New York, NY
April 30, 2020


Program Update:

IMN has been working with our teams, clients and suppliers around the world to monitor the impact of the Novel Coronavirus (COVID-19) outbreak. It is as part of this review and the development of the situation that has led us to postpone the Investors' Conference on Non-QM MBS, originally scheduled for April 30.

We apologize for any inconvenience caused, but as always, the safety of our participants, community and staff are our priority and we feel this is the best option for this event. Our thoughts are with those in impacted areas.

New dates will be announced soon.

If you have any questions or concerns, please contact the team at

Building upon IMN Real Estate’s Inaugural Non-QM Forum that took place in California this past November, we are excited to promote the evolution of this promising asset class by offering an event designed for investors and focused on securitization as a funding tool. Non-QM is hailed as the triumphant return of the non-Agency RMBS market, and as a long awaited alternative to the prolific volume of GSE dominated issuance post-financial crisis.

The Investors’ Conference on Non-QM MBS will help investors to better understand the risk profile of these securities, and how to differentiate the non-QM MBS product from the previous Alt A and subprime RMBS sectors pre-financial crisis. Non-QM lenders will benefit from greater understanding of the relative value of ABS Technology as a financing channel.
The program will be written in consultation with an Advisory Board comprised of active issuers, investors and warehouse lenders in the expanded Prime and Non-QM space. This helps to ensure the program is timely and sensitive to the most pressing issues of concern to the potential investors in this fast growing sector of private mortgage finance.

Who Should Attend
  • Mortgage investors
  • Private lenders in the non-QM space
  • Warehouse lenders
  • Underwriters and arrangers
  • Legal counsel
  • Ratings agencies
  • Mortgage servicers
  • Regulators

Issuers & Investors 281

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    Thursday, April 30th, 2020

      8:00 AM
      Delegate Breakfast and Registration

      8:30 AM
      Non-QM Primer: Let’s Get it Straight! Defining and Deconstructing the Non-QM Label

        • Non QM as the statute describes it, not as a subprime metaphor
        • What are the products? Fix and flip loans, are they included? What does expanded prime mean?
        • Classifying the various origination platforms of non-QM; low doc/high DTI/high asset vs. cash flow income
        • Profiling the various issuers and their shelves; how should investors differentiate
        • Assessing the true volume of GSE loans that are non-QM
        • Who participates where?

        • John Lynch, CEO (PCMA Private Client Lending)
        • George Auerbach, Managing Director (Pretium Partners)

      9:15 AM
      Welcoming Remarks

      9:20 AM
      Keynote Fireside Chat

      • Outlook for Private Lending Volume Amid GSE Privatization and Non – QM Patch Expiration

        • Michael Bright, Chief Executive Officer (Structured Finance Association)

      10:00 AM
      The View from Capitol Hill

        • The latest buzzwords from the regulatory front: what is the current regulatory sentiment on the non – QM market, can anything be shared?
        • Could we see DTI limits raised to where everything becomes safe harbor, including IOs, i.e. a reversion back to 2005?

        • Eric Kaplan, Director, Housing Finance Program (Milken Institute - Center for Financial Markets)
        • Jim Parrott, Owner, Falling Creek Advisors, Senior Fellow (Urban Institute)
        • Laurie Goodman, Center Director, Housing Finance Policy Center (Urban Institute)

      10:30 AM
      Translating the Impact of Regulatory Developments and Rates Uncertainty on the Macro Picture for the Non-QM Market

        • QM Patch Expiration: How will the GSE footprint change? What are the main drivers of a shift in execution volume to the PLS market?
        • Changes in the GSE buying box due to non QM Patch expiration
        • Changes to G Fees?
        • Bond investors or banks? Who will dominate? Is private capital there to pick up the slack up and down the capital stack?
        • As the market matures, what will the evolution of the product types?
        • H1 2019 was robust followed by a tapering in H2. What is the outlook for non-QM lending volume in 2020? Is the volume now becoming to a point where you can see single program securitizations?
        • Infrastructure and staffing levels: how are originators preparing to absorb the volume that will shift to the private market with if there is a shrinking GSE footprint?

        • Pete Sack, Managing Director (Credit Suisse)
        • Matt Nichols, Chief Executive Officer (Deephaven Mortgage)
        • Steven Schwalb, Partner (Angel Oak Lending)
        • Matthew Tomiak, Managing Director (Redwood Trust, Inc.)

      11:20 AM
      Refreshment Break

      11:50 AM
      The Expanded Prime Jumbo Issuer Roundtable

        • Overview of the securitization structure and how it differs from the Non-QM ABS model
        • Outlook for issuance volume in H2 2020
        • Infrastructure and staffing levels: how are originators preparing to absorb the volume that will shift to the private market in the event of a shrinking GSE footprint?
        • How will originators manage volume in an uncertain rate and regulatory environment? How can originators sustain volume in the event of another rate rally?
        • What are the CRA views on new trends in origination? Will issuers’ credit rating benefit from more homogenous pools? Are the CRAs incorporating this metric into their methodology?

        • Michael Fania, Director (Annaly Capital Management)
        • Marc Simpson, Executive Director (JP Morgan Securities LLC)

      12:40 PM
      Delegate Luncheon featuring Keynote Speaker

      1:45 PM
      The Non – QM Issuer Roundtable

        • Outlook for issuance volume in H2 2020
        • Overview of the securitization structure and how it differs from the Expanded Prime Jumbo ABS model
        • Defining your shelf:
          • Prime versus non-prime: DTI and borrower credit metrics
          • Low doc versus high doc
        • Efforts underway to improve non-QM underwriting efficiency to compete with easier to originate mortgages; Can loan officers be incentivized within Dodd Frank guidelines? 
        • CRA views:
          • How are CRAs viewing current underwriting trends, in particular document light transactions?
          • Due diligence standards: what are the constraints on achieving best practice? Practicality of 100% loan review versus sampling
        • Reps and Warranties, Deal Structures and Other Key Investor Considerations for Investing in Non-QM

      2:35 PM
      Evolution of Securitization as a Funding Tool: Moving Towards Efficiency

        • Which products are securitizable? How much non-QM product do you need it to make economic sense?
        • What level of subordination are you looking for? Comparing subordination vs. wrap structures
        • US vs Euro Risk Retention
        • Who’s issuing? Buying?
        • Traditional servicer, sub servicer, or special servicer-Who should handle the loan?
        • Due diligence and rating agency approval
        • Diversification concerns and credit performance
        • What are optimal securitization conditions and minimum pool size for the non-QM originator? 
        • Do investors want stratification by loan program? Can you make the pool more homogenous to get better pricing for the issuer?
        • The next logical progression: one originator, vs. correspondent. Are the CRAs viewing this differently?
        • Strong rights and remedies: Are Investors willing to reward issuers with better pricing for enhanced investor protections. Can this encourage issuers to commit to standard best practice?
        • What are the major red flags to watch for in the sector?
          • Deal structure: More deal tranching and financial engineering; increasingly complicated structures
          • Risk Retention: can selling off risk retention create misalignment of interest?
          • Loosening Documentation Standards
          • Deteriorating Credit Quality (higher DTI/lower FICO)

        • Harkaran Talwar, Senior Portfolio Analyst (Angel Oak Capital)

      3:25 PM
      Refreshment Break

      3:45 PM
      Tiering Methodology for Non QM Shelves: Performance, Composition and Relative Value Considerations

        • Relative value of different non-QM products and vs. other mortgage and fixed income investments
        • How do you see market conditions changing relative value? What are your favorite determinants of relative value today?
        •  Do investors like the idea of stratification of the non-QM universe? Pre-payment speeds, non-call periods, and interest rate sensitivity
        • Will clear tiering of lending programs along the credit profiles and prepayment speeds emerge as this sector matures? Will segregation of programs increase?
        • What metrics do investors use compare and contrast the various types of non QM shelves? Prepayment speed, credit profile
        • Valuing new issue vs. seasoned paper
        • Outlook for secondary market trading Non-QM MBS:  Where is spread, liquidity and pricing for the various non-QM products?
        • Evaluating historic performance metrics

        • Harris Trifon, Co-Head of Mortgages and Consumer Credit (Western Asset Management)
        • Mario Rivera, Managing Director (Fortress Investment Group)
        • Ramon Decastro, Vice President (T. Rowe Price)

      4:45 PM
      The Investors’ Conference on Non-QM MBS Concludes & Networking Reception Commences



This is a past conference, no registration is available.

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  • Conference Venue
  • InterContinental New York Times Square

    300 W 44th Street
    New York, NY, 10036

    Additional Info:

    Please use the link above to make a reservation in our group room block, pending availability, until our cutoff date of Monday, March 30th.    IMPORTANT NOTE: IMN has not retained a third party booking company to assist with reservations.  If you are interested in making a reservation at the hotel you must make your reservation using the link above.

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  • Thursday, April 30th, 2020

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

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