Credit Risk Transfer
New York, NY
April 25, 2019

Description

IMN is excited to announce the return of the 4th Annual Credit Risk Transfer Symposium, taking place April 25, 2019 at the Conrad New York. This market has grown from a little known asset class to an essential part of the mortgage market, as Enterprises continue to innovate and experiment with various structures and attempt to expand the scope of their CRT programs.

Issuers looking to market their latest offerings and investors seeking yield in the asset class will have many opportunities to connect pre, during and post-event, in the exhibit hall and sponsor-hosted private meeting spaces.
 
Our attendees gain a competitive edge from attending the sessions hosted over this one-day conference, and features speakers whose expert insights provide important industry and regulation updates, key trends, opportunities and challenges headlining the future of GSE reform.  
 
A must-attend event, IMN’s Credit Risk Transfer Symposium is a platform that informs, engages and delivers a competitive edge for the U.S. structured finance community.

Who Should Attend
  • GSEs
  • Technology Platform Providers
  • Asset Managers
  • Hedge Funds
  • Banks
  • Insurance & Reinsurance Companies
  • Sovereign Funds
  • Analytics Firms
  • REITs
  • Lenders
  • Rating Agencies
  • Law Firms
  • Consultants
  • Mortgage Companies

Investors 227

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Agenda

    Thursday, April 25th, 2019

      8:00 AM
      Delegate Registration & Breakfast




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      8:50 AM
      Opening Remarks



        • Lauren Kerr, Conference Producer (IMN)

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      9:00 AM
      Keynote: The Future of the Mortgage Market and CRT



        • David Brickman, President (Freddie Mac)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      9:20 AM
      Economic Drivers of the CRT Market

        • How do housing economics effect lending volume and performance outlook?
        • What are the fundamentals of the underlying collateral (appreciating housing prices, interest rates, and delinquency rates)?
        • What are the risks associated with changing loans as they originate from an overvalued housing market?
        • Macroeconomic view: What is happening in the peripheral and housing market to drive deal price, liquidity and relative value of CRT?
        • China trade wars to other high yield markets: What is the outlook of the CRT securitized product?
        • Relative value: CRT vs. other investment opportunities
        • How will the weakened USD effect the CRT market in 2019? 


        • Philip Hong, Vice President (Wells Fargo)
        • Christopher Flanagan, Managing Director (Bank of America Merrill Lynch)
        • Richard Cooperstein, Director, Model Risk Management (Andrew Davidson & Co., Inc.)
        • Jeremy Schneider, Senior Director (S&P Global Ratings)
        • Roger Ashworth, MBS Research (Citi)
        • Paul Nikodem, Managing Director, Head of Securitized Products Research (Nomura Securities International, Inc.)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      10:05 AM
      GSE Program Updates

        • Outlook and volume projections for 2019 GSE programs compared to the last 12 months
        • Securitized products and reinsurance program updates
           


        • Mary Stone, Managing Director (Bank of America Merrill Lynch)
        • Laurel Davis, Vice President for Credit Risk Transfer (Fannie Mae)
        • Michael Reynolds, Vice President, Credit Risk Transfer (Freddie Mac)
        • Jack Kahan, Senior Managing Director (Kroll Bond Rating Agency, Inc.)
        • Janet McCrae, Partner (Hunton Andrews Kurth LLP)

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      10:50 AM
      Networking Refreshment Break




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      11:15 AM
      Keynote: Aspects of CRT Capital Relief

      • CRT capital relief under FHFA’s proposed capital rule for the Enterprises

        • Naa Awaa Tagoe, Senior Associate Director, Office Of Financial Analysis, Modeling & Simulations (Federal Housing Finance Agency)
        • Bryan Goudie, Principal Financial Analyst (Federal Housing Finance Agency)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      11:50 AM
      Keynote Fireside Chat: How Technology and Big Data are Shaping the Future of Credit Risk Management



        • Prachi Gokhale, Partner (Katten Muchin Rosenman LLP)
        • Malloy Evans, Senior Vice President & Chief Credit Officer, Single-Family (Fannie Mae)

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      12:10 PM
      CRT Trader Roundtable: Relative Value on Seasoned Deals and New Issuances

        • Are we starting to see an increase in access to 2015/16 deals that have delevered and upgraded? 
        • What is the appeal for this type of supply now available compared to new issuances? 
        • How does this universe of short duration buyers compare to deep credit buyers? 
        • Seasoned product advantages compared to new issuances: Investment grade, spread differentiations
        • How liquid is the secondary market?
        • Does it create market volatility during market disruption when there is a total return index? 
        • Spread and trade predictions 


        • Richard Cooperstein, Director, Model Risk Management (Andrew Davidson & Co., Inc.)
        • Mark Fontanilla, Founder (Mark Fontanilla & Company, LLC)
        • Oren Benzaquen, Head of CRT Trading (Barclays)
        • Matt Spoerlein, Director (Bank of America Merrill Lynch)
        • Lauren Marra, Vice President, Non-Agency Trading (J.P. Morgan Securities LLC)

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      12:50 PM
      Delegate Luncheon




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      Track A 1:50 PM
      Mortgage Insurance CRT

        • Why MI CRT? What are the primary motivations for utilizing the MILN structure?
        • How are mortgage insurers transferring credit risk?
        • Case reviews: Overview on deals and benefits received under the MI CRT benefits
        • Current state of the market and expectations for 2019 


        • Michael Marra, Director, Securitized Products (Credit Suisse)
        • Kenny Turner, Vice President Capital Markets (Genworth Financial)
        • Rob Smith, Senior Vice President, Pricing and Portfolio Analysis (National Mortgage Insurance)
        • Joe Monaghan, Executive Managing Director (Aon)
        • Jim Bennison, Executive Vice President, Alternative Markets (Arch Capital Group (US))
        • Jeff Krohn, Managing Director (Guy Carpenter)

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      Track B 1:50 PM
      Opportunities in Credit Offering

        • Origination perspective: How is the REMIC structure attracting more liquidity since first implemented? 
        • Has REMIC made it easier for REIT assets to access the CRT market? 
        • Investor perspective: How has REMIC changed the way they think about investing in CRT as a REIT?  


        • Kendal Sibley, Partner (Hunton Andrews Kurth LLP)
        • Roman Shimonov, Managing Director (Annaly Capital Management)
        • Vandy Fartaj, Chief Investment Officer (PennyMac)
        • Victoria Rostow, Senior Vice President, Policy & Regulatory Affairs (National Association of Real Estate Investment Trusts)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      Track A 2:30 PM
      Credit Risk Profiles and Underlying Mortgages

        • GSE single-family origination trends   
        • Counterparty risk management: How are GSEs managing their counterparties ensuring quality control of the loans? 
        • Credit scores: How are consumer credit risk and usage trends changing?
        • Rating agency perspective: What shifts are happening in the market? 


        • Chris Beck, Senior Vice President (Guy Carpenter)
        • Joanne Gaskin, Vice President (FICO)
        • Grant Bailey, Managing Director (Fitch Ratings)
        • Jonathan Glowacki, Principal & Consulting Actuary (Milliman, Inc)
        • Gina Subramonian Healy, Vice President, Credit Risk Transfer (Freddie Mac)
        • Nicholas Sapirie, Vice President, Capital Markets Analytics (Fannie Mae)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      Track B 2:30 PM
      Single Security Initiative

        • What does this FHFA initiative mean for the CRT market and investors?


        • Mark Hanson, Senior Vice President Securitization (Freddie Mac)
        • Stephanie Milner, Director (Fannie Mae)
        • Liz Scholz, Associate Director, Risk Management (FHFA)

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      Track A 3:10 PM
      European CRT

        • Overview of European CRT and the impact of the new European securitization regulation
        • How might this impact U.S. investors handling European funds?


        • Micheal Bennett, Chief Actuary and Chief Risk Officer (Arch Mortgage Insurance)
        • Mascha Canio, Head of Credit & Insurance Linked Investments (PGGM)
        • Manish Kapoor, CFA, Managing Principal (West Wheelock Capital)
        • Elena Lee, Executive Director, Balance Sheet Securitisation, Capital Structuring and Distribution Group, Financial Markets (Standard Chartered Bank)

        Contains 1 presentations, but you must be registered for this conference and signed-in order to view/download the files
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      Track B 3:10 PM
      LIBOR Replacement Roundtable*

      • *Closed door session. Please contact Daisy Carpenter at daisy.carpenter@imn.org to submit your interest in attending. Fannie Mae and Freddie Mac will host an interactive session to discuss the upcoming LIBOR transition. In this session, the GSEs aim to gain feedback from the CRT investment community as the financial markets explore a transition from LIBOR to a replacement index.

        • Christian Valencia, Director (Freddie Mac)
        • Nadine Bates, Senior Vice President & Treasurer (Fannie Mae)

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      3:50 PM
      Networking Refreshment Break




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      4:10 PM
      Investor Roundtable: Cross Market Discussion

        • Investor outlook on residential mortgage fundamentals
        • What do investors think of the collateral pool profiles and expectations for loan performance? 
        • Are interest rate movements starting to play a bigger role in higher dollar priced securities? 
        • Spread outlook 
        • Are investors comfortable after the market sell off end of Q4’18 and how did this affect liquidity? 
        • Relative value of CRT as an investment opportunity compared to CLOs, CMBS and other corporate high yield asset classes
        • Comparison of CRT across the broader scheme 
        Hosted by the Fixed Income Investor Network (FIIN) FIIN

        • James Egan, Executive Director, Structured Products Strategy (Morgan Stanley)
        • Clay Armistead, Portfolio Manager (BlackRock Systematic Fixed Income)
        • Neil Aggarwal, Head of Trading & Deputy Chief Investment Officer (Semper Capital Management)
        • Tracy Chen, Portfolio Manager & Head of Global Structured Credit (Brandywine Global Investment Management)
        • Shariff Elkordy, Managing Director, Agency MBS (1/0 Capital LLC)

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      4:50 PM
      4th Annual Credit Risk Transfer Symposium Cocktail Reception




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Sponsors

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Advisory Board

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Venue

  • Conference Venue
  • Conrad New York


    102 North End Avenue
    New York, NY, 10282
    USA

    Additional Info:

    IMN's Room Block is Full.
  • Suggested Hotel
  • Millennium Hilton Hotel


    55 Church Street
    New York, NY, 10007
    USA

    Additional Info: IMN does not have a room block at this hotel.
  • Suggested Hotel
  • W New York - Downtown


    123 Washington Street @ Albany St.
    New York, NY, 10006
    USA

    Additional Info: IMN does not have a room block at this hotel.
  • Suggested Hotel
  • The Frederick Hotel


    95 West Broadway
    New York, NY, 10007
    USA

    Additional Info: IMN does not have a room block at this hotel.

Speakers

Content/Audio Files

  • Only sessions that contain published presentations or audio files are shown here. To view full agenda please expand "Agenda" tab.

    Also please do not forget that if you are playing audio files on the mobile device (without being connected to WiFi), your Mobile/Cellural Internet data will be spent to play these audio files.
  • Thursday, April 25th, 2019
  • Keynote: The Future of the Mortgage Market and CRT


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    9:00 AM

  • Economic Drivers of the CRT Market


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    9:20 AM

  • GSE Program Updates


    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    10:05 AM

  • Keynote: Aspects of CRT Capital Relief


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    11:15 AM

  • Keynote Fireside Chat: How Technology and Big Data are Shaping the Future of Credit Risk Management


    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    11:50 AM

  • CRT Trader Roundtable: Relative Value on Seasoned Deals and New Issuances


    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    12:10 PM

  • Opportunities in Credit Offering


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    1:50 PM

  • Credit Risk Profiles and Underlying Mortgages


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    2:30 PM

  • Single Security Initiative


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    2:30 PM

  • European CRT


    ** This session contains presentations. Presentations will be made available to conference registrants starting first day of the conference.
    Sign-In
    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    3:10 PM

  • Investor Roundtable: Cross Market Discussion


    *** This session contains audio, but you must have been registered for this conference to be able to play audio files

    4:10 PM


1120 Avenue of the Americas, 6th Floor, New York, NY 10036
Tel: +1(212)901-0506 Fax: +1(212)768-2484
Email: mail@imn.org


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