TSI Training

16-17 & 22-23 April 2024

TSI Training

Intensive Seminar Cash Securitisation (Auto ABS and RMBS)  

The event
English
Dates
16. April 2024
13.55-18.00
17. April 2024
13.55-17.10
22. April 2024
13.55-17.10
23. April 2024
13.55-17.10
Online

Webinar-Plattform
Microsoft Teams 

Participation fee
1.100 EUR for TSI Partner
1.350 EUR for all other participants

Early-bird fee
990 EUR for TSI Partner
1.215 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. 

This time we have split our tried and tested two-day intensive seminar into four afternoons. We would like to give you the opportunity to gain access to the relevant topics of the securitisation world from a legal, accounting, regulatory, economic and practical as well as credit process-related perspective despite a full calendar. 

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 
  • Residential mortgage securitisation (RMBS) 
  • Investors’ perspective 

Agenda

Tuesday, 16.04.2024

13.55 – 14.00

Dial-in

14.00 – 14.45

Welcome, overview and introduction by TSI 
Jan-Peter Hülbert, TSI

14.45 – 15.45

Legal aspects of true sale securitisation transactions – assignment, insolvency protection, tax
Sebastian Oebels, Hogan Lovells 

  • Legal requirements for true sale structures 
  • Tax issues 
15.45 – 15.55

Break

15.55 – 17.00

Auto ABS Securitisation – Originator’s perspective
Martin J. Williamson, VWFS 

  • Underlying, credit granting and processing 
  • Portfolio selection 
  • Transaction structure 
  • Project time frame 
  • Reporting 
  • What to be mindful of under STS 
  • Marketing 
17:00 – 18:00

Regulatory aspects of securitisations - an overview
Dr Oliver Kronat, Clifford Chance 

  • 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 

 

Wednesday, 17.04.2024

13.55 – 14.00

Dial-in 

14.00 – 15.00

Structuring and cash flow modelling in 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 
15.00 – 16.15

Overview of third-party certification of STS transactions
Salah Maklada, SVI

  • Regulatory aspects of STS notification and verification 
  • Introduction to SVI  
  • STS verification methodology and process 
  • STS verification in practice 
16:00 – 16:10

Break

16.10 – 17.10 Uhr

European DataWarehouse 
N.N.

  • 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 

Monday, 22.04.2024

13.55 – 14.00

Dial-in 

14.00 – 15.00

Eurosystem and securitisations 
Philipp Wallaschek, 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 
15.00 – 16.00

Overview of Residential Mortgage Securitisation (RMBS) 
Olga Kashkina, ING Bank 

  •  Green public RMBS from an Arranger perspective (case study Green Lion)   
  • Retained RMBS from an Originator perspective (case study German Lion)  
  • Full-stack RMBS from an JLM perspective (case study EDML) 
16.00 – 16.10

Break

16.10 – 17.10

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

  • 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 

Tuesday, 23.04.2024

13.55 – 14.00

Dial-in 

14.00 – 15.00

Rating matters – explained using the example of an auto transaction 
Michal Kühnel, Moody´s   

  • Rating methodology   
  • Rating process and specific aspects of the sample transaction    
  • Transaction monitoring 
15.00 – 16.00

Market development auto securitisations 
Dr Benjamin Mohr, Creditreform Rating  

  • Market overview  
  • Transaction development, types of transactions 
  • Originators 
  • Impact of pandemic on collateral pools 
16.00 – 16.10

Break

16.10 – 17.10

Accounting aspects that apply to the originators and investors
N.N.  

  • Principles of the balance sheet disposal 
  • Consolidation, valuation 
17.10 – 17.20

Short summary and conclusion 
Jan-Peter Hülbert 

Jan-Peter
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.
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Olga Kashkina
Associate, Asset Securitisation, Asset Securitisation
ING Bank - a branch of ING-DiBa AG
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Oliver
Dr Oliver Kronat
Partner, Global Financial Markets
Clifford Chance Partnerschaft mit beschränkter Berufshaftung
Dr Oliver Kronat is Partner in the Frankfurt office of Clifford Chance. Oliver specialises in advising on German and international structured finance transactions. His experience includes the securitisation of trade, consumer, leasing and loan receivables and the establishment of ABCP Conduit Programmes. as well as Fintech, Speciality Finance and Fund-Linked Note transactions. He also advises on the restructuring of securitisation and other structured finance transactions as well as on securitisations by insolvent companies.
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Michal
Michal Kühnel
Assistant Vice President, Structure Finance Group,
Moody's Analytics
Michal Kühnel ist ein AVP-Analyst im Structured Finance Bereich bei Moody’s, mit Sitz in Frankfurt am Main. Seit 2015 beschäftigt er sich mit der Kreditanalyse der Europäischen ABS und RMBS Transaktionen, wobei er über die Jahre Erfahrungen sowohl in Primary als auch in Surveillance Teams gesammelt hat.

Vor Moody’s arbeitete Michal bei der Europäischen Zentralbank, wo er für die Bewertung von ABS und RMBS Tranchen im Rahmen des ABS Purchase Programms zuständig war.

Michal verfügt über einen Bachelorabschluss der Karlsuniversität in Prag in der Volkswirtschaftslehre und einen Masterabschluss der Frankfurter Goethe Universität in Finanzen.
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Salah
Salah Maklada
Director,
STS Verification International GmbH
Salah Maklada
Director

Salah has been a Director of STS Verification International GmbH since March 2023. He joined the STS Verification International GmbH team in July 2021, bringing in 10 years of securitisation experience gained through his work in the Credit and Securitisation team of Deloitte.

His responsibilities at Deloitte covered trustee and verification services for a wide range of clients in Germany (originators, investors and sponsors) in various synthetic and true sale transactions.

As a Senior Manager at Deloitte he was mainly responsible, as the lead manager, for the performance of agreed-upon procedures and credit file due diligences at banks in the context of securitisation and portfolio transactions for consumer, auto and mortgage loans. Salah was also responsible for the performance of several asset audits at medium-sized businesses with regards to trade receivables securitised in ABCP transactions.
Salah holds a degree (Diploma) in Business Administration from the University of Cologne.

Tel: +49 (0)69 8740 344-45
E-mail: salah.maklada@svi-gmbh.com

CV

Work experience

since
March 2023 Director, STS Verification International GmbH, Frankfurt am Main

2021 - 2023 Associate Director, STS Verification International GmbH, Frankfurt am Main

2011 – 2021 Senior Manager (2020-2021) Credit & Securitisation Advisory, Deloitte Wirtschaftsprüfungsgesellschaft GmbH, Düsseldorf

2015 – 2016 Assistant Manager (Secondment) Banking & Capital Markets, Deloitte LLP, London (UK)

Education

2005 – 2011 Master of Science in Business Management (Diploma degree program): Fields of Specialisation: Banking, Finance and Economics. Master Thesis: “The instruments of credit risk transfer in cooperative financial institutions in Germany”; University of Cologne

1997 – 2001 High school in Haifa, Israel. Degree: Israeli high school certificate

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Benjamin
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.
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Sebastian
Sebastian Oebels
Counsel, International Dept Capital Markets,
Hogan Lovells International LLP
Sebastian Oebels advises national and international companies on German and international securitisations and other structured finance transactions. He focuses on all legal aspects of debt capital markets products including asset backed securitisations (STS and non-STS) as well as debt issuance programmes. In particular, Sebastian has gathered wide experience in advising banks, issuers and originators on auto loans/leases and trade receivables securitisations. Sebastian studied law at the University of Frankfurt am Main and works in the structured finance practice since 2015.
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Tom
Tom Oelrich
Senior Structurer, ABS Term Transactions
DZ BANK AG
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.
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Philipp
Philipp Wallaschek
,
Deutsche Bundesbank
Philipp Wallaschek arbeitet seit 2021 im Zentralbereich Märkte der Deutschen Bundesbank. Seine Hauptgruppe befasst sich mit der Umsetzung des Sicherheitenrahmens des Eurosystems in Deutschland. Er ist für die Notenbankfähigkeitsprüfung und das Monitoring in Deutschland gelisteter ABS sowie die Due Diligence deutscher ABSPP-Transaktionen zuständig. Darüber hinaus befasst er sich mit Grundsatzfragen des Sicherheitenrahmens, der Einreichbarkeit marktfähiger und nicht-marktfähiger Sicherheiten zur Besicherung geldpolitischer Operationen mit dem Eurosystem und der Digitalisierung von Vermögenswerten.
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Martin J.
Martin J. Williamson
Structurer, Treasury Department
Volkswagen Bank GmbH
Martin Williamson has been a member of the ABS Structuring team of Volkswagen Bank GmbH since 2017. In this role, he coordinates Investor Relation topics and has overseen transactions throughout Europe and the Asia Pacific Region. Volkswagen Financial Services and its subsidiaries are one of the largest Auto ABS issuers in the world with a global outstanding volume of approximately EUR 50.0bn. Martin holds a Master’s degree in Money and Finance from the Goethe University of Frankfurt.
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Bernhard
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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Contact

Do you have any questions about this event?

I would be happy to answer your questions!

Jennifer Stefano

Event management