Onsite
True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt
Participation Fee
1.250 EUR for TSI Partner
1.570 EUR for all other participants
Early Bird Participation Fee
1.125 EUR for TSI Partner
1.410 EUR for all other participants
Participants of the Training can take advantage of exclusive DB event tickets for long-distance travel throughout Germany (ICE, IC/EC).
Book your DB journey now
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, 23.06.2026
Registration
Welcome and Introduction by 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 Protection, 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 for the Originator and Investor
Sven Meyer, PwC
- 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 Securitisation – 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 Using the Example of a Specific 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
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
Wednesday, 24.06.2026
Eurosystem and Securitisation
Miriam Schmelter-Coste, 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 Third-Party Verification of STS Transactions
Marco Pause, SVI
- Regulatory Fundamentals
- Verification Process
- Practical Experiences
Coffee Break
Overview of Residential Mortgage Securitisation (RMBS)
Olga Kashkina, 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
Lunch
Overview of a Specific Securitisation Transaction in the Auto ABS Segment
Uli Maute, BMW
Rating matters – Explained Using an Auto Transaction
Sebastian Mauersberger, S&P Global
- Rating methodology
- Rating process and specific aspects of the sample transaction
- Transaction monitoring
Coffee Break
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
Summary and Closing Remarks
Jan-Peter Hülbert
Before joining BMW, Uli was a Director in the Securitised Products Group at Lloyds Bank, where he managed the origination, structuring, and distribution of primarily term auto ABS and credit card transactions for clients in the UK and continental Europe. Prior to his role at Lloyds, he worked at Fitch Ratings in Frankfurt and London, ultimately holding the position of Senior Director and heading Fitch’s EMEA Consumer ABS rating team based in London.
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 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.
Nach dem Abschluss ihres Studiums in Frankfurt am Main als Diplom Bertriebswirtin im Jahr 1995 begann Miriam Schmelter-Coste im Firmenkundenkreditgeschäft der Deutsche Bank AG. Von dort wechselte sie 1997 zur Deutschen Bundesbank, wo sie bis heute in verschiedenen Funktionen tätig ist.
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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