Programme Day 2 - 3rd October 2008

8:30 Registration and breakfast

9:00 Chairperson's opening remarks

9:10 Keynote address

Donald Bisenius, Senior Vice President, FREDDIE MAC

9:50 Presentation: Credit risk modeling of Alt-A

• Asset valuation
• Innovation in response to changing market conditions
• Comparing results of valuation analysis (drivers of value) with actual performance of Washington Mutual collateral

Amir Shuja, Capital Markets Manager, WASHINGTON MUTUAL

10.30 Morning break

11:00 Presentation: Survival strategies: Practical issues in loan default 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

Speaker to be confirmed

11.40 Presentation: Using balance guaranteed swaps as a risk reduction tool

• House price modeling in a contracting market
• Delinquencies and defaults: Long way down?
• When will the housing market recover from subprime?
• Subprime and the impact on investor confidence

Speaker to be confirmed

12:20 Lunch

1:20 Panel discussion: Mortgage securitization, transparency and valuation considerations

• Standardization of data for mortgage loans
• Analyzing loan-by-loan data and data validation
• Pricing mechanics and the return to fundamental analysis

Manoj Singh, Senior Vice President – Market Risk Oversight, FREDDIE MAC

Glenn Schultz, Managing Director – Head of ABS and Non-Conforming Mortgage Research, WACHOVIA

Further panelists to be confirmed

2:20 Presentation: Accounting standards for mortgage finance

• FAS 140 amendments
• FIN 46(R)
• Fair Value Accounting under FAS 157

Kevin Stoklosa, Project Manager, FASB

3:00 Afternoon break

3:30 Presentation: Adjusting for model risk in prepayment calculations

• Understanding the sources of model risk
• Validation and backtesting
• Incorporating model risk into modeling methodologies

Jim Berkovek, Vice President and Head of Models and Methods Group, FREDDIE MAC

4:10 Presentation: Washington to the rescue: Can the government help housing?

• Examining government-funded bail-out plans to alleviate subprime distress
• How could each plan help?
• The impact on mortgage finance

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

4:50 Chairperson’s closing remarks

5:00 End of conference