Prime Auto ABS and Prime RMBS have always been a showcase example of simple, transparent and standardised ABS transactions that have been very effective in performance and quality ever since their origins and through the financial crisis.
In the past ten years, our comprehensive and periodic ABS training events have contributed to creating a uniform understanding of quality among all parties involved – knowledge that will become even more important under the new securitisation rules.
Our two-day intensive seminar is a gateway into the world of securitisation that will give you excellent access to relevant themes from a legal, accounting, regulatory, economic and practical perspective, and from credit perspective from rating agencies and investors.
Training will focus on the following thematic focal areas:
- Overview of a specific, current securitisation transaction
- What matters in the credit process and what the STS regulation requires
- Legal aspects – assignment, insolvency protection, tax matters and how STS comes into play
- Overview of ECB approval
- Regulatory framework under the new Securitisation Regulation
- Accounting aspects
- The work of rating agencies
- Cash flow modelling and transaction evaluation
- Investors’ perspective
The thematic focal areas will be explored on the basis of a current transaction.
Agenda
Wednesday, 11.11.2026
Registration
Welcome and Overview Securitisations from TSI
Jan-Peter Hülbert, TSI
Legal aspects – Assignment, Insolvency Protection, Tax Issues
Sebastian Oebels, Hogan Lovells Cadwalader
- Legal requirements for true sale structures
- Tax questions
- SWAP role and mechanisms
- “Securitisation of lease receivables”
Coffee break
Overview of a Specific Securitisation Transaction in the Auto ABS Segment
Robert Westermann, Santander
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
- Marketing
Regulatory Aspects of Securitisation – An Overview
Ulf Kreppel, Jones Day
- The Securitisation Regulation as a central regulatory framework
- Scope of application, definitions and parties involved
- Risk retention and due diligence obligations
- Transparency requirements
- STS securitisations
- Recognition of securitisations as part of the liquidity coverage ratio
- Principles of effective risk transfer
- The CRR capital adequacy approaches for investors and other transaction participants
Lunch
Structuring and Cash Flow Modelling Using the Example of a Specific Auto Securitisation
Tom Oelrich, DZ Bank
- Objective and areas of application
- Significance of the cash flows model in STS regulation
- Levels of analysis for ABS transactions - pool level and bond level
- Significance of prepayments, defaults, delinquencies, granularity etc. for cash flow modelling
- Modelling examples
Coffee break
Accounting aspects for the Originator and Investor
Thomas Reinicke, BDO
- Fundamentals of derecognition and recognition of consolidation and assessment in accounting under the German Commercial Code and in IFRS
- Specific accounting aspects of a particular transaction
Transparency in the European ABS market
Dr Christian Thun, European DataWarehouse
- Disclosure obligations according to Art. 7 SecReg
- EDW - from data repository to securitisation repository
- Current discussion about further disclosure
- Advantages of data in the current market environment
Get Together
Thursday, 12.11.2026
Eurosystem and Securitisation
N.N.
- Collateral framework of the Eurosystem
- Eligibility criteria for ABS
- Transparency requirements of the Eurosystem
- Haircut and assessment aspects
- Most recent monetary policy decisions
Coffee break
Overview of Residential Mortgage Securitisation (RMBS)
Sergej Seiz, ING
- RMBS from the originator's perspective (Orange Lion case study)
- Structuring and placement of RMBS from an arranger's perspective (EDML case study)
- Special features of RMBS and differences to Auto ABS
Overview of Third-Party Verification of STS Transactions
Salah Maklada, SVI
- Regulatory Fundamentals
- Verification Process
- Practical Experiences
Lunch
Rating matters – Explained Using an Auto Transaction
N.N.
- Rating methodology
- Rating process and specific aspects of the sample transaction
- Transaction monitoring
ABS from an Investor’s Perspective: What Do Investors Need for Assessment?
Bernhard Zahel, DWS Investment
- Analysis of offering circulars, rating reports, deal review
- Risk clusters, identification of risk drivers
- Multi-dimensional due diligence, analysis of fundamentals
- Transparency requirements and reporting standards
- Relevance of collecting additional information, due diligence
- Applied risk management instruments and strategies
- Assessment and forecast risks in modelling
- Where STS comes into play for the investor
Summary and Closing Remarks
Jan-Peter Hülbert, TSI
Sebastian Dietzsch holds a Master’s degree in Business Administration from the Technische Universität Berlin, a Master of Science degree in Finance from Lunds Universitet, Sweden and is a certified Financial Risk Manager (Global Association of Risk Professionals, GARP).
With more than 20 years of product experience, Mr. Kreppel has extensive expertise in the structuring and execution of structured finance transactions. This includes public and private securitizations, asset-based lending and covered bond transactions, structured as stand-alone term transactions as well as asset-backed notes programs. Mr. Kreppel advises on a variety of asset classes, such as auto loans and leases, consumer credits, trade receivables and real estate loans. He also acts as program counsel for several European-based asset-backed commercial paper programs.
Mr. Kreppel has advised on a number of innovative and market-first transactions, including the purely blockchain-based issuance and settlement of asset-backed commercial paper. In addition, he regularly advises on regulatory aspects in financing transactions, e.g. on so-called "simple, transparent and standardized" (STS) securitizations as well as questions regarding the European Securitization Regulation. Mr. Kreppel has coauthored several articles on the legal risks and structural solutions for securitizations.
Since entering into the securitisation business, he has structured a large number of customer transactions and has successfully accompanied numerous transactions as placement agent and swap counterparty. Mr. Oelrich has graduated from Frankfurt School of Finance & Management and holds a degree in Business Administration.
In his position as Senior Manager he was primarily responsible for the execution of numerous due diligences at German automotive and consumer banks as well as banks with mortgage portfolios in the context of securitisation and portfolio transactions. In the context of a multi-year project Mr. Pause directed the organisation and implementation of the project management of a state guarantee for a German Landesbank in connection with credit and solvency checks of individual exposures in the Shipping, Corporate Clients and Aviation segments.
Mr. Pause holds a degree in Business Administration from the Georg-August-University in Göttingen.
After graduating with a masters degree in economics (Diplom Volkswirt) at University of Bonn, Bernhard started his career in 2001 as a workout analyst for corporate credits with Deutsche Bank AG. From there he joined DWS Investments GmbH in 2004 to become a portfolio manager where he stayed with different responsibilities in various asset classes in fixed income until today.