Day One
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
- Motivations for securitization transactions versus other financing methods
- Parties to securitizations, including sponsors and issuers
- Pass-through versus tranched and one versus two-step securitization structures
- Retained and distributed risks and rights
Accounting for Asset-Backed Securities
Dr. Stephen Ryan
- FAS 140, as amended in June 2009 by FAS 166; how this guidance governs the accounting and disclosures for transfers of most types of financial instruments
- Nature and limitations of FAS 140/166 concepts used in the application of gain-on-sale accounting, i.e., financial components, control and fair valuation of retained interests
- The implications of FAS 166's elimination of QSPEs, restricted definition of participating interests, clarification of derecognition criteria and changed quantification of gains on sale
- FAS 166's expanded disclosures of transferors' continuing involvements and restrictions regarding the transferred assets and the effects of securitizations on financial reports
- Analysis and accounting for financial asset servicing rights under FAS 156
Securitization Structuring
Guest Instructor to be announced
- Selection and bundling of underlying collateral of asset-backed securities
- Risk structures: understanding key aspects of tranching/subordination, over-collateralization, excess interest, and other forms of credit enhancement
- Recognizing and valuing the impact of embedded options, pre-payment risk, and default risk
- Cliff-risks; the ability of small slivers to create big problems
- The use of interest rate derivatives
- Securitizations as a valuation and risk managment tool
- What the future holds for MBS/ABS structuring
Day One concludes at approximately 4:45 p.m.
Day Two
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 under FIN 46(R) as amended in June 2009 by FAS 167, and the measurements and classification of hybrid financing instruments
- The implications of FAS 167's ongoing and qualitative assessment of the primary beneficiary of variable interest entities
The Troubled ABS Loan Facility (TALF) Program
Guest Instructor 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
- What happens now that the program has been extended
Residential Mortgage-Backed Securities
Valuation and Pricing / Analysis and Trends
Guest Instructor to be announced
- Fundamental and relative value overview
- Elements of fundamental valuation in an illiquid environment
- Data focus in a rapidly changing environment: limitations on ABX indices as proxies for value
- The impact of pre-payment, home price appreciation, movements in rates
- Embedded options
- The outlook for agency and non-agency MBS
- The challenges of illiquid and volatile markets
The Ratings Perspective on Commercial Mortgage-Backed Securities
Guest Instructor to be announced
- The ratings process; legal and credit analysis, cash flow structures
- Structural choices and the impact on ratings
Guest Instructor to be announced
- Key factors in card performance: revolving and unsecured assets, general purpose vs. private label portfolios
- Assessing financial strength of the originator
- Structural analysis; finance charge allocation, principal allocation, amortization triggers, cash flow waterfalls
- Loan modifications and step-downs
- The outlook for Credit Card ABS and ratings
The Ratings Perspective on Automobile ABS
Guest Instructor to be announced
- Asset transfer; true-sale vs. pledge
- Issuer bankruptcy considerations
- Losses; portfolio performance analysis, pool and peer comparisons
- Credit risk and enhancement; credit scoring, advance rates, loan maturity, debt to income, contract terms
- The outlook for Auto ABS and ratings
Program concludes at approximately 4:45 p.m.
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