Last Updated:
09-17-04
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Agenda
8:00 Registration...Continental Breakfast
8:40 CONFERENCE WELCOME AND INTRODUCTION TO
THE CHAIRPERSONS
8:45 CO-CHAIRPERSONS' OPENING REMARKS
Ken Gill, Managing Director, FITCH RATINGS
David Tesher, Managing Director, STANDARD & POOR'S
9:05 ...DAMN THE TORPEDOES: GLOBAL PERSPECTIVES
AND OUTLOOK ON THE CDO MARKET
- Market overview
- Investment and issuance activity
- Wor ldwide economic issues and impact on the underlying assets
- Where are the positive market trends?
- Forecasts: Where do issuers and investors go from here?
- Perception of the market vs. reality of the market
- New asset components and structures
- Liquidity issues
- What are the latest trends and developments in the European CDO market?
Moderator:
Glen McDermott, Director, CITIGROUP GLOBAL MARKETS, INC.
Panelists:
Lars Norell, Director, MERRILL LYNCH
Lindsay Douglas, MOODY'S INVESTORS SERVICE
Charles Pardue, Investment Manager, PRYTANIA LIMITED
David Tesher, Managing Director, STANDARD & POOR'S
Marcus Klug, Managing Director, UNIQA ALTERNATIVE INVESTMENTS
10:05 INTRIGUING NEW STRUCTURAL INNOVATIONS
AND THEIR IMPACT IN THE CDO MARKET
- Money market tranches
- Tranching AAAs into senior, mezzanine, and subordinated classes
- Current return equity caps
- Early warning cash diversion tests
- Cash reserve accounts
- Market value based reinvestment tests
- Collateral Manager's trading flexibility and reinvestment rules
Moderator:
Iain Barbour, Global Head of Securitisation, COMMERZBANK SECURITIES
Panelists:
Eric Hurst, First Vice President, AMBAC
Harin DeSilva, MERRILL LYNCH
Mike Nolan, Executive Director, MORGAN STANLEY
Lirenn Tsai, Executive Director, UBS
Marcus Klug, Managing Director, UNIQA ALTERNATIVE INVESTMENTS
11:05 THE STATE OF THE CDO MARKET: KEYNOTE PRESENTATION
Lars Norell, Director, MERRILL LYNCH
11:25 OUTLOOK FOR THE HIGH YIELD MARKET
Sam DeRosa-Farag, Managing Director, CREDIT SUISSE FIRST BOSTON
11:45 Refreshments
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CONCURRENT SESSIONS:
CHOOSE "A" OR "B"
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- A - 12:00 THE RATING AGENCY TAKE ON CDO CREDIT
QUALITY
- The ebb and flow of structural protections
- Status of collateral credit quality
- CDO monitoring
- Outlook for downgrades and the new deal pipeline
- Lessons learned from rating CDOs
- CDO investor's best practices
Moderator:
Douglas Lucas, Director, UBS
Panelists:
Jill Zelter, Managing Director, FITCH RATINGS
Paul Mazataud, Managing Director, MOODY'S INVESTORS SERVICE
Henry Albulescu, Managing Director, STANDARD & POOR'S
- B - 12:00
WHAT DIRECTION WILL THE EVOLUTION OF REPACKAGINGS TAKE?
- 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
- Commercial real estate
- Multi-sector
- CDOs of CDOs
- Growth outlook for Europe and Asia
Moderator:
James Stehli, Executive Director, UBS
Panelists:
Bill Sidford, ALLIANCE CAPITAL
Howard Hill, CATAMOUNT INVESTMENT GROUP
Joseph DeMichele, Vice President, DELWARE INVESTMENT ADVISERS
Manfred Exenberger, Managing Director, UNIQA ALTERNATIVE INVESTMENTS
Brett T. Graham, Managing Partner, VERTICAL CAPITAL, LLC
- A - 12:45 WHAT DEVELOPMENTS WILL WE SEE IN
ALTERNATIVE ASSET CDOs?
- Private Equity and Hedge Fund of Fund Securitisations
- Distressed debt
- Examining the characteristics and uses for the products
- Risk/return profiles
- Difficulties and challenges and how investors perceive them?
- Examining transparency, liquidity, trading and credit issues
- Market outlook and projections
- Unique analytical issues to hedge funds
- Popular misconceptions
- Portfolio reviews
- Transparency and reporting
- Market value or cashflow CDO technology in hedge fund strategies
- Market growth potential
Moderator:
Jeff Hammer, Co-Head, Private Equity Advisors, BEAR STEARNS
Panelists:
Gregory Getschow, Co-Head, Private Equity Advisors, BEAR STEARNS
Filip Henzler, CAPITAL DYNAMICS
Mike Romer, Senior Director, FITCHRATINGS
Eun Choi, Senior Vice President, MOODY'S INVESTORS SERVICE
Alfredo de Diego Arozamena, Director, STANDARD & POOR'S
Roland Guenther, UNIVERSITY OF ZURICH
- B - 12:45 EXPLORING CONTEMPORARY ACCOUNTING,
REGULATORY, TAX AND LEGAL ISSUES IN THE CDO MARKET
- 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
- Basel
Moderator:
Frank Dubas, Managing Partner, DELOITTE
Panelists:
Dominik Damm, Executive Manager, DELOITTE
Neville Gray, Senior Manager, ERNST AND YOUNG
13:35 Luncheon A & B
- A - 14:40 HYBRID SYNTHETIC CDOs: RATES, EQUITY,
INFLATION
- Trends, Developments: A look at what is
coming
- Hybrid CDOs
- Hybrid Synthetic CDOs
- Mixed Credit and interest rates
Moderator:
Loic Fery, Managing Director, Global Head of Structured Credit & CDO
Structuring, CALYON
Panelists:
Ra Sharma, Global Head-Structured Credit Syndication, BNP PARIBAS
Phoebe Moreo, Partner, DELOITTE
Enno Balz, Senior Associate, IKB
Paul Mazataud, Managing Director, MOODY'S INVESTORS SERVICE
- B - 14:40 WILL WE CONTINUE TO SEE A STRONG
EUROPEAN LEVERAGED LOAN MARKET?
- Quality and liquidity of assets and collateral
- Portfolio reviews
- Market growth potential
- Stressed and distressed loans
- Impact of structural features
- Supply of assets
- Reviewing performance
- The effect of the growth in European CLOs on the market
Moderator:
Oliver Burgel, Director, DUKE STREET CAPITAL DEBT MANAGEMENT
Panelists:
Cynthia Parker, Managing Director, AMBAC
Andrew Bellis, MERRILL LYNCH
Katherine Frey, VP-Sr. Credit Officer, MOODY'S INVESTORS SERVICE
Jonathan Butler, Leveraged Loans Collateral Management, NIBCAPITAL
BANK
Michael Rosenberg, Managing Director, UBS
- A - 15:40 REPACKAGING OF STRESSED CORPORATE,
DISTRESSED AND STRUCTURED FINANCE ASSETS
- CDOs of CDOs
- CDOs of stressed CDOs
- CDOs of stressed corporate collateral
- CDOs of non-performing assets
Moderator:
David E. Czerniecki, Senior Managing Director, XL CAPITAL
ASSURANCE INC.
Panelists:
Drew Dickey, DAVID L. BABSON & CO.
Bill Morokoff, Director, MOODY'S KMV
Volkan Kurtas, UNIQA ALTERNATIVE INVESTMENTS
James Hart, Portfollio Manager, ZAIS GROUP LLC.
- B - 15:40 WHAT ARE THE LATEST TRENDS IN INDUSTRY
BEST PRACTICES IN CDO SURVEILLANCE?
- What does it take to provide a top quality product?
- Importance of surveillance to issuers, rating agencies and investors
- Impact on asset value
- Is it worth the effort invested?
Moderator:
Phoebe Moreo, Partner, DELOITTE
Panelists:
Shaun Baddeley, Senior Director, FITCHRATINGS
Ron D'Vari, Managing Director/Director-Research, STATE STREET
RESEARCH
Uwe E. Remy, Global Co-Head of Structured Credit, SWISS RE
16:05 Refreshments
- A - 16:20
WHEN DOES THE ROLE OF THE TRUSTEE START?
- Are there differences in how the trustees,
CDO bondholders, equity investors, wrappers, managers, rating agencies,
underwriters, and accountants view the role of the trustees?
- What are the major conflicts in these
views?
- Sharing a few cases with the audience
to illustrate where things were not so clear cut?
- What are the major areas the trustees
add value most: Compliance? Accurate Data? Usable data formats? Monitoring
manager? Working closely with managers?
- Industry Standardisation: Investor
Reporting
Moderator:
Henry Albulescu, Managing Director, STANDARD
& POOR'S
Panelists:
Todd Scanlon, Director of Business Development, ABN AMRO
TRUSTEE
Hillel Caplan, Senior Manager, DELOITTE
Gabi Hartl, Portfolio Manager, INVESTKREDIT BANK AG
Julius A. Carrington, VP-Sales, JP MORGAN
Jonathan Potter, VP - Global Structured Analytics, THE BANK
OF NEW YORK
- B - 16:20 WHAT IS THE STATUS OF THE SECONDARY
MARKET?
- CDO Secondary Market overview
- How should one analyze a CDO?
- Is there more than one way to approach the analysis?
- What are the pieces to consider?
- Do these differ in a primary vs. secondary purchase?
- Modeling Services - What's available? Pros and cons? New developments?
- Portfolio Manager Evaluation - What are the areas of import? Does
it differ in primary vs. secondary?
- Fund of Funds and CDO-squared: How does an investor analyze and monitor
their blended exposures?
- The Rating Agencies - Capture of collateral deterioration, monitoring
events of default, capture of collateral liquidations, use of current
collateral pricing in evaluations, source for collateral marks?
- Standardization goals and progress
- Data availability - Trustee reporting
- Demystifying CDO bid lists
Moderator:
Peter Kambeseles, STANDARD & POOR'S
Panelists:
Jan Vanermen, Senior Portfolio Manager, FORTIS BANK
Speaker to be named, MOODY'S INVESTORS SERVICE
Erik Siegel, Vice President, MORGAN STANLEY
Manfred Exenberger, Managing Director, UNIQA ALTERNATIVE INVESTMENTS
Henrik Malmer, Vice President, WACHOVIA SECURITIES
- A - 17:20 USES AND ABUSES OF CDO STRUCTURES
Moderator:
Yuecel Yilmaz, Head of Investment Credit,
ABS and Structured Credits, HBOS TREASURY SERVICES PLC
Panelists:
Dirk Scheunemann, Head of Securitisation, BANKGESELLSCHAFT BERLIN
AG
Karl Kinsky, Portfolio Manager, INVESTKREDIT BANK AG
Harald Berlinicke, Senior Portfolio Manager, Asset Backed Securities,
NEW BOND STREET ASSET MANAGEMENT LLP
Steve Anderberg, Associate Director,
STANDARD & POOR'S
- B - 17:20 CDOs OF
MIDDLE-MARKET COMMERCIAL LOANS
- Market history: What's been accomplished to date?
- Collateral analysis: How are these loans evaluated?
- Originator/Servicer: What are the key considerations to this role?
- Status check: What is the current state of the middle market? What's
to be expected going forward?
- Legal considerations when securitizing middle market loans
Moderator:
Elizabeth Russotto Nugent, Director, FGIC
Panelists:
David Schmuck, Chief Financial Officer, ANTARES
CAPITAL CORPORATION
Nick Proud, Senior Vice President, ASSURED GUARANTY
Sean Dougherty, Director, STANDARD & POOR'S
Jeff Herlyn, Managing Director, UBS
18:15 COCKTAILS ALL 'ROUND
19:15 CLOSE OF DAY ONE
8:00 Continental Breakfast
8:30 CO-CHAIRPERSONS' RECAP REMARKS
Ken Gill, Managing Director, FITCH
RATINGS
David Tesher, Managing Director, STANDARD & POOR'S
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CONCURRENT SESSIONS:
CHOOSE "A" OR "B"
|
- A - 8:45 MARKET VALUE CDOs: A NEW GENERATION
Moderator:
David Tesher, Managing Director, STANDARD & POOR'S
Participants:
David Blackwelder, Director, CITIGROUP
Lily Cheung, Director, STANDARD & POOR'S
- B - 8:45 CDOs OF TRUST PREFERRED SECURITIES
Moderator:
Lars Norell, Director, MERRILL LYNCH
Panelists:
Dan Cohen, CEO, COHEN BROTHERS & CO
Hedi Katz, Managing Director,
FITCHRATINGS
Alfredo de Diego Arozamena, Director, STANDARD & POOR'S
- A - 9:30 CDO EQUITY RETURNS AND RETURN CORRELATION
Douglas Lucas, Director, UBS
- B - 9:30 CDO EQUITY INVESTING: HISTORY WILL
TEACH US NOTHING
Arturo Cifuentes, Ph.D., Managing Director, WACHOVIA SECURITIES
10:10 Refreshments
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A - 10:25 MANAGERS' MATTERS
- Why should an investor buy a managed fund rather than an index or
static pool?
- What are the key elements one should look for to determine if a manager
will do a good job?
- How should one evaluate manager performance and what metrics are
available to do a meaningful comparison?
- When is it time to replace a manager and how do investors go about
doing so? What are the benefits and what are the risks?
- Is there a way to better align a manager's performance/incentives
with the deal's performance?
- The Collateral Management Agreement - why is it important and what
should one look for when reviewing this document?
Moderator:
Tracy Pridgen, Managing Director, FGIC
Panelists:
Peter Carnes, Managing Director, CYPRESSTREE INVESTMENT MANAGEMENT
CO. INC.
Brad Ives, Managing Director, DUKE STREET CAPITAL DEBT MANAGEMENT
LTD.
Randall Sandstrom, CEO, EIGER CAPITAL
Mark Gaw, Director, STANDARD & POOR'S
- B - 10:25 CURRENT TRENDS IN ARBITRAGE CDOs
- Arbitrage CDOs: Static vs. partially managed vs. fully managed
- Forms of control: Who has control?
- Forms of exposure: cash, hybrid or synthetic
- When does partially managed become fully managed?
- Rating agency requirements
- Value added from a manager: can the manager avoid downgrades or is
the aim to avoid defaults?
- Who safeguards the mezzanine investor?
- Can a 'first-time manager' get a deal done now?
- Trend toward leveraged loans
- High costs of currency hedging
- Combination notes
- Delegated/automatic asset management in synthetic CDOs
- Equity hedging capabilities
Moderator:
Ebo Coleman, BNP PARIBAS
Panelists:
Terry McCabe, CDO Director, AIB CAPITAL MARKETS
James Newsome, Vice President, MERRILL LYNCH
Lisa Goldbaum, Assistant Vice-President-Analyst, MOODY'S
INVESTORS SERVICE
Dorothee Fuhrmann, Vice President, MORGAN STANLEY
Ron D'Vari, Managing Director/Director-Research, STATE STREET
RESEARCH
Sirma Hristoforova, Portfolio Manager, UNIQA ALTERNATIVE INVESTMENTS
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GENERAL SESSION COMMENCES
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11:25
CDO EQUITY/PERFORMANCE MEASUREMENT
- Historic performance and growth outlook
of CDO equity
- Comparing CDO equity returns with other
asset classes
- Performance drivers: Collateral, manager
and structure
- Asset allocation
- Transparency
- Evaluating collateral and other collateral
considerations
- Assessing the underlying assets
- Balancing debt and equity interests
- Performance benchmarks, performance
measurement
- Have risk/return profiles been set
more realistically?
- Are they more likely to be achieved
than in historic profiles?
- Were the original IRR marked too aggressively
and too optimistically?
- Were annual default and recovery assumptions
unrealistic in the past?
- Have expectations come down to earth?
Moderator:
James Finkel, Managing Director, DYNAMIC CREDIT PARTNERS
Panelists:
Daniel Riediker, Partner & CEO, ALEGRA CAPITAL LTD.
Bill Jaume, Senior Vice President, HARBOURVIEW ASSET MANAGEMENT
CORPORATION
Dagmar Kershaw, Head of CDOs, PRUDENTIAL M&G
Miguel Ramos Fuentenebro, Managing Director, WASHINGTON
SQUARE INVESTMENT MANAGEMENT
12:15 Luncheon
13:15 OUTLOOK FOR CREDIT DERIVATIVES/SYNTHETIC
SECURITISATION
- Positive developments in the market
- Liquidity
- Risk transfer
- Disclosure
- Default swap market trends
- Credit Derivative Indices: The role of standardization
- "Fallen" and "Bouncing" Angels
- End user applications
- Where to keep a watchful eye
- Bespoke CDOs
Moderator:
Michael Peterson, Editor, CREDITFLUX
Panelists:
Cynthia Parker, Managing Director, AMBAC
Mike Diyanni, European Credit Structuring, CITIGROUP
Bill Morokoff, Director, MOODY'S KMV
Alan Cameron, RABOBANK INTERNATIONAL
Anjali Bastianpillai, Director, STANDARD & POOR'S
14:00 14:00 RESEARCHERS' PERSPECTIVES ON CDOs
AND CREDIT DERIVATIVES/SYNTHETIC SECURITISATIONS
- Credit derivative market transparency
- Which products work for which investors and why?
- Diversification, hedging and positioning
- The role of structured products in portfolios
- Relative value between CDO notes and equity
- 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 market growth
Moderator:
Russell Hurst, Managing Director - CDO Product Group, DESCAP
SECURITIES, INC.
Panelists:
Chris Ames, Head of Structured Credit Research, BNP PARIBAS
Glen McDermott, Director, CITIGROUP GLOBAL MARKETS, INC.
Douglas Lucas, Director, UBS
15:00 Refreshments
15:15 SYNTHETIC CDOs
- The CDS Contract
- CSO Structures
- Market developments
- Product comparison
- Risk and risk mitigation
- Static arbitrage vs. managed arbitrage vs. balance sheet
- The investor side of the equation: What is the depth and liquidity
of the synthetics market?
- What creates successful distribution and will secondary markets develop?
- Have synthetics streamlined the legal process for CDOs?
- Transition from the use of cash CDOs to synthetic CDOs by asset managers
- Market developments: New structures, new asset classes
- Risk management issues
Moderator:
Jeremy Carter, SECURITIZATION NEWS
Panelists:
Antoine Chauuson, Head of Structuring (Credit Derivatives), BNP
PARIBAS
Cheiron Osako, FITCHRATINGS
Anne Wrobel, Director, FSA
Adam Clayton, Managing Director, MERRILL LYNCH
Justin Hingorani, WACHOVIA SECURITIES
16:00 CDOs OF ABS & CDO SQUARED
- Advancement of rating models
- Structural innovations: Fixed recovery/defensive income play constant
maturity indices
- Documentation developments
- Static vs Managed: Growth of the managed sector on highly rated underlyings
Moderator:
Sheldon Sussman, Managing Director, RABOBANK INTERNATIONAL
Panelists:
Manish Chandra, Structurer, BNP PARIBAS
Loic Fery, Managing Director, Global Head of Structured Credit
& CDO Structuring, CALYON
Matthias Neugebauer, Director, FITCHRATINGS
Frédéric Monneret, FORTIS BANK
17:00 INVESTORS' PERSPECTIVES ON CDOs, CREDIT
DERIVATIVES AND SYNTHETIC SECURITISATION
Moderator:
Sheldon Sussman, Managing Director, RABOBANK INTERNATIONAL
Panelists:
Daniel Riediker, Partner & CEO, ALEGRA CAPITAL LTD.
Matthew P. Natcharian, Managing Director, BABSON CAPITAL MANAGEMENT,
LLC.
Mark Hale, Chief Investment Officer, PRYTANIA GROUP
18:00 CDOs 2004: FULL
SPEED AHEAD (EUROPE) CONCLUDES
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