TSI Training

18 & 19 February 2025

TSI Training

Intensivseminar True Sale Verbriefung (Auto ABS & RMBS) Agenda

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 
Ulf Kreppel, 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 
N.N. 

  • 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 Zertifizierung von STS-Transaktionen 
N.N.   

  • Regulatorische Grundlagen  
  • Verifizierungsprozess  
  • Praxiserfahrungen  
16.50 – 17.50 Uhr

Transparency in the European ABS market 
N.N.

  • 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 
Philipp Wallaschek, 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 / David Tuchenhagen,  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 
N.N. 

  • 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

Steven
Steven Becker
AVP-Analyst,
Moody's Deutschland GmbH
Steven Becker is a Vice President – Senior Analyst 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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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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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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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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David
David Tuchenhagen
Director, Local Head Asset Securitisation Germany, Asset Securitisation Germany
ING Bank
David Tuchenhagen, CFA, joined ING in 2021 and is the Local Head of Asset Securitisation Germany. He focuses on the structuring of securitisations with a particular view on Auto Loans, Auto Leasing, Equipment Leasing and Unsecured Consumer Loans. Prior to joining ING, David Tuchenhagen spent eight years as Lead Analyst at S&P Global Ratings where he was responsible for securitisation rating analyses, primarily from the DACH region. Before that, he spent five years as a Credit Analyst for ABS Investments and as a Fixed Income Analyst in the Trading Floor Research department of Landesbank Berlin AG. David Tuchenhagen studied Business Administration at the Technical University of Freiberg and CEU Business School Budapest.
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Philipp
Philipp Wallaschek
,
Deutsche Bundesbank
Philipp Wallaschek arbeitet seit 2021 im Zentralbereich Märkte der Deutschen Bundesbank. Seine Hauptgruppe befasst sich mit der Umsetzung des Sicherheitenrahmens des Eurosystems in Deutschland. Er ist für die Notenbankfähigkeitsprüfung und das Monitoring in Deutschland gelisteter ABS sowie die Due Diligence deutscher ABSPP-Transaktionen zuständig. Darüber hinaus befasst er sich mit Grundsatzfragen des Sicherheitenrahmens, der Einreichbarkeit marktfähiger und nicht-marktfähiger Sicherheiten zur Besicherung geldpolitischer Operationen mit dem Eurosystem und der Digitalisierung von Vermögenswerten.
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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