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 seminar 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
Tuesday, 05.11.2024
Registration
Welcome from TSI
Jan-Peter Hülbert
Legal aspects – assignment, insolvency shielding, tax issues
Sandra Wittinghofer, Baker McKenzie
- Legal requirements for true sale structures
- Tax questions
- SWAP role and mechanisms
- “Securitization of lease receivables”
Coffee break
Market development auto securitisations
Dr Benjamin Mohr, Creditreform Rating
- Market overview
- Transaction development, types of transactions
- Originators
- Impact of pandemic on collateral pools
Auto ABS Securitisation – Originator’s perspective
Martin J. Williamson, VWFS
- Underlying, credit granting and processing
- Portfolio selection
- Transaction structure
- Project time frame
- Reporting
- What to be mindful of under STS
- Marketing
Lunch
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
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
Coffee break
Overview of 3rd-party certification of STS transactions
Marco Pause, SVI
- Regulatory aspects of STS notification and verification
- Introduction to SVI
- STS verification methodology and process
- STS verification in practice
Get together
Wednesday, 06.11.2024
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
Transparency in the European ABS market
Martin Kuhn, European DataWarehouse
- 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
Coffee Break
Overview of Residential Mortgage Securitisation (RMBS)
Olga Kashkina, ING
- RMBS from the originator's perspective (Orange Lion case study)
- Structuring and placement of RMBS from an arranger's perspective (EDML case study)
- Special features of RMBS and differences to Auto ABS
Accounting aspects that apply to the originators and investors
Christian Bauer, 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
Lunch
Rating matters – explained using the example of an auto transaction
Eberhard Hackel, Fitch Ratings
- Rating methodology
- Rating process and specific aspects of the sample transaction
- Transaction monitoring
Coffee Break
ABS from an investor’s point of view: What do investors need to be able to assess securitisation transactions?
Bernhard Zahel, 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
Short summary and conclusion
Jan-Peter Hülbert
Before joining Fitch in 2008, Eberhard worked in the risk controlling department of Landesbank Hessen-Thüringen (Helaba). His responsibilities included measuring the Helaba group’s market risk and working with German regulators supervising Helaba’s internal market risk model.
Eberhard holds a diploma in business administration from the University of Göttingen and has earned the FRM certification of the Global Association of Risk Professionals.
Martin Kuhn
Director, Data ManagementEuropean DataWarehouse GmbH
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 his position as Senior Manager he was primarily responsible for the execution of numerous due diligences at German automotive and consumer banks as well as banks with mortgage portfolios in the context of securitisation and portfolio transactions. In the context of a multi-year project Mr. Pause directed the organisation and implementation of the project management of a state guarantee for a German Landesbank in connection with credit and solvency checks of individual exposures in the Shipping, Corporate Clients and Aviation segments.
Mr. Pause holds a degree in Business Administration from the Georg-August-University in Göttingen.
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.
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