Welcome remarks (10min)
Update on ISD research & product
Yield Book strategy & outlook
Presenters
• Arne Staal, Global Head of Product Management and Research, London Stock Exchange Group (LSEG)
• Richard Burns, Global Head of Analytics, London Stock Exchange Group (LSEG)
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Reflection on 2020 product initiatives (5min)
Presenter:
Emily Prince, Global Head of Analytics Product Management, LSEG
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COVID-19 adjustments on Agency, Non-Agency and CMBS models in addition to enhancements on products and data (20min)
• COVID-19 specific forbearance extension and payment deferral plans from GSEs and their impact on prepayment model
• Partial claim and modification policy changes from FHA and pooling requirement changes from GNMA and their impact on prepayment model
• Prepayment, Delinquency, Default, & Severity adjustments for Non-Agency and CRT
• COVID-19 adjustments for agency CMBS models (V99)
Presenters:
- Hui Ding, Senior Agency RMBS Modeler, Director, LSEG
- Aysegul Erdem, Head Securitized Product Management, Director, LSEG
- Jake Katz, Non-Agency RMBS Modeler, Director, LSEG
- Luke An Lu, CMBS Researcher & Modeler, Director, LSEG
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Panel Discussion: Reflecting on COVID-19 impact and investors outlook in 2021 (25min)
Panelists:
- Ilker Ertas, Head Securitized Products, Annaly Capital Management
- Matthew Rodriguez, Portfolio Manager, Millennium Management
• Moderator: Paul Morrissey, Head North American Broker-Dealer Client Relationships, LSEG
Please join us on October 7th & 8th for more insights from industry experts:
October 7: Analytic tools and rates: Non-Agency tools and the post-IBOR world
https://bit.ly/3n9qHCa
October 8: Analytic innovations: Securitized considerations as part of sustainable investing
https://bit.ly/2SnQLLL