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LAST UPDATED: Wednesday, February 21 2007
7:30 Registration & Continental Breakfast 8:10 CONFERENCE WELCOME AND INTRODUCTION TO THE CHAIRPERSONS Andy Melvin, Senior Vice President & Producer, INFORMATION MANAGEMENT NETWORK LLC 8:15 CO-CHAIRPERSONS' OPENING REMARKS Richard Hrvatin, Managing Director-Credit Products, DERIVATIVE FITCH William May, Managing Director, MOODY'S INVESTORS SERVICE Peter Kambeseles, Managing Director, STANDARD & POOR'S 8:35 TACKLING THE CHALLENGES OF THE GLOBAL CDO MARKET MARKET LEADERS ROUNDTABLE Economic backdrop: US and worldwide economic issues and their impact on the CDO market Knock-on effects of US housing market's downturn Investment & issuance activity: What are we seeing? How broad and deep is the market for CDO equity and debt? Who is buying? What are the true equity IRRs that new issue equity is being taken down at (are dealers still taking down at issuance and selling later at a discount)? Scarcity of collateral Tightening spreads Where are the positive market trends? Defaults and recoveries Moderator: James Stehli, Managing Director, Global Head of CDOs, UBS INVESTMENT BANK Panelists: Vincent Ingato, Managing Director, ACA CAPITAL Ralph R. Cioffi, Senior Managing Director, BEAR STEARNS ASSET MANAGEMENT Christopher Ricciardi, Chief Executive Officer, COHEN & COMPANY Arif Inayat, Partner, TRICADIA Brett Graham, Senior Managing Partner & Founder, VERTICAL CAPITAL LLC 9:30 STRUCTURAL INNOVATIONS IN THE CDO SPACE Performances and rating volatility Preventative measures Increasing consistency and transparency Improving stability and addressing risk Current structural enhancements: Discounted assets; capped equity returns; pay downs; reinvestment of excess spread Key structural features: Call features; optional redemptions; voting rights; events/procedures Moderator: Nathan Flanders, Senior Director, DERIVATIVE FITCH Panelists: Keith Gorman, Vice President, ACA CAPITAL Jasen Yang, Associate Director, BARCLAYS CAPITAL Alex Rekeda, Head of Structured Credit, MIZUHO SECURITIES Denise Crowley, Senior Portfolio Manager, ZAIS GROUP LLC 10:10 EXECUTIVE ADDRESS: STATE OF THE CREDIT MARKETS Sam DeRosa-Farag, President, ORE HILL PARTNERS LLC 10:30 Networking Refreshments 10:45 "A" PERSPECTIVES FROM THE RATING AGENCIES How good is ABS CDS for SF CDO debt investors? What does deteriorating loan credit quality mean for CLO investors? Are TRuPs deals sourcing riskier assets? New deal pipeline and outlook for CDO downgrades and upgrades. Moderator: Douglas Lucas, Executive Director, Global Head of CDO Research, UBS INVESTMENT BANK Panelists: John Schiavetta, Group Managing Director, DERIVATIVE FITCH Rodrigo Araya, Senior Vice President, MOODY'S INVESTORS SERVICE Kenneth Cheng, Director, STANDARD & POOR'S 10:45 "B" NEW CRITERIA TO ANALYSE IN THE LEGAL, REGULATORY, TAX AND ACCOUNTING ARENAS FAS 140 Treatment of SPEs and partnerships Offshore Perspectives 3rd party equity Reducing originator and issuer liabilities Differences between the European and US legal framework Tax pitfalls with investments in CDO equity ISDA Moderator: Erick Giliberti, Partner, DELOITTE & TOUCHE Panelists: David Thrope, Partner, ERNST & YOUNG Tsvetan N. Beloreshki, Director, FTI CONSULTING, INC. Michael Hall, Partner, KPMG LLP Joel Telpner, Partner, MAYER, BROWN, ROWE & MAW LLP Ed Faccio, Director, PRICEWATERHOUSECOOPERS LLP Sumit Soni, Associate, TURNER & ROULSTONE 11:40 "A" DIGGING DEEP: RESEARCHERS HAVE THEIR SAY What is the SINGLE biggest driver for the CDO market this year? Will all sectors go trigger-less as have Mezz SF CBOs seemingly beginning in August 2006? Will synthetic long-short trades begin dominating all CDO equity buying? Will deals begin featuring more short buckets and dynamic interest rate hedging? Best relative value in CDO equity, junior debt and senior debt today? Moderator: Daniel Castro, Managing Director Structured Finance, GSC GROUP Panelists: David Yan, Ph.D., CFA, Head of CDO Research, CREDIT-SUISSE Michael Koss, Vice President of ABS CDO, LEHMAN BROTHERS Mark H. Adelson, Managing Director - Head of Structured Finance Research, NOMURA SECURITIES INTERNATIONAL Douglas Lucas, Executive Director, Global Head of CDO Research, UBS INVESTMENT BANK Steven Todd, Vice President, WACHOVIA SECURITIES 11:40 "B" EXAMINING THE ROLE OF THE TRUSTEE: ADMINISTRATION AND TECHNOLOGY DEVELOPMENTS How is available technology improving the administration of CDOs? How does the trustee interact and coordinate with the deal team? Defining the trustee's role in todays market Collateral quality, coverage and trade tests Asset manager's perspective Back-up systems Moderator: Steven Park, Managing Director, DEUTSCHE BANK Panelists: Lora Peloquin, Senior Vice President, ABN AMRO/LASALLE BANK Hillel Caplan, Senior Manager, DELOITTE & TOUCHE LLP Ralph J. Creasia, Vice President, US BANK James Burke, Head of ABS Investment Management, WACHOVIA ASSET MANAGEMENT Randy S. Reider, Vice President, WELLS FARGO Sandra R. Ortiz, Vice President, WILMINGTON TRUST 12:35 Networking Luncheon 1:35 "A" RISK ASSESSMENT OF PORTFOLIOS CONTAINING BOTH CDOS AND SINGLE NAMES Jing Zhang, Managing Director and Head of Research, MOODYS KMV 1:35 "B" CASE STUDY: STABILITY SCORES Jeremy Carter, Senior Director, DERIVATIVE FITCH 2:05 "A" CLOs: WHATS NEXT FOR THIS BOOMING MARKET? Rating the unrated: Deriving comfort with small, private obligors Role and experience of originator/asset manager Sourcing and lending to quality borrowers Future trends: New loan structures and industries on the horizon Second-lien loans: Collateral valuation techniques and inter-creditor issues Diligence and monitoring issues surrounding asset-based loans Moderator: Ji-Mei Ma, Co-Head of US Credit CDOs, UBS INVESTMENT BANK Panelists: Michael Sohr, ALLIANCE BERNSTEIN Scott D'Orsi, FEINGOLD O'KEEFFE CAPITAL Thomas Inglesby, Senior Managing Director, GSC GROUP Greg Stoeckle, Managing Director, INVESCO Mark Froeba, Senior Vice President, MOODY'S INVESTORS SERVICE 2:05 "B" HOT TOPIC: ALTERNATIVE ASSETS IN THE CDO MARKET INCLUDING HEDGE FUND & PRIVATE EQUITY SECURITIZATIONS Update on hedge fund investment growth Developments in private equity funds CDOs using commodities as the underlying asset class Risk/return profiles Examining transparency, liquidity, trading and credit Difficulties and challenges and how investors perceive them Portfolio reviews Moderator: Isaac Efrat, Senior Managing Director, ALADDIN CAPITAL MANAGEMENT LLC Panelists: Philippe Comer, Director, Commodity Investor Solutions - Americas, BARCLAYS CAPITAL Elad Shraga, Managing Director, Head of Global Principal Finance, North America, DEUTSCHE BANK Robert J. Delany, Sr., CPA, CMA, Chief Financial Officer, SCIENS HEDGE FUND MANAGEMENT LLC Alfredo de Diego Arozamena, Director, STANDARD & POOR'S 3:05 "A" CDO SURVEILLANCE: WHAT DOES THE FUTURE HOLD? What are the various ways that surveillance is performed by different constituents of the CDO market: traders, investors, researchers? Are different CDO asset types monitored differently? Is surveillance as important as people think? Tools available to assist in monitoring How important is market value when looking at a cash flow CDOs performance? What are the key statistics/parameters that one should look at to determine CDO performance? Are there ways that we can improve upon the level and type of performance reporting? Moderator: Maryam Muessel, Chief Investment Officer, FORTIS INVESTMENTS Panelists: Luis Amador, Managing Director, MOODY'S WALL STREET ANALYTICS Kate Scanlin, Associate, STANDARD & POOR'S David Millison, Managing Director, Portfolio Manager, TRIMARAN ADVISORS 3:05 "B" LONG/SHORT TRADES IN CDS OF CDOs Moderator: James Finkel, Chief Executive Officer, DYNAMIC CREDIT PARTNERS Panelists: Paul Vedova, Senior Director, DERIVATIVE FITCH Steve Kasoff, Head of Structured Products, ELLIOTT MANAGEMENT CORP. Todd Kushman, Managing Director, BEAR, STEARNS & CO. INC. 4:00 Networking Refreshments 4:15 "A" KEY PERFORMANCE STRATEGIES IN THE SECONDARY MARKET What is the status of the secondary market for CDO paper? Market structure Deal visibility and liquidity Secondary market spreads How has the market changed in the past year or two? What changes will we see in the future? What are the tools/approaches being used to evaluate the assets in the market? Will information and therefore trading become more acceptable resulting in a more efficient market? What will this mean to the market participants? Who will provide the information and analytical tools investors need to make informed decisions? Moderator: Daniel S. Patton, Managing Director, WELLS FARGO Panelists: Brian Carosielli, Director, CITIGROUP Barry C. Mohr, Director of Fixed Income Trading, COHEN & COMPANY Rich Rizzo, Director-CDO Trading, DEUTSCHE BANK Malay Patel, Director, Trader, UBS INVESTMENT BANK Speaker to be named, UNITED CAPITAL MARKETS 4:15 "B" STRUCTURED INVESTMENT VEHICLES AND SIV-LITES Moderator: Peter Nagykery, Managing Director, SF SOLUTIONS Panelists: Scott Spiegel, Director, CREDIT SUISSE Walt Shulits, Vice President, Institutional Bank Loan Relationships, EATON VANCE Nik Khakee, Director, STANDARD AND POOR'S 5:00 WHAT DEVELOPMENTS HAVE WE SEEN IN MARKET VALUE CDOs AND CREDIT OPPORTUNITY FUNDS? Market developments and outlook What is the outlook for market value CDOs and what are the challenges ahead? The use of total return swaps Heightened liquidity Moderator: Iftikhar Hyder, Managing Director, XL CAPITAL ASSURANCE Panelists: Ashleigh Bischoff, Vice President, ASSURED GUARANTY Cesar Crousillat, Vice President & Senior Credit Officer, MOODY'S INVESTORS SERVICE Todd Kesselman, Managing Director, PRECISION CAPITAL ADVISORS LLC 5:45 Close of Day One LAST UPDATED: Tuesday, February 20 2007
8:00 Continental Breakfast 8:30 CO-CHAIRPERSONS' RECAP REMARKS Richard Hrvatin, Managing Director-Credit Products, DERIVATIVE FITCH William May, Managing Director, MOODY'S INVESTORS SERVICE Peter Kambeseles, Managing Director, STANDARD & POOR'S 8:45 DISSECTING CREDIT DERIVATIVES AND SYNTHETIC SECURITIZATION: AN OVERVIEW OF LATEST TRENDS Positive developments in the market Latest structures Liquidity Risk transfer What are the trends in Europe and Asia? Moderator: Brian McManus, Head of CDO Research, WACHOVIA CAPITAL MARKETS, LLC Panelists: Oliver Dunsche, Director, Head of Credit Derivative Structuring, BARCLAYS CAPITAL Ron DVari, Managing Director, BLACKROCK Tania Fago, Senior Director, DERIVATIVE FITCH Glenn Arden, Partner, JONES DAY Rohan Douglas, Chief Executive Officer, QUANTIFI SOLUTIONS 9:30 INVESTOR ROUNDTABLE: ANALYZING THE BURNING ISSUES OF TODAY CDOs in a Strategic Asset Allocation (SAA) framework Impact of Basel II ABS CDOs in a weakening housing market State of leveraged loan markets and impact on CLOs Moderator: Alfredo De Diego Arozamena, Director, STANDARD & POOR'S Panelists: Ram V. Kelkar, CFA, Director, ALLSTATE INSURANCE CO. Steve Kasoff, Head of Structured Products, ELLIOTT MANAGEMENT CORP. Brian Koeller, Vice President, Senior Portfolio Manager, STATE STREET CORPORATION 10:15 Networking Refreshments 10:30 "A" ABS CDO UPDATE Focusing on the housing market what are the knock-on effects? How has ABS CDS changed the Multi-Sector CDO market? Comparison of Hybrid and Fully-Synthetic Structures The Variety of Bespoke ABS CDO tranches The Effect of the New ABS CDS Index Moderator: Lirenn Tsai, Managing Director, UBS INVESTMENT BANK Panelists: Keith Gorman, Vice President, ACA CAPITAL Marianne Medora, Senior Vice President, COMMERZBANK Charles Schorin, Portfolio Manager, ELLIOTT MANAGEMENT CORPORATION Ed Steffelin, Managing Director, GSC PARTNERS Keith Guarnuccio, Director, STANDARD & POOR'S Chris Kelly, Managing Director, ZAIS GROUP, LLC 10:30 "B" HOT TOPIC: MIDDLE-MARKET CLOs Will 2007 be another year of continued innovation? How does the track record measure up? The role of technology in this sub-classs explosion Finding a precise definition Moderator: Deborah McDonald, Vice President, WILMINGTON TRUST Panelists: Patrick Mitchell, Assistant Vice President, ASSURED GUARANTY Bret Leas, Director, BARCLAYS CAPITAL Jun Kim, Analyst, MOODY'S INVESTORS SERVICE Robert Radziul, Director, STANDARD & POOR'S Marc Kutik, Managing Director & Chief Credit Officer, STONECASTLE LOAN MANAGEMENT 11:25 "A" CPDOs AND CREDIT CPPI Multiplicities of risk: Spread; default; interest rate; liquidity; market; and more Similarities and differences between CPPI and CPDO structures How do CPDOs improve upon the CPPI product? Credit rating agencies perspectives Leverage mechanisms Key performance drivers Moderator: David Perry, Director, Head of Synthetic Structuring, Americas, CALYON Panelists: Michael Drexler, Director, ABN AMRO David Watts, Strategy Analyst, CREDITSIGHTS Julien Sieler, Analyst, MOODY'S INVESTORS SERVICE Sriram Rajan, STANDARD & POOR'S 11:25 "B" CDS OF ABS & CDOs Market history: What have we seen to date? What is the current sate of the market? What's to be expected in the future? How has the technology been embraced by CDO managers? How is the secondary market performing? Moderator: Eric Rothman, Executive Director, UBS INVESTMENT BANK Panelists: Derek Miller, Director, DERIVATIVE FITCH Ben Logan, Managing Director, MARKIT GROUP LIMITED Mike Edman, Managing Director, MORGAN STANLEY Malay Patel, Director, Trader, UBS INVESTMENT BANK 12:15 "A" HIGH GRADE CDOs High grade CDOs of ABS High grade cash deals Moderator: Keith Ashton, Director, TIAA GLOBAL PUBLIC MARKETS Panelists: Joe DeMichele, Managing Director, ALLEGIANCE ADVISORS Alex W. Wei, PhD, CFA, Senior Vice President, Head of Structured Credit, DELAWARE INVESTMENTS Allison Salas, Vice President, DEUTSCHE ASSET MANAGEMENT Ed O'Connell, Partner, JONES DAY Gwen Snorteland, Vice President, MIZUHO SECURITIES 12:15 "B" CREDIT DERIVATIVES PRODUCT COMPANIES Moderator: Charley McLendon, President, PRIMUS ASSET MANAGEMENT, INC. Panelists: Patrick Gonzalez, Chief Executive Officer, ATHILON STRUCTURED INVESTMENT ADVISORS, LLC Ralph Cioffi, Senior Managing Director, BEAR STEARNS ASSET MANAGEMENT Alan Dunetz, Senior Director, DERIVATIVE FITCH Yvonne Fu, Team Managing Director, MOODY'S INVESTORS SERVICE 1:00 Networking Luncheon 2:00 LCDS DEVELOPMENTS Current market conditions and outlook Documentation issues Liquidity concerns: Challenges and opportunities Valuation and pricing best practices Moderator: Jeffrey Berkes, Senior Director, DERIVATIVE FITCH Panelists: Jeremy Vogelmann, Associate Director, BARCLAYS CAPITAL Meredith Coffey, Director, REUTERS LPC 2:35 HOT TOPIC: CRE CDOs Structural evolution of this product Since mortgage product has been the primary driver for growth, what happens to the market when/if ratings downgrades and credit deterioration starts to filter through the HEL market? Exploring the various types of collateral Rating agency concerns Moderator: Brian P. Lancaster, Managing Director, WACHOVIA SECURITIES Panelists: James Lee, Senior Director, DERIVATIVE FITCH Steven Park, Managing Director, DEUTSCHE BANK Jean-Michel Wasterlain, Chief Investment Officer, NORTHSTAR REALTY FINANCE CORP. 3:30 Networking Refreshments 3:45 KEY DEVELOPMENTS IN TRUST PREFERREDS Asset quality and collateral performance Increasing issuance Will REITs continue to tap this market? Manager issues Moderator: Patrick Mitchell, Assistant Vice President, ASSURED GUARANTY Panelists: Nicholas Daly, Director, COHEN & COMPANY Min Xu, Analyst, MOODY'S INVESTORS SERVICE Adam Mandel, Managing Director, SANDLER O'NEILL & PARTNERS Joshua Siegel, Managing Principal, STONECASTLE PARTNERS, LLC Chris Monigle, Assistant Vice President, WILMINGTON TRUST 4:20 THE MOST PIVOTAL COMPONENT? ASSESSING MANAGER PERFORMANCE If a manager is coming to market with a new structure or new asset class, how are investors getting comfortable with the lack of track record? Why are investors not tiering managers (requiring higher spread for weaker or new managers)? Is this a function of the investor's position in the capital structure or is it important for everybody? What tools exist to evaluate manager/CDO performance? Can the two be disaggregated from each other? Is it luck vs. skill or is it just timing? Moderator: Milbert Bentham, Director, STANDARD & POOR'S Panelists: Paul Livingstone, Managing Director, ASSURED GUARANTY Tom Mansley, Executive Director & Portfolio Manager, BRIGHTWATER CAPITAL MANAGEMENT James Grady, CFA, Managing Director, DEUTSCHE ASSET MANAGEMENT Sajjad Naqvi, Senior Vice President, TRUST COMPANY OF THE WEST 5:00 CONFERENCE CONCLUDES | |||||||||||||||||||||||||||||
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