The table that follows contains the STS criteria against which PCS will measure a securitisation when compiling an STS Report. The criteria are those set out in the STS Regulation for non-ABCP securitisation. They appear in Articles 20, 21 and 22 of the STS Regulation. In addition, notwithstanding the somewhat ambiguous wording of Article 22.5 of the Regulation, it is the view of many market participants that this paragraph effectively imports, as additional STS criteria, all the general disclosure requirements of Article 7 of the STS Regulation. Whether this is the correct interpretation of Article 22.5, PCS has chosen, when compiling an STS Report, to treat the Article 7 requirements as STS criteria since this is the most conservative approach. This should not, however, be taken to mean that PCS agrees with this conservative interpretation of Article 22.5. In compiling an STS Report, PCS has taken the language of the Regulation but has broken down the relevant articles, paragraphs and subparagraph into separate queries each subject to a specific and singular answer. In doing so, PCS has not changed in any way the legislative text but has sought to make the task of measuring compliance with the overall STS criteria capable of a more straightforward, binary process. In doing so, PCS has used its own extensive experience, through the PCS Labels, in verifying in a straightforward way whether any transaction meets a set of complex criteria. PCS recognises that it is entirely possible to choose another and equally legitimate way of breaking down the legislative text into individual questions. However, the key fact is that this will not result in any different conclusion as to the STS status of any transaction. It would only modify the ease with which the question is answered. In the table below, the left-hand column contains the legislative text as it appears in the STS Regulation. In the right-hand column appear the individual questions resulting from the breakdown of that legislative text which are the basis for the checklist through which PCS compiles an STS Report. The additional CRR Criteria are not broken down into separate questions as this was felt to be unnecessary. To understand how PCS has elected to interpret these STS Criteria, we refer you to the STS Interpretation document that can be found on our website: www.pcsmarket.org
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