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
Wednesday, 17.09.2025
Registration
Welcome, Introduction and Overview
Jan-Peter Hülbert, True Sale International
- Different types of securitisations
- Purpose for issuers and investors
- Market overview
Coffee break
Legal aspects – true sale, assignment, insolvency and tax issues
Pietro Bellone, A&O Shearman
- Legal requirements for true sale structures
- Limited recourse and non petition
- Tax issues
- Special legal requirement for lease receivables
Auto ABS Securitisation – Originator’s perspective
Marco Bosso, CA Auto Bank
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
Lunch
Regulatory aspects of securitisations
Giuseppina Pagano, Jones Day
- Securitisation Regulation as a central regulatory framework
- Scope of application, definitions and parties involved
- Risk retention and due diligence obligations
- Transparency requirements
- Recognition of securitisations as part of the liquidity coverage ratio
Structuring and cash flow modelling in auto securitisation
Paolo Stefano Sala, UniCredit
- 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
- Grafik 1, BildSignificance of prepayments, defaults, delinquencies, granularity etc. for cash flow modelling
- Modelling examples
Coffee break
Overview of 3rd-party certification of STS transactions
Carlo Barbarisi, STS Verification International
- Regulatory aspects of STS notification and verification
- Introduction to SVI
- STS verification methodology and process
STS verification in practice
Get together
Thursday, 18.09.2025
Eurosystem and securitisations
N.N.
- 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
Transparency and the role of Securitisation Repositories
Gianluca Ginelli, 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
Coffee Break
Overview of Lease Securitisations
Enzo Morgese, Crédit Agricole CIB & Fabio Maria Guidi, Jones Day
- Lease receivables securitisation from the originator's perspective (Orange Lion case study)
- Structuring and placement from an arranger's perspective
- Special features of lease receivables and differences to Auto ABS
- Securitisations of lease receivables with “patrimonio destinato” under Article 7 of the Italian securitisation law
Economic and Prudential aspects of securitizations
Gabriele Guggiola, Pricewaterhousecoopers Italia SRL
- Economic perspective: Regulation and prudential requirements
- Securitization best practices
- Synthetic securitization: peculiarities and impacts
Lunch
Rating matters – explained with example of Auto ABS transaction
Benedetta Avesani, S&P Global
- Rating methodology
- Rating process and specific aspects of Auto and Leasing ABS
- Performance and Transaction monitoring
Coffee Break
Securitisation Services
Luigi Bussi, Banca FinInt
- Establishment of SPVs
- Collateral management
- Transaction reporting
ABS from an investor’s point of view
Paolo Binarelli, Intesa Sanpaolo
Adding ABS to a fixed income investment portfolio
Overview, value and risks of different asset classes
Deal analysis: documentation, structure, performance
European ABS primary and secondary markets
Recent trends, spreads, pricing and liquidity
Conclusion
Jan-Peter Hülbert, True Sale International
She has over 17 years of experience in Structured Finance, covering ABS, RMBS, CLOs of SMEs and Trade Receivables in different jurisdictions.
She played a key role in the creation of new global trade receivables criteria for S&P in 2021. More recently, she published an article about the MCC guarantee in 2024, which had great coverage in the Italian press. She is often involved in the rating of non-traditional transactions, requiring innovative analytical approaches.
Her carrear began at Intesa Sanpaolo, focusing on securitisation on the arranger’s side.
She holds an master degree in Economics from Bocconi University and an advanced S&P analytical certification.
Pietro Bellone
Partner, Structured finance and securitizations, Structured finance and securitizationsAllen & Overy Studio Legale Associato
This team is responsible for monitoring the quality of the loan-by-loan template uploaded by ABS Issuers.
On behalf of European DataWarehouse, Gianluca has been involved in the implementation of the Technical standards for the ABS loan-level data templates defined by ESMA.
Gabriele Guggiola
PartnerPricewaterhousecoopers Italia SRL
Fabio Maria Guidi
Partner, Financial MarketsJones Day
Giuseppina Pagano
Partner, Financial MarketsJones Day
Paolo Stefano Sala
UniCredit Bank GmbH, Milan Branch
Contact
Do you have any questions about this event?
I will be happy to answer them!