TSI Training

05 & 06 November 2024

TSI Training

Intensive Seminar Cash Securitisation (Auto ABS and RMBS)

The event
English
Dates
5. November 2024
08.45-17.30
6. November 2024
09.00-17.35
Onsite

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.

Agenda

Tuesday, 05.11.2024

8.45 – 9.00

Registration

9.00 – 9.50

Welcome from TSI
Jan-Peter Hülbert

9.50 – 10.50

Legal aspects – assignment, insolvency shielding, tax issues 
Sandra Wittinghofer, Baker McKenzie

  • Legal requirements for true sale structures 
  • Tax questions 
  • SWAP role and mechanisms 
  • “Securitization of lease receivables” 
10.50 – 11.10

Coffee break

11.10 – 12.00

Market development auto securitisations
Dr Benjamin Mohr, Creditreform Rating

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

 

12.00 – 13.00

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 
     
13.00 – 14.30

Lunch

14.30 – 15.30

Structuring and cash flow modelling in auto securitisatio
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  
15.30 – 16.30

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  

 

16.30 – 16.45

Coffee break

16.45 – 17.35

Overview of 3rd-party certification of STS transactions

Marco Pause, SVI

  • Regulatory aspects of STS notification and verification  
  • Introduction to SVI   
  • STS verification methodology and process  
  • STS verification in practice  
     
17.35

Get together

Wednesday, 06.11.2024

9.00 – 9.50

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 
     
9.50 – 10.45

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  
     
10.45 – 11.00

Coffee Break
 

11.00 – 12.00

Overview of Residential Mortgage Securitisation (RMBS)
Olga Kashkina / David Tuchenhagen, 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 
     
12.00 – 13.00

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 
     
13.00 – 14.30

Lunch
 

14.30 – 15.30

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
     
15.30 – 15.50

Coffee Break
 

15.50 – 16.50

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  

 

16.50 – 17.00

Short summary and conclusion 
Jan-Peter Hülbert

Christian
Christian Bauer
Partner, Financial Services
KPMG AG
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.

close
Eberhard
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.
close
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.
close
Olga
Olga Kashkina
Associate, Asset Securitisation
ING Bank
Olga Kashkina has joined the ING’s Asset Securitisation team in 2022, following 5 successful years at Fitch, where she focused on rating assessments for European ABS deals across asset classes (Auto/SME Lease/Consumer ABS, RMBS). At ING, Olga closely works with group treasury on arranging/placement of RMBS (incl. in green format), supports external clients as an arranger for public German ABS transactions, as well on the origination of private lending facilities.
close
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.
close
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.
close
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.
close
Marco
Marco Pause
Director,
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.
close
Christian
Dr Christian Thun
Chief Executive Officer (CEO),
European DataWarehouse GmbH
Dr Christian Thun is the Chief Executive Officer of European DataWarehouse (EDW), Europe’s first securitisation repository. He joined EDW in 2016 from Moody’s Analytics where he worked for 14 years in Dublin, London and Frankfurt in various senior positions, most recently as senior director with inter alia responsibility for the DACH region. In the early stage of his career, Mr. Thun was a team leader at the risk consulting firm Baetge & Partner (an OliverWyman affiliate) and also worked as a credit analyst in the structured finance division for Dresdner Bank in Frankfurt and London.
close
David
David Tuchenhagen
Director, Local Head Asset Securitisation Germany, Asset Securitisation Germany
ING Bank
David Tuchenhagen, CFA, joined ING in 2021 and is the Local Head of Asset Securitisation Germany. He focuses on the structuring of securitisations with a particular view on Auto Loans, Auto Leasing, Equipment Leasing and Unsecured Consumer Loans. Prior to joining ING, David Tuchenhagen spent eight years as Lead Analyst at S&P Global Ratings where he was responsible for securitisation rating analyses, primarily from the DACH region. Before that, he spent five years as a Credit Analyst for ABS Investments and as a Fixed Income Analyst in the Trading Floor Research department of Landesbank Berlin AG. David Tuchenhagen studied Business Administration at the Technical University of Freiberg and CEU Business School Budapest.
close
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.
close
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.
close
Sandra
Sandra Wittinghofer
Partner, Banking & Finance
Baker McKenzie Rechtsanwaltsgesellschaft mbH von Rechtsanwälten und Steuerberatern
Sandra Wittinghofer advises national and international banks and corporations in matters of finance and regulatory law. Her focus on structured finance and related banking regulatory matters covers work for arrangers, sponsors, originators, trustees and rating agencies. She has extensive experience in ABCP securitization transactions as well in term transactions, covering a wide range of asset classes. Since June 2019, she has been listed under "Best Lawyers" for Banking and Finance and Banking Regulatory law by Handelsblatt and is also ranked in Chambers Europe 2023 for Capital Markets - Structured Finance.
close
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.
close

Kontakt

Sie haben Fragen zu dieser Veranstaltung?

Gerne stehe ich Ihnen für Ihre Fragen zur Seite! 

Jennifer Stefano

Veranstaltungsmanagement