True Sale International: TSI Workshop: Transparency & Disclosure in EU Securitisations – Requirements, Experiences and Current Developments

As ECB and ESAs just restated, Transparency and disclosure are written large in securitisation: Since the EU Securitisation Regulation came into force in 2019, securitisation is not only the first financial product to be regulated uniformly across Europe, but also the most transparent.

However, in its review of the Securitisation Regulation last year, the EU Commission made a number of significant findings, which concern, among other things, the transparency rules. The disclosure requirements according to Art. 7 of the Securitisation Regulation are in need of improvement, as both content and form do not meet the requirements of efficient and addressee-oriented information, this applies in particular to the disclosure templates. It is therefore only logical that ESMA, as the competent regulatory authority, has launched a corresponding review.

In the context of the discussion on sustainability regulation and the European Green Bond Standard, stronger transparency requirements are also being discussed - reason for a critical stocktaking and discussion on which goals can be sensibly achieved with which reporting obligations!

Agenda

Tuesday, 23 May 2023

9.30 – 9.45	Welcome by TSI Jan-Peter Hülbert, TSI
9.45 – 10.45	Importance of transparency & disclosure for securitisations Moderator: Dr Stefan Henkelmann, Allen & Overy Speakers: Liliana Bara de La Fuente, European Central Bank Stefan Rolf, IQ-EQ Bernhard Zahel, DWS Investment Review of historical development of transparency in EU Securitisations Development of Investor reporting, Loan Level Data and rating agencies reports Investor Perspective
10.45 – 11.05	Coffee Break
11.05 – 12.00	Status Quo of Art. 7 of the Securitisation Regulation (SECR) – does it work? Moderator: Dr Sven Brandt, Hogan Lovells Speakers: Michael Limbach, BayernLB Andras Vajda, IconicChain ReCap of the requirements under Art. 7 of the SECR, Interpretations and questions of application Special features of private securitisations Discussion points: Transaction Summary, Significant Events, Trigger Breaches
12.00 –13.00	Reporting requirements for Private ABS – quo vadis? Moderator: Sandra Wittinghofer, Baker McKenzie Speakers: Arndt Beuermann, Commerzbank Timo Menzel, BearingPoint Investors, Supervision and Public – Who needs what information? Art. 7, investor reports, ECB notification and Corep Requirement of different reporting standards, regulatory ambiguities in private securitisations, challenges for originators
13.00 –14.15	Lunch Break
14.15 – 15.10	ESMA Disclosure Templates, Review and the Role of Securitisation Repositories Moderator: Shaun Baddeley, AFME Speakers: Basak Aktay, European DataWarehouse Rob Ford, TwentyFour Asset Management Bastian Menges, Santander Consumer Experiences from 3 years of Disclosure Templates Data Quality, Acceptance by Public ABS, EBE European Benchmark Exercise Streamlining of templates; uniform templates for all asset classes? uniform reporting via securitisation register? Review process and upcoming ESMA consultation
15.15 – 16.15	Outlook for transparency, disclosure and ESG reporting Moderator: Dr Christian Thun, European DataWarehouse Speakers: Alexander Batchvarov, Bank of America Merrill Lynch Kais Khader, VWFS Philippe Laporte, Unión de Créditos Inmobiliarios Sebastian Schütz, Deutsche Bundesbank What target should we pursue for transparency and disclosure? Proportionality as a guiding principle? ESG and the role of data in Securitisation
from 16.15	Get together

Speakers

Tuesday, 23 May 2023

Basak Aktay is European DataWarehouse's (EDW’s) Head of Sales and Customer Relations. Prior to joining EDW in 2013, she worked at DZ Bank as a product manager with a focus on German capital markets. In addition to her current role at EDW, Basak also teaches at the Frankfurt School of Finance & Management. She has also held various management roles in technology and ecommerce departments at Commerzbank and Isnet and has an MBA from Manchester Business School as well as a MSc degree in Computer Engineering from Universität Duisburg-Essen.

Shaun Baddeley is Managing Director, Securitisation at AFME. Before that, he was MD, Head of European ABS at Santander CIB. He had several roles covering origination, structuring for funding and capital management. Before that he spent ten years at Fitch Ratings analysing Structured Credit, CDO Asset Managers and Performance Analytics. He began his career in HM Forces as a Captain in the Royal Armoured Corps. Shaun holds an MBA from Cranfield, attended Royal Military Academy Sandhurst, and has a BA Joint Hons from Exeter University.

Liliana Bara has spent the last seven year in securitisation related topics within the Eurosystem. In her role as senior risk expert at the ECB, she is involved in ABS topics both from collateral and investor perspective. She has substantial expertise in credit risk analysis and contributes on an ongoing basis to the due diligence process for the ABSPP. Previously she worked in the risk division of corporate and investment banking in BBVA, evaluating derivative and structured transactions and their associated risks. She is a CFA Charterholder and holds a MSc degree in Economics and Finance from CEMFI and a B.A in Economics from Pompeu Fabra University.

Alexander Batchvarov currently heads International Structured Finance Research at BofA Merrill Lynch Global Research, encompassing securitisation, residential and commercial real estate financing, property derivatives, covered bonds, CDOs and consumer credit in EMEA, APAC and Lat Am. He has held this position since Oct 1998, and has also served as a Head and a Co-Head of Global Mortgages and other Structured Finance between 2007 and 2010.

Mr Batchvarov joined Merrill Lynch in 1998, he initiated and built up the research coverage for mortgages and other structured finance consecutively in Europe, Australia, Japan and the emerging markets in Asia, Middle East and Latin America. Before joining Merrill Lynch, Mr Batchvarov worked at Citibank, New York, as a Structured Finance analyst at Moody’s Securitisation team and as a Sovereign Analyst at Moody’s Sovereign Team in New York.
Mr Batchvarov earned a MSc degree in Economics and International Economic Relations from the National Institute of Economics in Sofia, Bulgaria, a PhD in Economics from the National Academy of Sciences in Sofia, Bulgaria, and an MBA from the University of Alberta Business School, in Edmonton, Canada. He is a CFA Charterholder and a Member of AIMR and NYSSA.

Arndt Beuermann ist bei der Commerzbank AG als Teamleiter für die Strukturierung und Umsetzung von Verbriefungstransaktionen für Kunden zuständig.Nach dem Universitätsabschluss begann Herr Beuermann als Trainee und Kreditanalyst bei der Dresdner Bank und wech-selte 2000 ins Verbriefungsgeschäft. Hier legte er 2003 seinen Aufgabenschwerpunkt auf die Strukturierung der Transaktionen. Seit 2004 ist er in leitenden Funktionen im Produktbereich Verbriefungen/ABS tätig. Herr Beuermann wirkte an zahlreichen Verbriefungen von Handels- und Leasingforderungen sowie Bankaktiva mit. Hierbei handelte es sich sowohl um True Sale Transaktionen in den Bereichen Conduit und ABS Bond wie auch um die synthetische Verbriefung von Bankkrediten.

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.

Rob Ford is one of the founding partners of TwentyFour and a portfolio manager in the firm's ABS team. His main responsibility is managing the firm’s ABS business, its public ABS funds and institutional mandates, and he is a member of the firm’s Asset Allocation Committee. Rob has been trading ABS since their inception and is recognised as one of the market’s leading authorities on the asset class, receiving Global Capital’s Outstanding Contribution to Securitization award in 2021. He is also a pivotal member of several high level market initiatives and steering groups.
Beginning his career in 1986, Rob previously spent over 20 years at Barclays Capital (formerly BZW) in London as a fixed income trader covering a broad range of instruments, where he established and managed the floating rate credit trading unit and was Managing Director and Head of European ABS Trading.

Dr Stefan Henkelmann is an Attorney with broad expertise advising on German and international capital markets transactions. Stefan specialises in advising on securitisations and other structured finance transactions (covering true sale, secured loan and synthetic structures across a broad range of asset classes), NPL transactions and restructurings in the capital markets sector (including bond restructurings and restructurings of securitisations and related assets). Another focus of his practice is the advice on bond transactions including Pfandbriefe, covered bonds, structured notes, hybrid and corporate bonds. Stefan has also broad experience in advising on all related regulatory and insolvency law matters. He is a lecturer for capital markets law at the Institute for Law and Finance of the Goethe University Frankfurt.

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.

Kais Khader joined the ABS structuring team of Volkswagen Financial Services AG (VW FS AG) in 2012. In recent years, he has worked on several ABS transactions in Germany, Mexico, Japan, Sweden and Australia. Furthermore, he continues to work on the establishment of new markets and ABS related products for VW FS AG. His wider field of activities also covers the support of treasury management functions for all VW FS entities in the Asia-Pacific region.

Philippe Laporte, in UCI (Mortgage special lender in Spain and Portugal, joint venture BNP Paribas – Santander) for more than 25 years, Deputy CEO with responsibility on areas such as global Risk Management, IT, after sale global Customer relationship and NPA management, global financial and credit risk models and ALM including Structured Finance. With more than 25 years’ experience in the Iberic RMBS market reopening the market under the Prado program in Spain in 2015 and Belem program in Portugal in 2020, this later being the first ever Green RMBS issued in the Iberic peninsula under the Green Bond principal, Green Prado XI followed in Spain in March 2023. Prior to joining UCI in 1997, Philippe worked at the Compagnie Bancaire (a then Banque Paribas subsidiary and shareholder of UCI) in Paris, Milan and Madrid always under the funding optimisation aspects. He graduated as an industrial engineer from ESTP (Paris) and earned a Finance MBA from ESSEC business school (Paris).

Michael Limbach has been working in the securitisation team with BayernLB for 10 years. He is responsible for quantitative analysis for the ABCP programme CORELUX S.A. domiciled in Luxembourg.
As a consultant Michael has implemented Basel II for numerous banks. Since 2006 his main focus has been on regulatory topics at BayernLB, in particular the increasing requirements in Regulatory Reporting, Risk Controlling and Portfolio Management.
Michael Limbach has studied Business Administration at HM Hochschule München and has an MBA degree.

Bastian Menges,
Santander Consumer Bank AG

CV follows

Timo Menzel leitet seit 2016 den Marktbereich Financial Advisory & Securitization Solutions der TXS GmbH. Seine bisherige Laufbahn führte ihn über Stuttgart, London, Frankfurt und Düsseldorf nach Hamburg. Dabei blieb er dem Thema „Securitization“ seit seinem Trainee-Programm bei der LBBW, das er 1996 startete, treu. Im Rahmen seiner beruflichen Stationen bei der LBBW und der Commerzbank AG war er sowohl für ABS Portfolio-Investments als auch die Akquisition und Strukturierung von Verbriefungstransaktionen verantwortlich. Als Leiter der Verbriefungsabteilung der IKB AG war er einerseits zuständig für das Geschäft mit den mittelständischen Kunden der Bank; andererseits realisierte er mit seinem Team zahlreiche synthetische Risikotransfertransaktionen zur Steuerung des regulatorischen Eigenkapitals der Bank. In seiner Funktion als Group Treasurer der IKB Leasing GmbH konnte er u. a. das Unternehmen erfolgreich als einen ABS-Qualitätsemittenten am Kapitalmarkt positionieren. Als Geschäftsführer der TXS steht Timo Menzel seinen Kunden als Ansprechpartner und Berater bei der Planung und Umsetzung asset-basierten Refinanzierungsstrategien zur Verfügung. Für BearingPoint treibt er als Business Development Senior Manager den Ausbau des Verbriefungsgeschäfts sowie die integrierte technologische Verknüpfung von Origination, Management und Funding insbesondere von Leasingverträgen voran. Timo Menzel ist Betriebswirt und hat in Deutschland, UK sowie den USA studiert.

Stefan Rolf is currently based in Amsterdam and the Global Head of Securitisation and Private Debt at IQ-EQ which is a leading service provider to the securitisation, structured finance and private debt sectors. Stefan is a seasoned senior leader with over 25 years’ experience in financial services and banking. He has worked in Germany, the Netherlands and Singapore holding a series of regional and global leadership roles, including Global Head of Securitisation for both Volkswagen Financial Services and ING Bank. Before joining IQ-EQ, Stefan was ING Bank’s Global Head of Balance Sheet Distribution. He graduated in 1996 with dual studies in Banking and an MBA from finance Academy in Hannover. In his new role, Stefan will drive the further development of IQ-EQ’s securitisation and private debt offering, building upon strong existing administration capabilities to add advisory, structuring and distribution services. He will also lead the expansion of the group’s global footprint in these areas, building out the client base worldwide.
Stefan is married, with one daughter.

Sebastian Alexander Schütz studied international economics with the focus on corporate finance and financial econometrics in Kiel and Copenhagen. In 2011 he became director of monetary policy, banking and finance at the Association of German Chambers of Industry and Commerce (DIHK) in Berlin and Brussels. Since July 2013 he worked for Deutsche Bundesbank in the market department and is head of capital market strategy.

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.

András Vajda is CEO and co-Founder of iconicchain with a focus on issuers, providing regulatory & compliance automation solutions based on private BC for highly regulated markets. András has over 20+ years executive, technology leadership & customer facing experience in the Financial and Telecom sector, having successfully led the execution of 10+ securitization, blockchain and regulatory compliance projects with multi-national banking and regulatory customers. András holds an MSc in Distributed Systems and is the author of several articles and a book.

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 Regulatory law by Handelsblatt and is also ranked in Chambers Europe 2022 for Capital Markets/Structured Finance.

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.