SNL Securitization 2009

Register befo re 10 /2 and save $300 ! …the implica tions of FA S 166 and 167 …Re-R EMIC s …the impac t of TA LF Includes cove rage of Securitization Analysis and Application Understanding the accounting, structuring and disclosure issues that accompany securitized instruments November 17-18, 2009 New York, NY Securitization Analysis and Application Now more important than ever, and developed specifically for professionals who must analyze and work with securitized instruments, Securitization: Analysis and Application is an unparalleled deep dive into the essential topics. Presented by SNL Center for Financial Education, an affiliate of SNL Financial. Website: www.snlcenter.com www.snlcenter.com/securitization L ed by a renowned academic and featuring a team of seasoned industry practitioners, Securitization: Analysis and Application addresses the foundations of accounting for and structuring securitizations, along with insights on how the current credit cycle and government intervention is impacting securitization issuance and investing, and what the future holds for the secondary market and new issues. “With the securitization market reviving, don’t miss this opportunity to understand the fundamentals and bring yourself up-to-date on the latest guidelines and outlook in the MBS/ABS marketplace.” You’ll come away with the knowledge to • Understand securitization and structured finance transactions and their impact on an institution’s financial position and results • Credibly discuss and analyze the accounting and disclosure issues surrounding securitizations, including the impact of FAS 166 and FAS 167 • Weigh the risk/return and structuring trade-offs that impact asset quality • Understand the key benefits and risks of structuring, including over-collateralization, subordinate tranches, excess spread and other means of credit enhancement rights, recourse obligations and gain-on-sale accounting • Assess the impact of a securitization on the financial stability of an institution • Look behind the ratings at the revised underlying methodologies and interpret what the ratings mean in a rapidly changing environment • Understand the present and future impact of the TALF • Determine the impact of a securitization on servicing program This program examines securitization in relation to other corporate financing options, comparing the risk and return characteristics of these instruments, and how financial institutions account for securitization transactions. Participants will learn to identify and mitigate the various risks involved, understand the fundamental and practical valuation techniques in the context of liquid and illiquid markets, and will be exposed to the differences in how rating agencies measure credit quality and risk. Agenda www.snlcenter.com/securitization DAY ONE - Tuesday, November 17 Registration with continental breakfast at 8:00 am 8:30 The Asset Securitization Process Dr. Stephen Ryan, Peat Marwick Faculty Fellow, Stern School of Business, NYU 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 10:00 10:15 Refreshment Break Accounting for Asset-Backed Securities Dr. Stephen Ryan FAS 140, as amended in June 2009 by FAS 166; how it 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 12:00 1:00 Lunch Accounting for Asset-Backed Securities (cont.) Dr. Stephen Ryan 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 3:00 3:15 Refreshment Break Securitization Structuring Peter Candell, Executive Director, JP 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 Day One concludes at approximately 4:45 p.m. Agenda DAY TWO - Wednesday, November 18 Continental breakfast opens at 8:00 am 8:30 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 rights 10:00 10:10 Refreshment Break The Troubled ABS Loan Facility (TALF) Program Jasraj Vaidya, Vice President, Residential Credit, Barclays Capital 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? 11:10 11:20 Refreshment Break RMBS Valuation and Pricing / Analysis and Trends Arthur Frank, Director and Head of MBS Research, Deutsche Bank Securities Fundamental and relative value overview · Elements of fundamental valuation in an illiquid environment · Data focus in a rapidly changing environment: limitations of 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 12:35 1:20 Lunch The Ratings Perspective on CMBS Annelise Osborne, Vice President/Senior Analyst CMBS, Moody’s Investor Services Ratings process for Commercial Mortgage-Back Securities; legal and credit analysis, cash flow structures · Structural choices and the impact on ratings · The outlook for CMBS continued >> Agenda (cont.) www.snlcenter.com/securitization DAY TWO - Wednesday, November 18 (cont.) 2:20 2:30 Refreshment Break The Ratings Perspective on Credit Card ABS Ildiko Szilank, Director, Structured Finance, Standard & Poor’s 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 stepdowns · The outlook for credit card ABS and ratings 3:35 The Ratings Perspective on Automobile ABS Christopher O’Connell, Senior Vice President, U.S. 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 Day Two concludes at approximately 4:45 p.m. “Solid program; good balance between academic and industry.” X. Hua, EDP Consultant, Babson Capital Management LLC Instructors Dr. Stephen Ryan, Professor of Accounting, Peat Marwick Faculty Fellow STERN SChooL oF BuSINESS, NEW YoRK uNIVERSITY Peter Candell, Executive Director J.P. MoRGAN Arthur Frank, Director and Head of MBS Research DEuTSChE BANK SECuRITIES DBRS Christopher o’Connell, Senior Vice President, U.S. Structured Finance Annelise osborne, Vice President/Senior Analyst CMBS MooDY’S INVESToR SERVICES STANDARD & PooR’S BARCLAYS CAPITAL Ildiko Szilank, Director, Structured Finance Jasraj Vaidya, Vice President, Residential Credit Join Us u When and Where November 17-18, 2009 Digital Sandbox Event Center 55 Broad Street, New York, NY u How Online: www.snlcenter.com/securitization By phone: (434) 951-7786 to Register Fee u Program Early bird price - $ 1495 Save $300 through Friday, 10/2! After 10/2: $ 1795 Includes all conference materials, as well as continental breakfast and lunch both days. We welcome American Express, Visa, MasterCard and checks. Please make checks payable to SNL CFE and remit to: SNL CFE, PO Box 2016, Charlottesville VA, 22902 u Accommodations Lodging is not provided as part of this program, however a list of hotels near the Digital Sandbox can be found on the FAQ page of the program website: www.snlcenter.com/securitization/2009/faq.asp u • By Monday, October 26, 2009: Full refund, less a $150.00 administrative fee. • By Wednesday, November 11, 2009: Full credit, less a $150.00 administrative fee, to attend another SNL CFE program within 13 months. • After Wednesday, November 11, 2009: Not eligible for refund or credit. Attendee substitutions from the same company are welcome at any time. Cancellations u Accreditation 13 hours PD credit CFA Institute 16 hours CPE credit National Association of State Boards of Accountancy u About SNL Center for Financial Education SNL Center for Financial Education (CFE) is the leading provider of sector-specific programs for professionals who focus on banking, insurance, power and utilities, real estate and media. SNL CFE is an affiliate of SNL Financial, LC. Website: www.snlcenter.com “Delivers a wealth of information.” R. Redfield, CPA, PFS, Redfield Blonsky & Co. Securitization Analysis and Application New York City • November 17-18, 2009 Ideal for • Buy-side and sell-side securities analysts and researchers • Structured finance and other SNL Center for Financial Education PO Box 2016 • Charlottesville, VA 22902 investment banking professionals • CFOs, treasurers and corporate PRSRT FIRST-CLASS U.S. POSTAGE PAID Charlottesville, VA PERMIT NO. 186 finance professionals at financial institutions • Ratings agency professionals • Fixed income investors • Industry regulators and others with an interest in deepening knowledge of asset securitization Act now and save $300 on your registration!