
24 & 25 June 2025
TSI Training
Intensive Seminar Cash Securitisation (Auto ABS and RMBS)
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, 24.06.2025
Registration
Welcome and Overview Securitisations from TSI
Jan-Peter Hülbert
- 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
Sandra Wittinghofer, Baker McKenzie
- Legal requirements for true sale structures
- Tax questions
- SWAP role and mechanisms
- “Securitization of lease receivables”
Coffee break
Auto ABS Securitisation – Originator’s perspective
Martin J. Williamson / Lars Fischer, VWFS
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
- Marketing
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
Lunch
Structuring and cash flow modelling in auto securitisation
N.N.
- 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
N.N.
- 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, 25.06.2025
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
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
Coffee Break
Accounting aspects that apply to the originators and investors
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
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
Lunch
Market development auto securitisation
N.N.
- Market overview
- Transaction development, types of transactions
- Originators
- Impact of pandemic on collateral pools
Coffee Break
ABS from an investor’s point of view: What do investors need to be able to assess securitisation transactions?
N.N.
- 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
Herr Maklada verfügt über eine langjährige Verbriefungserfahrung, die er ab 2011 bei der Wirtschaftsprüfungsgesellschaft Deloitte im Credit & Securitisation Advisory Team in Düsseldorf gesammelt hat. Seine Tätigkeiten bei Deloitte umfassten die Prüfung und Beratung im Zusammenhang mit zahlreichen deutschen und europäischen Verbriefungstransaktionen und anderen strukturierten Finanzierungen. In seiner Position als Senior Manager bei Deloitte war er hauptverantwortlich für die Durchführung zahlreicher AuP-Aufträge im Rahmen von Verbriefungs- und Portfoliotransaktionen sowie Asset Audits hinsichtlich Handelsforderungen im Rahmen von ABCP-Programmen.
Herr Maklada hat einen Abschluss als Diplom-Kaufmann in Betriebswirtschaftslehre an der Universität zu Köln erworben.
Kontakt
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