The Strategic Guide to

Credit Derivatives

Structuring, Negotiating and Documenting Credit Protection

Monday, April 28, 2003

About

The last several years have seen tremendous growth in the volume, depth and breadth of the credit derivatives markets. In fact, the global market in credit derivatives is projected to jump to $4.8 trillion by 2004, representing a 27-fold increase since 1997. Contributing to this trend has been the continuing improvement in documentation resources, particularly through standardized definitions, better regulatory guidance and significant growth in the underlying credit markets. Banks are using credit derivatives to take advantage of regulatory capital relief, to reduce and re-allocate risk and to diversify portfolios. Insurance companies have joined banking institutions as major credit protection sellers, and funds, corporations and other participants are driving a very robust market.

Credit derivatives, in their varied types and combinations, have been used successfully both to reduce risk and to gain credit exposure in an effort to increase yields. Credit derivative products are now commonly utilized in structured transactions, such as synthetic CDOs and transformer transactions, and new products and combinations continue to evolve. Relationship managers, marketers and traders at banks, insurance companies and other financial institutions, as well as their lawyers and credit officers, need to understand the full range of available credit derivative products in order for these institutions to present efficient and innovative solutions to their clients. Buyers of credit protection must also understand the advantages and limitations of the various credit derivative products so that they may accurately evaluate remaining exposures.

The American Conference Institute offered The Comprehensive Business and Legal Guide to Credit Derivatives. This conference was an invaluable opportunity to hear about the current state of the credit derivatives market from professionals responsible for credit derivatives in their respective organizations.

You will learn how to choose the appropriate credit product and how to negotiate the significant legal, structural and pricing issues relevant to each product. You will hear about the accounting, tax and legal issues surrounding the various credit derivatives structures, including the 2002 ISDA Credit Derivative Definitions. The American Conference Institute gathered speakers from the major credit derivatives players, including ACE Financial Solutions, Credit Suisse First Boston, Deloitte & Touche LLP, JP Morgan Chase, Morgan Stanley, New York Insurance Department, Swiss Re Financial Services Corporation, Wachovia Securities, the law firms of Stroock & Stroock & Lavan LLP; McDermott Will & Emery; Orrick, Herrington & Sutcliffe and Shearman and Sterling and Moody's, Standard and Poor's and Fitch Ratings. These and other speakers will bring their many years of industry experience to the analysis of cutting-edge credit derivatives issues.

Contents & Contributors

About

The last several years have seen tremendous growth in the volume, depth and breadth of the credit derivatives markets. In fact, the global market in credit derivatives is projected to jump to $4.8 trillion by 2004, representing a 27-fold increase since 1997. Contributing to this trend has been the continuing improvement in documentation resources, particularly through standardized definitions, better regulatory guidance and significant growth in the underlying credit markets. Banks are using credit derivatives to take advantage of regulatory capital relief, to reduce and re-allocate risk and to diversify portfolios. Insurance companies have joined banking institutions as major credit protection sellers, and funds, corporations and other participants are driving a very robust market.

Credit derivatives, in their varied types and combinations, have been used successfully both to reduce risk and to gain credit exposure in an effort to increase yields. Credit derivative products are now commonly utilized in structured transactions, such as synthetic CDOs and transformer transactions, and new products and combinations continue to evolve. Relationship managers, marketers and traders at banks, insurance companies and other financial institutions, as well as their lawyers and credit officers, need to understand the full range of available credit derivative products in order for these institutions to present efficient and innovative solutions to their clients. Buyers of credit protection must also understand the advantages and limitations of the various credit derivative products so that they may accurately evaluate remaining exposures.

The American Conference Institute offered The Comprehensive Business and Legal Guide to Credit Derivatives. This conference was an invaluable opportunity to hear about the current state of the credit derivatives market from professionals responsible for credit derivatives in their respective organizations.

You will learn how to choose the appropriate credit product and how to negotiate the significant legal, structural and pricing issues relevant to each product. You will hear about the accounting, tax and legal issues surrounding the various credit derivatives structures, including the 2002 ISDA Credit Derivative Definitions. The American Conference Institute gathered speakers from the major credit derivatives players, including ACE Financial Solutions, Credit Suisse First Boston, Deloitte & Touche LLP, JP Morgan Chase, Morgan Stanley, New York Insurance Department, Swiss Re Financial Services Corporation, Wachovia Securities, the law firms of Stroock & Stroock & Lavan LLP; McDermott Will & Emery; Orrick, Herrington & Sutcliffe and Shearman and Sterling and Moody's, Standard and Poor's and Fitch Ratings. These and other speakers will bring their many years of industry experience to the analysis of cutting-edge credit derivatives issues.

Contents & Contributors

LEGAL ISSUES IN DOCUMENTING CREDIT DEFAULT SWAPS
Sherri Venokur, Stroock & Stroock & Lavan LLP

CREDIT DERIVATIVES AND STRUCTURED TRANSACTIONS
Stephen Kruft, Swiss Re Financial Services Corporation

CREDIT DERIVATIVES AND CLOSE-OUT AMOUNT
Devi Koya, Will & Emery

CREDIT DEFAULT SWAP PRICING
Thomas Benison, JP Morgan Chase Bank

CREDIT DERIVATIVES STRATEGY: THE LONG AND UNWINDING ROAD
Lisa Watkinson, Morgan Stanley
Viktor Hjort, Morgan Stanley

ISDA'S 2003 CREDIT DERIVATIVES DEFINITIONS
Tania Cunningham, Fitch Ratings
Constance Jameson, Jones Day
Sherri Venokur, Stroock & Stroock & Lavan LLP

CREDIT DERIVATIVES - BRIEF ON RESTRUCTURING
Thomas Benison, JP Morgan Chase Bank

CREDIT DERIVATIVES STRATEGY: MODIFIED RESTRUCTURING NOT THE END OF THE STORY
Lisa Watkinson, Morgan Stanley
Young-Sup Lee, Morgan Stanley

BANKRUPTCY CODE AND DERIVATIVES
Mark A. Speiser, Stroock & Stroock & Lavan LLP

CREDIT DERIVATIVES AND ENGLISH INSOLVENCY LAW
Adam Plainer, SJ Berwin

SYNTHETIC CDO'S: RECENT PERFORMANCE JUST HOW BAD IS IT? ISSUES FOR NOW AND TOMORROW
Richard Michalek, Moody's Investors Service

RATING AGENCY PERSPECTIVES ON SYNTHETIC CDO'S AND SINGLE NAME CREDIT DEFAULT SWAPS
Elwyn Wong, Standard and Poor's

TRANSFORMER STRUCTURES: A PANEL DISCUSSION
William D. Latza, Stroock & Stroock & Lavan LLP

TRANSFORMER STRUCTURES PANEL DISCUSSION
Asher Harris, Law Offices of Asher Harris

TRANSFORMER STRUCTURES PANEL DISCUSSION
Kenneth E. T. Robinson, Appleby, Spurling & Kempe

SYNTHETIC CDO STRUCTURES
Alexey Surkov, Deloitte & Touche LLP

SYNTHETIC CDO STRUCTURES
Donna M. Parisi, Shearman & Sterling

REGULATORY PERSPECTIVE: CONSIDERATIONS AND CONSEQUENCES
Michael Moriarty, New York Insurance Department
Jack R. Buchmiller, New York Insurance Department

DERIVATIVES AND INSURANCE
Glenn S. Arden, Jones Day

REGULATORY PERSPECTIVE ON CREDIT DERIVATIVES VS. INSURANCE: CONSIDERATIONS AND CONSEQUENCES
Vincent L. Laurenzano, Stroock & Stroock & Lavan LLP

TAXATION OF CREDIT DERIVATIVES: TOTAL RETURN SWAPS, CREDIT DEFAULT SWAPS AND CREDIT LINKED NOTES
David Z. Nirenberg, Orrick, Herrington & Sutcliffe LLP

SPECIAL ACCOUNTING ISSUES RELEVANT TO CREDIT DERIVATIVES
Elias Habayeb, Deloitte & Touche LLP
Alexey Surkov, Deloitte & Touche LLP


DOCUMENT TYPES: PRESENTATIONS AVAILABLE: 0