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Tuesday, March 28, 2006

07:30 Registration...Continental Breakfast

08:15 CONFERENCE WELCOME AND INTRODUCTION TO THE CHAIRPERSONS

Cheryl Fallick, Senior Vice President, INFORMATION MANAGEMENT NETWORK

08:20 CO-CHAIRPERSONS' OPENING REMARKS

Manroop Jhooty, Senior Vice President, DOMINION BOND RATING SERVICE
Jill Zelter, Managing Director, FITCH RATINGS
William May, Managing Director, MOODY'S INVESTORS SERVICE
David Tesher, Managing Director, STANDARD & POOR'S

08:50 GLOBAL PERSPECTIVES AND OUTLOOK ON THE CDO MARKET….IS ALL AS IT SHOULD BE?

• Market overview
• Economic backdrop: US and worldwide economic issues and their impact on the CDO market
• Investment & issuance activity: What are we seeing?
• New asset components
• Where are the positive market trends?
• Forecasts: Where do issuers and investors go from here?
• Improving credit quality
• Defaults and recoveries

Moderator: James Stehli, Managing Director, UBS INVESTMENT BANK

Panelists:
Brian Zalaznick, Global Head of CDOs, BARCLAYS GLOBAL INVESTORS
Steven Van Solkema, Managing Director, BEAR STEARNS ASSET MANAGEMENT
Chris Ricciardi, CEO, COHEN BROTHERS
Kevin Petrovcik, Managing Director, INVESCO
Jeff Herlyn, POLYGON

09:45 LATEST CDO STRUCTURAL INNOVATIONS AND ENHANCEMENTS

• Background information
• Performances and rating volatility
• Preventative measures
• Increasing consistency and transparency
• Improving stability and addressing risk
• Transaction features
• 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
• Additional considerations

Moderator: Ned Flanders, Senior Director- Credit Products, FITCH RATINGS

Panelists:
Scott Gordon, AMBAC
Karla Chung, Vice President, DEUTSCHE BANK
Tracy Pridgen, Managing Director, FGIC
Dave Kucera, HARRIS NESBITT
Zach Smith, Vice President, MERRILL LYNCH

10:30 Refreshments

CONCURRENT SESSIONS: CHOOSE "A" OR "B"

10:45 "A" RATING AGENCY PERSPECTIVE: CREDIT QUALITY OUTLOOK

• 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?
• Are things getting better or worst for CDO debt investors?
• New deal pipeline and outlook for CDO downgrades and upgrades.

Moderator: Douglas Lucas, Director, CDO Research, UBS INVESTMENT BANK

Panelists:
Jireh Wong, Senior Vice President, DOMINION BOND RATING SERVICE
Marion Silverman, Managing Director, FITCH RATINGS
Pooja Bharwani, Assistant Vice President, MOODY'S INVESTORS SERVICE
Belinda Ghetti, Director, STANDARD & POOR'S

10:45 "B" LATEST DEVELOPMENTS IN THE LEGAL, REGULATORY, TAX AND ACCOUNTING ARENA

• Consolidation issues
• FAS 140
• Treatment of SPEs and partnerships
• 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: Michael H. Hall, Partner, KPMG LLP

Panelists:
Barry Biggar, Partner, ALLEN & OVERY LLP
Pheobe Moreo, Partner, DELOITTE & TOUCHE LLP
David Thrope, Partner, ERNST & YOUNG
Joel Telpner, Partner, MAYER, BROWN, ROWE & MAW LLP

11:30 "A" RESEARCHERS’ INSIGHTS ON THE CDO AND CREDIT DERIVATIVES MARKETS

• How have structures evolved?
• Are today’s deals safer than earlier vintages?
• Does structure matter?
• How useful are the rating agency CDO performance metrics?
• How does one manage around the lack of a CDO total return index?
• Is there consistency and value in the secondary market?
• Have we made any progress on transparency (analytics, valuation, surveillance, total return indices)?
• Relative value views
• Outlook on CDO, synthetic securitization and the credit derivatives market growth

Moderator: Sanjeev Handa, Managing Director, TIAA-CREF

Panelists:
Lang Gibson, MERRILL LYNCH
Vishwanath Tirupattur, MORGAN STANLEY
Douglas Lucas, Director, CDO Research, UBS INVESTMENT BANK
Brian McManus, Head of CDO Research, WACHOVIA SECURITIES

11:30 "B" THE TRUSTEE: ADMINISTRATION AND TECHNOLOGY DEVELOPMENTS

• How is available technology improving in administration of CDOs?
• How does the trustee interact and coordinate with the deal team?
• What is the latest technology available to facilitate ease of closing transactions and standardizing investor reporting?
• Defining the trustee's role in today’s market
• How does the manager interact with the trustee?
• Collateral quality, coverage and trade tests
• Collateral and disbursement reviews
• Audits/financial statements/books and records
• Asset manager's perspective
• Back-up systems

Moderator: Steven Park, Managing Director, DEUTSCHE BANK

Panelists:
Craig Jacobs, Vice President, CDO Trust Services, ABN AMRO/LASALLE BANK
Dominique Salem, AVP. JP MORGAN
Ralph J. Creasia, Jr., Vice President, U.S. BANK CORPORATE TRUST SERVICES
Joe Elston, Managing Director, VIRTUS PARTNERS, LLC
Randy Reider, VP, WELLS FARGO

12:20 Luncheon A & B

CONCURRENT SESSIONS CONTINUE: CHOOSE "A" OR "B"

01:20 "A" NEW GENERATION CLOs - BANK LOAN SIV

• Investment-Grade core fixed income
• Lower cost of leverage and lower leverage
• Market value vehicle
• Continuously offered

Presentors:
Scott Page, Co-Director of Bank Loan Team; EATON VANCE
Nik Khakee, Managing Director, STANDARD & POOR'S

01:20 "B" I LIKE YOUR MODEL (I JUST DON'T FEEL COMFORTABLE WITH THE RESULTS)

Presentor:
Arturo Cifuentes, Ph.D., Managing Director, R.W. PRESSPRICH & CO.

01:50 "A" CDOs FOR SAFE HAVEN, CDOs FOR OUT PERFORMANCE

• What underlyings, structures, and tranches offer the greatest safety of return
• What underlyings, structures, and tranches offer the best chance of high return

Presentor:
Douglas Lucas, Director, CDO Research, UBS INVESTMENT BANK

01:50 "B" THE BEST WAYS OF GAGING RETURNS IN THE CDO EQUITY MARKET

Presentor:
Brian McManus, Head of CDO Research, WACHOVIA SECURITIES

02:20 "A" RECENT TRENDS WHICH WE ARE SEEING IN CLOs

• Rating the unrated-Deriving comfort with small, private obligors.
• Role and experience of originator/asset manager.
• Middle market CLO structures.
• 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: Fred Engel, Executive Director, UBS INVESTMENT BANK

Panelists:
John Veidis, Vice President, ACA
Scott Page, Co-Director of Bank Loan Team, EATON VANCE
Greg Stoeckle, INVESCO
Chris O'Connor, PRUDENTIAL IM
Scott Jessup, VP - CDO Asset Management, UNION BANK OF CALIFORNIA

02:20 "B" SECURITIZATION OF ALTERNATIVE ASSETS IN THE CDO MARKET: HEDGE FUND CFOs & PRIVATE EQUITY SECURITIZATIONS

• Update on hedge fund investment growth
• Developments in private equity funds
• Risk/return profiles
• Examining transparency, liquidity, trading and credit
• Difficulties and challenges and how investors perceive them
• Unique analytical issues to hedge funds
• Manager issues in both hedge fund and private equity securitizations
• Portfolio reviews
• Market value or cashflow CDO technology in hedge fund strategies
• Market growth potential

Moderator: Chris Howley, SOCIETE GENERALE

Panelists:
Gregory Getschow, Co-Head - Private Equity Advisors, BEAR STEARNS ASSET MANAGEMENT
Raman Kalra, Director, FITCH RATINGS
Gary Witt, Managing Director, MOODY'S INVESTORS SERVICE
Chris Gigliotti, Manager, PRICEWATERHOUSECOOPERS LLP
Alfredo de Diego Arozamena, Director, STANDARD & POOR'S

03:15 "A" CDO SURVEILLANCE: LATEST TRENDS, FUTURE OUTLOOK

• 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 CDO’s 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: John Park, Vice President, MOODY"S INVESTOR SERVICE

Panelists:
Melissa Ricco, Director - Structured Credit Products, BABSON CAPITAL MANAGEMENT
Kevin Kendra, Senior Director, FITCH RATINGS
Adam Robison, Vice President, MERRILL LYNCH
Erik Siegel, MORGAN STANLEY

03:15 "B" CASH SETTLEMENT MECHANISMS OF CDS

• How has the market handled credit events - how far have we come since Delphi and Calpine?
• Possible revisions to cash settlement terms - how might it work?
• How might single name trades be affected?
• What further changes are ahead?

Moderator: Andrew Scott, Vice President, MERRILL LYNCH

Panelists:
John Williams, ALLEN & OVERY LLP
Jeffrey Berkes, Director, FITCH RATINGS

04:00 Refreshments

04:15 "A" IN WHAT DIRECTION IS THE SECONDARY MARKET HEADED?

• 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: Dan Patton, Managing Director, WELLS FARGO

Panelists:
Matthew Natcharian, Managing Director, BABSON CAPITAL MANAGEMENT
Brett Jefferson, Managing Director & Senior Portfolio Manager, MARATHON ASSET MANAGEMENT LLC
Keith Grimaldi, UBS INVESTMENT BANK
John Devaney, Chief Executive Officer & Head ABS Trader, UNITED CAPITAL MARKETS
Scott Williams, WACHOVIA SECURITIES

04:15 "B" EXAMINING THE LATEST TRENDS AND OUTLOOK FOR THE LEVERAGED LOAN MARKET

• Quality and liquidity of assets and collateral
• Portfolio reviews
• Default rates
• Investor activity
• New issue loan volume and market growth potential
• How CLOs are impacting the leveraged loan market

Moderator: Mary Katherine Dubose, Director, WACHOVIA SECURITIES

Panelists:
John Haltmaier, Managing Director, ACA
Stephan Marti, Partner, ALEGRA CAPITAL
Robert Perry, Principal, KINGSLAND CAPITAL
Mark Froeba, Senior Vice President, MOODY'S INVESTOR SERVICE
David Millison, Managing Director, TRIMARAN ADVISORS

05:00 "A" CDO VALUATION APPROACHES

• Cash flow, re-rating models and market value models
• Default probabilities and recoveries of underlying collateral
• Historic studies vs. current market information

Moderator: Dan Patton, Managing Director, WELLS FARGO

Panelists:
Scott Jessup, VP - CDO Asset Management, UNION BANK OF CALIFORNIA
Martin Calles, Senior Financial Engineer, WALL STREET ANALYTICS

05:00 "B" WHAT DEVELOPMENTS HAVE WE SEEN IN MARKET VALUE CDOs AND CREDIT OPPORTUNITIES FUNDS?

• Market developments and outlook
• What is the outlook for market value CDOs in the US? In Europe? In Asia?

Moderator: James Halprin, Director, STANDARD & POOR'S

Panelists:
Scott Gordon, AMBAC
Ashleigh Bischoff, Vice President, ASSURED GUARANTY
Steve Baker, Director, CDCIXIS
Hansol S. Kim, Director, FINANCIAL SECURITY ASSURANCE
Zach Buchwald, MORGAN STANLEY

05:45 CLOSE OF DAY ONE

Wednesday, March 29, 2006

08:00 Continental Breakfast

08:30 CO-CHAIRPERSONS' RECAP REMARKS

08:45 INDUSTRY LEADERS WEIGH IN ON THE OUTLOOK FOR CREDIT DERIVATIVES/SYNTHETIC SECURITIZATION

• Positive developments in the market
• Latest structures
• Liquidity
• Risk transfer
• What are the trends in Europe and Asia?
• Where to keep a watchful eye

Moderator: David Wainer, Partner, ALLEN & OVERY LLP

Panelists:
Jason T. Morris, Director, Structured Products, ALADDIN CAPITAL MANAGEMENT LLC
Zain Abdullah, Managing Director, CALYON
Speaker to be named, DOMINION BOND RATING SERVICE
Richard Hrvatin, Managing Director, FITCH RATINGS
Steve Altemeier, Director, WACHOVIA SECURITIES

09:30 INVESTOR INSIGHTS ON THE MARKET: SENIOR, MEZZANINE, SUBORDINATE AND EQUITY INVESTORS WEIGH IN

Moderator: Peter Kambeseles, Managing Director, STANDARD & POOR'S

Panelists:
Ram Kelkar, Director, ALLSTATE INVESTMENTS, LLC
Mark Steinman, Director, ASSURED GUARANTY
Scott Page, Co-Director of Bank Loan Team, EATON VANCE
Volkan Kurtas, Structured Credit Specialist & Asset Manager, BAYERISCHE HYPO-UND VEREINSBANK AG
Ifti Hyder, Managing Director, XL CAPITAL ASSURANCE INC.

10:15 Refreshments

CONCURRENT SESSIONS CONTINUED: CHOOSE "A" OR "B"

10:30 "A" HOW ARE THE EQUITY AND SUBORDINATED CDO TRANCHES BEING MARKETED?

• Combo notes and principal protection classes
• Evaluating a single CDO equity position vs. a private fund of CDO equity positions
• CDO equity class performance and the risks of various collateral types
• Taxes and “phantom income” considerations
• How structural improvements have enhanced the structure and marketability of equity and subordinate tranches

Moderator: Jing Wen, Vice President, CALYON STRUCTURED CREDIT

Panelists:
Steve Baker, Director, CDCIXIS
Bob Siegel, Partner, DELOITTE TAX LLP
Janet Tavakoli, President, TAVAKOLI STRUCTURED FINANCE
Evan Kestenberg, Vice President-Trading, UNITED CAPITAL MARKETS, INC.

10:30 "B" MULTI-SECTOR ABS CDO UPDATE

• 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:
Lars Norell, COHEN BROTHERS
Maryam Muessel, FORTIS INVESTMENTS
Daniel Castro, Managing Director, GSC PARTNERS
Mike Shackelford, INVESCO
Eric Kolchinsky, VP/Senior Credit Officer, MOODY'S INVESTORS SERVICE
Julian Vulliez, RAMIUS CAPITAL

11:25 "A" REPACKAGINGS (HIGH GRADE AND SUBORDINATE)

• ABS sectors in CDOs of ABS
• Evolution, liquidity and collateral mix
• Typical structures, synthetic structures and innovative structures
• Introduction of esoteric assets
• Evaluating collateral and other collateral considerations
• Assessing the underlying assets
• Multi-sector
• CDOs of CDOs
• What’s in the pipeline?
• Growth outlook for Europe and Asia

Moderator: Joseph DeMichele, Vice President, DELAWARE INVESTMENT ADVISORS

Panelists:
Laura Schwartz, Managing Director, ACA
Derek Miller, Director, FITCH RATINGS
Lirenn Tsai, Managing Director, UBS INVESTMENT BANK

11:25 "B" CDS OF ABS: MARKET DYNAMICS IN A CHANGING LANDSCAPE

• Market history: What have we seen to date?
• What is the current state of the market? What’s to be expected in the future?
• Monoline's "form B" vs. PayGo form
• Differences between U.S. and European market

Moderator: Eric Rothman, Executive Director, UBS INVESTMENT BANK

Panelists:
Jay Merves, Managing Director, ASSURED GUARANTY
Joshua Bissu, GSC PARTNERS
Stephen Murray, Director, MBIA
Anna Widernik, Director, STANDARD & POOR'S
James Yao, Director, UBS

12:15 "A" QUANTIFYING VALUE AND RISK OF CDO INVESTMENTS: MODEL RISK TO WATCH FOR

• Real-world default vs. Risk-neutral default
• Flat correlation vs. Correlation smile
• Constant recovery vs. Stochastic recovery
• Default-non-default vs. Credit migration
• Static portfolio vs. Managed portfolio
• Scenario analysis, Semi-analytical calculation vs. Monte Carlo simulation

Moderator: Bob Selvaggio, Managing Director, AMBAC

Panelists:
Jireh Wong, Senior Vice President, DOMINION BOND RATING SERVICE
Randy White, Vice President-Trading, UNITED CAPITAL MARKETS, INC.
Martin Calles, Senior Financial Engineer, WALL STREET ANALYTICS

12:15 "B" LATEST DOCUMENTATION ISSUES IN THE CDS OF ABS MARKET

• PayGo vs. Cash/Physical Settlement: Which form is used when?
• PayGo confirmation - changes in the new standard form
• Cash/Physical Settlement - how does it differ?
• Synthetic Delivery: Where do we stand?

Moderator: Tania Cunningham, Senior Director, FITCH RATINGS

Panelists:
David Lucking, ALLEN & OVERY LLP
Louis Nees, Senior Managing Director, BEAR STEARNS ASSET MANAGEMENT
Marc Leibert, VP/Senior Analyst, MOODY'S INVESTORS SERVICE
George Wilkinson, MORGAN STANLEY

01:00 Luncheon A & B

02:00 "A" HIGH GRADE CDOs

• High grade CDOs of ABS
• High grade cash deals

Moderator: Mia Koo, Managing Director, FITCH RATINGS

Panelists:
Alex Rekeda, Vice President, CALYON STRUCTURED CREDIT
Allison Salas, Vice President, DEUTSCHE ASSET MANAGEMENT
Stan Stratton, Director, MERRILL LYNCH

02:00 "B" QUANTITATIVE CDO ANALYSIS

• Collateral Analysis
-What are key collateral stratifications?
-How does the portfolio and its constraints fit the manager?
-How much risk does the manager need to take to make the deal work?
• Structural Analysis
-How does the waterfall work?
-How likely is the auction call?
-How is a manager incentivized for adding risk when the portfolio has negative migration?
-How important are haircuts for OC tests?
• Tranche Risk/Return Analysis
-What are appropriate stresses for different tranches?
-How can PIK risk be quantified?
-What is the downgrade risk of a particular tranche?
-How sensitive are tranche returns to changes in interest rates?
-How do higher or lower pre-payments impact the different tranches?

Moderator: Erik Siegel, MORGAN STANLEY

Panelists:
Mendel Starkman, CDO Analyst, DYNAMIC CREDIT PARTNERS
Tonko Gast, CIO, DYNAMIC CREDIT PARTNERS

02:45 "A" CDOs OF REAL ESTATE (RESIDENTIAL AND COMMERCIAL)

• Overview of product
• Analytical approach
• CDOs of CMBS and REITs
• CDOs of RMBS
• RMBS: The changing market

Moderator: John Mawe, Senior Vice President, LEHMAN BROTHERS

Panelists:
Alex Wei, Vice President, DELAWARE INVESTMENTS
James Lee, Director, FITCH RATINGS
Kevin Jenks, Head of Structured Products, HBK INVESTMENTS

02:45 "B" VALIDATING CDO PRICING AND RISK MODELS ON CDX TRANCHES

Presentor:
Speaker to be named, MOODY'S KMV

03:30 Refreshments

GENERAL SESSION COMMENCES

03:45 LATEST AND GREATEST IN THE TRUPS MARKET

Moderator: Patrick Mitchell, Assistant Vice President, ASSURED GUARANTY

Panelists:
Emari Kotake, Associate Director, FITCH RATINGS
Jim Brennan, Associate Vice President, MOODY'S INVESTORS SERVICE
Josh Siegel, STONECASTLE PARTNERS

04:20 MANAGERS' FOCUS

• 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?
• Comparing manager intervention with static or fixed pool

Moderator: Jennifer V. Johnson, STANDARD & POOR'S

Panelists:
Mark Steinman, ASSURED GUARANTY
Paul Colonna, Senior Vice President & Head of Structured Products, GE ASSET MANAGEMENT
James Damron, Senior Managing Director, PPM AMERICA

05:00 CONFERENCE CONCLUDES