TSI Special Training: Intensive seminar Overview of Auto-ABS/Term-ABS 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.

  •   Programme

    Tuesday, 4 June 2019

    8.50 – 9.00

    Registration and coffee

    9.00 – 9.15

    Welcome by TSI

    9.15 – 10.50

    Overview of a specific securitisation transaction in the Auto ABS segment
    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
     

    10.50 – 11.20

    Coffee break

    11.20 – 12.00

    Market development auto securitisations
    Arndt Beuermann, Commerzbank

    • Market overview
    • Transaction development, types of transactions
    • Originators
    • Spread development
     

    12.00 – 12.30

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

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

    12.30 – 13.50

    Lunch break

    13.50 – 15.20

    Overview of structuring and cash flow modelling using the example of a specific 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
     

    15.20 – 15.50

    Coffee break

    15.50 – 17.20

    Overview of current regulatory aspects that apply to investors and originators
    Dr Oliver Kronat, Clifford Chance

    • 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
     

    from 17.20

    Informal “get-together”


    Wednesday, 5 June 2019

    8.30 – 9.30

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

    • Legal requirements
    • Tax matters


    9.30 – 10.30


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

    • 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
     

    10.30 – 11.00

    Coffee break

    11.00 – 12.10

    Accounting aspects that apply to the originator and investor
    Tino Gallert, KPMG

    • Accounting true sale, derecognition and consolidation
    • Considerations under German Commercial Code (HGB) and in IFRS
    • Specific accounting aspects of a particular transaction
     

    12.10 – 13.20

    ABS from an investor’s perspective: What do investors need to assess in securitisation transactions?
    Bastian Schäfer, DWS Investment

    • 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
     

    13.20 – 14.30

    Lunch break

    14.30 – 15.20

    Rating matters – explained using the example of an auto transaction
    Alfonso Candelas, DBRS Ratings

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

    15.20 – 16.30


    Eurosystem and securitisations
    Artur Rerich, Deutsche Bundesbank

    • Collateral framework of the Eurosystem
    • Eligibility criteria for ABS
    • Transparency requirements of the Eurosystem
    • Haircut and valuation aspects
    • Purchase programmes in the context of monetary policy
     

    from 16.30

    Conclusion and closing address by TSI Management

  •   Speakers

    Tuesday, 4 June 2019

    Jan-Peter Hülbert has been the Managing Director of True Sale International GmbH in Frankfurt since July 2018. Before that he was Head of Asset Based Finance – Corporates of Raiffeisen Bank International AG and responsible for Consumer Assets and Trade Receivables since September 2012. The asset classes included Auto Loans, Auto Leasing, Equipment Leasing and unsecured Consumer Loans as well as trade receivables. Since 2002, he has structured numerous public ABS bond transactions as well as various bilateral and syndicated securitisations for corporate clients, leasing companies and consumer banks. Mr. Hülbert holds a degree in business administration from Ludwig-Maximilian University in Munich. He has also been a member of the Supervisory Board of STS Verification International GmbH (SVI) since 1 February 2019.

     

    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.

     

    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.

     

     

    Wednesday, 5 June 2019

     

    Alfonso Candelas joined the rating agency DBRS Ratings Limited in London in December 2011. After almost 7 years, he transferred to the Frankfurt Entity DBRS Ratings GmbH in October 2018. Initially working as a Surveillance analyst in the Structured Credit team, Alfonso became the Head of Surveillance for Structured Finance in Europe in January of 2017.
    Previously, he had worked for almost 7 years in the securitisation Management Company Europea de Titulización SA SGFT (Madrid), where he started as part of the back office team before moving to the Structuring team after approximately 3 years. He holds a degree in Economics as well as another in Market Research, both from the Universidad Autónoma de Madrid. He also has a Master‘s degree in Stock Markets at the Fundación Universidad Empresa (Madrid).

     

    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 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.

     

    Artur Rerich has been working for the Deutsche Bundesbank in the Directorate General Markets in the Eligible Assets Section since 2015. He is primarily concerned with the Eurosystem‘s collateral framework and the ABS Purchase Programme. Previously, he was a Supervisor for On-Site Inspections (§ 44 KWG) in the banking supervision.
    Before his time at the Deutsche Bundesbank, he worked for WestLB as an ABS analyst in the Credit Analysis & Decision division, after a stint at the Regulatory Reporting division. He holds a degree in business administration (banking) and a Master`s degree in Management Accounting.

     

     

    Stefan Rolf (1972) is a Managing Director and Global Head of Securitisation in ING Wholesale Banking, based in Frankfurt. 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 Asia Pacific Region, at Volkswagen Financial Services, based in Germany. In that role, he had global responsibility for Securitisation business of the Volkswagen Group. Prior to this, 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.

     

    Bastian Schäfer ist Head of Quantitative Portfoliomanagement Fixed Income bei der DWS in Köln. Der Diplom-Betriebswirt (FH) und Certified International Investment Analyst (CIIA) verantwortet das Management von quantitativen Fixed-Income-Konzepten und ist darüber hinaus Spezialist für die Asset-Klassen ABS und CLOs. Zwischenzeitlich war er seitens der Deutsche Asset Management für das ABS Ankaufprogramm der EZB tätig. Bevor er im Juni 2007 zur DWS (zuvor Sal. Oppenheim) wechselte war er 7 Jahre als Händler im Credit Team bei der WGZ BANK AG mit den Schwerpunkten Unternehmensanleihen, CDS und ABS tätig.