TSI Training

26. Januar 2022

TSI Training

Intensivseminar Auto ABS und RMBS – True Sale nach der neuen Verbriefungsverordnung mit Case Study

The event
German
Dates
26. January 2022
08.45-17.35
27. January 2022
08.50-17.40
Online

Webinar-Plattform
Microsoft Teams

Teilnahmegebühr
1.100 EUR für TSI Partner
1.350 EUR für Nichtpartner

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 zehn 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, 26.01.2022

8.45 – 9.00 Uhr

Einwahl

9.00 – 9.45 Uhr

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

9.45 – 10.45 Uhr

Rechtliche Themen – Abtretung, Insolvenzabschirmung, steuerliche Fragen
Dr. Sven Brandt, Hogan Lovells

  • Rechtliche Anforderungen an True Sale Strukturen
  • Steuerliche Fragen
10.45 – 11.00 Uhr

Break

11.00 – 12.00 Uhr

Überblick über eine konkrete Verbriefungstransaktion aus dem Bereich Auto-ABS
Heiko Wiegmann, Volkswagen Bank

  • Underlying, Kreditvergabe und -bearbeitung
  • Portfolioauswahl
  • Transaktionstruktur
  • Projektablauf
  • Reporting
  • Was ist unter STS zu beachten
  • Vermarktung
12.00 – 12.15 Uhr

Break

12.15 – 13.15 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
13.15 – 14.15 Uhr

Mittagspause

14.15 – 15.15 Uhr

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

  • Ziel und Anwendungsgebiete
  • Bedeeutung 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
  • Modellierungsbeispiel
15.15 – 15.30 Uhr

Break

15.30 – 16.20 Uhr

Überblick 3rd Party Zertifizierung von STS-Transaktionen
Michael Osswald, SVI

  • Regulatorische Grundlagen
  • Verifizierungsprozess
  • Praxiserfahrungen
16.20 – 16.35 Uhr

Break

16.35 – 17.35 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

Donnerstag, 27.01.2022

8.50 – 9.00 Uhr

Einwahl 

9.00 – 10.00 Uhr

Eurosystem und Verbriefungen
Jonas Böhmer, Deutsche Bundesbank

  • Sicherheitenrahmen des Eurosystems
  • Eligibility Kriterien für ABS
  • Transparenzanforderungen des Eurosystems nach der neuen Verbriefungsregulierung
  • Haircut und Bewertungsfragen
  • Ankaufprogramme des Eurosystems
  • Letzte Geldpolitische Beschlüsse
10.00 – 10.15 Uhr

Break

10.15 – 11.15 Uhr

Übersicht über die Wohnhypothekenverbriefung (RMBS)
Stefan Rolf, 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
11.15 – 11.30 Uhr

Break

11.30 – 12.30 Uhr

Bilanzierungsfragen beim Originator und Investor
Tino Gallert, KPMG

  • Grundlagen des Bilanzabgangs
  • Konsolidierung, Bewertung
12.30 – 13.20 Uhr

Mittagspause

13.20 – 14.00 Uhr

Spatial Chat

14.00 – 15.00 Uhr

Ratingfragen – exemplarisch erläutert an einer Autotransaktion
Dr. Volker Läger, S&P Global Ratings 

Rating-Methodik

  • Transaktionsüberwachung und Ratingentwicklung
  • Konkrete Ratingfragen bei vorliegender Transaktion
15.00 – 15.15 Uhr

Break

15.15 – 16.15 Uhr

Marktentwicklung Autoverbriefungen
Dr. Benjamin Mohr, Creditreform Rating

  • Marktüberblick
  • Transaktionsentwicklung, Transaktionstypen
  • Originatoren
  • Spreadentwicklung
16.15 – 16.30 Uhr

Break

16.30 – 17.30 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
17.30 – 17.40 Uhr

Kurzes Resümee und Schlusswort der TSI Geschäftsführung
Jan-Peter Hülbert

Sven
Dr Sven Brandt
Partner, Head of the German Debt Capital Markets Practice Group, International Debt Capital Markets
Hogan Lovells International LLP
Dr. Sven Brandt is partner in the Frankfurt office of Hogan Lovells and heads the German capital markets practice. He has extensive experience in asset finance, capital markets (both interest and dividend-paying stock), structured finance (including derivatives), debt repackaging and securitisation.
Sven Brandt focuses on asset and structured finance transactions, capital markets products and regulatory implications of securities trading and settlement. Sven was a member of both the German regulators' (BaFin) and the Association of German Banks (BdB) securitisation leading working groups.
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Jonas
Jonas Böhmer
, Märkte
Deutsche Bundesbank
Jonas Böhmer, CFA, has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2018. This involves implementing the collateral framework and the asset-backed securities purchase programme (ABSPP). Prior to this, he had already worked for several years at the Bundesbank’s Risk Control division.
After completing his studies in Bonn as a graduate in economics, he initially worked in product and sales management at NRW.BANK. He then moved to the field of risk control at Santander Consumer Bank AG, where he was responsible, among other things, for monitoring car loan and consumer loan securitisation in the market risk department. He has been a CFA charterholder since 2016.
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Tino
Tino Gallert
Authorized signatory, auditor, Audit Financial Services
KPMG AG
Tino Gallert is a German Public Auditor and works in the Financial Services department of KPMG AG Wirtschaftsprüfungsgesellschaft in Frankfurt/Main. As a Senior Manager he provides assurance services as well as accounting related consulting services in the structured finance area (esp. factoring, ABS-transactions, supply chain finance and leasing). He is very experienced in the audit of statutory and group financial statements under German GAAP and IFRS of banks, leasing and factoring companies, commercial clients as well as real estate companies. Tino Gallert studied business administration at the University of Bayreuth and is an author of various accounting related publications.
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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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Volker
Volker Läger
Director, Sector Lead EMEA ABS, Structured Finance Ratings
S&P Global Ratings Europe Limited
Dr Volker Laeger is a Senior Director with S&P Global Ratings in the European Structured Finance Group, based in Frankfurt (Germany), and Sector Lead for EMEA ABS. Since joining Standard & Poor’s in January 2006, he is focusing on securitizations of predominantly consumer assets and has been involved in various true sale and synthetic transactions like Auto and Consumer ABS, RMBS, SME CLO, CDO and ABCP transactions. He currently holds the role of Sector Lead for EMEA ABS. Prior to joining S&P Global Ratings, Volker had worked four years as sales person in the fixed income department of Merrill Lynch, Frankfurt. Volker holds a PhD in Finance and a degree in Business Administration from the University of Bamberg.
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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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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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Stefan
Stefan Rolf
,
ING Bank - a branch of ING-DiBa AG
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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Heiko
Heiko Wiegmann
, Treasury Department
Volkswagen Bank GmbH
Heiko Wiegmann ist bei der Volkswagen Bank GmbH im Bereich ABS Strukturierung tätig.
Seit 2009 hat er an verschiedenen ABS Term Transaktionen und revolvierenden Master Transaktionen für die VWFS AG und die VW Bank GmbH in Deutschland, Australien, UK, Niederlande, Frankreich, Italien und Schweden gearbeitet.
Neben der Forderungsverbriefung arbeitet er an der Etablierung neuer ABS Märkte und ABS-verbundener Produkte für die VW Bank GmbH und die VWFS AG.
Herr Wiegmann hat einen Abschluss als Diplom-Betriebswirt an der Verwaltungs- und Wirtschaftsakademie Braunschweig erworben.
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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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