TSI Training

24 January 2024

TSI Training

Intensivseminar True Sale Verbriefung (Auto ABS and RMBS) - Training only in german language

The event
German
Dates
24. January 2024
08.45-17.50
25. January 2024
09.00-17.20
Onsite

True Sale International GmbH
Mainzer Landstraße 61
60329 Frankfurt

 

Participation fee
1.190 EUR for TSI Partner
1.495 EUR for all other participants

Der deutsche Verbriefungsmarkt war immer ein Musterbeispiel für einfache, transparente und standardisierte ABS-Transaktionen, die sich in Performance und Qualität von ihren Ursprüngen über die Finanzkrise hinweg bis heute gut bewährt haben.

Unsere umfassenden und regelmäßigen ABS-Trainings haben in den letzten dreizehn Jahren dazu beigetragen, dass sich bei allen beteiligten Parteien ein einheitliches Qualitätsverständnis herausbildet, was unter den neuen Verbriefungsregeln noch an Bedeutung gewinnt.

Mit unserem zweitägigen Intensivseminar in die Verbriefungswelt bekommen Sie einen hervorragenden Zugang zu den relevanten Themen aus rechtlicher, bilanzieller, regulatorischer, wirtschaftlicher und praktischer sowie kreditprozessbezogener Sicht.

Im Einzelnen geht es um folgende Themenschwerpunkte:

  • Überblick über eine konkrete, aktuelle Verbriefungstransaktion
  • Worauf kommt es beim Kreditprozess an, was verlangt die STS-Regulierung
  • Rechtliche Fragen – Abtretung, Insolvenzabschirmung, steuerliche Fragen und wo kommt
  • dabei STS ins Spiel
  • EZB-Zulassung im Überblick
  • Regulatorische Rahmenbedingungen nach der neuen Verbriefungsregulierung
  • Bilanzierungsfragen
  • Arbeit der Ratingagenturen
  • Cash Flow Modellierung und Transaktionsbewertung
  • Wohnhypothekenverbriefung (RMBS)
  • Die Investorensicht

Agenda

8.45 – 9.00 Uhr

Akkreditierung

9.00 – 9.45 Uhr

Begrüßung durch die TSI, Vorstellungsrunde und Überblick
Jan-Peter Hülbert

9.45 – 10.45 Uhr

Marktentwicklung Autoverbriefungen
Dr. Benjamin Mohr, Creditreform Rating  

  • Marktüberblick 
  • Transaktionsentwicklung, Transaktionstypen 
  • Originatoren 
  • Ausblick 
10.45 – 11.10 Uhr

Frühstückspause

11.10 – 12.10 Uhr

Rechtliche Themen – Abtretung, Insolvenzabschirmung, steuerliche Fragen
Sandra Wittinghofer, Baker McKenzie 

  • Rechtliche Anforderungen an True Sale Strukturen
  • Steuerliche Fragen
  • SWAP-Rolle und Mechanismen 
  • „Securitisation of lease receivables“ 
12.10 – 13.20 Uhr

Mittagspause 

13.20 – 14.20 Uhr

Überblick über eine konkrete Verbriefungstransaktion aus dem Bereich Auto-ABS
Uli Maute, BMW   

  • Underlying, Kreditvergabe und -bearbeitung
  • Portfolioauswahl
  • Transaktionstruktur
  • Projektablauf
  • Reporting
  • Was ist unter STS zu beachten
  • Vermarktung
  • Ökonomische Aspekte „Securitisation of lease receivables“ 
14.20 – 15.20 Uhr

Aufsichtsrechtliche Aspekte bei Verbriefungen – ein Überblick
Ulf Kreppel, Jones Day

  • Die Verbriefungsverordnung als zentrales Regelungswerk
    • Anwendungsbereich, Definitionen und beteiligte Parteien 
    • Risikoselbstbehalt und Sorgfaltspflichten 
    • Transparenzanforderungen 
    • STS-Verbriefungen
       
  • Anerkennung von Verbriefungen im Rahmen der Liquidity Coverage Ratio
  • Grundlagen des wirksamen Risikotransfers
  • Die CRR-Eigenkapitalansätze für Investoren und andere Transaktionsbeteiligte
15.20 – 15.40 Uhr

Kaffeepause

15.40 – 16.40 Uhr

Überblick über die Strukturierung und Cash Flow Modellierungen am Beispiel einer konkreten Autoverbriefung
Tom Oelrich, DZ BANK

  • Ziel und Anwendungsgebiete
  • Bedeutung des Cash-Flows Modells in der STS-Regulierung
  • Analyse-Ebenen bei ABS Transaktionen – Poolebene und Anleiheebene
  • Bedeutung von prepayments, defaults, delinquencies, granularity etc. für die Cash Flow-Modellierung
  • Modellierungsbeispiele
  • SWAP-Rolle und Mechanismen 
16.40 – 16.50 Uhr

Kaffeepause

16.50 – 17.50 Uhr

European DataWarehouse
Dr. Christian Thun, European DataWarehouse 

  • Offenlegungspflichten nach Art. 7 SecReg 
  • EDW - vom Data Repository  zum Securitisation Repository 
  • Aktuelle Diskussion um weitere Offenlegung 
  • Vorteile von Daten im aktuellen Marktumfeld 
Ab 17.50

Umtrunk

Agenda

9.00 – 10.00 Uhr

Eurosystem und Verbriefungen
Sven Lissek, Deutsche Bundesbank

  • Sicherheitenrahmen des Eurosystems
  • Notenbankfähigkeitskriterien für ABS
  • Transparenzanforderungen des Eurosystems
  • Haircut und Bewertungsfragen
  • Aktuelle Geldpolitische Beschlüsse (inkl. Ankaufprogramme)
10.00 – 10.25 Uhr

Frühstückspause

10.25 – 11.25 Uhr

Übersicht über die Wohnhypothekenverbriefung (RMBS)
Kevin Kroke, ING  

  • Einbehaltener RMBS aus der Sicht eines Arrangers (Fallstudie German Lion) 
  • (Green-) Funding RMBS aus der Sicht eines Originators (Fallstudie Green & Orange Lion)   
  • Full-stack RMBS aus der Perspektive eines Lead Managers (Fallstudie EDML) 
11.25 – 11.35 Uhr

Kaffeepause

11.35 – 12.35 Uhr

Bilanzierungsfragen beim Originator und Investor
Christian Bauer, KPMG

  • Grundlagen des Bilanzabgangs
  • Konsolidierung, Bewertung
12.35 – 14.05 Uhr

Mittagspause

14.05 – 15.05 Uhr

Ratingfragen – exemplarisch erläutert an einer Autotransaktion
Roberto Amato, S&P Global Ratings Europe

  • Rating-Methodik
  • Transaktionsüberwachung und Ratingentwicklung
  • Konkrete Ratingfragen bei vorliegender Transaktion
15.05 – 15.50 Uhr

Überblick Drittpartei-Verifizierung von STS-Transaktionen
Marco Pause, STS Verification International 

  • Regulatorische Grundlagen 
  • Verifizierungsprozess 
  • Praxiserfahrungen 
15.50 – 16.10 Uhr

Kaffeepause

16.10 – 17.10 Uhr

ABS aus Investorensicht: Was brauchen Investoren zur Bewertung 
Lucia Rozanski, DZ Bank 

Analyse von Offering Circulars, Ratingreports, Deal Review 

  • Mehrdimensionale Analyse von potentiellen ABS-Investments
  • Datenquellen im Rahmen der Analyse (Prospectus, Loan Data, Ratingreports)
  • Rolle von STS für Investoren
  • Szenarioanalyse und Bewertungs-/Prognoserisiken bei der Modellierung
17.10 – 17.20 Uhr

Kurzes Resümee und Schlusswort der TSI Geschäftsführung
Jan-Peter Hülbert

Roberto
Roberto Amato
Associate Director, Structured Finance
S&P Global Ratings Europe Limited
Roberto Amato is an Associate Director in Structured Finance, EMEA, based in Frankfurt.
He is the Lead Analyst for the German ABS market. Since joining S&P Global Ratings in 2019, he has been involved in transactions covering a variety of asset classes, including Residential Mortgage-Backed Securities, secured and unsecured ABS and Commercial Paper. Roberto has 10 years of experience in Structured Finance and his past employers include the European DataWarehouse and the Hessische Landesbank. Roberto holds a BSc in Economics from the University of Bergamo, Italy and a MSc in International Economics from the University Tübingen, Germany.
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Christian
Christian Bauer
Partner, Financial Services
KPMG AG
Christian Bauer is an auditor at KPMG AG in the Financial Services department in Frankfurt am Main. As a partner, he heads Structured Finance and specialises in leasing, factoring and securitisation (synthetic and true sale securitisations). His experience covers audits at banks in Germany and abroad, leasing companies, factoring companies and special purpose vehicles for securitisations. He is a member of working groups at the Institute of Public Auditors in Germany (IDW) and at the Accounting Standards Committee of Germany (ASCG) and is the author of various publications on accounting issues.

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Jan-Peter
Jan-Peter Hülbert
Managing Director,
True Sale International GmbH
Jan-Peter Hülbert has been Managing Director of True Sale International GmbH since July 2018. He brings over 20 years of experience in the banking and capital markets business, including 16 years in securitisation on the banking side. Jan-Peter has been responsible for client transactions for banks, corporates and leasing companies in the public ABS, private securitisation and ABCP segments. He holds a degree in business administration from LMU Munich and is a member of the Supervisory Board of STS Verification International GmbH and of the Supervisory Board of European DataWarehouse GmbH.
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Ulf
Ulf Kreppel
Partner,
Jones Day
Ulf Kreppel's practice focuses on cross-border securitizations and structured finance transactions. Amongst his clients are international financial institutions, investment firms and so-called "alternative capital providers".
With more than 20 years of product experience, Mr. Kreppel has extensive expertise in the structuring and execution of structured finance transactions. This includes public and private securitizations, asset-based lending and covered bond transactions, structured as stand-alone term transactions as well as asset-backed notes programs. Mr. Kreppel advises on a variety of asset classes, such as auto loans and leases, consumer credits, trade receivables and real estate loans. He also acts as program counsel for several European-based asset-backed commercial paper programs.
Mr. Kreppel has advised on a number of innovative and market-first transactions, including the purely blockchain-based issuance and settlement of asset-backed commercial paper. In addition, he regularly advises on regulatory aspects in financing transactions, e.g. on so-called "simple, transparent and standardized" (STS) securitizations as well as questions regarding the European Securitization Regulation. Mr. Kreppel has coauthored several articles on the legal risks and structural solutions for securitizations.
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Kevin
Kevin Kroke
Director, Asset Securitisation, Asset Securitisation
ING Bank
Kevin Kroke is Director in the Frankfurt office of ING’s Asset Securitisation team. He joined ING in 2021, focusing on the origination and structuring of asset-backed financing as well as balance sheet management solutions. Prior to ING, Kevin was 13 years with Deutsche Bank where he held roles in Treasury Markets & Investments, Risk- & Portfolio Management and Commercial Lending, including the structuring of securitisation and covered bonds transactions. He holds a Master’s degree in Finance from Goethe University where he focused on Financial Technology.
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Sven
Sven Lissek
Administrator, Notenbankfähige Sicherheiten
Deutsche Bundesbank
Sven Lissek has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2020. This involves the operational implementation of the collateral framework and the asset-backed securities purchase programme (ABSPP) as well as strategic analyses in regards to the monetary policy framework. Apart from assessing the eligibility as collateral of German ABS and contributing to the ABSPP due diligence procedures for the Eurosystem, he is conducting analytical work concerning the implementation of monetary policy with a focus on big data.
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Uli
Uli Maute
, Structured Finance
BMW Group
Uli Maute joined BMW Group’s Structured Finance team in 2016 with a focus on arranging, structuring and executing auto ABS transactions across the globe. Uli moved to BMW from Lloyds Bank, where he was Director at the bank’s Securitised Products Group, responsible for originating, structuring and distributing term auto ABS and credit cards transactions for UK and continental European clients. Prior to that, he was Senior Director at Fitch Ratings in Frankfurt and London, at last heading Fitch’s London-based EMEA Consumer ABS rating team.
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Benjamin
Dr Benjamin Mohr
Member of the board,
Creditreform Rating AG
Benjamin Mohr is a member of the executive board of Creditreform Rating AG. He is responsible for Business Development and Relationship Management, as well as the newly established division of ESG Ratings. Previously, Dr. Mohr held positions at American Express and various roles within the Creditreform Group, most recently as Head of Public Finance and Economic Research at Creditreform Rating. Holding a diploma in economics, he studied at the University of Frankfurt and earned a doctoral degree in economics from FernUniversität in Hagen. During his tenure as a research assistant, he authored several academic articles and a book on institutional arrangements in banking regulation to ensure financial stability.
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Tom
Tom Oelrich
Senior Structurer, ABS Term Transactions
DZ BANK AG
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.
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Marco
Marco Pause
Director,
STS Verification International GmbH
Marco Pause has been a Director of STS Verification International GmbH since December 2019. He joined the STS Verification International GmbH in September 2019 as an Associate Director. Mr. Pause has many years of securitisation experience which he gained at the auditing company Deloitte in the Credit & Securitisation Advisory Team in Düsseldorf since 2005.
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.
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Lucia
Lucia Rozanski
Senior Trader / Asset Backed Security, Fixed Income
DZ BANK AG
Lucia Rozanski started working as a Senior Trader for ABS/CLOs at DZ BANK AG in Frankfurt am Main in 2019. She has extensive securitisation experience in a variety of asset classes on the sell- and buyside. Prior to joining DZ BANK, Lucia was a Senior Portfolio Manager in the Credit Portfolio Management team at MEAG in Munich. She was responsible for the analysis of various types of securitisations and the active management of ABS/CLO funds. Lucia has a dual degree in business administration and is a CIIA - Certified International Investment Analyst.
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Christian
Dr Christian Thun
,
Privat
Dr Christian Thun is the Chief Executive Officer of European DataWarehouse (EDW), Europe’s first securitisation repository. He joined EDW in 2016 from Moody’s Analytics where he worked for 14 years in Dublin, London and Frankfurt in various senior positions, most recently as senior director with inter alia responsibility for the DACH region. In the early stage of his career, Mr. Thun was a team leader at the risk consulting firm Baetge & Partner (an OliverWyman affiliate) and also worked as a credit analyst in the structured finance division for Dresdner Bank in Frankfurt and London.
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Sandra
Sandra Wittinghofer
Partner, Banking & Finance
Baker McKenzie Rechtsanwaltsgesellschaft mbH von Rechtsanwälten und Steuerberatern
Sandra Wittinghofer advises national and international banks and corporations in matters of finance and regulatory law. Her focus on structured finance and related banking regulatory matters covers work for arrangers, sponsors, originators, trustees and rating agencies. She has extensive experience in ABCP securitization transactions as well in term transactions, covering a wide range of asset classes. Since June 2019, she has been listed under "Best Lawyers" for Banking and Finance and Banking Regulatory law by Handelsblatt and is also ranked in Chambers Europe 2023 for Capital Markets - Structured Finance.
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Contact

 

Do you have any questions about this event?

I would be happy to answer your questions!

Christin Bahnan

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