TSI Special Training on Securitisation: An overview over the key legal and regulatory requirements as well as rating agency criteria and ECB repo requirements

Soundly structured securitisation is an important channel for diversifying funding sources of banks and leasing companies and to transfer risks from such originators to investors. In the case of public transactions, there has been a distinct improvement in the market in recent years and securitisation of loan portfolios to obtain refinancing from the ECB continues to play an important role for banks. Furthermore in the framework of the EU capital market union project the EU intends to pave the way for a rapid revival of the securitisation market with a new STS securitisation regulation. Although the goals of the new regulation is widely shared the outcome is still uncertain. But all in all: Securitisation
is a hot topic.
For everybody being involved it‘s important to be familiar with the topic area. That is the only way of structure quality products in a challenging environment or to properly understand such products. In addition, it is the only way of ensuring that staff are able to make sound, appropriate assessments of application possibilities and operating mechanisms and the risks and opportunities entailed. TSI’s comprehensive training in this field has already proved its worth many times over.

The main topics covered in the TSI Special Training:

  • Market overview
  • Important structural features
  • Different asset classes with their specific characteristics, opportunities and risks
  • Term and conduit securitisations
  • Performance of securitisation transactions in the financial crisis
  • Overview over the underlying civil law aspects and regulatory requirements for securitisations
  • Regulatory distinction between securitisations and other transactions
  • Performance analysis and rating from the perspective of rating agencies and investors
  • Current ECB repo requirements and purchase programm
  • Currently discussed new regulatory topics such as STS

  •   Programme

    Wednesday, 3 May 2017

    9.20 – 9.30

    Registration and coffee

    9.30 – 9.40

    Welcome by TSI

    9.40 – 10.40

    The securitisation market: fundamentals and overview
    Stefan Ziese, Commerzbank

    • Basic ABS/MBS structures
    • Asset classes
    • Market overview on Europe ABS market
    • Investor reports
    • Criteria that must be fulfilled by the originator
    • Vermarktung
    • Implementation planning

    10.40 – 11.10


    11.10 – 12.00

    Overview of the underlying civil law conditions
    Dr Dietmar Helms, Hogan Lovells

    • True sale and insolvency remoteness requirements
    • Important differences in the European legal framework

    12.00 – 12.50

    Securitisations: methodology and modus operandi of rating agencies
    Dr Volker Läger, S&P Global Ratings

    • Rating methods
    • Transaction monitoring and rating development

    12.50 – 14.10


    14.10 – 15.10

    Recent provisions under CRD II, CRD III, CRD IV and currently discussed new STS regulations
    Dr Oliver Kronat, Clifford Chance

    • Regulatory distinction between securitisations and other transactions
    • Overview of the fundamental regulatory principles for securitisations
    • Risk retention
    • Due diligence obligations and reporting
    • Actual discussions

    15.10 – 15.40


    15.40 – 16.25

    ABS from the view of an investor: What do investors need to evaluate securitisation transactions?
    Dalibor Jarnevic, DZ BANK

    • Analysis of offering circulars, rating reports, deal reviews
    • Risk clusters, identifying risk drivers
    • Multidimensional due diligence, fundamental analysis
    • Transparency requirements and reporting standards
    • Relevance of obtaining additional information, due diligence
    • Applied risk management instruments and strategies
    • Assessment and prognosis risks in modelling

    16.25 – 17.15

    The Eurosystem’s security collateral framework – overview and ABS-specific
    regulations requirements
    Sebastian Weber, European Central Bank

    • How should the rules be understood in general?
    • What significance do ABS have as collateral in Eurosystem credit operations?
    • What is required of transaction structures?
    • How is the approval procedure structured?
    • What does the loan-level data project look like?
    • What are the Eurosystem requirements in that respect?


    Closing address by TSI Management followed by an informal “get-together”

  •   Speakers

    Wednesday, 3 May 2017


    Dr Dietmar Helms is a partner in the Hogan Lovells‘ Frankfurt office and a member of its International Debt Capital Markets group. Dietmar advises banks and corporations on all aspects of legal questions relating to the banking, corporation and capital markets business. He focuses on structured finance and asset backed securitisations, general banking and finance law as well as derivatives and financial products. In addition, Dietmar specialises in ABS and ABCP transactions in the automotive sector.
    Dietmar regularly publishes legal articles and speaks at seminars in the fields of corporate and financial law. He studied law at the universities of Frankfurt am Main, Heidelberg and Paris I Panthéon-Sorbonne and was awarded a doctorate (Doktor jur.) in 1998. He qualified as a lawyer in 1999.


    Dalibor Jarnevic joined DZ BANK’s Asset-Backed-Securities & CLO Trading Desk in 2012 as a Senior Trader, responsible for managing DZ Bank’s European ABS & CLO trading book.From 2006-2011 he was a Portfolio Manager for Asset-Backed-Securities with DWS Investment GmbH (Deutsche Bank Group). He managed several portfolios for institutional clients as well as Retail funds.Before that he held a position as Structurer at Commerzbank AG – Corporates & Markets from 2003 – 2006 for Term ABS transactions for institutional clients and for the Bank’s balance sheet. Until 2003 he was a Portfolio Manager in the Multimanagement Department of Cominvest Asset Management GmbH where he started in 2001 with a TraineeshipDalibor holds a Master degree in Business Administration and Electrical Engineering from TU Darmstadt and is since 2004 a CFA Charterholder.


    Dr Oliver Kronat is partner in the Frankfurt office of Clifford Chance an specializes in advising on German and international structured finance transactions. His experience includes the securitisation of trade, consumer, leasing and loan receivables and the establishment of ABCP Conduit Programmes. He also advises on the restructuringof securitization and other structured finance transactions as well as on securitisationsby insolvent companies. He is a member of the TSI Securitisation Forum (Verbriefungsforum) and was involved in the commenting by TSI on significant draftbills (including the Risk Limitation Act (Risikobegrenzungsgesetz), the Debenture Act(Schuldverschreibungsgesetz) and the implementation of CRD II and III) into Germanlaw. Oliver Kronat is also admitted as tax advisor.


    Dr Volker Läger is a Director with Standard & Poor's in the European Structured Finance Group, based in Frankfurt (Germany), and Analytical Manager SF Germany. Since joining Standard & Poor's in January 2006, he is focusing on securitisations of German assets and has been involved in various synthetic and cash flow transactions like Auto and Consumer ABS, RMBS, SME CLO, CDO and ABCP transactions. Prior to joining Standard & Poor's, Volker had worked four years as sales person in the fixed income department of Merrill Lynch, Frankfurt. Volker holds a PhD in Finance and a degree in Business Administration from the University of Bamberg.


    Sebastian Weber works in the Directorate General Market Operations at the European Central Bank, focusing on policy matters regarding the collateral accepted for Eurosystem credit operations. His tasks include the further development of the Eurosystem's eligibility criteria for structured finance assets and the analysis of related market developments. Before joining the European Central Bank, Mr Weber held a similar position at Deutsche Bundesbank. Mr Weber has studied business administration and economics at University of Hohenheim (Germany) and at Fairfield University (USA).


    Stefan Ziese CommerzbankStefan Ziese is responsible for the Securitisation business of Commerzbank with clients, including the Multiseller-Conduit Silver Tower. Since December 2004 he had been responsible for the securitisation team of Dresdner Kleinwort in Frankfurt and from April 2002 – March 2005 in New York. Stefan Ziese has been working for Dresdner Bank since 1992, started as credit analyst, continued as auditor, later head of mission in the audit division, responsible for various national and international projects. Stefan Ziese studied and taught at the Free University of Berlin, the University of Minnesota (Minneapolis, MN) as well as the Woodrow Wilson International Center for Scholars (Washington, DC) and the John F. Kennedy School of Government, Harvard University (Cambridge, MA).