TSI Training

12 & 13 November 2024

TSI Training

Intensive Seminar Cash Securitisation (Auto ABS and RMBS)

The event
12. November 2024
13. November 2024

True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt

Participation fee
1.190 EUR für TSI Partner
1.495 EUR für Nichtpartner

Participation fee early bird
1.070 EUR für TSI Partner
1.345 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, 12.11.2024

8.45 – 9.00


9.00 – 9.30

Welcome from TSI
Jan-Peter Hülbert

9.30 – 10.20

Introduction and Overview
Stefan Rolf, Rolf Advisory 

10.20 – 10.40

Coffee break

10.40 – 11.40

Legal aspects – assignment, insolvency shielding, tax issues

  • Legal requirements for true sale structures 
  • Tax questions 
  • SWAP role and mechanisms 
  • “Securitization of lease receivables” 
11.40 – 12.40

Auto ABS Securitisation – Originator’s perspective
Kais Martin Khader / 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 
12.40 – 14.10


14.10 – 15.10

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  
15.10 – 16.10

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  
16.10 – 16.30

Coffee break

16.30 – 17.30

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  

Get together

Wednesday, 13.11.2024

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

European DataWarehouse
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


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 – 15.45

Coffee Break

15.45 – 16.35

Market development auto securitisations
Dr. Benjamin Mohr/ Fabienne Riefer, Creditreform Rating 

  • Market overview   
  • Transaction development, types of transactions  
  • Originators  
  • Impact of pandemic on collateral pools  
16.35 – 17.25

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  
17.25 - 17.35

Short summary and conclusion
Jan-Peter Hülbert

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.
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.
Olga Kashkina
Associate, Asset Securitisation
ING Bank - a branch of ING-DiBa AG
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.
Kais Martin
Kais Martin Khader
Senior Manager, Asset Backed Securitisation
Volkswagen Bank GmbH
Kais Khader has been leading the ABS Structuring team at Volkswagen Bank GmbH in Braunschweig since 2019. In this role, he currently oversees the global ABS issuance activities of all Volkswagen Financial Services subsidiaries (excluding USA and Canada). 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. With over ten years of experience in the securitization industry, he has fulfilled a number of roles within the ABS Structuring team and has been instrumental in developing investor relations with key partners in the primary markets. Since joining the team in 2012, he has helped to further cultivate the VCL and Driver brands into a globally recognized standard and has promoted ABS as a strategic refinancing instrument within the VW Group.
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.
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.
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.
Fabienne Riefer
Creditreform Rating AG
Fabienne Riefer ist Senior-Analystin Public Finance bei der Creditreform Rating AG in Neuss. Schwerpunkte ihrer Tätigkeit sind derzeit die Analyse volkswirtschaftlicher Entwicklungen in europäischen Ländern sowie der Finanzierungsmärkte. In ihrer beruflichen Laufbahn hat die Diplom-Volkswirtin (Universität des Saarlandes) u.a. Analystenpositionen im Finanzsektor Deutschlands und Großbritanniens bekleidet.
Stefan Rolf
Founder & CEO,
ROLF Advisory GmbH
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.
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.
David Tuchenhagen
Director, Local Head Asset Securitisation Germany, Asset Securitisation Germany
ING Bank - a branch of ING-DiBa AG
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.
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.
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.


Sie haben Fragen zu dieser Veranstaltung?

Gerne stehe ich Ihnen für Ihre Fragen zur Seite! 

Jennifer Stefano