Programme Day 1 - 2nd October 2008

8:20 Registration and breakfast

8:50 Welcome address

Rob Mannix, Publisher, CREDIT

9:00 Chairperson's opening remarks

Steve Davies, Co-Chair - Consumer Finance Group, PRICEWATERHOUSECOOPERS

9:10 Opening Address

Steve Davies, Co-Chair - Consumer Finance Group, PRICEWATERHOUSECOOPERS

9:50 Panel discussion: The state of mortgage finance: Subprime, the resulting credit crunch and where to next for investors and lenders?

• Diversification techniques for MBS investors – looking at new mortgage products and areas resilient to the downturn
• The change in MBS investing – which structures will survive, what new products will develop?
• Securitization and the impact on mortgage finance
• Loan modification, treasury intervention and the effect on moral hazard
• The return of agency deals and managing risk despite insufficient data

Ajay Rajadhyaksha, Director and Head – U.S. Fixed Income Strategy, BARCLAYS CAPITAL

Stevan Stevanovic, Vice President – Fixed Income, CREDIT SUISSE

Allan Mendelowitz, Director, FEDERAL HOUSING FINANCE BOARD

10:50 Morning break

11:20 Financial engineering and mortgage fundamentals

• The components of a healthy housing finance system
• Analysis of the current disruption
• Lessons learned
• What the future holds

Allan Mendelowitz, Director, FEDERAL HOUSING FINANCE BOARD

12:00 Presentation: Credit risk in a declining market

• Understanding the components of credit risk including expected and unexpected loss
• The impact of collateral value on default behavior
• Implications of option theory of mortgage default
• The interrelationship of market, credit and liquidity risk in the mortgage market
• Dealing with information asymmetry
• Credit scoring and risk-based pricing

Daniel Tu, Banking Capital Markets Risk Manager, PRICEWATERHOUSECOOPERS

12:40 Lunch

13:40 Presentation: Managing the risk of mortgage servicing rights

• Valuation strategies for mortgage servicing rights by assessing cash flows and risk characteristics
• Volatility management techniques: OAS hedging and OAS volatility
• Analysis of hedging instruments and determining which is appropriate for managing different sources of risk, including:
  • Duration
  • Convexity
  • Yield Curve
  • Volatility
• Instituting a hedge program that minimizes risk and hedge costs

Kent Westerbeck, Founder, WESTERBECK RISK MANAGEMENT

14:20 Presentation: Prepayment modeling techniques that mitigate risk

• Rate incentives and their effects on prepayment modelling
• Validating models with historical data
• Monte Carlo analysis
• The impact of interest rates, credit quality and mortgage characteristics on prepayments

John Ge, Senior Financial Engineer, FANNIE MAE

15:00 Afternoon Break

15:30 Presentation: Accounting standards for mortgage finance

FAS 140 ammendments

FIN 46(R)

Fair value accounting under FAS 157

Chris Roberge, Project Manager, FASB

16:10 Panel discussion: Valuation challenges in today’s mortgage market

• Securitization valuation issues
• Fair value determination
• Pricing challenges

Moderator: John Gibson, Principal – Structured Finance Group, PRICEWATERHOUSECOOPERS

Chris Merchant, Director, Strucutred Finance Group, PRICEWATERHOUSECOOPERS

16:50 Chairperson’s closing remarks

Steve Davies, Co-Chair - Consumer Finance Group, PRICEWATERHOUSECOOPERS

17:00 Cocktail reception