Registration with continental breakfast opens at 8:00 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
The implications of Statement 166
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
Securitization Structuring
Speaker to be announced
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
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 TALF Program Speaker to be Announced
The effect of the TALF program on the securitization market
The impact on the ABS markets and credit availability to consumers
What does TALF mean for both newly issued and legacy CMBS?
The complexities of the application and eligibility process
The uncertainties surrounding the program
Residential Mortgage-Backed Securities
Valuation and Pricing / Analysis and Trends Arthur Frank
Director and Head of MBS Research,
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 challenges of illiquid and volatile markets
The Ratings Perspective on Commercial Mortgage-Backed Securities
Speaker to be Announced
The ratings process; legal and credit analysis, cash flow structures
Structural choices and the impact on ratings
The outlook for CMBS 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
