I will be stepping down as Regional Director with Tom's election, although I will be remaining on the DC SC for now and will continue to work on events. It has been a pleasure to work with members of the DC chapter on the events we have held over the past couple of years. Indeed, we already have two events on the calendar for 2010:

** April 13, 2010 -- Deflating Bubble VI with American Enterprise Institute

** May 3, 2010 -- The Next Full Day Event in Partnership with the FDIC Corporate University

We have also started a conversation with CATO Institute and will be hopefully holding an event with them in the first half of 2010. Further details to come.

Best,

Christopher Whalen
Regional Director

Our full-day event on Wednesday, November 4, 2009, "Regulatory Reform: Defining Issues and Tasks to Enhance Systemic Stability," features FDIC Chairman Sheila Bair as luncheon speaker. David Coulter of Warburg Pincus, James Rickards, former general counsel of LTCM, and Alan Schwartz, former CEO of Bear, Stearns are also participating. For more information click the link below:

http://www.prmia.org/events/view_events.php?eventID=3576

We have two partner events with American Enterprise Institute on the calendar. First on October 22 is the next installment of the Deflating Bubble series, with Nouriel Rubini of NYU and John Makin of Caxton among the speakers. for "Deflating Bubble IV: How Deep Does the Housing Correction Go?"

http://www.prmia.org/events/view_events.php?eventID=3573

Then we have a second event, "Is It Possible to Re-Privatize the U.S. Financial System?:

http://www.prmia.org/events/view_events.php?eventID=3575

Most important is the all-day event at FDIC on November 4, 2009. We currently have a draft agenda posted on the www.prmia.org web site:

"Regulatory Reform: Defining Issues and Tasks to Enhance Systemic Stability"
http://www.prmia.org/events/view_events.php?eventID=3576

We are just in the planning stages and want to hear YOUR comments on the program and possible speakers. Of note, the Washington DC chapter of CFA Institute is co-sponsoring this event, along with the FDIC University and OTS. Remember that we are looking for senior level executives, risk managers and researchers as potential speakers for this event.

We also have two partner events already in the works with American Enterprise Institute, one on October 22, 2009:

"Deflating Bubble VI"
http://www.prmia.org/events/view_events.php?eventID=3573

Tom, John, Desmond, Alex, Nouriel and Chris get together again to bring economic tidings of comfort and joy. And we have a new AEI partner event in process on November 12, 2009:

"Is It Possible to Re-Privatize the U.S. Financial System?"
http://www.prmia.org/events/view_events.php?eventID=3575

Aren't banks really GSEs? We are still looking for speakers for this event, especially a senior executive from a bank who can speak to the issue of "re-privatization" of the banking industry.

Finally, we are always looking to encourage members of the Washington DC community with an interest in risk issues to join PRMIA. Click here to join PRMIA today:

http://prmia.org/index.php?page=membership

We are thinking of organizing another general meeting before the end of the year. More soon.

Best,

Chris Whalen
DC SC

Key take aways from the June 10, 2009, chapter meeting:

The presentation by our friend Ann Rutledge of RR Consulting was perhaps the most sobering because it visually displays the deviation in terms of ratings performance/cash flow between conventional ABS and the late-stage production by CFC, WM, etc. Some chapter members who read the IRA comment will recall our discussion of the effect of rising option adjusted duration on the mortgage complex in a rising rate environment. Her discussion went to a far more basic issue, namely that many ABS deals were designed so poorly that they never performed as advertised in terms of cash flow from day one. And the FASB rule change on SPEs comes just in time to add further risk to the calculus for securitizations.

Ann notes that “Trading the ABS CDS without a reference spot market is nonsense,” a direct refutation of the conventional wisdom on Wall Street that models can accurately rate and track the actual cash flow performance of even ABS. But Ann’s slides also illustrate the more fundamental issue of how many securitizations were constructed in a legal and financial sense. Slides 13-17 show the difference between a classic conventional Ford ABS and a late-stage deal from CFC, which never even begins to converge on “AAA” performance in a cash flow sense. The lawyers for BAC and other sponsors have job security.

The May 4, 20098 event at the FDIC Seidman Center was a great success. We had over 180 people register and the room was full for the entire day. Steve Lindo was there to represent PRMIA and we had a really great group of financial professionals driving what was our best program to date. Steve indicates that sustaining members will be able to see the program content online via www.prmia.org.

Members of the DC chapter should be very pleased by the fact that Steve singled out Washington DC as among the most active chapters in the PRMIA system in 2009.

We have several events in the pipeline, including a session on Credit Default Swaps on June 10, 2009 at OTS at 1700 G Street N.W. Entitled "REGULATION OF CREDIT DEFAULT SWAPS & COLLATERIALIZED DEBT OBLIGATIONS," this is the first of a series of working group sessions sponsored by the DC Chapter to give members an opportunity to discuss some of the legislative proposals being advanced in the halls of Congress for reforming the credit default swaps and complex structured asset markets.

We have some excellent speakers, including Joseph Mason of LSU, Ann Rutledge of RR Consulting, Peter Axilrod of DTCC, and Michael Greenberger of the University of Maryland. Gary Kopff of Everest Management will be acting as moderator for the discussion and IRA co-founder Christopher Whalen will open the meeting with an outline of the proposals for reforming the CDS and CDO markets.

Click the link below for details:

http://www.prmia.org/events/view_events.php?eventID=3508

Finally, Syed Ahmad and several other members of the SC are working on an even regarding credit risk for September 16th, also at OTS. We have a placeholder in the calendar and more details will follow. Please email the DCSC if you wish to participate in planning this event.

Click here to download brochure in PDF format

FDIC Chairman Sheila Bair is making the opening remarks and Josh Rosner of Graham Fisher & Co is our keynote speaker for lunch.

We have a very strong program and also have gotten a good response from the PRMIA membership and the regulatory community. We only have a few seats left in the allocation for PRMIA, so please register today!.

The program follows below:

Market & Liquidity Risk Management
for Financial Institutions
Monday, May 4, 2009
L. William Seidman Center
3501 Fairfax Drive
Arlington, VA 22226

Registration: 8:00

8:30 Welcome by Steve Lindo, Executive Director, PRMIA; and Keith Ligon, Dean, College of Corporate Business, FDIC Corporate University

9:00 Opening remarks by Sheila C. Bair, Chairman, Federal Deposit Insurance Corporation

Panel I -- 9:30-10:45 – Testing Market and Counterparty Stress Scenarios in Financial Institutions

Moderator: Adam Litke, Head of Market Risk, Wachovia Securities

Panelists: Thomas Day, Managing Director, Risk Management Division, Office of Thrift Supervision; Enrico Dallavecchia, Former CRO, Fannie Mae; Matthieu Royer, Managing Director, CALYON

Break: 10:45

Panel II -- 11:00 -- 12:15 – Structured Finance in Post Bubble Markets: A Roundtable Discussion

Moderator: Christopher Laursen, Senior Consultant, NERA;

Panelists: Robert Burns Chief, Exam Support & Analysis Section, FDIC; Sylvain Raynes, Managing Director, RR Consulting; Phoebe Moreo; Partner, Deloitte & Touche Securitization Transactions Team; Kyle Bass, Managing Partner, Hayman Advisers LP

Luncheon -- 12:15-2:00

Introduction: Syed Ahmad, Federal Housing Finance Board/Chair, PRMIA DCSC

Keynote address: A New Framework for Funding Residential Mortgage Markets

Speaker: Josh Rosner, Managing Director, Graham Fisher & Co.

Panel III -- 2:00-2:45 -- Alternative Models for Financing Real Estate Markets

Presenter: Alan Boyce, CEO, Adecoagro

Break 2:45 - 3:00

Panel IV -- 3:00-4:00 – Industry Perspectives on Funding and Asset Selection in 2009 and Beyond

Moderator: Christopher Whalen, Managing Director, Institutional Risk Analytics/PRMIA DCSC

Panelists: John Cook, Managing Director, RBS Americas; Tim Bitsberger, Bitsberger Consulting; Ken Joyce, President and CEO, Rurban Financial Corp.

Reception 4:00 - 5:00

Closed to the Media

First we want to thank Ashish Gupta, Tom Day and our chairman, Syed Ahmad, for reaffirming their intention to serve on the DC SC in 2009. We are in the process of confirming the other members and interviewing several new candidates for the DC SC.

Thanks to all who contacted us about participation. Also thanks to Dennis Keifer of Deloitte and Kevin Lu of the IBRD for their past service! We shall be making some announcement about new DC SC members shortly.

Second, we want to make you aware of an event being held by our friends at the CFA Institute. We have collaborated successfully with CFAI on several events and have invited them to work with us on some future events as well. Their annual Annual Winter Dinner on 2/11/09 features Roger Lowenstein (author of When Genius Failed and other notable works). Click here for more information.

Third, we are in the process of assembling a program for the May 4, 2009 all-day event at the FDIC University. The tentative title is "Market & Liquidity Risk Management In Post-Bubble Markets" More soon on the event page of prmia.org: Click Here.

We are looking for CSUITE level speakers for the May 4 event. If you have any suggestions, please contact the DC SC

Finally, you may see the video, materials and other content from the last event, "Bust, Bankruptcy, Bailouts: What Should We Do Now?," by Clicking Here.

It appears that we shall be organizing yet another partner event with AEI on 2/23/08. The subject is credit default swaps. Yours truly and another speaker debating the pros and cons of CDS. We've been waiting for this one a while. More soon.

Many thanks!

Chris Whalen
Co-Regional Director

In that regard, the FDIC’s Center for Financial Research, Cornell University’s Johnson Graduate School of Management and The University of Houston’s Bauer College of Business are hosting the 19th Annual Derivatives Securities and Risk Management Conference, April 17-18, 2009.

The conference organizers invite submission of research papers for the 19th Annual Derivatives and Risk Management Conference. The conference will be held at the FDIC’s facilities located in Arlington, Virginia, on Friday April 17 and Saturday April 18, 2009. The organizing committee, Professor Robert Jarrow, Professor Stuart Turnbull, and Paul Kupiec will select the papers for the conference agenda.

Past conferences have featured presentation of exceptional quality research in all areas of derivatives pricing, market and credit risk measurement, computational methods, and advances in financial engineering. The 2008 conference agenda can be viewed at:

http://www.fdic.gov/bank/analytical/cfr/18th_Derivatives_Risk_Management_Conf.html

The FDIC will reimburse author’s lodging expenses at the FDIC’s Seidman Center. The FDIC also has a limited budget available to help defray travel expenses for authors in need of funding.

Please submit an electronic copy of the paper in PDF format to the FDIC’s Center for Financial Research at DerivativesConference@fdic.gov by February 4, 2009.

Please remember to include contact information on the cover page for the corresponding author.
Please title the PDF file using the corresponding author’s last name as the leading word in the title. For example: Smith_paper.pdf

Authors will be notified about the status of their papers by March 6, 2009.

Further inquiries please contact Paul Kupiec (pkupiec@fdic.gov), Robert Jarrow (raj15@cornell.edu) or
Stuart Turnbull (sturnbull@uh.edu).

The behavior of Summers and Greenspan over a decade ago in attacking and smearing Born when she dared to suggest that OTC derivatives might pose a systemic threat to the global economy enabled the explosive growth of the OTC derivatives markets. Today there are over $50 trillion in outstanding credit default contracts, for example, contracts which must be funded as default rates rise and recovery rates fall.

A number of observers from all sides of the political spectrum have suggested that his actions disqualify Summers to serve as Treasury Secretary in an Obama Administration. The link to the November 13, 2008, Bloomberg News story by Matthew Leising and Roger Runningen is below:

http://www.bloomberg.com/apps/news?pid=20601103&sid=aXcq.r6xLf4g&refer=news

The link to the event with the materials and audio/video files is below:

The Deflating Mortgage and Housing Bubble, Part IV: Where Is the Bottom?

Alex Pollock and I are already planning another chapter of the Deflating Mortgage Asset Bubble series for March 2009! Thanks against to Alex, AEI and the speakers who made this great event possible.

BTW, my notes from the event follow below:

Best,

Chris Whalen
Co-Regional Director
DC Chapter

Recently, Wellesley College professor of economics Karl E. Case--cofounder of the Case-Shiller Home Price Index--announced that house prices may have bottomed out. Good news, if accurate. Joining Lachman and Roubini to address this and other questions, such as where the actual “bottom” may lie and what impact the bailouts will have, will be John H. Makin of AEI and Caxton Associates; R. Christopher Whalen, managing director of Institutional Risk Analytics; and Thomas Zimmerman, managing director at UBS Investment Bank. AEI resident fellow Alex J. Pollock will moderate.

This event is cosponsored by AEI and the Professional Risk Managers’ International Association. For more information or to register, click here: http://www.prmia.org/events/view_events.php?eventID=3199

Thursday, October 30, 2008, 2:00–4:00 p.m.
Wohlstetter Conference Center, Twelfth Floor, AEI
1150 Seventeenth Street, N.W., Washington, D.C. 20036

1:45 p.m.
Registration

2:00
Panelists:
Desmond Lachman, AEI
John H. Makin, AEI and Caxton Associates
Nouriel Roubini, New York University
R. Christopher Whalen, Institutional Risk Analytics
Thomas Zimmerman, UBS Investment Bank

Moderator:
Alex J. Pollock, AEI

4:00
Adjournment

http://www.prmia.org/events/view_events.php?eventID=3199

This event is part of PRMIA's Global Event Series and is being held in partnership with the FDIC & the Office of Thrift Supervision (OTS). The event is free of charge, but seating is limited, so register ASAP. For additional details or to register, please click the link below:

PRMIA: Perspectives on Operational Risks to Global Financial Institutions

We have a very strong program. This event will be useful not only to the audience on September 22, but also to PRMIA members as well as the members of the regulatory community, who can access this event through the FFIEC's examiner education office and through its member agencies.

AGENDA

Keynote Speaker:

Ali Samad-Khan, Towers-Perrin

Panelists:

Hans Cobben, Group Vice President, SunGard
David Cox, Director of Research, Deloitte
Victoria Garrity, Senior Quantitative Analyst, FRB Boston
Hugh Kelly, Principal, KPMG
Andrew Leonard, SVP, Fannie Mae
Gary Owen, SVP, Citigroup
Celina Realuyo, Professor, National Defense University
James Routh, Chief Information Security Officer, DTCC
Ani Sanyal, Consulting Director, SunGard
Al Seivold, Senior Examination Specialist, FDIC
James Tunkey, Managing Director, IONASIA
Michael T. Yamamoto, Managing Vice President, Capital One
Hugh Kelly, Principal, KPMG
Jan Voigts, Federal Reserve Bank of New York

Tom Day's discussion of the proposed consultative paper on managing liquidity risk circulated for comment by the Basel working group points out that regulators are attempting to more precisely prescribe how liquidity is measured. He also noted that the comment period for this guidance closes in just one month. Click the link below to view Tom's presentation:

Government Regulation and the Impact on Liquidity Risk Practices

Tom's comments focused on the change in tone and increased specificity of the new Basel Committee guidance on liquidity risk. A number of attendees raised questions as to whether the proposed paper went far enough in terms of how liquidity issues are identified and managed.

One attendee, Alex Pollock of AEI, noted that some observers don't believe that talking about "liquidity" in the aggregate is even possible much less a useful way to expend limited management resources. Capitol Hill maven Robert Feinberg opined that the paper is too modest in its goals and runs the risk of reflecting badly on the working group because it remains far behind the curve in terms of the public debate regarding market structure and related symptoms of financial stress such as liquidity. Feinberg cited congressional testimony and the event last week at AEI, "How to Improve the Credit Rating Agency Sector," as indicators of where the public debate over market structure reform has advanced in the past few months.

The next meeting of PRMIA's DC chapter, Perspectives on Operational Risks to Global Financial Institutions, will be on September 22, 2008. The FDIC has very kindly given us access to the Seidman Center for the conference and Microsoft is sponsoring the event. If any members of the DC chapter work for organizations interested in sponsoring such events, please contact us:

Click the link below for details.

http://www.prmia.org/events/view_events.php?eventID=3059

Finally, our chairman and co-regional director Syed Ahmad and I wish to invite members of the DC chapter interested in participating in events planning or serving on the steering committee to contact either of us via the PRMIA mail system. Suggestions for speakers or sponsorship for the Op-Risk event are most welcome and needed immediately.

Chris Whalen
chris@ rcwhalen.com

http://www.prmia.org/events/view_events.php?eventID=3047

Tom Day, a new member of the DC Steering Committee, will talk about his experiences working for SunGard Bancware and his new role at the Office of Thrift Supervision as Director of Risk Modeling. Tom is currently leading an effort at OTS focused on improving analytical methods.

DC co-regional director Chris Whalen will provide an update on the events calendar for the DC chapter, as well as report on efforts to recruit a new ED for PRMIA and other governance issues. We will then hold a general discussion among the members regarding current issues facing the risk community, the subprime crisis and any other topics of interest to the members.

Please note that you must register to attend this event. OTS security requires us to submit a final attendee list at least 24 hours in advance.

We discussed the current situation at PRMIA HQ and the efforts to recruit a new ED for PRMIA. I met one candidate yesterday and will report more to the SC as and when a decision is announced.

With respect to the September Op-Risk event, Syed will contact Ali Samad Khan at Op-Risk Advisory about dates that work in September. Betsy to draft an outline of a 1/2 day program, comprising a keynote and two panels. We discussed having one panel on internal op-risk issues applicable to financial institutions and one panel focused on external/systemic risks. Possible speakers from DTCC, National War College.

We discussed the idea of inviting Tom Day of the OTS to join the SC. Both Syed and I endorse his candidacy and the other members of the SC agreed. Chris shall inform Tom of same.

So far, on the calendar we have just the op-risk event in September and the AEI subprime redux on 10/30/08. I will reach out to CFA Institute about possibly doing a second joint event in November time frame.

Syed and I would very much like to hear from those SC members who have been absent the past several months. We all are keenly aware that everyone is quite busy with recent events in the markets. Remember, membership on the SC is not mandatory, but if you are a member we want some level of participation, which can include advancing program ideas, helping to find a venue for a meeting or suggesting a speaker.

We shall try to hold the next SC meeting in mid-June to finalize the op-risk event date and venue.