TSI Special Training: Intensive seminar Overview of Auto ABS and RMBS under the new Securitisation Regulation | online

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The German securitisation market has 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 training 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.
 

Digital, informal networking during the event break and after the event with participants and speakers. Flexible one-on-one or small groupdiscussions, spontaneous, flexible and live with video as at face-to-face events.
Join us in the TSI Special Training Coffee Break Room!

 

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, 7 September 2021

    8.50 – 9.00

    Registration

    9.00 – 9.45

    Welcome, overview and round of introductions by the TSI

    9.45 – 10.45

    Legal aspects of German and international true sale securitisation transactions – assignment, insolvency protection, tax
    Sandra Wittinghofer, Baker McKenzie

    • Legal requirements
    • Tax matters
     

    10.45 – 10.55

    Break

    10.55 – 11.55 

    Overview of a specific securitisation transaction in the Auto ABS segment
    Thomasz Osipowicz, Santander Consumer Bank 

    • Underlying, credit granting and processing
    • Portfolio selection
    • Transaction structure
    • Project time frame
    • Reporting
    • What to be mindful of under STS
    • Marketing
     

    11.55 – 12.05

    Break

    12.05 – 13.05

    Overview of current regulatory aspects that apply to investors and originators
    Dr Arne Klüwer, Dentons

    • What is a securitisation? The concept under supervisory law
    • Core element of the new Securitisation Regulation
    • Risk retention for securitisations
    • Transparency requirements
    • Specific STS requirements for the originator, portfolio, transaction structure and transaction parties
    • Significance of STS-ABS in other regulations: Liquidity Coverage Ratio, Solvency II
     

    13.05 – 13.50

    Lunch break 

    13.50 – 14.50

    Overview of 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 flow model under the STS Regulation
    • Analysis levels of ABS transactions – pool level and security level
    • Significance of prepayments, defaults, delinquencies, granularity etc. for cash flow modelling
    • Modelling examples
     

    14.50 – 15.00

    Break

    15.00 – 15.50

    Overview of third-party certification of STS transactions
    Marco Pause, SVI

    • Importance of independent verification under the Regulation
    • Role in the event of a conflict
    • Process of an independent verification and practical experience process
     

    15.50 – 16.00

    Break

    16.00 – 17.00

    European DataWarehouse
    Dr Christian Thun, European DataWarehouse

    • Disclosure obligations according to Art. 7
    • EDW – from a Data Repository to a Securitisation Repository
    • Non-public’ business activities of the EDW
    • Benefits of transparency in current market environment


    Wednesday, 8 September 2021

    8.50 – 9.00

    Dial-In

    9.00 – 10.00

    Eurosystem and securitisations
    Jonas Böhmer, 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
     

    10.00 – 10.10

    Break

    10.10 – 11.10 

    Overview of Residential Mortgage Securitisation (RMBS) 
    Stefan Rolf, ING 

    • RMBS from an originator perspective (case study Orange Lion)
    • Structuring and placement of a capital relief RMBS from an Arranger perspective (case study EDML)
    • Peculiarities of RMBS and differences compared to Auto ABS
     

    11.10 – 11.20

    Break 

    11.20 – 12.20

    Accounting aspects that apply to the originators and investors
    Tino Gallert, 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
     

    12.20 – 13.00 

    Lunch Break

    13.00 - 13.40

    Spatial Chat

    13.40 – 14.30

    Rating matters – explained using the example of an auto transaction
    Alfonso Candelas, DBRS Morningstar Credit Ratings

    • Rating methodology
    • Transaction supervision and rating development
    • Specific rating aspects of a particular transaction
     

    14.30 – 14.40

    Break

    14.40 - 15.40

    Market development auto securitisations
    Dr Benjamin Mohr, Creditreform

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

    15.40 - 15.50

    Break

    15.50 – 16.50

    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
     

    16.50 - 17.00

    Short summary and conclusion

  •   Referenten

    Tuesday, 7 September 2021

     

    Dr Arne Klüwer works as a Partner for Dentons Europe LLP. He heads the German banking and finance practice and the structured finance practice in continental Europe. He specialises in structured finance and restructurings with a special focus on securitisation and factoring, asset-based lending, innovative financings as well as loan trading transactions. In addition he has a strong focus on advising lenders and creditors in workout situations and in the context of restructuring distressed debt. His doctorate focusses on a comparative legal analysis of the legal framework for securitisations in the USA and in Germany and is one of the first academic writings on the subject of securitisation in Germany.

     

    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.

     

    Tomasz Osipowicz is heading the securitization group at Santander Consumer Bank AG (“SCB”), based in Monchengladbach. He has joined the bank on 1st May 2019 and is responsible for all SCB securitisation activities. Prior to joining the bank Tomasz was in charge of Public Securitisations in Europe for Opel Vauxhall Finance formerly known as General Motors Financial (“GM Financial”). During his eight years at GM Financial he has gained experience in public and private transactions across the different jurisdictions.
    Before joining GM Financial Tomasz held various positions at JP Morgan Chase and BNY Mellon Corporate Trust focused on collateral debt obligations.
    He holds Master’s Degree in Economics from the University of Gdansk and a Postgraduate Diploma in Financial Services, Securitisation from the Dublin Institute of Technology. 

     

    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.

     

    Dr Christian Thun is the Chief Executive Officer of the European DataWarehouse - the securitisation repository in Europe. The firm collects, validates and disseminates asset class specific loan-level-data and relevant documentation for all Asset-Backed Securities. Christian Thun joined the European DataWarehouse in 2016 from Moody’s Analytics where he worked for almost 14 years in various senior positions. Prior to joining Moody‘s Analytics, 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. Christian Thun has published more than 30 papers on topics such as risk modelling, stress testing as well as data management. He studied business administration at the University of Münster and holds a PhD in finance.

     

    Sandra Wittinghofer is a partner in Baker McKenzie‘s Banking & Finance Practice Group in Frankfurt. Sandra‘s transactional practice focuses on securitisations and other structured finance transactions. She advises arrangers, lead managers trustees and rating agencies on structured finance, securitisation and supply chain transactions, in numerous asset classes and often involving multiple jurisdictions. Her securitization practice covers a wide range of asset classes and often involve multiple jurisdictions. As part of her financial services and regulatory practice she helps financial institutions and other regulated corporates navigate regulatory issues when acting as investor, arranger or sponsor in structured finance transactions.

     

     

    Wednesday, 8 September 2021

     

    Jonas Böhmer, CFA, has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2018. This involves implementing the collateral framework and the asset-backed securities purchase programme (ABSPP). Prior to this, he had already worked for several years at the Bundesbank’s Risk Control division. 
    After completing his studies in Bonn as a graduate in economics, he initially worked in product and sales management at NRW.BANK. He then moved to the field of risk control at Santander Consumer Bank AG, where he was responsible, among other things, for monitoring car loan and consumer loan securitisation in the market risk department. He has been a CFA charterholder since 2016.

     

    Alfonso Candelas joined the rating agency DBRS Ratings Limited in London in December 2011. After almost 7 years, he transferred to the Frankfurt Entity DBRS Ratings GmbH in October 2018. Initially working as a Surveillance analyst in the Structured Credit team, Alfonso became the Head of Surveillance for Structured Finance in Europe in January of 2017.
    Previously, he had worked for almost 7 years in the securitisation Management Company Europea de Titulización SA SGFT (Madrid), where he started as part of the back office team before moving to the Structuring team after approximately 3 years.
    He holds a degree in Economics as well as another in Market Research, both from the Universidad Autónoma de Madrid. He also has a Master‘s degree in Stock Markets at the Fundación Universidad Empresa (Madrid).

     

    Tino Gallert is a German Public Auditor and works in the Financial Services department of KPMG AG Wirtschaftsprüfungsgesellschaft in Frankfurt/Main. As a Senior Manager he provides assurance services as well as accounting related consulting services in the structured finance area (esp. factoring, ABS-transactions, supply chain finance and leasing). He is very experienced in the audit of statutory and group financial statements under German GAAP and IFRS of banks, leasing and factoring companies, commercial clients as well as real estate companies. Tino Gallert studied business administration at the University of Bayreuth and is an author of various accounting related publications.

      

    Dr Benjamin Mohr is Chief Economist and Head of Economic Research at Creditreform Rating AG. Prior to that, he held a number of positions in the Creditreform Group. In his current function he is responsible for the analysis and monitoring of capital markets and economic development in Germany, Europe, and the US. Since 2016, he has also been heading the Sovereign Ratings division.
    Mr. Mohr holds a Masters in Economics (Diplom Volkswirt) from the University in Frankfurt and a doctorate degree in Economics (Dr. rer. pol.) from the University of Hagen, where he also worked as a research assistant prior to joining the Creditreform Group. He has authored and co-authored a series of research articles on various economic topics as well as a book on institutional arrangements and regulatory frameworks for safeguarding financial stability. 

     

    Stefan Rolf, born in 1972, is Global Head of Balance Sheet Distribution at ING Wholesale Banking, based in Frankfurt am Main. He joined ING on 1st January 2019, bringing thirteen years of global securitisation experience.
    Prior to ING, Stefan was Head of Asset Back Securitisation and Treasury for the Asia Pacific Region at Volkswagen Financial Services, based in Germany. In that role, he had global responsibility for the securitisation business of the Volkswagen Group. Beforehand, Stefan was General Manager Treasury for Volkswagen Financial Services Asia-Pacific, based in Singapore.
    He graduated in 1996 with dual studies in Banking at Savings Bank in Hannover and an MBA from finance Academy in Hannover.
    Stefan is married, with one daughter.