TSI Training

17 September 2024

TSI Training

SRT & Synthetic Securitisation – from a practical perspective

The event
English
Dates
17. September 2024
08.45-17.45
Onsite

A&O Shearman (6th Floor)
Bockenheimer Landstraße 2
60306 Frankfurt am Main

Participation fee
595 EUR TSI Partner
795 EUR for all other participants

Synthetic balance sheet securitisations do play a significant role in banks capital management. Especially in the context of the challenges of financing the huge investments required for the digital and sustainable transition, the European Economy will require bank based lending to support the growth.

The European synthetic SRT market has been growing significantly over the past three years and doubled in size, but will this be sufficient? How do synthetic securitisations function, how is it structured, who does invest and how do you achieve capital relief?

We invite all interested parties to join us for this new training format in the well established, small classroom format training of TSI EVENTS.

Agenda

Tuesday, 17.09.2024

8.45 – 9.00

Registration

9.00 – 9.15

Welcome by TSI and introduction
Jan-Peter Hülbert

9.15 – 10.05

Legal Overview
Dr. Stefan Henkelmann, A&O Shearman

  • Why do it synthetically?  
  • Common structures 
  • Documentation clauses and credit events  
10.05 – 10.25

Coffee break

10.25 – 11.15

Issuer Perspective
Markus Schaub, LBBW

  • Capital Management and economic reasoning for synthetic securitisation  
  • Strategic approach and synthetic securitisation programmes 
  • Challenges for setting up a transaction 
11.15– 12.05

Basel IV / Capital Management / Basel / Output Floor  
Christoph Himmelmann, PWC

  • Basel IV - What's new for securitisations?
  • Understanding the mechanics of the Output Floor
  • Impact on RWA calculation and capital management
12.05 – 12.55

Arranger / Investors Perspective  
Dominik Walter, UniCredit

  • Involvement in the structuring process and legal documentation 
  • Preferences in terms of structures and pools 
12.55 – 14.15

Lunch Break

14.15 - 15.05

Regulatory aspects  
Ulf Kreppel, Jones Day

  • How to achieve capital relief 
  • SRT versus full deduction 
15.05 – 15.50

Role of STS in Synthetic Securitisation  
Michael Osswald, SVI

  • STS framework in synthetics 
  • Verification process 
  • Challenges to achieve STS 
15.50-16.10

Coffee break

16.10 – 16.55

Transparency & Disclosure  
Andras Vajda, iconicchain

  • Setting up internal reportings 
  • Reporting form investors, auditors, supervisors 
16.55 – 17.45

Extra-comfort for the investor: the Verification Agent
Philipp von Websky, Deloitte

  • monitoring over the lifetime of the transaction. 
  • assets treated like own vs. like third party risk position. 
  • pitfalls and typical findings.   
from 17.45

Get Together

Stefan
Dr Stefan Henkelmann
Partner, ICM
Allen Overy Shearman Sterling LLP
Stefan advises on a wide range of capital markets transactions with a focus on structured finance and debt capital markets.
He specialises in advising on securitisations – covering true sale, secured loan and synthetic structures across a broad range of asset classes – and other structured finance and derivatives transactions including repackagings, secured notes, strategic equity and non-performing loan transactions. Another focus of his practice are bond transactions including Pfandbriefe, covered bonds, structured notes, hybrid and corporate bonds and bond restructurings. Stefan has also broad experience in advising on all related regulatory and insolvency law matters. He is widely recognised as one of Germany’s leading capital markets lawyers.
Stefan works with major international clients, including banks, financial institutions, asset managers, corporates, originators and investors, across jurisdictions and in multiple sectors, including in particular financial services, real estate, infrastructure, energy and alternative investments.
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Christoph
Christoph Himmelmann
Director Risk & Regulation, FS Regulatory Management Banking
PricewaterhouseCoopers GmbH WPG
Christoph is Director and member of PwC's Governance, Risk & Compliance (GRC) practice in Germany. He has years of experience in providing consulting services and leading regulatory audits for numerous German and international banking clients. His focus areas are the current and future regulatory requirements for banks, i.e. Basel III and Basel IV including the corresponding EU implementation. Within PwC’s GRC team, he leads the cross-functional workstream on securitisations and supports various German and international clients with the implementation of the regulatory framework for securitisations. Further, he is responsible for the horizontal division “Regulatory Reporting and Disclosure Solutions” and thus takes care of related projects, audits and thought leadership activities. Besides, he is a frequent trainer for external and internal seminars on regulatory issues and publishes regularly in books, journals or blogs.
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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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Michael
Michael Osswald
Managing Director,
STS Verification International GmbH
Michael Osswald is the Managing Director of STS Verification International GmbH (“SVI”), a third party verifier providing STS verifications of ABCP, non-ABCP and synthetic securitisations under the European securitisation regulation. He joined SVI in February 2019 and oversees all verification and related corporate activities of SVI across Europe. Michael has extensive securitisation experience both as investor and the origination and structuring of term ABS, ABCP and synthetic transactions, which he gained from 1998 at Landesbank Baden-Württemberg in Stuttgart and London and subsequently at ABN AMRO Bank in Frankfurt as part of the European ABS team. In 2009, he moved to the transportation finance division of KfW IPEX-Bank and was, prior to joining SVI, Senior Credit Officer at Erste Abwicklungsanstalt in Düsseldorf, where he was responsible for the asset securitisation, infrastructure, aviation and shipping sub-portfolios. Michael holds a degree in business administration from the Julius Maximilian University of Würzburg.
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Markus
Markus Schaub
Head of Financing Sales, Financial Institutions
Landesbank Baden-Württemberg
Markus is responsible for LBBW SRT program as well as other risk optimization instruments within the bank´s capital management unit (“CMU”) and leads the implementation in the banks processes as a lead project manager. He has a year long track record in structuring, sales and risk management of credit sensitive capital market instruments in sell- as well as buy-side institutions.
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Andras
Andras Vajda
Co-Founder & CEO,
iconicchain
András Vajda is the CEO and co-Founder of iconicchain, providing regulatory compliance automation solutions for highly regulated markets, based on private blockchain solutions. András has over 20+ years executive, technology leadership & customer facing experience in the Financial and Telecom sector, having successfully led the execution of 10+ securitization, blockchain and regulatory compliance projects with multi-national banking and regulatory customers. Prior to iconicchain, he has led multiple successful programs for Ericsson, all established high-growth, high-profit businesses. András holds an MSc in Distributed Systems and is the author of several articles and a book.
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Philipp
Philipp von Websky
Director, Portfolio Services (Pool & Asset Audits, Stratifications, WALs, Verification Agent, Trus-tee), Credit & Securitisation Advisory
Deloitte GmbH
Philipp von Websky (trained lawyer) is a Director and has been with Deloitte since 2001. In the Service Line Credit & Securitisation Advisory he is responsible for projects pertaining to the loan business and loan/credit transactions (credit treasury, securitisation, asset based finance). His work focuses on Advisory, Assuring Transaction Party und Audit/Due Diligence. He co-heads the blockchain-in-structured-finance initiative of Deloitte Germany. For details: www.deloitte.com/de/csa
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Dominik
Dominik Walter
Director - Securitisation, Receivables & Strategic Asset Financing, Agency & Specialized Financing - MCT&AS
UniCredit Bank GmbH
Dominik Walter has been working in the ABS Structuring Team for UniCredit since 2007. Dominik focuses on capital market and private ABS transactions for UniCredit’s core clients. He has been responsible for the structuring, execution and placement of numerous transactions for funding and regulatory capital purposes. In addition, he is well experienced in portfolio analytics, cash flow modelling and portfolio optimization techniques, and was responsible for the quantitative analysis in various term transactions for UniCredit group. Dominik holds a diploma in Economic Mathematics from University of Ulm, is a licensed banker and a certified Financial Risk Manager (FRM).
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Event management