TSI Special Training: Intensive seminar Overview of Auto-ABS/ Term-ABS – up to now and after the new Securitisation Regulation

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.

  •   Agenda

    Wednesday, 14 October 2020


    8.50 – 9.00


    Registration

    9.00 – 9.10

    Welcome by TSI

    9.10 – 10.10

    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 STSVermarktung
    • Marketing

    10.10 – 10.40

    Coffee Break

    10.40 – 11.20 

    Market development auto securitisations
    Alexander Garrod, DBRS Morningstar

    • Market overview
    • Transaction development, types of transactions
    • Originators
    • Development of residual value exposure
     
    11.20 – 11.30

    Break

    11.30 – 12.20

    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

    12.20 – 13.50

    Lunch break

    13.50 – 14.50

    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
     

    14.50 – 15.20

    Coffee break

    15.20 – 16.20

    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
     

    16.20 – 16.30

    Break

    16.30 – 17.30

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

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


    from 17.00

     
    Informal „get-together“


    Thursday, 15 October 2020

     

    8.30 – 9.30

     

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

    • 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
     
    9.30 – 9.40

    Break

    9.40 – 10.40

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

    • Legal requirements
    • Tax matters


    10.40 – 10.50 Uhr


    Break

    10.50 – 11.50 Uhr

    Rating Agency view Residential Mortgage Securitisation
    Dr Gaby Trinkaus, Moody’s
    Steven Becker, Moody’s

    • Rating Methodology
    • Surveillance and Performance
    • Peculiarities in times of corona
     
    11.50 – 13.20

    Lunch break

    13.20 – 14.20

    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
     

    14.20 – 15.10 

    Coffee Break

    15.10 – 16.10

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

    • 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
    • Relevanz zusätzlicher Informationsgewinnung, Due Diligence
    • 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
     
    16.10 – 16.20 

    Coffee break

    16.20 – 17.20 

    Eurosystem and securitisations
    Jonas Böhmer, 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
    • Current monetary policy decisions
    • Asset purchase programmes
     

    from 17.20 

    Brief recap and closing address by TSI Management

  •   Referenten

    Wednesday, 14 October 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 experience working 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.

     

    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.

     

    Thursday, 15 October 2020

     

    Steven Becker is a Vice President – Senior Analyst in Moody’s Structured Finance Group in Frankfurt am Main. Steven has more than 10 years of experience within structured finance and is currently a lead analyst in the EMEA Consumer Primary Rating team.
    In his tenure, he has been involved in analysing numerous Consumer ABS and RMBS transactions in the EMEA region. He has extensive experience analysing complex structure finance transaction including master trust, equity release and non-performing loan transaction. Steven has authored the publication of various reports on the UK securitisation market, speaking in external conferences and taking part in investor and arranger meetings. Steven holds a BSc in International Finance and a BA in Financial Services.

     


    Jonas Böhmer, CFA, 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, he had already worked for several years at the Bundesbank’s Risk Control division. 
    After completing his studies in Bonn as a graduate in economics, he initially worked in product and sales management at NRW.BANK. He then moved to the field of risk control at Santander Consumer Bank AG, where he was responsible, among other things, for monitoring car loan and consumer loan securitisation in the market risk department. He has been a CFA charterholder since 2016.

     

    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.

     

    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.

     

    Dr Gaby Trinkaus, CFA, VP-Senior Credit Officer, is a team manager and senior analyst in Moody’s Structured Finance surveillance team with over 16 years’ experience in the securitisation market. She takes part in overseeing the monitoring of transactions backed by consumer assets in the EMEA region including residential mortgage, auto and consumer loans. Gaby joined Moody‘s Deutschland GmbH in Frankfurt in September 2011 and worked at Moody’s Investors Service in London from August 2014 to July 2018. Prior to joining Moody’s, she was Senior Manager in the securitisation services division of Deloitte. Gaby holds a master of business administration (Diplom) from the university of Münster and completed her doctorate degree at the university of Cologne focussing on the performance and regulatory effects of non-compliant loans in synthetic RMBS transactions. Gaby is a CFA® charterholder.