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.
This time we have split our tried and tested two-day intensive seminar into four afternoons. We would like to give you the opportunity to gain access to the relevant topics of the securitisation world from a legal, accounting, regulatory, economic and practical as well as credit process-related perspective despite a full calendar.
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
- Residential mortgage securitisation (RMBS)
- Investors’ perspective
Agenda
Tuesday, 16.04.2024
Dial-in
Welcome, overview and introduction by TSI
Jan-Peter Hülbert, TSI
Legal aspects of true sale securitisation transactions – assignment, insolvency protection, tax
Sebastian Oebels, Hogan Lovells
- Legal requirements for true sale structures
- Tax issues
Break
Auto ABS Securitisation – Originator’s perspective
Uli Maute, BMW
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
- Marketing
Regulatory aspects of securitisations - an overview
Dr Oliver Kronat, Clifford Chance
- The Securitisation Regulation as a central regulatory framework
- Scope of application, definitions and parties involved
- Risk retention and due diligence obligations
- Transparency requirements
- STS securitisations
- Recognition of securitisations as part of the liquidity coverage ratio
- Principles of effective risk transfer
- The CRR capital adequacy approaches for investors and other transaction participants
Wednesday, 17.04.2024
Dial-in
Structuring and cash flow modelling in auto securitisation
Tom Oelrich, DZ Bank
- Objective and areas of application
- Significance of the cash flows model in STS regulation
- Levels of analysis for ABS transactions - pool level and bond level
- Significance of prepayments, defaults, delinquencies, granularity etc. for cash flow modelling
- Modelling examples
Overview of third-party certification of STS transactions
Salah Maklada, SVI
- Regulatory aspects of STS notification and verification
- Introduction to SVI
- STS verification methodology and process
- STS verification in practice
Break
European DataWarehouse
Dr Christian Thun, EDWH
- Disclosure obligations according to Art. 7 SecReg
- EDW - from data repository to securitisation repository
- Current discussion about further disclosure
- Advantages of data in the current market environment
Monday, 22.04.2024
Dial-in
Eurosystem and securitisations
Philipp Wallaschek, 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
Overview of Residential Mortgage Securitisation (RMBS)
Olga Kashkina, ING Bank
- Green public RMBS from an Arranger perspective (case study Green Lion)
- Retained RMBS from an Originator perspective (case study German Lion)
- Full-stack RMBS from an JLM perspective (case study EDML)
Break
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
Tuesday, 23.04.2024
Dial-in
Rating matters – explained using the example of an auto transaction
Armin Krapf, Moody´s
- Rating methodology
- Rating process and specific aspects of the sample transaction
- Transaction monitoring
Market development auto securitisations
Dr Benjamin Mohr, Creditreform Rating
- Market overview
- Transaction development, types of transactions
- Originators
- Impact of pandemic on collateral pools
Break
Accounting aspects that apply to the originators and investors
Christian Bauer, KPMG
- Principles of the balance sheet disposal
- Consolidation, valuation
Short summary and conclusion
Jan-Peter Hülbert
Armin Krapf graduated from the University of Maastricht in Economics – International Management and he also studied at the University of Göttingen and the Royal Holloway University of London.
His responsibilities at Deloitte covered trustee and verification services for a wide range of clients in Germany (originators, investors and sponsors) in various synthetic and true sale transactions.
As a Senior Manager at Deloitte he was mainly responsible, as the lead manager, for the performance of agreed-upon procedures and credit file due diligences at banks in the context of securitisation and portfolio transactions for consumer, auto and mortgage loans. Salah was also responsible for the performance of several asset audits at medium-sized businesses with regards to trade receivables securitised in ABCP transactions.
Salah holds a degree (Diploma) in Business Administration from the University of Cologne.
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.
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.