TSI Training: Intensive Seminar Cash Securitisation (Auto ABS and RMBS) | onsite

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, 7 November 2023

    8.45 – 9.00


    9.00 – 9.40

    Welcome from TSI
    Jan-Peter Hülbert

    9.40 – 10.35

    Auto ABS Securitisation – Originator’s perspective
    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

    10.35 – 10.55

    Coffee break

    10.55 – 11.55 

    Market development auto securitisations  
    Dr Benjamin Mohr, Creditreform 

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

    11.55 – 12.55

    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 

    12.55 – 14.25


    14.25 – 15.25

    Structuring and cash flow modelling in auto securitisation 

    • 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

    15.25 – 16.25

    Legal aspects of German and international true sale securitisation transactions – assignment, insolvency protection, tax
    Dr Arne Klüwer, Dentons 

    • Legal requirements
    • Tax matters

    16.25 – 16.45

    Coffee break

    16.45 – 17.45

    Regulatory aspects that apply to investors and originators
    Dr Dennis Heuer / Claire-Marie Mallad, White & Case

    • 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

    ab 17.45 Uhr

    Get together

    Wednesday, 8 November 2023

    9.00 – 9.45

    Eurosystem and securitisations
    Sven Lissek, 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

    9.45 – 10.45

    European DataWarehouse
    Basak Aktay, European DataWarehouse

    • EDW – from a Data Repository to a Securitisation Repository
    • Disclosure obligations according to Art. 7 SecReg
    • Current discussion about increased disclosure requirements
    • Benefits of transparency in the current market environment

    10.45 – 11.05

    Coffee break

    11.05 – 12.05

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

    • Regulatory aspects of STS notification and verification
    • Introduction to SVI and corporate governance
    • STS verification methodology and process
    • STS verification in practice
    • ESG and securitisation

    12.05 – 13.05

    Accounting aspects that apply to the originators and investors  
    Christian Bauer, 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

    13.05 – 14.40 


    14.40 – 15.40

    Overview of Residential Mortgage Securitisation (RMBS) 
    Kevin Kroke, ING Bank 

    • Retained RMBS from an Arranger perspective (case study German Lion) 
    • Funding RMBS from an Originator perspective (case study Orange Lion)  
    • Full-stack RMBS from an JLM perspective (case study EDML) 

    15.40 – 16.00

    Coffee break

    16.00 – 16.35

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

    • 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 

    16.35 - 16.45

    Short summary and conclusion
    Jan-Peter Hülbert

  •   Referenten

    Tuesday, 7 November 2023


    Eberhard Hackel is a Senior Director in Fitch Ratings’ European structured inance group and head of the Frankfurt based structured finance team. The team is primarily dealing with European ABS, RMBS and CDO transactions with a regional focus on Germany, Switzerland, Austria, the Netherlands, Ireland, Eastern Europe and Scandinavia.
    Before joining Fitch in 2008, Eberhard worked in the risk controlling department of Landesbank Hessen-Thüringen (Helaba). His responsibilities included measuring the Helaba group’s market risk and working with German regulators supervising Helaba’s internal market risk model.
    Eberhard holds a diploma in business administration from the University of Göttingen and has earned the FRM certification of the Global Association of Risk Professionals. 


    Dr Dennis Heuer is partner within the firm's global Capital Markets practice co-heading the EMEA Structured Finance Group as well as core member of the firm-wide ESG and Financial Institutions Industry Groups. Dennis focuses on Structured Finance (Securitisations, Structured Credit Products & Derivatives) and FIG Solutions and supports credit institutions and insurance companies, institutional investors and corporates in financing, capital relief and risk transfer transactions. Furthermore, Dennis and his team are rapidly growing expertise and experience in ESG-related advisory mandates as well as for clients in the fast-growth sector. 


    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.


    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.


    Wednesday, 8 November 2023


    Basak Aktay is European DataWarehouse's (EDW’s) Head of Sales and Customer Relations. Prior to joining EDW in 2013, she worked at DZ Bank as a product manager with a focus on German capital markets. In addition to her current role at EDW, Basak also teaches at the Frankfurt School of Finance & Management. She has also held various management roles in technology and ecommerce departments at Commerzbank and Isnet and has an MBA from Manchester Business School as well as a MSc degree in Computer Engineering from Universität Duisburg-Essen.


    Christian Bauer ist bei KPMG AG Wirtschaftsprüfungsgesellschaft als Wirtschaftsprüfer im Bereich Audit Financial Services in Frankfurt am Main tätig. Dort leitet er als Partner den Bereich Strukturierte Finanzierungen mit den Schwerpunkten Leasing, Factoring und Verbriefung (synthetische und True Sale Verbriefungen). Seine Erfahrungen umfassen die Prüfung von in- und ausländischer Banken, Leasingunternehmen, Factoringunternehmen und Verbriefungszweckgesellschaften. 
    Er ist Mitglied von Arbeitskreisen des Instituts der Wirtschaftsprüfer in Deutschland e.V., des Deutsches Rechnungslegungs Standards Committee (DRSC) e.V. und Verfasser verschiedenster Publikationen zu rechnungslegungsbezogenen Themen.


    Kevin Kroke is Director in the Frankfurt office of ING’s Global Balance Sheet Distribution team. He joined ING in 2021, focussing on the origination and structuring of asset-backed financing as well as balance sheet management solutions for clients and ING. Prior to ING, Kevin was 13 years with Deutsche Bank where he held roles in Treasury Markets & Investments, Risk- and Portfolio Management and Commercial Lending, including 7 years in Structuring of securitisation and covered bonds transactions. He holds a Master’s degree in Finance from Goethe University where he focussed on Financial Technology.


    Sven Lissek has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2020. This involves the operational implementation of the collateral framework and the asset-backed securities purchase programme (ABSPP) as well as strategic analyses in regards to the monetary policy framework. Apart from assessing the eligibility as collateral of German ABS and contributing to the ABSPP due diligence procedures for the Eurosystem, he is conducting analytical work concerning the implementation of monetary policy with a focus on big data.


    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.