TSI Training

22. February 2023

TSI Training

Intensive Seminar Cash Securitisation (Auto ABS and RMBS)

The event
22. February 2023

True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt 

Participation fee
1.190 EUR for TSI Partner
1.495 EUR for all other participants

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.


Wednesday, 22.02.2023

8.45 – 9.00


9.00 – 9.45


9.45 – 10.45

Market development auto securitisations  
Dr Benjamin Mohr, Creditreform 

  • Market overview 
  • Transaction development, types of transactions
  • Originators
  • Impact of pandemic on collateral pools 
10.45 – 11.00

Coffee break

11.00 – 12.00

Auto ABS Securitisation – Originator’s perspective
Tomasz Osipowicz, Santander Consumer Bank

  • Underlying, credit granting and processing
  • Portfolio selection
  • Transaction structure
  • Project time frame
  • Reporting
  • What to be mindful of under STS
  • Marketing
12.00 – 13.00

Structuring and cash flow modelling in auto securitisation 
Tom Oelrich, DZ Bank

  • Objective and areas of application  
  • Significance of the cash flow model under the STS Regulation 
  • Analysis levels of ABS transactions – pool level and security level
  • Significance of prepayments, defaults, delinquencies, granularity etc. for cash flow modelling 
  • Modelling examples
13.00 – 14.10


14.10 – 15.10

Legal aspects of German and international true sale securitisation transactions – assignment, insolvency protection, tax
Dr Arne Klüwer, Dentons 

  • Legal requirements
  • Tax matters
15.10 – 16.10

European DataWarehouse
Basak Aktay, European DataWarehouse

  • EDW – from a Data Repository to a Securitisation Repository
  • Disclosure obligations according to Art. 7 SecReg
  • Current discussion about increased disclosure requirements
  • Benefits of transparency in the current market environment
16.10 – 16.20

Coffee break

16.20 – 17.10

Overview of third-party certification of STS transactions
Michael Osswald, SVI

  • Regulatory aspects of STS notification and verification
  • Introduction to SVI and corporate governance
  • STS verification methodology and process
  • STS verification in practice
  • ESG and securitisation
17.10 – 18.00

Transparency and Disclosure in Securitisation and Structured Finance 
Stefan Rolf, IQ-EQ

  • Overview of reporting and disclosure requirements (investor reporting, COREP, Art. 7 SECR, Loan Level Data, ECB notification, SRT notification) 
  • Disclosure to financing banks and investors vs. market transparency
  • Requirements from the investor's point of view
  • Possibilities for efficient implementation
  • Investor perspective 
ab 18.00 Uhr

Get together

Thursday, 23.02.2023

9.00 – 10.00

Regulatory aspects that apply to investors and originators
Dr Dennis Heuer / Claire-Marie Mallad, White & Case

  • What is a securitisation? The concept under supervisory law
  • Core element of the new Securitisation Regulation
  • Fundamentals of risk transfer and RWA calculation
  • Risk retention for securitisations
  • Transparency requirements
  • Specific STS requirements for the originator, portfolio, transaction structure and transaction parties
  • Significance of STS-ABS in other regulations: Liquidity Coverage Ratio, Solvency II
10.00 – 10.20

Coffee break

10.20 – 11.20

Overview of Residential Mortgage Securitisation (RMBS) 
Kevin Kroke, ING Bank 

  • Funding RMBS from an originator perspective (case study Orange Lion) 
  • Structuring and placement of a capital relief RMBS from an Arranger perspective (case study EDML)  
11.20 – 12.30

Accounting aspects that apply to the originators and investors  
Tino Gallert, KPMG

  • 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
12.30 – 14.00


14.00 – 15.00

Rating matters – explained using the example of an auto transaction  
Steven Becker/Johann Grieneisen, Moodys 

  • Rating methodology  
  • Transaction supervision and rating development  
  • Specific rating aspects of a particular transaction 
15.00 – 16.00

Eurosystem and securitisations
Sven Lissek, Deutsche Bundesbank

  • Collateral framework of the Eurosystem 
  • Eligibility criteria for ABS
  • Transparency requirements of the Eurosystem under the new Securitisation Regulation
  • Haircut and assessment aspects
  • Purchase programmes in the reinvestment phase, most recent monetary policy decisions
16.00 – 16.20

Coffee break

16.20 – 17.20

ABS from an investor’s point of view: What do investors need to be able to assess securitisation transactions?    
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 
17.20 - 17.30

Short summary and conclusion

Basak Aktay
Head of Sales and Customer Relations,
European DataWarehouse GmbH
Basak is European DataWarehouse's (EDW’s) Head of Sales and Customer Relations. Prior to joining EDW in 2013, she worked at DZ Bank as a product manager with a focus on German capital markets. In addition to her current role at EDW, Basak also teaches at the Frankfurt School of Finance & Management. She has also held various management roles in technology and ecommerce departments at Commerzbank and Isnet and has an MBA from Manchester Business School as well as a MSc degree in Computer Engineering from Universität Duisburg-Essen.
Steven Becker
Moody's Deutschland GmbH
Steven Becker is a Vice President – Senior Analyst at Moody's Structured Finance Group
based in Frankfurt am Main. Since his appointment in October 2009, he has been
responsible for the analysis of various new and existing ABS and
RMBS transactions.
Steven has a BSc in International Finance and a BA in Financial Services.
Tino Gallert
Authorized signatory, auditor, Audit Financial Services
Tino Gallert is a German Public Auditor and works in the Financial Services department of KPMG AG Wirtschaftsprüfungsgesellschaft in Frankfurt/Main. As a Senior Manager he provides assurance services as well as accounting related consulting services in the structured finance area (esp. factoring, ABS-transactions, supply chain finance and leasing). He is very experienced in the audit of statutory and group financial statements under German GAAP and IFRS of banks, leasing and factoring companies, commercial clients as well as real estate companies. Tino Gallert studied business administration at the University of Bayreuth and is an author of various accounting related publications.
Johann Grieneisen
Vice President / Senior Analyst, Structure Finance Group,
Moody's Deutschland GmbH
Johann is a Vice President – Senior Analyst in the structured finance group of Moody’s in Frankfurt rating ABS consumer transactions. He has been working at Moody’s for 5 years including 4 years in the Sao Paulo office where he was responsible for primary and surveillance of the entire range of SF transactions originated out of Brazil and the Americas.
Prior to joining Moody’s, Johann worked 9 years at Deutsche Bank in a variety of roles, including 4 years as an ABS Banker in the securitized products division in London with a focus on non-standard asset classes including insurance linked securitizations, student loans and nonperforming loans.
Prior to joining securitized products division, he worked 5 years in the groups credit risk management department covering western European financial institutions, corporates, as well as risk managing the European ABCP conduits sponsored by Deutsche. He also was responsible for risk managing structured finance transactions originated out of Asia, and held short secondment roles in Australia and Singapore.
Johann holds a BS in Electrical Engineering from a Brazilian Federal University as well as a Master of Science in Management from Purdue University. He is a CFA Charterholder.
Dr Dennis Heuer
Partner, Capital Markets – Structured Finance
White & Case LLP
Dennis Heuer is partner within the firm's global Capital Markets practice co-heading the EMEA Structured Finance Group as well as core member of the firm-wide ESG and Financial Institutions Industry Groups. Dennis focuses on Structured Finance (securitisations, structured credit products & derivatives) and FIG solutions and supports credit institutions and insurance companies, institutional investors and corporates in financing, capital relief and risk transfer transactions. Furthermore, Dennis and his team are rapidly growing expertise and experience in ESG-related advisory mandates as well as for clients in the fast-growth sector.
Dr Arne Klüwer
Partner, Head of Banking & Finance Germany and Structured Finance Europe, Banking & Finance
Dentons Europe LLP
Dr Arne Klüwer works as a Partner for Dentons. He heads the German banking and finance practice and the structured finance practice in continental Europe. He specialises in structured finance and restructurings with a special focus on securitisation and factoring, asset-based lending, innovative financings as well as loan trading transactions. This includes wide-ranging experience in the securitisation of receivables originating from all traditional as well as more exotic asset classes, including trade receivables, secured and unsecured loans with various maturity profiles, lease receivables, hereditary building rights, consumer loans and telephone receivables. A presently especially relevant experience is his experience acting for an arranger and investor in the context of the structuring over the workout to the insolvency and the effects on a transaction for the securitisation of solar lease receivables originating from long-rental contracts over privately operated solar power plant installations in transactions with granular portfolios across all of Germany.

In addition, he has a strong focus on advising lenders and creditors in workout situations and in the context of restructuring distressed debt. His doctorate focusses on a comparative legal analysis of the legal framework for securitisations in the USA and in Germany and is one of the first academic writings on the subject of securitisation in Germany.
Kevin Kroke
Director, Asset Securitisation, Asset Securitisation
ING Bank - a branch of ING-DiBa AG
Kevin Kroke is Director in the Frankfurt office of ING’s Asset Securitisation team. He joined ING in 2021, focusing on the origination and structuring of asset-backed financing as well as balance sheet management solutions. Prior to ING, Kevin was 13 years with Deutsche Bank where he held roles in Treasury Markets & Investments, Risk- & Portfolio Management and Commercial Lending, including the structuring of securitisation and covered bonds transactions. He holds a Master’s degree in Finance from Goethe University where he focused on Financial Technology.
Sven Lissek
Administrator, Notenbankfähige Sicherheiten
Deutsche Bundesbank
Sven Lissek has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2020. This involves the operational implementation of the collateral framework and the asset-backed securities purchase programme (ABSPP) as well as strategic analyses in regards to the monetary policy framework. Apart from assessing the eligibility as collateral of German ABS and contributing to the ABSPP due diligence procedures for the Eurosystem, he is conducting analytical work concerning the implementation of monetary policy with a focus on big data.
Claire-Marie Mallad
Local Partner,
White & Case LLP
Claire-Marie Mallad is a local partner in the firm's Capital Markets group in Frankfurt practicing in the areas of Debt Capital Markets, Structured Finance and Bank Regulatory laws. Claire-Marie represents financial institutions and investors on a wide range of capital markets transactions with a particular focus on structured finance products, including asset-backed and risk transfer transactions for the purposes of managing a bank’s exposure to credit risk. Furthermore she advises on regulatory capital issuances and advises issuers on the establishment and update of refinancing platforms, including EMTN and CP programmes including advice on regulatory laws and their implications on bank issuers and their creditors.
Dr Benjamin Mohr
Member of the board,
Creditreform Rating AG
Benjamin Mohr is a member of the executive board of Creditreform Rating AG. He is responsible for Business Development and Relationship Management, as well as the newly established division of ESG Ratings. Previously, Dr. Mohr held positions at American Express and various roles within the Creditreform Group, most recently as Head of Public Finance and Economic Research at Creditreform Rating. Holding a diploma in economics, he studied at the University of Frankfurt and earned a doctoral degree in economics from FernUniversität in Hagen. During his tenure as a research assistant, he authored several academic articles and a book on institutional arrangements in banking regulation to ensure financial stability.
Tom Oelrich
Senior Structurer, ABS Term Transactions
Tom Oelrich has been working for DZ BANK AG in Frankfurt am Main in the securitisation department since 2003. As a senior structurer, he has been advising DZ BANK’s clients in all aspects relating to term-ABS capital market transactions since 2015 with a focus on auto-ABS, consumer and SME loans as well as leasing transactions. Previously, Mr. Oelrich arranged ABCP transactions for corporate clients of DZ BANK.
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.
Tomasz Osipowicz
Head of Capital Markets, Capital Markets
Santander Consumer Bank AG
Tomasz Osipowicz is heading the capital markets group at Santander Consumer Bank AG (“SCB”), based in Monchengladbach. He has joined the bank on 1st May 2019 and is responsible for all SCB capital markets activities. Prior to joining the bank Tomasz was in charge of Public Securitisations in Europe for Opel Vauxhall Finance formerly known as General Motors Financial (“GM Financial”). During his eight years at GM Financial he has gained experience in public and private transactions across the different jurisdictions. Before joining GM Financial Tomasz held various positions at JP Morgan Chase and BNY Mellon Corporate Trust focused on collateral debt obligations. He holds Master’s Degree in Economics from the University of Gdansk and a Postgra-duate Diploma in Financial Services, Securitisation from the Dublin Institute of Technology.
Michael Osswald
Managing Director,
STS Verification International GmbH
Michael Osswald is the Managing Director of STS Verification International GmbH (“SVI”), a third party verifier providing STS verifications of ABCP, non-ABCP and synthetic securitisations under the European securitisation regulation. He joined SVI in February 2019 and oversees all verification and related corporate activities of SVI across Europe. Michael has extensive securitisation experience both as investor and the origination and structuring of term ABS, ABCP and synthetic transactions, which he gained from 1998 at Landesbank Baden-Württemberg in Stuttgart and London and subsequently at ABN AMRO Bank in Frankfurt as part of the European ABS team. In 2009, he moved to the transportation finance division of KfW IPEX-Bank and was, prior to joining SVI, Senior Credit Officer at Erste Abwicklungsanstalt in Düsseldorf, where he was responsible for the asset securitisation, infrastructure, aviation and shipping sub-portfolios. Michael holds a degree in business administration from the Julius Maximilian University of Würzburg.
Stefan Rolf
Global Head of Securitisation and Private Debt,
IQ-EQ Netherlands N.V.
Stefan Rolf is an internationally experienced senior executive in finance and banking with a strong global network. He has a proven track record of building and transforming businesses and driving change. Stefan has deep expertise in corporate treasury, debt capital markets, securitization, and private debt, as well as a focus on sustainable and impact financing solutions. Before founding ROLF Advisory GmbH, Stefan has held various international leadership roles, including Global Head of Securitisation and Private Debt at IQ-EQ, Global Head of Balance Sheet Distribution and Securitisation at ING Wholesale Bank as well as Head of Securitisation and Treasurer of the Asia-Pacific region at Volkswagen Financial Services. Stefan has worked on many ground-breaking and innovative transactions in the global securitisation and structured finance markets, such as first time transactions in China, Turkey and Brazil. He has also done deals across a broad range of asset classes such as auto, consumer lending, SME loans, equipment, infrastructure and sustainability improvement loans and even more esoteric ones. Stefan is a frequent speaker at structured finance/capital markets events in Europe, the US and the Asia- Pacific region, and has worked closely with the European Central Bank, national central banks and various supervisory institutions. He holds an MBA in Economics and is fluent in German and English, with intermediate proficiency in French and Spanish. Stefan is married and has one daughter.
Bernhard Zahel
Director, Portfolio Management Fixed Income EMEA
DWS Investment GmbH
Bernhard Zahel is a Senior Portfolio Manager with DWS Investment GmbH in Frankfurt am Main, Germany. He is focusing on investments into structured products like Asset Backed Securities as well as illiquid investments such as loans guaranteed by export credit agencies. In addition to the management of portfolios his role includes the coverage of certain markets in the respective sectors.
In 2014 and 2015 he was responsible within Deutsche Asset Management for the advisory of the European Central Bank within the ABS Purchase program.
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 clients 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 until today.


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