• Arbitrage vs. Balance sheet CBOs/CLOs
• Cash flow vs. Market value CBOs
• What is the anticipated volume and outlook for market growth of the industry?
• What are the new structural innovations of this asset class?
• In what areas will there be growth in the future?

• How CDO (Collateralized Debt Obligation) assets differ from other high-yield assets
• Analyzing default rates for CDOs
• Industry diversification in CDO portfolios
• Comparing CDO equity to other investments
• Principal protected equity classes
• Analyzing various cashflow CBO structures
• Utilizing credit enhancement in cashflow CBOs
• Issuer innovations
• Investor considerations
• Analysis of subordinated classes
• Term vs. CP execution

• Analyzing various market value CBO/CLO structure
• Rating agency approaches to market value CBOs/CLOs
• Determination of advance rates
  • Assessing the asset classes in market value CBOs/CLOs
  • Historic data analysis with a focus on volatility
  • Impact of liquidity and availability of data
• The importance of the collateral manager
• Utilizing credit enhancement in market value CBOs/CLOs - required subordination
• Examining relative value
• Investor considerations
• Flexibility and pricing
• The equity market
• The impact of recent market turmoil
• Stress testing
• Revolvers/equity investors
• S&P reveals its market value rating criteria - Credit Enhancement

Moderator:
Romita Shetty, Vice President, JP MORGAN SECURITIES

Panelists:
Brain Zeitlin, Principal, BANKERS TRUST
Stan Stratton, Vice President, JEFFERIES & CO.
Soody Nelson, Director, STANDARD & POOR'S
Scott Gordon, Managing Director, FINANCIAL SECURITY ASSURANCE, INC.

12:00 THE OUTLOOK FOR THE HIGH-YIELD CBO/CLO MARKET: WILL THE UPSURGE CONTINUE?

• Research perspectives on the high-yield market
• The various sectors of the high-yield market
• Investor perspectives
• Finding relative value

Sam DeRosa-Farag, Managing Director, DONALDSON LUFKIN & JENRETTE
George Muzinich, President, MUZINICH & CO.

12:40 Luncheon

1:40 SPECIAL ISSUES AND CONSIDERATIONS IN EMERGING MARKET CBOs/CLOs: THE STEEP CLIMB AHEAD

• Regional concentration and market outlook
• Background on the investment decision process
• Investment strategies in emerging markets
• Developing/Undeveloped economies
• Interest rate risks
• The effect of recent turmoil in the emerging markets on CBOs/CLOs
• Downgrades and defaults in the emerging
• The impact on collateral quality tests for CBOs/CLOs
• Ratings actions taken on existing CBLOs/CLOs

Moderator:
Lori Evangel, Managing Director-Product Manager, CBOs/CLOs, MBIA-AMBAC INTERNATIONAL

Panelists:
Sam Fox, Analyst, DUFF & PHELPS CREDIT RATING CO.
Mike Cembales, Portfolio ManagementlEmerging Market Debt, JP MORGAN INVESTMENT MANAGEMENT
Romita Shetty, Vice President, JP MORGAN SECURITIES
Iftikhar Hyder, Director, STANDARD & POOR'S

2:45 ARBITRAGE CLOs - LEVERAGED LOANS

• Current trends
• The impact of CBO/CLO activities on the leveraged loan market
• The portfolio manager's perspective
• Modeling and credit enhancement in leveraged loan CLOs
• Interest rate risk
• The bond insurance approach
• Variations on CBO procedures and models

Ken Wormser, Managing Director, CIBC WOOD GUNDY
Daniel Smith, Managing Director, INDOSUEZ CAPITAL

3:25 Refreshments

3:40 UTILIZING THE MASTER TRUST STRUCTURE AS A SUBSEQUENT ISSUANCE PLATFORM AND USING BALANCE SHEET CLOs FOR RISK TRANSFERENCE

• Examining transaction and volume growth of balance sheet CLOs
• Issuer considerations and structural options
• Comparing balance sheet CLOs with traditional arbitrage cash flow CLOs
• Controlled amortization of liabilities
• Funding and capital relief as a motivator
• Risk transference: Removing credit risk from the balance sheet
• Term vs. CP execution
• Benefits and drawbacks of using the master trust structure with a heterogeneous asset class
• Obligor creditworthiness: Issuer credit ratings. ratings estimates and bank risk grade correlation
• The flexible, revolving nature of master trust- The requirements of multiple default and cashflow runs
• The seller's interest in a C&I securitization
• Sizing the series termination date: maturity distribution and payment rate tests
• Can historical payment rates and draw rates for C&I revolving credit facilities ultimately reduce subordination requirements?

Moderator:
David Tesher, Director, STANDARD & POOR'S

Panelists:
Nancy O'Connor, Vice President/Securitization, BANK BOSTON, N.A.
Joe Marconi, Vice President, GOLDMAN, SACHS & CO.
Lori Evangel, Managing Director - Product Manager CBOsICLOs MBIA-AMBAC INTERNATIONAL
David Blackwelder, Director, MERRILL LYNCH
Glen McDermott, Director, STANDARD & POOR'S

4:40 SYNTHETIC SOLUTIONS

• Bistro deals: Synthetic CBOs & CLOs
• Credit structures
• Pros & Cons
• Regulatory framework
• CLN Structures
• Case study on the BISTRO Trust

Romita Shetty, Vice President, JP MORGAN SECURITIES
Isaac Efrat, Vice President & Senior Credit Officer, MOODY'S INVESTORS SERVICE

• The role of accounting in CBO/CLO transactions
• LTCB in balance sheet and arbitrage transactions
• Monitoring and Modeling

• True sale
• Foreign banks
• 144A vs. public
• Linked vs. Delinked
• Reducing originator and issuer liabilities

• Utilizing CBOs and CLOs for portfolio diversification
• Liquidity advantages in senior tranches
• How do CBOs/CLO fit into the overall portfolio strategy?
• Primary concerns for investors
• Risk/return profile of individual tranches

• Electronic commerce - changing paradigms
• Impact of electronic commerce on the management of CBO/CLO transactions
• Current market conditions for internet and electronic commerce-enabled transaction support
• Cost savings and increased efficiencies in a connected transaction environment
• Impact of advancements in the "knowledge economy" on issuers, underwriters, attorneys and accountants involved with CBO/CLO transactions

Carolyn Buck Luce, Partner and National Director Electronic Commerce, ERNST & YOUNG LLP
Michael Cyran, Senior Manager, Public & Structured Finance Services, ERNST & YOUNG LLP

12:15 CBOs/CLOs: The Next Step Concludes