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, 12.11.2025
Registration
Welcome from TSI
Jan-Peter Hülbert
Overview Securitisations
Stefan Rolf, ROLF Advisory
- Types of Securitisations and Structures
- Objectives, Advantages, and Disadvantages
- Securitisation Markets in Europe
- Overview of the Structuring Process
Legal aspects – assignment, insolvency shielding, tax issues
Dr Martin Kaiser, Ashurst
- Legal requirements for true sale structures
- Tax questions
- SWAP role and mechanisms
- “Securitisation of lease receivables”
Coffee break
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
Regulatory aspects of securitisations - an overview
Claire-Marie Mallad, White & Case
- 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
Lunch
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
Coffee break
Overview of 3rd-party certification of STS transactions
Salah Maklada, SVI
- Regulatory Fundamentals
- Verification Process
- Practical Experiences
Transparency in the European ABS market
Dr Christian Thun, EDW
- 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
Get together
Thursday, 13.11.2025
Eurosystem and securitisations
Julia Donnecker, Deutsche Bundesbank
- Collateral framework of the Eurosystem
- Eligibility criteria for ABS
- Transparency requirements of the Eurosystem
- Haircut and assessment aspects
- Most recent monetary policy decisions
Overview of Residential Mortgage Securitisation (RMBS)
Sergej Seiz, 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
Coffee Break
Auto ABS Securitisation – Originator’s perspective
N.N.
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
- Marketing
Rating matters – explained using the example of an auto transaction
Sebastian Mauersberger, S&P Global
- Rating methodology
- Rating process and specific aspects of the sample transaction
- Transaction monitoring
Lunch
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
Short summary and conclusion
Jan-Peter Hülbert
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.
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.
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 in structured finance for Dresdner Bank in Frankfurt and London.
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 credits 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 in fixed income until today.
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