TSI Special Training: Intensive seminar Auto ABS and RMBS – True Sale under the new Securitisation Regulation with Case Study | hybrid

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 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.


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

    Wednesday, 6 April 2022

    8.45 – 9.00

    Dial-in / On-Site 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 (v)

    • Legal requirements
    • Tax matters

    10.45 – 11.15


    11.15 – 12.15 

    Auto ABS securitisation – originator’s perspective
    Robert Westermann, Santander Consumer Bank

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

    12.15 – 13.15

    Regulatory aspects that apply to investors and originators
    Dr Oliver Kronat

    • 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
    • Brief overview of EU taxonomy and disclosure obligations for banks/corporates

    13.15 – 14.30

    Lunch break

    14.30 – 15.30

    Market development auto securitisations
    Dr Benjamin Mohr, Creditreform (v)

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

    15.30 – 16.30

    Accounting aspects that apply to the originators and investors
    Tino Gallert, KPMG (v)

    • 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

    16.30 – 17.00


    17.00 – 18.00

    European DataWarehouse
    Dr Christian Thun, European DataWarehouse

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

    ab 18.00

    Get together

    Thursday, 7 April 2022

    8.50 – 9.00


    9.00 – 10.00

    Eurosystem and securitisations
    Sven Lissek, Deutsche Bundesbank (v)

    • 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 – 11.00 

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

    • RMBS from an originator perspective (case study German & 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

    11.00 – 11.30


    11.30 – 12.30

    Structuring and cash flow modelling in auto securitisation
    Jan-Peter Hülbert, TSI 

    • 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

    12.30 – 13.45 

    Lunch Break

    13.45 – 14.45

    Rating matters – explained using the example of an auto transaction
    Sebastian Dietzsch, Scope Ratings

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

    14.45 - 15.45

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

    15.45 - 16.15


    16.15 – 17.15

    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

    17.15 - 17.25

    Short summary and conclusion

  •   Referenten

    Wednesday, 6 April 2022


    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 Oliver Kronat is Partner in the Frankfurt office of Clifford Chance. Oliver Kronat specialises 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 restructuring of securitisation and other structured finance transactions as well as on securitisations by insolvent companies. He is a member of the TSI Securitisation Forum (Verbriefungsforum) and was involved in the commenting by TSI on significant draft bills (including the Risk Limitation Act (Risikobegrenzungsgesetz), the Debenture Act (Schuldverschreibungsgesetz) and the implementation of CRD II and III) into German law. Oliver Kronat is also admitted as tax advisor.


    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. 


    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.


    Robert Westermann has been responsible for structuring in the ABS department of Santander Consumer Bank AG (SCB) in Mönchengladbach since 2019. Here, the focus is on equity management transactions and the implementation of captive and joint venture funding transactions. Previously, Robert spent four years at Raiffeisen Bank International AG, structuring client transactions in the area of auto and consumer ABS as an arranger. Robert graduated from the Swiss Federal Institute of Technology (ETH) Zurich with a Master‘s degree in „Management, Technology and Economics“.



    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.



    Thursday, 7 April 2022


    Sebastian Dietzsch, Director, is a senior analyst in Scope Ratings’ structured finance department in Berlin. Since he joined Scope in 2013, he has been responsible for the analysis of structured finance transactions including SME ABS, Consumer and Residential Mortgage ABS as well as Commercial Real Estate. Sebastian Dietzsch holds a Master’s degree in Business Administration from the Technische Universität Berlin, a Master of Science degree in Finance from Lunds Universitet, Sweden and is a certified Financial Risk Manager (Global Association of Risk Professionals, GARP).


    Jan-Peter Hülbert has been Managing Director of True Sale International GmbH since July 2018. He brings over 20 years of experience in the banking and capital markets business, including 16 years in securitisation on the banking side. Jan-Peter has been responsible for client transactions for banks, corporates and leasing companies in the public ABS, private securitisation and ABCP segments. He holds a degree in business administration from LMU Munich and is a member of the Supervisory Board of STS Verification International GmbH and of the Supervisory Board of European DataWarehouse GmbH.



    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.


    Michael Osswald is the Managing Director of STS Verification International GmbH (“SVI”), a third party verifier providing STS verifications of ABCP, non-ABCP and synthetic securitisations under the European securitisation regulation. He joined SVI in February 2019 and oversees all verification and related corporate activities of SVI across Europe. Michael has extensive securitisation experience both as investor and the origination and structuring of term ABS, ABCP and synthetic transactions, which he gained from 1998 at Landesbank Baden-Württemberg in Stuttgart and London and subsequently at ABN AMRO Bank in Frankfurt as part of the European ABS team. In 2009, he moved to the transportation finance division of KfW IPEX-Bank and was, prior to joining SVI, Senior Credit Officer at Erste Abwicklungsanstalt in Düsseldorf, where he was responsible for the asset securitisation, infrastructure, aviation and shipping sub-portfolios. Michael holds a degree in business administration from the Julius Maximilian University of Würzburg.


    ZahelBernhard Zahel is a Senior Portfolio Manager with DWS Investment GmbH in Frankfurt am Main, Germany. He is focusing on investments into structured products like Asset Backed Securities as well as illiquid investments such as loans guaranteed by export credit agencies. In addition to the management of portfolios his role includes the coverage of certain markets in the respective sectors.
    In 2014 and 2015 he was responsible within Deutsche Asset Management for the advisory of the European Central Bank within the ABS Purchase program. 
    After graduating with a masters degree in economics (Diplom Volkswirt) at University of Bonn, Bernhard started his career in 2001 as a workout analyst for corporate clients with Deutsche Bank AG. From there he joined DWS Investments GmbH in 2004 to become a portfolio manager where he stayed with different responsibilities in various asset classes until today.