Registration with continental breakfast opens at7:30 a.m. Program begins at 8:30 a.m.
The Asset Securitization Process
Dr. Stephen Ryan, Peat Marwick Faculty Fellow, NEW YORK UNIVERSITY
Key concepts, terms, types of collateral and types of deals
Key motivations for securitization transactions
Financing methods
Parties to securitization, including sponsors versus issuers
Differences between pass-through and tranched securitizations.
Accounting for Asset-Backed Securitizations Dr. Stephen Ryan
FAS 140; how it governs the accounting and disclosures for transfers of most types of financial instruments
Nature and limitations of FAS 140 concepts used in the application of gain-on-sale accounting, i.e., financial components, control and (relative) fair value
Analysis and accounting for financial asset servicing rights under FAS 156
Two-step CMO securitization structures, including retained and distributed risks and rights
Fair value accounting
Case studies of the accounting and disclosures surrounding securitization issues by prime and subprime issuers
Structuring MBS and ABS Patrick DellaValle,
Vice President, Structured Products
SUNTRUST ROBINSON HUMPHREY
Selection and bundling of underlying collateral of mortgage-backed securities: FRMs vs ARMs, credit scoring and quality, originating institutions
Risk structures: understanding key aspects of tranching/subordination, over-collateralization, excess interest, and other forms of credit enhancement
Recognizing the impact of embedded options, pre-payment risk, and default risk
Cliff-risks"; the ability of small slivers to create big problems
What the future holds for MBS/ABS structuring
Day One concludes at approximately 5 p.m.
Day Two - Thursday, May 22
Day Two begins at 8:30 a.m.
Structured Finance Dr. Stephen Ryan
Structured finance transactions, including special-purpose/variable-interest entities, webs of related transactions, hybrid financing instruments and financial guarantees
Accounting and analysis issues accompanying most structured finance transactions,
including the consolidation of variable interest entities and the measurement and classification of hybrid financing instruments
The Subprime Fallout and Implications for Fair Value Dr. Stephen Ryan
What got us here and how the subprime credit crisis has unfolded
Consequences of the credit crisis; the contagion effects
The impact on valuation, mark-to-market reporting and financial position; what assets to write down, when and how
Residential Mortgage-Backed Securities - Valuation and Pricing / Analysis and Trends Arthur Frank, Director and Head of MBS Research,
DEUTSCHE BANK SECURITIES
Marc Silie, MBS Strategist, DEUTSCHE BANK SECURITIES
Fundamental and relative value overview; the pros and cons of fundamental valuation in an illiquid environment
Data focus in a rapidly changing environment: ABX indices as proxies for value; the impact of pre-payment; home price appreciation; movements in rates
Embedded options; OAS models and their efficacy
The outlook for agency and non-agency MBS
The Ratings Perspective on Residential Mortgage-Backed Securities Kei Ishidoya, Director, Fitch Ratings
Separating AAA from BBB: what has changed and what is the same
Evaluating collateral and credit risk: frequency and severity of losses, loan, borrower and property characteristics; underlying data used by ratings agencies - FICO scores, cumulative LTV, home price appreciation
Structural choices and credit enhancement impact on ratings
Loan modifications and step-downs
The outlook for RMBS and ratings
The Ratings Perspective on Credit Card ABS Ildiko Szilank , Director, Structured Finance, STANDARD & POOR'S
The ratings process; legal and credit analysis, cash flow structures
Key factors in card performance: revolving and unsecured assets, general purpose vs. private label portfolios
