NYU Stern

Symposium on Securitization

Futures and forwards, options and swaps, and other familiar derivative instruments are all contracts between counterparties that fix how payoffs will be calculated, based on the market value of the underlying instrument. But there is another quite different class of derivatives that are not contracts, but securities created by the process of securitization. Rather than being passed off to the counterparty in a derivatives contract, in securitization the risk contained in a portfolio of risky securities is allocated to different classes (tranches) of newly issued derivative securities.

Starting in the 1970s with mortgage-backed securities (MBS) like GNMA pass-throughs and Collateralized Mortgage Obligations (CMOs), securitization has been extended to create asset-backed securities based on mobile homes, auto loans, credit card receivables, and other kinds of underlying assets. Most recently, the highly successful innovation of Collateralized Debt Obligations (CDOs) and Collateralized Loan Obligations (CLOs) demonstrates the power of this important approach to managing financial risks, including default.

The NASDAQ Derivatives Research Project is pleased to present a panel discussion on securitization, featuring three speakers with extensive insights and experience in this area.


Date:
Friday, February 9, 2007

Time:
3:00 - 5:00 PM, Reception following

Location:
New York University
Stern School of Business
Kaufman Management Center
Room 1-70
44 West Fourth Street
New York, NY 10012

Direction:

For directions and maps, click here


Registration:
Admission is free, but please RSVP to the Salomon Center
(salomon@stern.nyu.edu, 212-998-0700)

Program:

3:00PANEL DISCUSSON ON SECURITIZATION

Jure Skarabot
Credit Derivatives Strategy, Citigroup Global Markets, Inc.
"Innovations in Synthetic Securitization of Credit Risk"

Mustafa Chowdhury
Head of US Rates Research, Deutsche Bank
"Asset-Backed Securitizations"

Brook Payner
Managing Director and Group Executive, IXIS Capital Markets
"Securitization of Mortgages"
5:00Reception