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.
 

  • NEW: Digital, informal networking during the workshop break

Digital, informal networking during the workshop 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, 27 April 2021

    8.50 – 9.00

    Registration

    9.00 – 9.45

    Welcome, overview and round of introductions by the TSI

    9.45 – 10.35

    Market development auto securitisations
    Guglielmo Panizza, DBRS Morningstar Credit Ratings

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

    10.35 – 11.35 

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

    • Legal requirements
    • Tax matters
     

    11.35 – 11.45

    Break

    11.45 – 12.45

    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
     

    12.45 – 13.45

    Lunch break (virtual meeting room in “SpatialChat”)

    13.45 – 14.45

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

    • 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
     

    14.45 – 14.55

    Break

    14.55 – 15.45

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

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

    15.45 – 15.55

    Break

    15.55 – 16.55

    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


    Wednesday, 28 April 2021

    8.50 – 9.00

    Dial-In

    9.00 – 9.50

    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
     

    9.50 – 10.00

    Break

    10.00 – 11.00

    Eurosystem and securitisations
    Susanne Schneider, 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 


    11.00 – 11.10 Uhr


    Break

    11.10 – 12.10 Uhr

    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
     
    12.10 – 13.10

    Lunch break (virtual meeting room in “SpatialChat”)

    13.10 – 14.10

    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
     

    14.10 – 14.20 

    Break

    14.20 – 15.10

    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
     

    15.10 – 15.20

    Break

    15.20 – 16.20

    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
     

    16.20 - 16.30

    Short summary and conclusion

  •   Referenten

    Tuesday, 27 April 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. 

     

    Michael Osswald has been Managing Director of STS Verification International GmbH since February 2019 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.

     

    Guglielmo Panizza is an Assistant Vice President within Global Structured Finance at DBRS Morningstar since 2020, where acts as lead or rating analyst for the assignment of new ratings to European ABS transactions backed by various types of assets, including auto loans and auto leases. Guglielmo has worked in the mobility and automotive finance industry for several years covering various roles in Europe within credit and securitization at FCA Bank and leading the structured finance team at Cluno. Previously, Guglielmo completed the graduate program of BNP Paribas Corporate & Investment Banking working in the Global Markets division. He holds a Master of Science in Economics and Social Sciences from Bocconi University.

     

    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, 28 April 2021

     

    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.

     

    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.

     


    Susanne Schneider 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, she had already worked for several years at the Bundesbank’s Economics Departement. 
    After studying at Deutsche Bundesbank‘s own University of Applied Sciences she completed her studies in Gießen as a graduate in economics.

     

     

    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.

     

    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.

     

    Bernhard 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.