TSI Training

28. Juni 2023

TSI Training

Intensivseminar True Sale Verbriefung (Auto ABS and RMBS)

The event
German
Dates
28. June 2023
08.45-18.00
29. June 2023
09.00-17.35
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
     

Die Themenschwerpunkte werden ausgehend von einer VW-Transaktion behandelt.

Agenda

Mittwoch, 28. Juni 2023

8.45–9.00 Uhr

Akkreditierung

9.00–9.30 Uhr

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

9.30–10.20 Uhr

Überblick Verbriefungen
Stefan Rolf, IQ-EQ 

  • Wie funktionieren Verbriefungen?
  • Warum nutzen die Originatoren sie als Instrument?
  • Wer investiert aus welchen Gründen?
  • Wer ist sonst noch beteiligt?
10.20–10.35 Uhr

Frühstückspause

10.35–11.35 Uhr

Rechtliche Themen – Abtretung, Insolvenzabschirmung, steuerliche Fragen
Sebastian Oebels, Hogan Lovells 

  • Rechtliche Anforderungen an True Sale Strukturen
  • Steuerliche Fragen
11.35 – 12.35 Uhr

Überblick über eine konkrete Verbriefungstransaktion aus dem Bereich Auto-ABS
Kais Khader, VW Bank  

  • Underlying, Kreditvergabe und -bearbeitung
  • Portfolioauswahl
  • Transaktionstruktur
  • Projektablauf
  • Reporting
  • Was ist unter STS zu beachten
  • Vermarktung
12.35 – 14.00 Uhr

Mittagspause

14.00 – 15.00 Uhr

Aufsichtsrechtliche Aspekte bei Verbriefungen – ein Überblick
Dr. Oliver Kronat, Clifford Chance

  • 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
15.00 – 16.00 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
16.00 – 16.20 Uhr

Kaffeepause

16.20 – 17.20 Uhr

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

  • Analyse von Offering Circulars, Ratingreports, Deal Review
  • Risikocluster, Identifikation der Risikotreiber
  • Mehrdimensionale Due Diligence, Fundamentalanalyse
  • Transparenzanforderungen und Reportingstandards
  • Relevanz zusätzlicher Informationsgewinnung, Due Diligence
  • Angewandte Risikomanagementinstrumente und -strategien
  • Bewertungs- und Prognoserisiken bei der Modellierung
  • Wo kommt für den Investor STS ins Spiel
17.20 – 18.00 Uhr

Umtrunk

Donnerstag, 29. Juni 2023

9.00 – 9.50 Uhr

Eurosystem und Verbriefungen
Philipp Wallaschek, Deutsche Bundesbank

  • Sicherheitenrahmen des Eurosystems
  • Eligibility Kriterien für ABS
  • Transparenzanforderungen des Eurosystems
  • Haircut und Bewertungsfragen
  • Aktuelle Geldpolitische Beschlüsse (inkl. Ankaufprogramme)
9.50 – 10.50 Uhr

Übersicht über die Wohnhypothekenverbriefung (RMBS)
David Tuchenhagen, ING 

  • RMBS aus der Sicht des Originators (Fallstudie Orange Lion)
  • Strukturierung und Platzierung von RMBS aus Arrangeursicht (Fallstudie EDML)
  • Besonderheiten von RMBS und Unterschiede zu Auto ABS
10.50 – 11.05 Uhr

Frühstückspause

11.05 – 12.05 Uhr

Bilanzierungsfragen beim Originator und Investor
Dr. Jan Faßhauer, BDO

  • Grundlagen des Bilanzabgangs
  • Konsolidierung, Bewertung
12.05 – 13.05 Uhr

Ratingfragen – exemplarisch erläutert an einer Autotransaktion
Sebastian Dietzsch, Scope Ratings

  • Rating-Methodik
  • Transaktionsüberwachung und Ratingentwicklung
  • Konkrete Ratingfragen bei vorliegender Transaktion
13.05 – 14.30 Uhr

Mittagspause

14.30 – 15.30 Uhr

Marktentwicklung Autoverbriefungen
Fabienne Riefer, Creditreform Rating

  • Marktüberblick
  • Transaktionsentwicklung, Transaktionstypen
  • Originatoren
  • Ausblick
15.30 – 15.50 Uhr

Kaffeepause

15.50 – 16.35 Uhr

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

  • Regulatorische Grundlagen
  • Verifizierungsprozess
  • Praxiserfahrungen
16.35 – 17.25 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
17.25 – 17.35 Uhr

Kurzes Resümee und Schlusswort der TSI Geschäftsführung
Jan-Peter Hülbert

Sebastian
Sebastian Dietzsch
Director Stuctured Finance , Structured Finance
Scope Ratings GmbH
Sebastian Dietzsch, Senior Director, is a senior analyst in Scope Ratings’ structured finance department in Berlin. Since he joined Scope in 2013, he has been responsible for the analysis of structured finance transactions including SME ABS, Consumer and Residential Mortgage ABS as well as Commercial Real Estate.
Sebastian Dietzsch holds a Master’s degree in Business Administration from the Technische Universität Berlin, a Master of Science degree in Finance from Lunds Universitet, Sweden and is a certified Financial Risk Manager (Global Association of Risk Professionals, GARP).
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Jan
Dr Jan Faßhauer
Partner A&A Capital Markets , Accounting Advisory Group (AAG) / Zentralabteilung Rechnungslegung
BDO AG
Dr. Jan Fasshauer is German Public Auditor/Tax Advisor and Partner at BDO AG Wirtschaftsprüfungsgesellschaft in the Accounting Advisory Group/Technical Accounting Department in Frankfurt am Main. He provides a broad range of advisory services in connection with complex accounting questions, such as structured finance transactions (e.g. factoring, securitization, reverse factoring, leasing), accounting related valuations, business combinations and capital market transactions. Furthermore his experiences cover audits of financial statements of listed and non-listed clients according to IFRS and German GAAP of Technology, Industry and Trading Companies, as well as Banks, Leasing and Factoring Companies, Privat Equity/Venture Capital Funds and Real Estate Companies. Dr. Jan Fasshauer studied business administration and economics at London School of Economics and Political Sciences (LSE) and at University of Giessen, was awarded with a doctorate (PhD.) in international accounting at University of Giessen, and is 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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Kais Martin
Kais Martin Khader
Senior Manager, Asset Backed Securitisation
Volkswagen Bank GmbH
Kais Khader has been leading the ABS Structuring team at Volkswagen Bank GmbH in Braunschweig since 2019. In this role, he currently oversees the global ABS issuance activities of all Volkswagen Financial Services subsidiaries (excluding USA and Canada). Volkswagen Financial Services and its subsidiaries are one of the largest Auto ABS issuers in the world with a global outstanding volume of approximately EUR 50.0bn. With over ten years of experience in the securitization industry, he has fulfilled a number of roles within the ABS Structuring team and has been instrumental in developing investor relations with key partners in the primary markets. Since joining the team in 2012, he has helped to further cultivate the VCL and Driver brands into a globally recognized standard and has promoted ABS as a strategic refinancing instrument within the VW Group.
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Oliver
Dr Oliver Kronat
Partner, Global Financial Markets
Clifford Chance Partnerschaft mit beschränkter Berufshaftung
Dr Oliver Kronat is Partner in the Frankfurt office of Clifford Chance. Oliver specialises in advising on German and international structured finance transactions. His experience includes the securitisation of trade, consumer, leasing and loan receivables and the establishment of ABCP Conduit Programmes. as well as Fintech, Speciality Finance and Fund-Linked Note transactions. He also advises on the restructuring of securitisation and other structured finance transactions as well as on securitisations by insolvent companies.
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Sebastian
Sebastian Oebels
Counsel, International Dept Capital Markets,
Hogan Lovells International LLP
Sebastian Oebels advises national and international companies on German and international securitisations and other structured finance transactions. He focuses on all legal aspects of debt capital markets products including asset backed securitisations (STS and non-STS) as well as debt issuance programmes. In particular, Sebastian has gathered wide experience in advising banks, issuers and originators on auto loans/leases and trade receivables securitisations. Sebastian studied law at the University of Frankfurt am Main and works in the structured finance practice since 2015.
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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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Fabienne
Fabienne Riefer
Senior-Analystin,
Creditreform Rating AG
Fabienne Riefer ist Senior-Analystin Public Finance bei der Creditreform Rating AG in Neuss. Schwerpunkte ihrer Tätigkeit sind derzeit die Analyse volkswirtschaftlicher Entwicklungen in europäischen Ländern sowie der Finanzierungsmärkte. In ihrer beruflichen Laufbahn hat die Diplom-Volkswirtin (Universität des Saarlandes) u.a. Analystenpositionen im Finanzsektor Deutschlands und Großbritanniens bekleidet.
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Stefan
Stefan Rolf
Global Head of Securitisation and Private Debt,
IQ-EQ Netherlands N.V.
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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Christian
Dr Christian Thun
Chief Executive Officer (CEO),
European DataWarehouse GmbH
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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David
David Tuchenhagen
Director, Local Head Asset Securitisation Germany, Asset Securitisation Germany
ING Bank - a branch of ING-DiBa AG
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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Event management