Analytic landscape: Impact of COVID-19 and moving forwards

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Analytics team

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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) ___ Reflection on 2020 product initiatives (5min) Presenter: Emily Prince, Global Head of Analytics Product Management, LSEG ___ 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 ___ 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 October 8: Analytic innovations: Securitized considerations as part of sustainable investing

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