360 Madison Ave.
New York, NY 10017-7111
Tel 646.637.9200
Alt 212.808.1000
Fax 646.637.9126
1399 New York Ave., NW
Washington, DC
20005-4711
Tel 202.434.8400
Fax 202.434.8456
St. Michael's House
1 George Yard
London, EC3V 9DH
Tel 44.20.77.43.93.00
Fax 44.20.77.43.93.01
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The Asset Managers Forum's
Workshop on MBS Processing
Wednesday, May 24, 2006
8:30 a.m. - 4:30 p.m. EST
Sheraton Hotel
811 Seventh Avenue at 52nd Street
New York City
New York PROGRAM |
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7:00 am – 3:00 p.m. PST
Western Asset Management
Engle Strategy Room – 4th Floor
385 East Colorado Blvd. & Los Robles Blvd.
Pasadena, CA California PROGRAM |
PROGRAM: NEW YORK (EST)
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| 8:30 - 9:00 a.m. |
Registration and Breakfast in Exhibit Hall
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| 9:00 - 9:15 a.m. |
Welcome and Introduction by AMF Steering Committee Representatives
Jean Ebbott, Morgan Stanley Investment Management
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| 9:15 - 10:00 a.m. |
How and Why are Mortgage Backed Securities used by Investment Managers?
Andrew Headley, Managing Director and Portfolio Manager at Bear Stearns Asset Management will offer a presentation on the use of MBS in a portfolio and how these securities are used to meet the financial goals and objectives of clients.
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| 10:00 - 10:30 a.m. |
MBS Buy-in Rules
Frank R. Malarkey, Director, Credit Suisse will discuss recent revisions and other developments relating to the U.S. Treasury Department's MBS buy-in rules and discuss the possible need for industry best practices.
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| 10:30 - 10:45 a.m. |
Refreshment Break in Exhibit Hall
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| 10:45 a.m. - 12:00 noon |
"A" Day and MBS Processing
A panel will compare and contrast the views of dealers and asset managers. What systems are used? How do you reconcile? When do traders trade on “A” Day? This panel will discuss the relationship between the trading desks and the middle office and the mechanics of the allocations process.
Moderator: Robert Kemp, Morgan Stanley Investment Management
Panelists:
Tim Kieran, BlackRock
Christopher Marzullo, Lord Abbett
Michael Morgan, Deutsche Bank
Bill Santangelo, Countrywide Securities Corporation
Kelly Swanson, The Capital Group Companies
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| 12:00 - 12:45 p.m. |
Products and Services available in the MBS market
This panel will discuss products and solutions that are available to the buyside in the MBS market. The panel will address issues such as connectivity to EPN, preparing EPN notification, optimization, automated allocations, relative value trading, preparing payments for settlement.
Moderator: Jean Ebbott, Morgan Stanley Investment Management
Panelists:
Anthony Bartelli, SimCorp
Mark Best, ADP
Rebecca Hurley, Charles River
Doug Starkey, Appix
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| 12:45 - 1:45 p.m. |
Luncheon Speaker
FICC representatives will speak on developments at FICC, including the central counterparty proposal.
Dennis Paganucci, Managing Director
Susan Tysk, Managing Director
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| 1:45 - 2:30 p.m. |
Asset Managers' Operational Challenges Related to Clearing and Settlement
The panelists will cover issues related to this unique phenomenon: namely, they will cover the challenges caused by class “A” day, friction brought on by pool changes, and a discussion of the most common causes of settlement related fails. Investing institutions, broker dealers, clearing banks and custodial representatives will speak to the various ways they are organized to handle research on notification and settlement days. .
Moderator: Larry Barnett, Appix
Panelists:
Kevin Caffrey, The Bank of New York
Geoffrey Graham, SSCIMS
Linda Perrone, The Bank of New York
Anne Reich, Morgan Stanley
Charles Vicente, Morgan Stanley Investment Management
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| 2:30 - 2:45 p.m. |
Refreshment Break in Exhibit Hall
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| 2:45 - 3:30 p.m. |
Importance of Custodial/Broker-Dealer Management in Processing MBS
A panel of buyside operations professionals will discuss the importance of sending standardized pool information to the broker, rules regarding good delivery and the need to develop business relationships.
Moderator: Jerome Matthews, Prudential Investment Management
Panelists:
Nick Botta, Morgan Stanley
Mark Finley, Investors Bank & Trust
John Haley, Barclays Capital
Cristeta Rabang, SSCIMS
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| 3:30 - 4:15 p.m. |
Update from the Bond Market Association Mortgage Operations Committee
Members of The Bond Market Association's Mortgage Operations Committee will update the Asset Managers Forum on developments in the industry relating to items that are being addressed by the Committee.
Speakers:
Tom Menken, HSBC Securities, Chair of TBMA Mortgage Operations Committee
Bob Leuchtmann, Bear Stearns, Vice Chair of TBMA Mortgage Operations Committee
Peter Kelly, Nomura Securities
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| 4:15 p.m. |
Closing Remarks
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PROGRAM: CALIFORNIA (Pacific Time)
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| 7:00 - 7:30 a.m. |
Registration and Breakfast in Exhibit Hall
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| 7:30 - 7:45 a.m. |
Welcome and Introduction by AMF Steering Committee Representatives
Larry Barnett, Appix
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| 7:45 a.m. - 9:00 a.m |
"A" Day and MBS Processing
A panel will compare and contrast the views of dealers and asset managers. What systems are used? How do you reconcile? When do traders trade on “A” Day? This panel will discuss the relationship between the trading desks and the middle office and the mechanics of the allocations process.
Moderator: Robert Kemp, Morgan Stanley Investment Management
Panelists:
Tim Kieran, BlackRock
Christopher Marzullo, Lord Abbett
Michael Morgan, Deutsche Bank
Bill Santangelo, Countrywide Securities Corporation
|
| 9:00 - 9:45 a.m. |
Products and Services available in the MBS market
This panel will discuss products and solutions that are available to the buyside in the MBS market. The panel will address issues such as connectivity to EPN, preparing EPN notification, optimization, automated allocations, relative value trading, preparing payments for settlement.
Moderator: Jean Ebbott, Morgan Stanley Investment Management
Panelists:
Anthony Bartelli, SimCorp
Mark Best, ADP
Rebecca Hurley, Charles River
Doug Starkey, Appix
|
| 9:45 - 10:00 a.m. |
Break
|
| 10:00 - 10:45 a.m. |
Keynote Speaker
FICC representatives will speak on developments at FICC, including the central counterparty proposal.
Dennis Paganucci, Managing Director
Susan Tysk, Managing Director
|
| 10:45 - 11:30 a.m. |
Asset Managers' Operational Challenges Related to Clearing and Settlement
The panelists will cover issues related to this unique phenomenon: namely, they will cover the challenges caused by class “A” day, friction brought on by pool changes, and a discussion of the most common causes of settlement related fails. Investing institutions, broker dealers, clearing banks and custodial representatives will speak to the various ways they are organized to handle research on notification and settlement days.
Moderator: Larry Barnett, Appix
Panelists:
Kevin Caffrey, The Bank of New York
Geoffrey Graham, SSCIMS
Linda Perrone, The Bank of New York
Anne Reich, Morgan Stanley
Charles Vicente, Morgan Stanley Investment Management
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| 11:30 - 11:45 p.m. |
Refreshment Break
|
| 11:45 a.m. - 12:30 p.m. |
Importance of Custodial/Broker-Dealer Management in Processing MBS
A panel of buyside operations professionals will discuss the importance of sending standardized pool information to the broker, rules regarding good delivery and the need to develop business relationships.
Moderator: Jerome Matthews, Prudential Investment Management
Panelists:
Nick Botta, Morgan Stanley
Mark Finley, Investors Bank & Trust
John Haley, Barclays Capital
Cristeta Rabang, SSCIMS
|
| 12:30 - 1:15 p.m. |
Update from the Bond Market Association Mortgage Operations Committee
Members of The Bond Market Association's Mortgage Operations Committee will update the Asset Managers Forum on developments in the industry relating to items that are being addressed by the Committee.
Speakers:
Tom Menken, HSBC Securities, Chair of TBMA Mortgage Operations Committee
Bob Leuchtmann, Bear Stearns, Vice Chair of TBMA Mortgage Operations Committee
Peter Kelly, Nomura Securities
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| 1:15 - 2:00 p.m. |
Break for Lunch
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| 2:00 - 2:45 p.m. |
How and Why are Mortgage Backed Securities used by Investment Managers?
Andrew Headley, Managing Director and Portfolio Manager at Bear Stearns Asset Management will offer a presentation on the use of MBS in a portfolio and how these securities are used to meet the financial goals and objectives of clients.
|
| 2:45 - 3:15 p.m. |
MBS Buy-in Rules
Frank R. Malarkey, Director, Credit Suisse will discuss recent revisions and other developments relating to the U.S. Treasury Department's MBS buy-in rules and discuss the possible need for industry best practices.
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| 3:15 - 3:30 p.m. |
Closing Remarks
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Registration Information
Registration Fees:
$595 Members of AMF and TBMA
$395 Fourth or additional Members from the same firm
$795 Non-member
$595 Fourth or additional Non-Members from the same firm
Refund Policy
The Association will issue refunds, each subject to a $75 service charge, on cancellations received in writing on or before Monday, May 15 2006. No refunds will be issued on cancellations after this date. Substitutes are welcome at any time.
If you have any questions, please call Debbie Devine at 646.637.9289.
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