TSI Training

07 November 2023

TSI Training

Intensive Seminar Cash Securitisation (Auto ABS and RMBS)

The event
7. November 2023
8. November 2023

True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt

Participation fee
1.190 EUR für TSI Partner
1.495 EUR für Nichtpartner

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.


Tuesday, 07.11.2023

8.45 – 9.00


9.00 – 9.40

Welcome from TSI
Jan-Peter Hülbert

9.40 – 10.35

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
10.35 – 10.55

Coffee break

10.55 – 11.55

Market development auto securitisations  
Dr Benjamin Mohr, Creditreform 

  • Market overview 
  • Transaction development, types of transactions
  • Originators
  • Impact of pandemic on collateral pools 
11.55 – 12.55

Rating matters – explained using the example of an auto transaction  
Eberhard Hackel, Fitch Ratings  

  • Rating methodology  
  • Rating process and specific aspects of the sample transaction   
  • Transaction monitoring 
12.55 – 14.25


14.25 – 15.25

Structuring and cash flow modelling in auto securitisation 

  • 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
15.25 – 16.25

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

  • Legal requirements
  • Tax matters
16.25 – 16.45

Coffee break

16.45 – 17.45

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
ab 17.45

Get together

Wednesday, 08.11.2023

9.00 – 9.45

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
9.45 – 10.45

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
10.45 – 11.05

Coffee break

11.05 – 12.05

Overview of third-party certification of STS transactions
Marco Pause, 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
12.05 – 13.05

Accounting aspects that apply to the originators and investors  
Christian Bauer, 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
13.05 – 14.40


14.40 – 15.40

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

  • Retained RMBS from an Arranger perspective (case study German Lion) 
  • Funding RMBS from an Originator perspective (case study Orange Lion)  
  • Full-stack RMBS from an JLM perspective (case study EDML) 
15.40 – 16.00

Coffee break

16.00 – 16.35

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

  • 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 
16.35 - 16.45

Short summary and conclusion
Jan-Peter Hülbert

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.
Christian Bauer
Partner, Financial Services
Christian Bauer is an auditor at KPMG AG in the Financial Services department in Frankfurt am Main. As a partner, he heads Structured Finance and specialises in leasing, factoring and securitisation (synthetic and true sale securitisations). His experience covers audits at banks in Germany and abroad, leasing companies, factoring companies and special purpose vehicles for securitisations. He is a member of working groups at the Institute of Public Auditors in Germany (IDW) and at the Accounting Standards Committee of Germany (ASCG) and is the author of various publications on accounting issues.

Eberhard Hackel
Senior Director, EMEA Structured Finance
Fitch Ratings – a branch of Fitch Ratings Ireland Limited
Eberhard Hackel is a Senior Director in Fitch Ratings’ European structured finance group and head of the Frankfurt based structured finance team. The team is primarily dealing with European ABS, RMBS and CDO transactions with a regional focus on Germany, Switzerland, Austria, the Netherlands, Ireland, Eastern Europe and Scandinavia.

Before joining Fitch in 2008, Eberhard worked in the risk controlling department of Landesbank Hessen-Thüringen (Helaba). His responsibilities included measuring the Helaba group’s market risk and working with German regulators supervising Helaba’s internal market risk model.

Eberhard holds a diploma in business administration from the University of Göttingen and has earned the FRM certification of the Global Association of Risk Professionals.
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.
Jan-Peter Hülbert
Managing Director,
True Sale International GmbH
Jan-Peter Hülbert has been Managing Director of True Sale International GmbH since July 2018. He brings over 20 years of experience in the banking and capital markets business, including 16 years in securitisation on the banking side. Jan-Peter has been responsible for client transactions for banks, corporates and leasing companies in the public ABS, private securitisation and ABCP segments. He holds a degree in business administration from LMU Munich and is a member of the Supervisory Board of STS Verification International GmbH and of the Supervisory Board of European DataWarehouse GmbH.
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 Germany
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.
Marco Pause
STS Verification International GmbH
Marco Pause has been a Director of STS Verification International GmbH since December 2019. He joined the STS Verification International GmbH in September 2019 as an Associate Director. Mr. Pause has many years of securitisation experience which he gained at the auditing company Deloitte in the Credit & Securitisation Advisory Team in Düsseldorf since 2005.
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.


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