Programme Day 1 - 2nd October 2008

8:20 Registration and breakfast

8:50 Welcome address

Rob Mannix, Publisher, MORTGAGE RISK

9:00 Chairperson's opening remarks

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

9:10 Keynote address

Richard Libby, Chief Credit Officer, BARCLAYS GLOBAL INVESTORS

9:50 Plenary address

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

10:30 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

Mike Martin, Senior Bank Examiner – Large Banks, OFFICE OF THE COMPTROLLER OF THE CURRENCY

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

Stevan Stevanovic, Vice President – Fixed Income, CREDIT SUISSE

11.20 Morning break

11:50 Presentation: Pipeline risk management

• Determining exactly how much to hedge
• Dynamic versus static hedging
• Modeling tools and technology requirements
• The risks to look at in a pipeline risk management program
• Managing fallout

Jack Ahlert, Vice President, WELLS FARGO

11.50 Presentation: The convergence of IFRS and FASB standards and the impact on mortgage banking

• The differences between IFRS and GAAP
• Reconciling financial reports between the two standards
• The impact on mortgage servicing

Speaker to be confirmed – please check the website for updates

12:30 Presentation: Pipeline risk management

• Determining exactly how much to hedge
• Dynamic versus static hedging
• Modeling tools and technology requirements
• The risks to look at in a pipeline risk management program
• Managing fallout

Jack Alhert, Vice President, WELLS FARGO

1:10 Lunch

2:10 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, Finance Director – Economic Capital Group, CITIZENS BANK

2:50 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

3:30 Afternoon break

4:00 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

4:40 Panel discussion: Valuation challenges in today’s mortgage market

• Valuation based on securitization
• Fair value determination
• Credit based exposures

Moderator: Frank Serravalli, Partner and Co-leader - Structured Finance Group, PRICEWATERHOUSECOOPERS

Further panelists to be confirmed

5:30 Chairperson’s closing remarks

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

5:40 Cocktail reception