(3)(b) of Regulation (EU) 2017/2402; (3) randomly-selected exposures kept on balance sheet, in accordance with Article 6(3)(c) of Regulation (EU) 2017/2402; (4) first loss tranche in accordance with Article 6(3)(d) of Regulation (EU) 2017/2402; (5) first loss exposure in each asset in accordance with Article 6(3)(e) of Regulation (EU) 2017/2402; (6) no compliance with risk retention requirements set out in Article 6(3) of Regulation (EU) 2017/2402; (7) other options used. Item 3.1 of Annex 9 and Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS35Article 21(2)Mitigation of Interest rates (IR) and currency risks (FX) Risks√A concise explanation as to whether the interest rates and currency risks are appropriately mitigated and that measures are taken to mitigate such risks and confirm that such measures are available to investors.Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS36Article 21(2)Derivatives Purchased/Sold by SSPE√A concise declaration that the SSPE has not entered into derivative contracts except in the circumstances referred to in Articles 21(2) of Regulation (EU) 2017/2402.Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS37Article 21(2)Derivatives using common standards√A concise explanation on whether any hedging instruments used are underwritten and documented according to commonly accepted standards.Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS38Article 21(3)Referenced interest payments based on generally used interest rates√A concise explanation on whether and how any referenced interest payments under the securitisation assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds.Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS39Article 21(4)No trapping of cash following enforcement or an acceleration notice√A declaration in general terms that each of the requirements of Article 21(4) of Regulation (EU) 2017/2402 are met.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS40Article 21(4)(a) No amount of cash shall be trapped√Confirmation that no cash would be trapped following the delivery of enforcement or an acceleration notice.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS41Article 21(4)(b) principal receipts shall be passed to investors√Confirmation that principal receipts from the underlying exposures are passed to the investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSS42Article 21(4)(c) repayment shall not be reversed with regard to seniority√Confirmation that the repayment of the securitisation positions is not to be reversed with regard to their seniority.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS43Article 21(4)(d) no provisions shall require automatic liquidation of the underlying exposures at market value√Confirmation that no provisions require automatic liquidation of the underlying exposures at market value.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS44Article 21(5)Securitisations featuring non-sequential priority of payments√ Confirmation that transaction featuring non-sequential priority of payments include triggers relating to the performance of the underlying exposures resulting in the priority of payment reverting to sequential payments in order of seniority. Confirmation that such triggers include at least the deterioration in the credit quality of the underlying exposures below a predetermined threshold. Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS45Article 21(6)Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers√A concise explanation, where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS46Article 21(6)(a)(a) deterioration in the credit quality of the underlying exposures√A concise explanation where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS47Article 21(6)(b)(b) occurrence of an insolvency-related event of the originator or servicer√A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(b) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS48Article 21(6)(c)(c) value of the underlying exposures held by the SSPE falls below a pre-determined threshold√A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(c) of Regulation (EU) 2017/2402 are reflected in the transaction documentation, using cross-references to the relevant sections of the underlying documentation where the information can be foundItems 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS49Article 21(6)(d)(d) a failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period)√A concise explanation, where applicable, on how the provisions in Art 21(6)(d) of Regulation (EU) 2017/2402 are reflected in the transaction documentation.Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS50Article 21(7)(a)(a) Information regarding contractual obligations of the servicer, trustee and other ancillary service providers√Confirmation that the transaction documentation specifies all of the requirements under Article 21(7)(a) of Regulation (EU) 2017/2402.Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS51Article 21(7)(b)(b) Servicing Continuity Provisions√Confirmation that the securitisation documentation expressly satisfies the requirements of Article 21(7)(b) of Regulation (EU) 2017/2402.Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS52Article 21(7)(c)(c) Derivative Counterparties Continuity Provisions√Confirmation that the transaction documentation satisfies all of the information referred to in Article 21(7)(c) of Regulation (EU) 2017/2402.Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS53Article 21(7)(c)(c) Liquidity providers and account bank continuity provisions√Confirmation that the transaction documentation satisfies all of the information under Article 21(7 (c) of Regulation (EU) 2017/2402.Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSS54Article 21(8)Required expertise from the servicer and policies and adequate procedures and risk management controls in place√A detailed explanation on how the requirements of Article 21(8) are met. As part of the explanation, include references to any policies and procedures intended to ensure compliance with these requirements.Item 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS55Article 21(9)Clear and consistent definitions relating to the treatment of problem loans√Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 21(9) of Regulation (EU) 2017/2402.Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS56Article 21(9)Priorities of payment and triggers events√Confirmation that the securitisation documentation sets out the priorities of payment and trigger events pursuant to Articles 21(9) of Regulation (EU) 2017/2402.Item 3.4.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS57Article 21(10)Timely resolution of conflicts between classes of investors & responsibilities of trustee√Confirmation that the provisions under Article 21(10) of Regulation (EU) 2017/2402 relating to the timely resolutions of conflicts are met.Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS58Articles 22(1)Historical Default and Loss Performance Data√Confirmation that the data required to be made available under Article 22(1) of Regulation (EU) 2017/2402 is available, stating clearly where the information can be found.Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSS59Article 22(2)Sample of the underlying exposures subject to external verifications√Confirmation that a sample of the underlying exposures was subject to external verification prior to the issuance of the securities by an appropriate and independent party.N/ASTSS60Article 22(3)Availability of a liability cash flow model to potential investors√Confirmation that a liability cash flow model is available to potential investors prior to pricing and state clearly where this information is available. After pricing, confirmation that such information has been made available to potential investors upon request.N/A STSS61Article 22(4)Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases√A concise explanation on whether the information related to the environmental performance of the assets financed by residential loans, or auto loans or leases is available pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 and a statement where that information is to be found.N/ASTSS62Article 22(5)Originator and sponsor responsible for compliance with Article 7√ Confirmation that: the originator and the sponsor are complying with Article 7 of Regulation (EU) 2017/2402; the information required by Article 7(1)(a) has been made available to potential investors before pricing upon request;

the information required by Article 7(1)(b) to (d) has been made available before pricing at least in draft or initial form. N/A

Annex

ANNEX II Information to be submitted to ESMA pursuant to Article 24 of Regulation (EU) 2017/2402 regarding ABCP securitisations General information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Field numberArticle of Regulation (EU) 2017/2402FIELD NAMECONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSAT0Article 27(1)First contact pointLegal 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 Commission Delegated Regulation (EU) 2019/980.STSAT1N/AInstrument identification codeWhere available, the international security identification code (ISIN) or codes. Where no ISIN, then any other unique securities code, assigned to the ABCP securitisation.Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT2N/ALegal Entity Identifier (LEI)Where available, the LEI of the originator (s) and/or sponsor(s).Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSAT3N/ANotification identifierWhere reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.N/ASTSAT4N/AUnique identifierThe unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.N/ASTSAT5N/AProspectus identifierWhere available, the prospectus identifier as provided by the relevant competent authority.N/ASTSAT6N/ASecuritisation RepositoryWhere available, the name of the registered securitisation repository.N/ASTSAT7N/ASecuritisation nameWhere available, the securitisation name or in the absence thereof, the code name and used name.Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980.STSAT8Article 18 and 27(3)Country of establishmentWhere available, the country of establishment of the originator (s), sponsor(s) and SSPE(s).N/ASTSAT9N/ASecuritisation classification The type of securitisation: non-ABCP; ABCP; ABCP programme. N/A STSAT10N/AUnderlying exposures classification The type of underlying exposures including:

1. residential loans that are either secured by one or more mortgages on residential immovable property or that are fully guaranteed by an eligible protection provider among those referred to in Article 201(1) of Regulation (EU) No 575/2013 and qualifying for the credit quality step 2 or above as set out in Part Three, Title II, Chapter 2 of that Regulation;;
2. commercial loans that are secured by one or more mortgages on commercial immovable property, including offices or other commercial premises;;
3. credit facilities provided to individuals for personal, family or household consumption purposes;
4. credit facilities, including loans and leases, provided to any type of enterprise or corporation;

1. auto loans/leases;
2. credit card receivables;
3. trade receivables;
4. other underlying exposures that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters.. N/ASTSAT11N/AIssue date Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, the date on which the prospectus was approved. If not, the issuance date of the ABCP securitisation. N/ASTSAT12N/ANotification dateThe date of notification to ESMA.N/ASTSAT13Article 27(2)Authorised Third partyIf 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 firm.N/ASTSAT14Article 27(2)Authorised Third partyIf an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Regulation (EU) 2017/2402, the third party’s name and its country of establishment.N/A STSAT15Article 27(2)Authorised Third partyIf an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Securitisation Regulation, the name of the competent authority that has authorised it.N/ASTSAT16Article 27(5)STS statusWhether the originator and/or sponsor has notified that the ABCP securitisation is no longer to be considered as STS and the reasons for such notification.N/ASTSAT17Article 27(3)Originator (or original lender) not a credit institutionA Yes or No statement as to whether the originator or original lender is a credit institution or investment firm established in the Union.N/ASTSAT18Article 27(3)Confirmation of credit-granting criteriaWhere the answer to field STSS17 is No, confirmation that the originator’s or original lender’s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402.N/ASTSAT19Article 27(3)Confirmation that the credit granting is subject to supervisionWhere the answer to field STSS17 is No, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision.N/A Specific information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1). Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349). Field numberArticle of Regulation (EU) 2017/2402FIELD NAMEConfirmationConcise explanationDetailed explanationCONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSAT20Article 24(1)Underlying exposures acquired by true sale√A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT21Article 24(2)No severe clawback√A concise explanation on whether any of the severe clawback provisions referred to in points (a) or (b) of Article 24(2) of Regulation (EU) 2017/2402 are found in the securitisation, and whether the provisions in Article 24(3) of Regulation (EU) 2017/2402 apply.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT22Article 24(3)Exemption for clawback provisions in national insolvency laws√In conjunction with STSS21, where appropriate, confirmation that there are no circumstances that could give rise to clawback provisions in accordance with Article 24(1) and (2) of Regulation (EU) 2017/2402.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT23Article 24(4)Transfer where the seller is not the original lender√Where the seller is not the original lender, a statement confirming that the securitisation complies with Articles 24(1) to 24(3) of Regulation (EU) 2017/2402.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT24Article 24(5)Transfer performed by means of an assignment and perfected at a later stage.√Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, provide a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 24(5) of Regulation (EU) 2017/2402.Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT25Article 24(6)Representations and warranties√A concise explanation on whether there are representations and warranties provided by the seller that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect.Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT26Article 24(7)Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis√ A concise explanation whether: the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis; the selection and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active portfolio management on a discretionary basis.. Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT27Article 24(8)No re-securitisation√Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation.Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT28Article 24(9)Transferred underlying exposures without defaulted exposures√ A detailed explanation how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in Article 24(9) of the Regulation (EU) 2017/2402, as applicable. Where appropriate, a clear statement whether the securitisation contains any credit-impairedness at the time of securitisation as specified in Article 24(9)(a)(i) of Regulation (EU) 2017/2402.

Confirmation that: at the time of origination, the requirements referred to in Article 24(9)(b) of Regulation (EU) 2017/2402 are met; at the time of selection, the requirements referred to in Article 24(9)(c) of Regulation (EU) 2017/2402 are met. Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT29Article 24(10)At least one payment at the time of transfer√ Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. Where no payment has been made, an explanation why this is the case, including a statement as to whether the reason is one of the exceptions permitted under Article 20(12) of Regulation (EU) 2017/2402 applies. Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT30Article 24(11)Repayment of the holders shall not have been structured to depend predominantly on the sale of assets.√A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. Where appropriate, a detailed explanation as to whether repayments of the investors are not considered to depend on the sale of assets, as specified under the second subparagraph of Article 24(11) of Regulation (EU) 2017/2402.Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT31Article 24(12)Mitigation of Interest rates (IR) and currency risks (FX) Risks√ A concise explanation whether and how the interest rates and currency risks are appropriately mitigated and confirm that the measures to that effect are disclosed. A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted standards. Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT32Article 24(12)Derivatives Purchased/Sold by SSPE√Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contractsItems 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU2019/980STSAT33Article 24(12)Derivatives in Underlying Exposures√A concise explanation on the presence of any derivatives in the pool of underlying exposures.Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT34Article 24(12)Derivatives using common standards√A concise explanation whether any derivatives permissible under Article 24(12) are underwritten and documented according to common standards in international finance.Items 3.4.7 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT35Article 24(13)Clear and consistent definitions relating to the treatment of problem loans√Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 24(13) of Regulation (EU) 2017/2402.Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT36Article 24(13)Priorities of payment and triggers events√Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to Article 24(13) of Regulation (EU) 2017/2402.Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT37Article 24(14)Historical Default and Loss Performance Data√

Confirmation that the data required to be made available under Article 24(14) of Regulation (EU) 2017/2402 is available and a clear statement where the information is available to potential investors before pricing. Where the sponsor does not have access to such data, confirmation that the seller has provided access to data as specified under Article 24(14) of Regulation (EU) 2017/2402. Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years. Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT38Article 24(15)Homogeneity of assets√A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics.Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT39Article 24(15)Underlying Exposure Obligations√ Confirmation that the pool of underlying exposures has a remaining weighted average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years. Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with the third paragraph of Article 24(15) of Regulation (EU) 2017/2402. Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT40Article 24(15)Underlying Exposure Obligations√ Confirmation, where appropriate, that the underlying exposures: do not include loans secured by residential or commercial mortgages or fully guaranteed residential loans, as referred to in point (e) of the first subparagraph of Article 129(1) of Regulation (EU) No 575/2013; contain obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or related to any other right to receive income from assets warranting such payments; does not include transferable securities as defined in point (44) of Article 4(1) of Directive 2014/65/EU other than corporate bonds, that are not listed on a trading venue. Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT41Article 24(16)Referenced interest payments based on generally used interest rates√A concise explanation whether and how any referenced interest payments under the ABCP securitisation’s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds.Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT42Article 24(17)No trapping of cash following enforcement or acceleration notice√A concise explanation on whether each of the requirements of Article 24(17) of Regulation (EU) 2017/2402 are met, including a concise explanation of cases where cash may be trapped.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT43Article 24(17)(a) No trapping of cash following enforcement or acceleration√Confirmation that no cash would be trapped following an enforcement or an acceleration notice.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT44Article 24(17)(b) Principal receipts shall be passed to investors√Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT45Article 24(17)(c) No provisions shall require automatic liquidation of the underlying exposures at market value√Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value.Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT46Article 24(18)Soundness of the underwriting standards√

A detailed explanation as to whether the underlying exposures were originated in the seller’s ordinary course of business, specifying whether the underwriting standard are no less stringent that those applied to exposures that were not securitised. A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP securitisation. Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT47Article 24(18)Seller expertise√A detailed explanation as to whether the seller has the required expertise in originating exposures of a similar nature to those securitised.Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT48Article 24(19)Revolving ABCP securitisation/credit quality trigger.√A detailed explanation how the provisions or triggers in Art 24(19) of Regulation (EU) 2017/2402 are included in the securitisation documentation.Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT49Article 24(20)Securitisation Participant Duties√Confirmation that the securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider.Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT50Article 24(20)Servicing Continuity Provisions√Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a termination of servicing.Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT51Article 24(20)Derivative Counterparty and account bank continuity Provisions√Confirmation that the securitisation documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and other specified events, where applicable.Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAT52Article 24(20)Sponsor Robustness√Confirmation that the securitisation documentation includes provisions on how the sponsor meets the requirements Article 25(3) of Regulation (EU) 2017/2402.Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

Annex

ANNEX III Information to be provided ESMA pursuant to Articles 25 and 26 of the Regulation (EU) 2017/2402 regarding ABCP programmes General information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Field numberArticle of Regulation (EU) 2017/2402FIELD NAMECONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSAP0Article 27(1)First contact pointLegal 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 Commission Delegated Regulation (EU) 2019/980.STSAP1N/AInstrument identification codeWhere applicable, the international security identification codes (ISIN) assigned to the ABCP programmes.Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.STSAP2N/ALegal Entity Identifier (LEI)Where available, the LEI of the sponsor (s) and/or ABCP programme(s).Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSAP3N/ANotification identifierWhere reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification.N/ASTSAP4N/AUnique identifierThe unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.N/ASTSAP5N/AProspectus identifierWhere available, the prospectus identifier as provided by the relevant competent authority.N/ASTSAP6N/ASecuritisation RepositoryWhere available, the name of the registered securitisation repository.N/ASTSAP7N/ASecuritisation nameThe name of the ABCP programmeSection 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980.STSAP8Article 18 and 27(3)Country of establishmentThe country of establishment of the sponsor(s).Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSAP9N/ASecuritisation classificationThe type of securitisation (non-ABCP, ABCP, ABCP programme)N/A

STSAP10N/AIssuance dateThe date of the first issuance of the ABCP programmeItem 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980STSAP11N/ANotification dateThe date of STS notification to ESMAN/ASTSAP12Article 27(2)Authorised Third partyWhere 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 firm.N/ASTSAP13Article 27(2)Authorised Third partyWhere 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 the place of establishment.N/ASTSAP14Article 27(2)Authorised Third partyWhere 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/ASTSAP15Article 27(5)STS statusNotification from the sponsor that the ABCP programme is no longer to be considered as STS and the reasons for this change.N/A Specific information Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available. Field numberArticle of Regulation (EU) 2017/2402FIELD NAMEConfirmationConcise explanationDetailed explanationCONTENT TO BE REPORTEDADDITIONAL INFORMATIONSTSAP16Article 25(1)Sponsor to be a supervised credit institution√Confirmation that the sponsor of the programme is a supervised credit institution and link to a document attesting to such status.N/ASTSAP17Article 25(2)Sponsor support as liquidity facility provider√Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision.N/A STSAP18Article 25(3)Demonstration to credit institution’s Competent authority√Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to its competent authority.N/ASTSAP19Article 25(4)Compliance with sponsor’s due diligence requirements√Confirmation the sponsor’s compliance with the due diligence requirements set out in Article 5(1) and (3) of Regulation (EU) 2017/2402, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of Regulation (EU) No 575/2013 or equivalent requirements in third countries.N/ASTSAP20Article 25(5)The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy with the risk retention requirements as provided under Article 6√ A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under Article 6 of Regulation (EU) 2017/2402 specifying the option used for retaining the risk including:

(1) vertical slice — i.e. Article 6(3)(a) of Regulation (EU) 2017/2402; (2) seller’s share — i.e. Article 6(3)(b) of Regulation (EU) 2017/2402; (3) randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) of Regulation (EU) 2017/2402; (4) first loss tranche — i.e. Article 6(3)(d) of Regulation (EU) 2017/2402; (5) first loss exposure in each asset — i.e. Article 6(3)(e) of Regulation (EU) 2017/2402; (6) no compliance with risk retention requirements of Regulation (EU) 2017/2402; (7) other. Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980STSAP21Article 25(6)Compliance at ABCP programme level with Article 7 (transparency requirements)√ Confirmation that: the sponsor is responsible for compliance with Article 7 of Regulation (EU) 2017/2402; the sponsor is complying with Article 7 at the ABCP programme level; the sponsor has made available to potential investors before pricing and upon their request: the aggregate information required by point (a) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, and the information required by points (b) to (e) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, at least in draft or initial form. N/A STSAP22Article 25(7)Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor√A concise explanation from the sponsor as to whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry.N/ASTSAP23Article 26(1)Compliance of ABCP securitisations within an ABCP programme with Article 24(1) to (8) and (12) to (20)√ Confirmation whether all ABCP securitisations within the programme meet the following requirements:

Article 24(12) to (20) of Regulation (EU) 2017/2402. N/ASTSAP24Article 26(1) second and third paragraphsMaximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporally be non-compliant with certain requirements√A detailed explanation as to which, if any, of the requirements of Articles 24(9), (10) or (11) of Regulation (EU) 2017/2402 are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP securitisations it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party.N/ASTSAP25Article 26(2)Remaining weighted average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years√Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years.N/A STSAP26Article 26(3)Fully supported ABCP programme (sponsor support)√A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with Article 25(2) of Regulation (EU) 2017/2402.N/ASTSAP27Article 26(4)No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level√Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level.N/ASTSAP28Article 26(5)No call options√Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities’ final maturity at the discretion of the seller, sponsor or SSPE.N/ASTSAP29Article 26(6)Interest rate and currency risks at ABCP programme appropriately mitigated and documented.√A detailed explanation whether and how the interest rates and currency risks arising at ABCP programme level are appropriately mitigated as well as the measures used to mitigate such risks, including whether the SSPE enters into derivative contracts other than for the reasons set out by Article 26(6) of Regulation (EU) 2017/2402 and a description how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance.N/ASTSAP30Article 26(7)(a)Requirements for the ABCP programme documentation (responsibilities of the trustee to investors)√Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme’s documentation.N/ASTSAP31Article 26(7)(b)Requirements for the ABCP programme documentation (contractual obligations of the sponsor)√Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme’s documentation.N/A STSAP32Article 26(7)(c)Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer)√Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity.N/ASTSAP33Article 26(7)(d)Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank)√Confirmation that the requirements under Article 26(7)(d) of the Regulation (EU) 2017/2402 are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events.N/ASTSAP34Article 26(7)(e)Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment)√

Confirmation that the ABCP programme’s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(e) of Regulation (EU) 2017/2402. N/ASTSAP35Article 26(7)(f)Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry)√ Confirmation that the ABCP programme’s documentation contains provisions ensuring that the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(f) of Regulation (EU) 2017/2402. N/A STSAP36Article 26(8)Servicer expertise√ A detailed explanation of how the requirements of Article 26(8) of Regulation (EU) 2017/2402 are met, including the policies and procedures ensuring compliance with these requirements A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in Article 26(8) of Regulation (EU) 2017/2402 (as applicable) (servicer expertise, policies, procedures, and risk management). Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.