TSI Training

18 & 19 February 2025

TSI Training

Intensivseminar True Sale Verbriefung (Auto ABS & RMBS)

The event
German
Dates
18. February 2025
08.45-17.50
19. February 2025
09.00-16.50
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

Early bird fee
1.070 EUR for TSI Partner
1.345 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

Dienstag, 18.02.2025

8.45 – 9.00 Uhr

Registrierung

9.00 – 9.15 Uhr

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

9.15 – 09.55 Uhr

Überblick Verbriefungen
Stefan Rolf, Rolf Advisory  

  • Arten von Verbriefungen und Strukturen

  • Zielsetzungen, Vor- und Nachteile

  • Verbriefungsmärkte in Europa

  • Strukturierungsprozess im Überblick 

9.55 – 10.55 Uhr

Rechtliche Themen – Abtretung, Insolvenzabschirmung, steuerliche Fragen
Dr. Martin Kaiser, Ashurst

  • Rechtliche Anforderungen an True Sale Strukturen 
  • Steuerliche Fragen
  • Securitisation of lease receivables 

10.55 – 11.15 Uhr

Kaffeepause

11.15 – 12.15 Uhr

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

  • Basiswert, Kreditvergabe und -abwicklung 
  • Portfolioauswahl 
  • Transaktionsstruktur 
  • Projektzeitrahmen 
  • Berichterstattung 
  • Worauf man bei STS achten sollte 
  • Marketing 
12.15 – 13.15 Uhr

Aufsichtsrechtliche Aspekte bei Verbriefungen – ein Überblick 
Nikolay Kutsarov & Dr. Nick Wittek, Jones Day   

  • Was ist eine Verbriefung? Der aufsichtsrechtliche Begriff 
  • Kernelement der neuen Verbriefungsverordnung 
  • Grundlagen des Risikotransfers und der RWA-Berechnung 
  • Risikoselbstbehalt bei Verbriefungen 
  • Transparenzanforderungen 

  • Spezifische STS-Anforderungen für den Originator, das Portfolio, die Transaktionsstruktur und die Transaktionsparteien 

  • Bedeutung von STS-ABS in anderen Vorschriften: Liquidity Coverage Ratio, Solvency II 

13.15 – 14.45 Uhr

Mittagspause

14.45 – 15.45 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 
15.45 – 16.00 Uhr

Kaffeepause
 

16.00 – 16.50 Uhr

Überblick 3rd Party Verifizierung von STS-Transaktionen
Salah Maklada, SVI

  • Regulatorische Grundlagen  
  • Verifizierungsprozess  
  • Praxiserfahrungen  
16.50 – 17.50 Uhr

Transparency in the European ABS market
Martin Kuhn, EDWH 

  • 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 Uhr

Get Together
 

Mittwoch, 19.02.2025

9.00 – 9.50 Uhr

Eurosystem und Verbriefungen 
Miriam Schmelter-Coste, Deutsche Bundesbank    

  • Sicherheitenrahmen des Eurosystems 
  • Notenbankfähigkeitskriterien für ABS 
  • Transparenzanforderungen des Eurosystems 
  • Haircut und Bewertungsfragen 
  • Aktuelle Geldpolitische Beschlüsse (inkl. Ankaufprogramme) 
09.50 – 10.50 Uhr

Übersicht über die Wohnhypothekenverbriefung (RMBS) 
Olga Kashkina,  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) 
10.50 – 11.10 Uhr

Kaffeepause
 

11.10 – 12.10 Uhr

Bilanzierungsfragen beim Originator und Investor 
Christian Bauer, KPMG AG

  • Grundlagen des Bilanzabgangs 
  • Konsolidierung, Bewertung 
12.10 – 13.10 Uhr

Ratingfragen – exemplarisch erläutert an einer Autotransaktion 
Steven Becker  Moody’s   

  • Rating-Methodik 
  • Transaktionsüberwachung und Ratingentwicklung 
  • Konkrete Ratingfragen bei vorliegender Transaktion 
13.10 – 14.20 Uhr

Mittagspause

14.20 – 15.20 Uhr

Marktentwicklung Autoverbriefungen 
Dr. Benjamin Mohr, Creditreform Rating  

  • Marktüberblick  
  • Transaktionsentwicklung, Transaktionstypen  
  • Originatoren  
  • Ausblick  
15.20 – 15.40 Uhr

Kaffeepause
 

15.40 – 16.40 Uhr

ABS aus Investorensicht: Was brauchen Investoren zur Bewertung 
Bernhard Zahel, DWS Investment  

  • 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 
16.40 - 16.50 Uhr

Resümee und Schlusswort der TSI-Geschäftsführung 
Jan-Peter Hülbert

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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Steven
Steven Becker
Vice President – Senior Credit Officers,
Moody's Deutschland GmbH
Steven Becker is a Vice President – Senior Credit Officers at Moody's Structured Finance Group
based in Frankfurt am Main. Since his appointment in October 2009, he has been
responsible for the analysis of various new and existing ABS and
RMBS transactions.
Steven has a BSc in International Finance and a BA in Financial Services.
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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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Martin
Dr Martin Kaiser
Partner, LL.M.,
Ashurst LLP
Dr. Martin Kaiser, LL.M. is a partner in the finance department and heads the European securitisation team.
He specializes in securitisations and focuses on the true sale securitisation of loan, lease and trade receivables, both listed public transactions as well as ABCP programs and bespoke private transactions, e.g. NPLs and start-up and FinTech finance. His expertise also includes aspects of German and European regulatory law related to securitisations.

Martin Kaiser advises leading German and international banks, service providers (such as corporate service providers and trustees), leasing companies, car manufacturers and other corporates.
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Olga
Olga Kashkina
Associate, Asset Securitisation
ING Bank
Olga Kashkina has joined the ING’s Asset Securitisation team in 2022, following 5 successful years at Fitch, where she focused on rating assessments for European ABS deals across asset classes (Auto/SME Lease/Consumer ABS, RMBS). At ING, Olga closely works with group treasury on arranging/placement of RMBS (incl. in green format), supports external clients as an arranger for public German ABS transactions, as well on the origination of private lending facilities.
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Martin
Martin Kuhn
Director, Data Management
European DataWarehouse GmbH
Martin Kuhn joined European DataWarehouse GmbH in 2014 where he’s been heading the Data Management & Customer Service team since March 2017. His team supports issuers across Europe to comply the securitisation regulation and other related reporting or transparency requirements. He started his career in the securitisation department of a CMBS issuer (Westdeutsche ImmobilienBank AG) before he worked as a rating analyst at Fitch Ratings for three years.
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Rudolf Kurz
Associate Lead Analyst,
Moody's Ratings
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Nikolay
Nikolay Kutsarov
Associate,
Jones Day
Nikolay Kutsarov ist Associate im Bereich Financial Markets am Frankfurter Standort der internationalen Sozietät Jones Day. Den Kern seiner Beratungstätigkeit bilden grenzüberschreitende, öffentliche und private True Sale Verbriefungstransaktionen in Bezug auf Darlehens-, Leasing-, und Handelsforderungen sowie die damit einhergehenden Fragestellungen in den Bereichen des deutschen und europäischen Aufsichts-, und Insolvenzrechts. Nikolay Kutsarov berät dabei deutsche und internationale Banken bei der Strukturierung, Koordination und Implementierung von Verbriefungstransaktionen.

Vor seiner Tätigkeit bei Jones Day war Nikolay Kutsarov in der Insolvenz- und Restrukturierungspraxis einer internationalen Magic Circle Sozietät tätig.

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Salah
Salah Maklada
Director,
STS Verification International GmbH
Salah has been a Director of STS Verification International GmbH since March 2023. He joined the STS Verification International GmbH team in July 2021, bringing in 10 years of securitisation experience gained through his work in the Credit and Securitisation team of Deloitte.

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.
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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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Stefan
Stefan Rolf
Founder & CEO,
ROLF Advisory GmbH
Stefan Rolf is an internationally experienced senior executive in finance and banking with a strong global network. He has a proven track record of building and transforming businesses and driving change. Stefan has deep expertise in corporate treasury, debt capital markets, securitization, and private debt, as well as a focus on sustainable and impact financing solutions. Before founding ROLF Advisory GmbH, Stefan has held various international leadership roles, including Global Head of Securitisation and Private Debt at IQ-EQ, Global Head of Balance Sheet Distribution and Securitisation at ING Wholesale Bank as well as Head of Securitisation and Treasurer of the Asia-Pacific region at Volkswagen Financial Services. Stefan has worked on many ground-breaking and innovative transactions in the global securitisation and structured finance markets, such as first time transactions in China, Turkey and Brazil. He has also done deals across a broad range of asset classes such as auto, consumer lending, SME loans, equipment, infrastructure and sustainability improvement loans and even more esoteric ones. Stefan is a frequent speaker at structured finance/capital markets events in Europe, the US and the Asia- Pacific region, and has worked closely with the European Central Bank, national central banks and various supervisory institutions. He holds an MBA in Economics and is fluent in German and English, with intermediate proficiency in French and Spanish. Stefan is married and has one daughter.
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Miriam Schmelter-Coste
Market Analyst, Märkte
Deutsche Bundesbank
Miriam Schmelter-Coste arbeitet seit 2022 im Sicherheiten Team der Deutschen Bundesbank mit dem Fokus auf strukturierte Finanzprodukte als notenbankfähige Sicherheiten im Eurosystem.
Nach dem Abschluss ihres Studiums in Frankfurt am Main als Diplom Bertriebswirtin im Jahr 1995 begann Miriam Schmelter-Coste im Firmenkundenkreditgeschäft der Deutsche Bank AG. Von dort wechselte sie 1997 zur Deutschen Bundesbank, wo sie bis heute in verschiedenen Funktionen tätig ist.

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Nick
Dr Nick Wittek
Partner, Banking & Finance
Jones Day
Dr Nick Wittek is Partner bei Jones Day. He has a unique skill set of combining structured finance, derivatives, and asset management experience with technological innovation. With 20 years of experience, he is a go-to adviser for financial institutions, asset managers, institutional clients and FinTechs to advise on the structuring, regulation, and documentation of structured finance transactions and the use of Distributed Ledger Technology (DLT) and Blockchain in this field and beyond.
He has an extensive background working on securitizations (ABS and ABCPs), loan funds, Schuldschein loans, ISDA-based swaps and derivatives, repos, covered bonds, repackagings, MTN-programs, asset-based lending, factoring and supply chain financings, as well as related clearing, settlement and regulatory issues including the new German law on electronic securities (eWpG).
Nick is part of the Jones Day FinTech task force. He has advised market participants on the use, implementation and regulatory aspects of DLT and Blockchain in the financial and corporate industry sector including (utility and security) token issuances, stable coins and central bank digital currencies (CBDC), trokenization, crypto brokerage, crypto custody, digital assets and digital identities and implications resulting from the draft Markets in Capital Infrastructure Regulation (MiCAR). He has advised on a number of market first and award winning transactions.
Nick is recommended by JUVE for structured finance transactions and by Legal 500 and Chambers for FinTech work. Nick is part of the Platform Industry 4.0 legal working group and co-author of the Industrie 4.0 platform conditions. He has also (co-)authored several articles on securitizations, debt/loan funds and Blockchain.
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Bernhard
Bernhard Zahel
Director, Portfolio Management Fixed Income EMEA
DWS Investment GmbH
Bernhard Zahel is a Senior Portfolio Manager with DWS Investment GmbH in Frankfurt am Main, Germany. He is focusing on investments into structured products like Asset Backed Securities as well as illiquid investments such as loans guaranteed by export credit agencies. In addition to the management of portfolios his role includes the coverage of certain markets in the respective sectors.
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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Contact

Do you have any questions about this event?

I would be happy to answer your questions!
 

Aminata Camara

Veranstaltungsmanagement