TSI Special Training: Intensive seminar Overview of Auto-ABS/Term-ABS after the new Securitisation Regulation

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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 general 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 the viewpoint of credit processing.

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.

  •   Programme

    Tuesday, 28 April 2020

    8.50 – 9.00

    Registration and coffee

    9.00 – 9.15

    Welcome by TSI

    9.15 – 10.50

    Overview of a specific securitisation transaction in the Auto ABS segment
    Tomasz 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
     

    10.50 – 11.20

    Coffee break

    11.20 – 12.00

    Market development auto securitisations
    Alexander Garrod, DBRS Morningstar Credit Ratings

    • Market overview
    • Transaction development, types of transactions
    • Originators
    • Spread development
     

    12.00 – 12.30

    Overview of third-party certification of STS transactions
    Michael Osswald, SVI

    • Importance of independent verification under the Regulation
    • Its role in the event of a conflict
    • Procedure of an independent verification
     

    12.30 – 13.50

    Lunch break

    13.50 – 15.20

    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
     

    15.20 – 15.50

    Coffee break

    15.50 – 17.20

    Overview of current regulatory aspects that apply to investors and originators
    Michael Huertas, Dentons Europe

    • What is a securitisation? The concept under supervisory law
    • Core element of the new Securitisation Regulation
    • Fundamentals of risk transfer and RWA calculation
    • 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
     

    from 17.20

    Informal “get-together”


    Wednesday, 29 April 2020

    8.30 – 9.30

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

    • Legal requirements
    • Tax matters


    9.30 – 10.30


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

    • Funding 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
     

    10.30 – 11.00

    Coffee break

    11.00 – 12.10

    Accounting aspects that apply to the originator and investor
    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
     

    12.10 – 13.20

    ABS from an investor’s point of view: What do investors need to be able to
    assess securitisation transactions?

    Bernhard Zahel, DWS

    • 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
     

    13.20 – 14.30

    Lunch break

    14.30 – 15.20

    Rating matters – explained using the example of an auto transaction
    Olivier Toutain, Scope Ratings

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

    15.20 – 16.30


    Eurosystem and securitisations
    Gillian Naughton, European Central Bank

    • 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
     

    from 16.30

    Brief recap and closing address by TSI Management

  •   Speakers

    Tuesday, 28 April 2020

    Alexander Garrod joined DBRS Ratings Limited in 2012 and is a Senior Vice President within Global Structured Finance based in London. He has over 22 years of experienceworking in automotive finance and, since joining DBRS, has acted as lead analyst for over sixty transactions where ratings have been assigned to auto loan / lease, credit card and consumer loan portfolios in Europe and Australia. Alex started his career on Ford Motor Company‘s graduate scheme with FCE Bank in 1997 spending eleven years working within its European operations, finance, risk and securitisation teams. He subsequently joined Lloyds Banking Group to support the development of its securitisation capabilities for its consumer finance business.

     

    Michael Huertas is partner and a member of our Banking and Finance practice and Co-Head of the Financial Institutions Regulatory Practice Group in Europe. Michael leads our Eurozone Hub and the wider Eurozone Group of multi-disciplinary, multi-jurisdictionally qualified and multi-lingual professionals who help our clients navigate and realize the opportunities in the EU – and specifically the Eurozone’s regulatory, supervisory and monetary policy framework. Michael specifically advises on the Eurozone‘ s Banking Union, the European Central Bank’s monetary policy activity and the EU’s Capital Markets Union workstreams, along with the regulatory and supervisory priorities of the European Supervisory Authorities.
    His structured finance practice focuses on derivatives, securities financing transactions and securitizations. Michael also has experience advising on conduct of business and governance arrangements (in particular, the managing of non-performing assets) and financial market infrastructure, collateral and custody arrangements. Michael was seconded to the ECB from 2014 to 2015 where in addition to assisting on the drafting of the EU’s Securitisation Regulation he provided dedicated legal support in the set-up, operation and governance of the ABS Purchase Programme in addition to working on other ECB-led capital markets and banking union relevant reforms.

     

    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.

     

    Michael Osswald has been Managing Director of STS Verification International GmbH since February 2018 and is responsible for the preparation and implementation of STS certifications under the new securitisation regulation. Mr. Osswald has extensive securitisation experience in the areas of ABS investments and the acquisition and structuring of Term ABS and ABCP transactions, which he gained from 1998 at Landesbank Baden-Württemburg in Stuttgart and London and subsequently at ABN AMRO Bank in Frankfurt as part of the European ABS team. In 2009, Mr. Osswald moved to the Asset-Based Lending division of KfW IPEX-Bank and was most recently Senior Credit Officer at Erste Abwicklungsanstalt in Düsseldorf, where he was responsible for the Asset Securitisation, Infrastructure, Aviation and Shipping sub-portfolios. Mr. Osswald holds a degree in business administration from the Julius Maximilian University of Würzburg.

     

     

    Wednesday, 29 April 2020

     

    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.

     

    Gillian Naughton is a senior economist at the European Central Bank, working in the financial markets and collateral section which is part of market operations. The section develops and maintains the Eurosystem’s monetary policy collateral framework and analyses its use and interactions between the framework, banks and financial markets. Responsibilities include development and maintenance of the Eurosystem collateral framework. Prior to joining the ECB in 2019, Gillian worked in the Financial Markets Department of the Central Bank of Ireland, working in the area of Eurosystem Collateral Policy.

     

    Olivier Toutain is currently Executive Director at Scope Ratings, with more than 20 years of experience on Structured Finance (Structured Credit, ABS, ILS) and Risk Management (Statistical Modelling, Data Management). Prior to joining Scope Ratings, he worked during seven years at Banque de France, leading the Risk Modelling Unit, and leading successfully the implementation of the ABSPP for France, Finland, Portugal and Ireland. Before that he was a structured finance analyst at Moody‘s for eleven years and a quantitative analyst at Allianz for three years. Olivier is an Associate Professor of Finance at Dauphine University since 2013, where he is teaching Credit Risk modelling and Securitisation risk analysis.

     

    Stefan Rolf (1972) is a Managing Director and Global Head of Securitisation in ING Wholesale Banking, based in Frankfurt. 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 Asia Pacific Region, at Volkswagen Financial Services, based in Germany. In that role, he had global responsibility for Securitisation business of the Volkswagen Group. Prior to this, 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.

     

    Sandra Wittinghofer advises national and international banks and corporations on matters of banking and finance law. Her focus on structured finance and related banking regulatory matters covers work for arrangers, sponsors, originators, trustees and rating agencies. She has extensive experience in ABCP securitization transactions as well in term transactions, covering a wide range of asset classes. Since June 2019, she has been listed under „Best Lawyers“ for regulation law by Handelsblatt.

     

     

    Bernhard Zahel ist Fondsmanager im Bereich Fixed Income bei DWS Investment GmbH in Frankfurt mit Spezialisierungen auf Verbriefung/ Securitisation (ABS/CLO) und Covered Bonds. Seine Rolle umfasst neben dem Management diverser Fonds die Analyse bestimmter Märkte wie italienischer Covered Bonds und verschiedener Arten von ABS einschließlich CLOs und deren Handel. Im Jahr 2015 war er seitens der Deutsche Asset Management für das ABS Ankaufprogramm der EZB tätig.
    Nach dem Abschluss seines Studiums in Bonn als Diplom Volkswirt im Jahr 2001 begann Bernhard Zahel als Analyst im Spezialkreditmanagement für mittelständische Firmenkunden der Deutsche Bank. Von dort wechselte er 2004 ins Portfoliomanagement der DWS Investment GmbH in Frankfurt, wo er bis heute in verschiedenen Funktionen tätig ist.