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.

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.