TSI Training

25. April 2023

TSI Training

Intensivseminar True Sale Verbriefung (Auto ABS)

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The event
German
Dates
25. April 2023
13.45-17.00
26. April 2023
13.45-17.15
27. April 2023
13.45-18.00
11. May 2023
14.45-18.20
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 dreizehn Jahren dazu beigetragen, dass sich bei allen beteiligten Parteien ein einheitliches Qualitätsverständnis herausbildet, was unter den neuen Verbriefungsregeln noch an Bedeutung gewinnt.

Wir haben unser bewährtes zweitägiges Intensivseminar dieses Mal auf vier Nachmittage aufgeteilt. Wir möchten Ihnen so die Möglichkeit geben, trotz voller Kalender einen Zugang zu den relevanten Themen der Verbriefungswelt aus rechtlicher, bilanzieller, regulatorischer, wirtschaftlicher und praktischer sowie kreditprozessbezogener Sicht zu erhalten.

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
  • Die Investorensicht

Agenda

Dienstag, 25.04.2023

13.45 – 14.00 Uhr

Einwahl

14.00 – 14.45 Uhr

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

14.45 – 15.45 Uhr

Rechtliche Themen – Abtretung, Insolvenzabschirmung, steuerliche Fragen
Sandra Wittinghofer, Baker McKenzie 

  • Rechtliche Anforderungen an True Sale Strukturen
  • Steuerliche Fragen
  • SWAP-Rolle und Mechanismen
  • „Securitisation of lease receivables“
15.45 – 15.55 Uhr

Pause

15.55 – 17.00 Uhr

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

  • Underlying, Kreditvergabe und -bearbeitung
  • Portfolioauswahl
  • Transaktionstruktur
  • Projektablauf
  • Reporting
  • Was ist unter STS zu beachten
  • Vermarktung
  • Ökonomische Aspekte „Securitisation of lease receivables“

Mittwoch, 26.04.2023

13.45 – 14.00 Uhr

Einwahl

14.00 – 15.00 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
15.00 – 16.15 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
16.15 – 16.25 Uhr

Pause

16.25 – 17.15 Uhr

Überblick Drittpartei-Verifizierung von STS-Transaktionen
Salah Maklada, SVI 

  • Regulatorische Grundlagen
  • Verifizierungsprozess
  • Praxiserfahrungen

Donnerstag, 27.04.2023

13.45 – 14.00 Uhr

Einwahl

14.00 – 15.00 Uhr

European DataWarehouse
Dr. Christian Thun, EDW

  • Offenlegungspflichten nach Art. 7 SecReg
  • EDW - vom Data Repository  zum Securitisation Repository
  • Aktuelle Diskussion um weitere Offenlegung
  • Vorteile von Daten im aktuellen Marktumfeld
15.00 – 16.00 Uhr

Eurosystem und Verbriefungen
Sven Lissek, Deutsche Bundesbank

  • Sicherheitenrahmen des Eurosystems
  • Eligibility Kriterien für ABS
  • Transparenzanforderungen des Eurosystems
  • Haircut und Bewertungsfragen
  • Aktuelle Geldpolitische Beschlüsse (inkl. Ankaufprogramme)
16.00 – 16.10 Uhr

Pause

16.10 – 17.10 Uhr

Bilanzierungsfragen beim Originator und Investor
Tino Gallert, KPMG

  • Grundlagen des Bilanzabgangs
  • Konsolidierung, Bewertung
17.10 – 18.00 Uhr

Spatial Chat

Donnerstag, 11.05.2023

14.45 – 15.00 Uhr

Einwahl

15.00 – 16.00 Uhr

Ratingfragen – exemplarisch erläutert an einer Autotransaktion
Roberto Amato, S&P Global Ratings Europe

  • Rating-Methodik
  • Transaktionsüberwachung und Ratingentwicklung
  • Konkrete Ratingfragen bei vorliegender Transaktion
16.00 – 17.00 Uhr

Marktentwicklung Autoverbriefungen
Dr. Benjamin Mohr, Creditreform Rating 

  • Marktüberblick
  • Transaktionsentwicklung, Transaktionstypen
  • Originatoren
  • Ausblick
17.00 – 17.10 Uhr

Pause

17.10 – 18.10 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
18.10 – 18.20 Uhr

Kurzes Resümee und Schlusswort der TSI Geschäftsführung
Jan-Peter Hülbert, TSI

Roberto
Roberto Amato
Associate Director, Structured Finance
S&P Global Ratings Europe Limited
Roberto is Associate Director in the EMEA Structured Finance team based in Frankfurt.

Since joining S&P Global Ratings in 2019, he has been involved in transactions covering a variety of asset classes, including Residential Mortgage-Backed Securities, secured and unsecured ABS and Commercial Paper.

Roberto holds a BSc in Economics from the University of Bergamo, Italy and a MSc in International Economics from the University Tübingen, Germany.
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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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Sven
Sven Lissek
Administrator, Notenbankfähige Sicherheiten
Deutsche Bundesbank
Sven Lissek has been working in the division for Strategic Issues in the Bundesbank’s Directorate General Markets since 2020. This involves the operational implementation of the collateral framework and the asset-backed securities purchase programme (ABSPP) as well as strategic analyses in regards to the monetary policy framework. Apart from assessing the eligibility as collateral of German ABS and contributing to the ABSPP due diligence procedures for the Eurosystem, he is conducting analytical work concerning the implementation of monetary policy with a focus on big data.
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Salah
Salah Maklada
Director,
STS Verification International GmbH
Salah Maklada
Director

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.

Tel: +49 (0)69 8740 344-45
E-mail: salah.maklada@svi-gmbh.com

CV

Work experience

since
March 2023 Director, STS Verification International GmbH, Frankfurt am Main

2021 - 2023 Associate Director, STS Verification International GmbH, Frankfurt am Main

2011 – 2021 Senior Manager (2020-2021) Credit & Securitisation Advisory, Deloitte Wirtschaftsprüfungsgesellschaft GmbH, Düsseldorf

2015 – 2016 Assistant Manager (Secondment) Banking & Capital Markets, Deloitte LLP, London (UK)

Education

2005 – 2011 Master of Science in Business Management (Diploma degree program): Fields of Specialisation: Banking, Finance and Economics. Master Thesis: “The instruments of credit risk transfer in cooperative financial institutions in Germany”; University of Cologne

1997 – 2001 High school in Haifa, Israel. Degree: Israeli high school certificate

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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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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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Sandra
Sandra Wittinghofer
Partner, Banking & Finance
Baker McKenzie Rechtsanwaltsgesellschaft mbH von Rechtsanwälten und Steuerberatern
Sandra Wittinghofer advises national and international banks and corporations in matters of finance and regulatory law. Her focus on structured finance and related banking regulatory matters covers work for arrangers, sponsors, originators, trustees and rating agencies. She has extensive experience in ABCP securitization transactions as well in term transactions, covering a wide range of asset classes. Since June 2019, she has been listed under "Best Lawyers" for Banking and Finance and Banking Regulatory law by Handelsblatt and is also ranked in Chambers Europe 2023 for Capital Markets - Structured Finance.
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