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 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 de-recognition 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
Peter P. Candell, Executive Director, J.P. Morgan

  

• 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 management tool
• What the future holds for MBS/ABS structuring

The Investor Perspective
Guest speaker to be announced

• Strategies for building a portfolio of structured finance assets
• Analyzing the opportunities and risks associated with investing in various asset classes
• The impact on investment strategy of changes to rating methodologies and regulation
  

Day One concludes at approximately 5:30 p.m.

 

Day Two

Continental breakfast opens at 8:00 a.m.

Session 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 Ratings Perspective on Automobile ABS
Christopher O'Connell, Senior Vice President, U.S. & European Structured Finance, DBRS

• 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

Residential Mortgage-Backed Securities:
Valuation and Pricing / Analysis and Trends
Anish Lohokare, Head of MBS Strategy, BNP Paribas

 

• 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 Outlook for Non-agency MBS 

Diane Westerback, Managing Director of Structured Finance Surveillance Analytics, Standard & Poor's

• Initiatives to restore new issuance
• The challenges of illiquid and volatile markets

The Ratings Perspective on Commercial Mortgage-Backed Securities

Annelisse Osborne, Vice President and Senior Analyst, CMBS, Moody's Investors Service

• The ratings process; legal and credit analysis, cash flow structures
• Structural choices and the impact on ratings

Regulatory Reform Affecting the Industry

Jerry R. Marlatt, Senior Of Counsel, Morrison & Foerster LLP

• The SEC's REG AB proposals
• Elements of financial regulation that will impact the securitization market and what they mean for the industry

The FDIC Safe Harbor Rule

Lauren Anderson, Special Advisor to the Deputy of Policy, FDIC

 

Program concludes at approximately 5:15 p.m.