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Detailed Agenda Detailed Agenda Sunday, January 29, 2006 Overview ASF 2006 begins with expanded “Securitization Institute” programming – education and training modules offering an overview of securitization market concepts and topics, a more specialized focus on key asset classes, and the legal, regulatory and accounting framework governing the securitization market. In addition, sessions dealing with advanced analytic concepts are offered for more experienced market professionals. Core sessions are repeated during the afternoon. A welcoming networking reception is offered to all attendees in the early evening, followed by private client entertainment events. 12:30pm - 1:30pm Concurrent Breakout Sessions: Securitization 101 -- Introduction to Securitization (Room - Mouton 2) A basic primer on securitization market concepts, products and markets • What is securitization and why is it important? • Overview of securitized assets and transaction structures • Key economic, financial, legal, operational and business motivations and considerations for investors, issuers and others. • Securitization within the broader debt and credit markets – key differences between ABS/MBS and corporate bonds • Role and function of key transaction participants Speaker: Richard Simonds, Partner – Thacher, Proffitt & Wood LLP MBS Market – Concepts and Topics (Room – Mouton 1) Focus on the mortgage-backed securities market as the central securitization asset class • Overview of the U.S. primary mortgage origination market • Historical and future roles of the GSEs in the mortgage market • The process of MBS securitization: product origination through deal execution • Taxonomy of mortgage collateral types, CMO structures, and valuation of MBS • Current themes: The evolving mortgage finance marketplace Speaker: Mark Adelson, Director - Nomura Securities International, Inc. The Securitization Legal and Regulatory Framework (New York CLE Credit Available) (Room – Margaux 1) How does the business of securitization intersect with law and regulation? • How are securitization markets and participants regulated, and by whom? • Overview of the U.S. legal framework for securitization transactions – commercial and business law, the UCC, bankruptcy/insolvency law and more. • Federal securities and banking laws and regulations – key provisions • Current topics and controversies: Have we put Enron behind us? Speaker: Anthony Nolan, Partner - Goodwin Procter LLP CMBS 101® - An Introduction to Commercial Mortgage-Backed Securities (Room – Lafite 4) Overview of the growing CMBS market and the securitization process involving commercial real estate debt obligations, sponsored by the Commercial Mortgage Securities Association (presented by CMSA) • Who are the key players in the CMBS market? • Where does the money go? • How do you structure and sell CMBS? • Who invests in CMBS and why? • New CMBS market developments and directions Speakers: Gale Scott, Managing Director, Standard & Poor’s Joseph Franzetti, Managing Director – Citigroup Sunday, January 29, 2006 Continued – 1:35pm - 2:35pm Concurrent Breakout Sessions: Securitization 201 – A Primer on Risk and Value (Room – Mouton 2) What are the principal drivers of risk and value in securitization transactions? • Examination of credit and non-credit risks • Payment characteristics of risky bonds • Credit enhancement: “what you see” and “what you get” • Valuation norms in different market sectors and relative value opportunities • A consumer’s guide to ratings and the rating agency process Speaker: Dennis Kraft, Head of Consumer ABS Research – Wachovia Corporation The Securitization Accounting Framework (Room – Mouton 1) Key accounting principles and their effect on securitization market activities • Overview of the accounting framework for securitization under U.S. GAAP • Securitization and its impact on the traditional financial reporting statement • IFRS and U.S. GAAP: Is convergence in the future? • Current topics and controversies: gain-on-sale, derecognition, legal isolation, consolidation, fair value accounting and more. Speaker: Ann Kenyon, Director – Deloitte & Touche LLP Securitization 301 – Dynamic Structuring and Analysis (Room – Margaux 1) Advanced treatment of deal structuring and performance/risk analysis • Quantitative analysis of non-credit risks • Risk metrics for dynamic risk and valuation analysis • Prepayments, option pricing, convexity, volatility and other advanced analytic concepts • Buying and selling credit risk: The vocabulary and metrics of credit default modeling Speaker: Ann Rutledge, Principal – R & R Consulting CMBS 101® - An Introduction to Commercial Mortgage-Backed Securities (Continued) (Room – Lafite 4) Overview of the growing CMBS market and the securitization process involving commercial real estate debt obligations, sponsored by the Commercial Mortgage Securities Association (presented by CMSA) • Who are the key players in the CMBS market? • Where does the money go? • How do you structure and sell CMBS? • Who invests in CMBS and why? • New CMBS market developments and directions Speakers: Gale Scott, Managing Director, Standard & Poor’s Joseph Franzetti, Managing Director – Citigroup 2:35pm - 2:50pm Break (Room – Lafite 2 & 5) 2 1/27/2006 Sunday, January 29, 2006 Continued – 2:50pm - 3:50pm Concurrent Breakout Sessions: Securitization 301 – Dynamic Structuring and Analysis (Room – Mouton 2) Advanced treatment of deal structuring and performance/risk analysis • Quantitative analysis of non-credit risks • Risk metrics for dynamic risk and valuation analysis • Prepayments, option pricing, convexity, volatility and other advanced analytic concepts • Buying and selling credit risk: The vocabulary and metrics of credit default modeling Speaker: Evan Firestone, President – Firestone Consulting Securitization 201 – A Primer on Risk and Value (Room – Mouton 1) What are the principal drivers of risk and value in securitization transactions? • Examination of credit and non-credit risks • Payment characteristics of risky bonds • Credit enhancement: “what you see” and “what you get” • Valuation norms in different market sectors and relative value opportunities • A consumer’s guide to ratings and the rating agency process Speaker: Marcus Edmonds, Associate – SG Corporate & Investment Banking The Securitization Legal and Regulatory Framework (New York CLE Credit Available) (Room – Lafite 3) How does the business of securitization intersect with law and regulation? • How are securitization markets and its participants regulated, and by whom? • Overview of the U.S. legal framework for securitization transactions – commercial and business law, the UCC, bankruptcy/insolvency law and more. • Federal securities and banking laws and regulations – key provisions • Current topics and controversies: Have we put Enron behind us? Speaker: Cameron Cowan, Partner – Orrick, Herrington & Sutcliffe CMBS 101® - An Introduction to Commercial Mortgage-Backed Securities (Continued) (Room – Lafite 4) Overview of the growing CMBS market and the securitization process involving commercial real estate debt obligations, sponsored by the Commercial Mortgage Securities Association (presented by CMSA) • Who are the key players in the CMBS market? • Where does the money go? • How do you structure and sell CMBS? • Who invests in CMBS and why? • New CMBS market developments and directions Speakers: Gale Scott, Managing Director, Standard & Poor’s Joseph Franzetti, Managing Director - Citigroup 3 1/27/2006 Sunday, January 29, 2006 Continued – 3:55pm - 4:55pm Concurrent Breakout Sessions: Securitization 101 -- Introduction to Securitization (Room – Mouton 2) A basic primer on securitization market concepts, products and markets • What is securitization and why is it important? • Overview of securitized assets and transaction structures • Key economic, financial, legal, operational and business motivations and considerations for investors, issuers and others. • Securitization within the broader debt and credit markets – key differences between ABS/MBS and corporate bonds • Role and function of key transaction participants Speaker: Mary Kane, Vice President – Citigroup MBS Market – Concepts and Topics (Room - Mouton 1) Focus on the mortgage-backed securities market as the central securitization asset class • Overview of the U.S. primary mortgage origination market • Historical and future roles of the GSEs in the mortgage market • The process of MBS securitization: product origination through deal execution • Taxonomy of mortgage collateral types, CMO structures, and valuation of MBS • Current Themes: The evolving mortgage finance marketplace Speaker: Thomas Zimmerman, Senior Vice President – UBS Financial Services Inc. The Securitization Accounting Framework (Room – Lafite 3) Key accounting principles and their effect on securitization market activities • Overview of the accounting framework for securitization under U.S. GAAP • Securitization and its impact on the traditional financial reporting statement • IFRS and U.S. GAAP: Is convergence in the future? • Current topics and controversies: gain-on-sale, derecognition, legal isolation, consolidation, fair value accounting and more. Speaker: David Lukach, Partner – PricewaterhouseCoopers LLP CMBS 101® - An Introduction to Commercial Mortgage-Backed Securities (Continued) (Room – Lafite 4) Overview of the growing CMBS market and the securitization process involving commercial real estate debt obligations, sponsored by the Commercial Mortgage Securities Association (presented by CMSA) • Who are
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