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Steve Frambes (Managing Partner)Jim McKean (Managing
Partner)
+ 01 (415) 690-0607
+01 (415) 373-9101www.JacksonCG.net
[email protected]
September 9, 2009
Copyright 2001-2009, Jackson Consulting Group, LLC - One
Embarcadero Center, 5th Floor, San Francisco, California
94111-3610. All rights reserved.
This report is not directed to, or intended for distribution to
or use by, any person or entity who is a citizen or resident of, or
located in any locality, state, country or otherjurisdiction where
such distribution, publication, availability or use would be
contrary to law or regulation or which would subject Jackson
Consulting Group, LLC or any of
their subsidiaries or affiliates to any registration or
licensing requirement within such jurisdiction. This report is
based upon public sources we believe to be reliable, but no
representation is made by us that the report is accurate or
complete. We do not undertake to advise you of any change in the
reported information or in the opinions herein.
This research was prepared and issued by Jackson Consulting
Group to private client(s) for distribution to intermediate or
professional customers. This report is not an offer to
buy or sell any security, and it does not constitute invest
tent, legal or tax advice. The investments referred to herein may
not be suitable for you. Investors must make their owninvestment
decisions in consultation with their professional advisors in light
of their specific circumstances. The value of investments may
fluctuate, and investments that are
denominated in foreign currencies may fluctuate in value as a
result of exposure to exchange rate movements. Information about
past performance of an investment is not
necessarily a guide to, indicator of, or assurance of, future
performance. To our readers in the United States: Jackson
Consulting Group is distributing this report in the United
States and accepts responsibility for i ts contents. Any U.S.
person receiving this report and wi shing to effect securities
transactions in any security discussed herein should do soonly
through their brokers. Jackson Consulting Group does not make a
market in any securities.
TARP, TALF, PPIP Opportunities
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! Summary of Opportunity! TALF & TARP Program Highlights
! Credit Card & Mortgage Examples! Private Equity, Other
Commercial Banks
! Financial Advisory Services! TARP/PPIP Evaluation
! LLP Pricing, Pooling, Modeling! FAS 91 Opportunities
! TALF Access, Evaluation & Pricing! Strategic (incl.
Federal Government Policy) Questions & Investments! Private
Equity, Institutional Funds, Banks and M&A Evaluation
! Capabilities, Experience & Professional BiosJackson
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! TARP/TALF! New Product & Service Lines! Loans & Pools,
Non-Investment Grade Bonds, REITs! CRE, REO! Public/Private Equity
Investment! Mergers & Acquisitions
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Customers Originator SPV Underwriter Investors
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Promises of Future Pmts.
Customers Promises
Debt Securities
Tranches of Debt
Cash
Cash
Cash
Goods, Services or Cash
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! 2007 Q1 2009
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Public-Private Investment Program
* 100 B of TARP Funds--$75 B to Legacy Assets and $25 B to
TALF
*Financing from Treasury and Guarantees by FDIC will create $500
B to$1 T in PP
*Federal Reserve Leverage up to $1 T in Expanded TALF
Legacy Loans Program (PPIF)
Investment
*Private Capital*Treasury Capital ($/$ Match)
Financing
*Debt Guarantee Provided by FDIC(Up to 6-1)
Legacy Securities Program (PPIF)
Investment
*Private Capital*Treasury Capital ($/$ Match)
Financing
*Non-recourse Debt Offered byTreasury for 50-100% of
Investment
Expansion of TALF
Investment
*Private CapitalFinancing
*Non-recourse Debt Offered by FederalReserve
*Leverage Levels not yet Announced
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! Legacy Loan Program (LLP)! Under Umbrella of TARP/PPIP!
According to SIGTARP, Legacy Loans are:
Underperforming real estate-related loans held by a
bank that it wishes to sell, but recent market disruptions
have made difficult to price.
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! Free Up Capital! Exchange Similar Assets but now with
Government
Leverage
! Assets Prices are now Higher than in Future! Due to Buyers
Leverage
! Only Give Up 50% of Upside! Completely Protected on Downside!
Fiduciary Responsibility
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! Bank 1 to Sell Loans with Face Value $100! FDIC Determines
(4)6-1 D/E is Appropriate! @ Auction, Investor has a $60 Winning
Bid! W/FDIC (100% Guaranteed) Financing, the PPIF Gets a Loan for
$51! Remaining $9 Split @ 50% by Investor & Treasury! Bank 1
Receives $60 for Loans! PPIF pay Interest on $51 Loan! Investor
& Treasury Split Profits/Losses @ 50%
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! Bank 1 to Sell Loans with Face Value $100! FDIC Determines 6-1
D/E is Appropriate! @ Auction, Investor has a $60 Winning Bid!
W/FDIC (100% Guaranteed) Financing, the PPIF Gets a Loan for $51!
Remaining $9 Split @ 50% by Investor & Treasury! Bank 1
Receives $60 for Loans! PPIF pay Interest on $51 Loan! Investor
& Treasury Split Profits/Losses @ 50% up to $4.50! FDIC Assumes
Remaining $51 Loss
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Auto
Credit Cards
Student Loans
Equipment Leases
Non-AutoFloorplans
RMBS
CMBS
AAA RatedTranches
AAA TALF
EligibleSecurities
NY Federal
Reserve Bank
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Non-Recourse Loan
Initial Margin, Haircut
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! Eligible Assets! See Following Slide
! Origination! All Securities Issues in 2009
! Rating! AAA
! Funding Rate! Libor + 50 to 100 bps
! Funding Source! New York Federal Reserve
! Term! Now 5 Years
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! Auto Loans, Leases, Dealership Funding Programs! Autos,
Trucks, Motorcycles, Recreational Vehicles
! Student Loans! SBA Loans
! 7(a), 504!
Credit Cards! Vehicle Leases
! Commercial, Government, Fork Lifts, Long-Haul TrucksJackson
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! Equipment Loans & Leases! Small: Phone systems, Computers,
Copiers! Large: Cranes, Excavators! Agricultural: Harvesters,
Specialty Equipment
! Floorplans (Non-Auto)! Heavy & Light Equipment
! RMBS! CMBS
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TALF Traditional
Term of Borrowing 3/5 Years Varies
Cost of Borrowing Libor + 50 to 100 bps Floating
Margin Amount Fixed Varies
Mark to Market None Daily
Re-Margin No Yes
Capital at Risk Margin Par
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Bond Spread vs. Libor Credit Card Margin 6% Auto Loan Margin
8%
150 bps 9.0%
200 17.3% 11.9%
250 25.6% 17.4%
300 33.9% 23.0%
350 28.5%Current Tighter by 125 bps
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3-Year AAA Prime ABS Cash on Cash Yield
As of 5/15/09: Equip 400, Credit Cards 275, Auto 225, Student
130)
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! No Pre-Determined Term (only one)! Single Obligor 6 month!
Scheduled Amortization or Revolving Period
! Master Trust! Single Trust of Changing Pool of Receivables!
Each Series can Draw Upon CF of Pool of Securities! Income Dist Pro
Rata Based on Master Trust
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! Consider the example structure represented below. An important
feature is excess spread, reflectingthe high yield on credit card
debt. In addition, a financial guaranty is included as a form of
creditenhancement given the low rate of recoveries and the absence
of security on the collateral. Excessspread released from the trust
can be shared with other series suffering interest shortfalls.
! Performance Analysis: The Delinquency Ratio is measured as the
value of credit card receivablesoverdue for more than 90 days as a
percentage of total credit card receivables. The ratio provides
anearly indication of the quality of the credit card portfolio.
! The Default Ratio refers to the total amount of credit card
receivables written off during a period as apercentage of the total
credit card receivables at the end of that period. Together, these
two ratiosprovide an assessment of the credit loss on the pool and
are normally tied to triggers for earlyamortization and so require
reporting through the life of the transaction.
! The Monthly Payment Rate (MPR)4 reflects the proportion of the
principal and interest on the poolthat is repaid in a particular
period. The ratings agencies require every non-amortizing ABS
toestablish a minimum as an early-amortization trigger.
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! MBS sector is notable for the diversity of mortgage pools that
are offered to investors.! Portfolios can offer varying duration as
well as both fixed and floating debt.! Most common structure for
agency-MBS is pass-through, where investors are simply purchasing a
share in the cash flow of the underlying
loans. Conversely, non-agency MBS (including CMBS), has a senior
and a tranched subordinated class with principal losses absorbed
in
reverse order.
! Other notable difference between RMBS and CMBS is that the
CMBS is a non!recourse loan to the issuer as it is fully secured by
theunderlying property asset. Consequently, the Debt Service
Coverage Ratio (DSCR) becomes crucial to evaluating credit
risk.
! Debt Service Coverage Ratio (DSCR) = Net Operating Income /
Debt Payments and so indicates a borrowers ability to repay a loan
with a DSCRof less than 1.0 meaning that there is insufficient cash
flow generated by the property to cover required debt payments.
! Weighted Average Coupon (WAC) is the weighted coupon of the
pool which is obtained by multiplying the mortgage rate on each
loan by itsbalance. The WAC will therefore change as loans are
repaid but at any point in time when compared to the net coupon
payable to investors, give us
an indication of the pools ability to pay.
! Weighted Average Maturity (WAM) is the average weighted
(weighted by loan balance) of the remaining terms to maturity
(expressed in months) ofthe underlying pool of mortgage loans in
the MBS. Longer securities are by nature more volatile and so, a
WAM calculated on the stated maturity
date avoids the subjective call of whether the MBS will mature
and recognizes the potential liquidity risk for each security in
the portfolio.
Conversely, a WAM calculated using the reset date will show the
shortening effect of prepayments on the term of the loan.
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! The Weighted Average Life (WAL) of the notes at anypoint in
time is:
! s = "t.PF(s) where! PF(s) = Pool Factor at s! t = actual/365.!
This is not a prepayment measure since credit cards are
non-amortizing assets.
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! The CPR approach is:!
CPR = 1-(1-SMM)12
! where Single Monthly Mortality (SMM) is the single-month
proportional prepayment.
! A SMM of 0.65% = approx 0.65% of remainingmortgage balance at
the beginning of the month, lessthe scheduled principal payment,
will prepay thatmonth
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PSA = [CPR/(.2) (m)]*100 where m = # months since
origination
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Summary of Performance Metrics
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! Financial Advisory Services! TARP/PPIP/TALF Modeling! LLP
Pricing, Pooling, Modeling! ABS (Straight/Hybrid) Delinquency
! TALF Access, Evaluation, Pricing & Arbitrage! (TALF + FAS
91)
! Strategic (incl. Federal Government Policy) Questions
&Investments
! Private Equity, Institutional Funds, Banks and
M&AEvaluation
! Capabilities, Experience & Professional BiosJackson
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! Legacy Loan Program Valuation Analysis! Model Commercial &
Residential Real Estate
Delinquencies, Foreclosures & Pre-Payments! Forecasting:
Comprehensive and Successful Model which
Utilizes all Credit Scoring Characteristics
plusAdditional/Specific Residential Property Characteristics
! Scenario/Decision Tree Analysis Requirements ofForeclosure
Mitigation Plans
! Unanticipated Consequences of new Programs: Services&
Homeowners will Quickly Determine (Default)Incentives
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! Bank Incentivized Mortgage Workout! PV & FV Analysis:!
Term! Interest Rate! Deferred Principal! Recourse Adjustments
! Other Options! REO! Sell Mortgage Note! Bundle Foreclosed
Properties and/or Notes
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! Government & Quasi-Governmental Loan
ModificationProgram(s)
! HMP, SMP, Hope Now & Making Home Affordable(PMMS + 250
bps)
! Treasury, FHA, FDIC, FHFA, HUD, FNM, FRE(agencies with policy
reversals)
! Accounting Implications Related to FAS 91, 114, 140,and
SOP03-03
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Term Term Term Term Term
BANK_ID LOAN_NUM APP SCRORE_DT SCORE_TIME
SCORE APP_FICO AVG_FICO BILLED_FICO DPD
MAX_DLQ_EVER MAX_FICO MIN_FICO NUM3060DAT NUM30P3M
NUM30P6M NUM606PM NUM90P3M NUM90P6M NUMCUR120DPD
NUMCUR120PL NUMCURR30DPD NUMCURPDNUMW120PLDPD
NUMOPNREVHLIMIT
NUMOPNREVHLIMITNUMSATPRMCRD
NUMTRDHM NUMW30PLDPD NUMW60PLDPD
NUMW90PLDPD PCTTRDNDELQ PUBREC RATBALHIGH RATBALHIGHBNKCRD
RATBALHIGHREV SINCDELQBNKCRD SINCE60PL SINCEDELQ TOTNOWPD
TIMES30 TIMES60TRDVRF12MPREMCR
DNUMINQ SATS12M
SATS6M OLDREVOPEN NUMREVOPN
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! What is Current Competitive Situation?
(Present/Future/Govt/Global Aspects)?
! Competitor Analysis! Products & Services, Distribution,
Mktg, Operations, R&D,
Overall Costs, Financial, Organization, Mgmt, Corp
Portfolio, Exit/Other(C/WM/WB
! Societal Analysis (Government & Political)! Strengths
& Weaknesses Relative to Competitors
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! What Should We Be Doing?! Tests of Assumptions and
Strategy/Are We Current?
! Strategic Alternatives/Which Options Are Feasible forUs?!
Fragmented/Emerging/Mature/Declining/Global
Industries
! Strategic Choice! Which Strategic Alternative Best Relates Our
Current
Internal Situation with New External Opportunities
andThreats
! Vertical Integration/Capacity Expansion/Entry/ExitBus
Lines
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! Specific Questions! Should I Consider Selling/Buying into the
LLP?! What About Pooling Student Loans, Credit Card Accounts,
SBA
Loans?! Which of My Competitors is Likely to Participate in LLP
&
What are Implications?
! Which of My Competitors is Gaining/Losing CompetitiveAdvantage
as Banks Close?
! Do I Know Which Banks are in Trouble and What Can I do totake
Advantage of This?
! What is on My Competitors Balance Sheets and How Reliable
isthe Data?
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! Specific Questions! What Opportunities do We have at the
Moment and Which will we Have
in Six Months?
! Do We Have Capabilities to Pursue Current Opportunities Now
(inHouse)?! Where are Our Five Closest Competitors Likely to be in
3/6/9/12
Months?
! Do Opportunities Exist in DIP/Retail/REIT/Commercial
Financing?! What are Implications of First Mover Advantage
(Analysis) for Any of
the Above?
! Do We Think Community Banking will look the Same in 5/10 yrs?!
Who Will be the Winners and Losers?
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! Private Equity, Other Investors! New FDIC/FED Regulations
& 6 Month Review! Outcomes & Implications
! Are We Prepared?! Have We Considered All Options?! Other
Similar Deals?! FDIC Asset Sales! Terms
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! Real Estate Property Valuation: Geography, PropertyAttributes,
Multifamily, Comparables & Rentals,
Individual Tenant Credit, Local Economy, ReplacementCost
! Immediate, Complete, Transparent Analysis, Valuation(Multiple
Standard and Proprietary Methods) of
Identified Assets
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! Asset (Debt) Valuation! Effective Duration and Effective
Convexity (Drift/Yield/
Maturity)
! Dollar Rolls & Synthetics (Reverse Repos Stripped MBS,
ZBonds, IOs, PACs)
! Advanced Analytics & Modeling - Option Adjusted
SpreadAnalysis
! Binomial & Trinomial Interest Rate Trees!
Maturity Gap and NII Sensitivity Analysis, Simulation Models!
Hedging Strategies (Incorporating Observable Futures,
Forwards, Interest Rate Floors/Caps and CompoundOptions)
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! Asset (Debt) Valuation! Interest Rates/Principal/Interest
Payments
! Spreads, Yield Curve/Default, Prepayment/Floaters &
InverseFloaters! Redemption & Call Features (Mandatory,
Optional, %,
Cleanups)
! Compare Similar LLP Pools to Securities with SecurityRatings,
Individual Tenant Credit, Coverage Tests & Ratios
! Collateral Quality Tests (Diversity, Rating Distributions)!
Weighted Average Coupon, Price, Life, Time, Recovery Rate
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! Mr. Frambes (18 years)is a Managing Partner at Jackson
Consulting Group. Previously, he was a VicePresident at Shoreline
Pacific Institutional Finance where he successfully completed
numerous corporatefinance and strategic engagements in the US,
Europe, India and China. Earlier in his career, Mr. Frambes wasa
Director in the Global Capital Markets Group at CB Richard Ellis
where he lead valuation teams focused onFinancial Institutions and
Real Estate (property and mortgage) Debt, Equity and Derivative
Securities.Previously, Mr. Frambes began his career as a
Convertible Securities Analyst at Robertson Stephens &Company.
Mr. Frambes is a Graduate of the Stanford Executive Program (SEP)
from the Graduate School ofBusiness at Stanford University, earned
an M.B.A. from the BI Norwegian School of Management and a B.S.from
Clemson University.
! Mr.McKean (18 years)is a Managing Partner at Jackson
Consulting Group. His experience includes large-scale business
process re-engineering efforts at both Fannie Mae and Freddie Mac.
He led systemsdevelopment and integration of fixed-income and
derivative valuation engines, development of riskmanagement and
risk reporting capabilities, development of internal controls
framework and financial
advisory services for the management and disposition of multiple
government portfolios. Previously, Mr.McKean held multiple
management positions in the Diversified Product Division at Wells
Fargofor nineyears. Mr. McKean holds a B.S. from the University of
Maryland.
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! Mr. Brennan (16 years) is a Partner at Jackson Consulting
Group where he brings hiscombined experience in real estate and
investment banking. Previously, Tom was a VicePresident on the
Equity Capital Markets team at Robertson Stephens &Company,
where hewas responsible for the marketing, pricing and allocation
of the firms lead managedtransactions. During his tenure he worked
on over 230 deals in the emerging growth sectors,
raising more than $17 billion. He was also a member of the firms
Commitment Committeethat determined which transactions the firm
would commit its capital to. Tom began his careerat Genesis
Merchant Group as an Assistant Trader. He received an AB in
Architecture fromPrinceton University.
! Ms. Pavlova (18 years)is a Partner at Jackson Consulting
Group. Previously, Ms. Pavlova wasthe Head of Google Strategic
Partnerships in Russia and prior to Google, Ms. Pavlova served
as a Managing Director at Shoreline Pacific Institutional
Finance and as a Portfolio Managerat Wentworth, Hauser and Violich
where she focused on Real Estate and Debt securities. Ms.Pavlova
has an M.B.A. from Stanford University, an M.A. and B.A. from
Moscow Universityand is a Chartered Financial Analyst (CFA).
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! Mr. Ellis(17 years)is a Partner at Jackson Consulting Group.
Mr. Ellis is an expert in commercialreal estate finance with a
concentration in multifamily mortgage finance valuations over the
last 9years. Mr. Ellis has specialized in underwriting and
originating Fannie Mae, Freddie Mac and HUDloans and has lead
transactions totaling roughly $2 Billion. Mr. Ellis has
concentrated on market-ratemultifamily transactions but has also
closed student housing, seniors housing, manufactured housing,
bond financing and tax-credit affordable as well as numerous
large asset/mortgage backed creditfacilities. Mr. Ellis is a
graduate of the University of Maryland, a member of the Mortgage
BankersAssociation and is active in several Washington D.C. based
real estate finance consortiums.
! Mr. Backe (11 years) is Partner at Jackson Consulting Group
and brings broad experience in portfoliodesign, financial modeling
and fixed income asset/risk management. Previously, Mr. Backe
workedfor Morgan Stanley & Co advising management teams,
owners, investment companies and pensionfunds on equities, debt,
hedging and derivative instruments as well as broader capital
markets. Prior to
this he held similar positions at DnB NOR (Norway) and at JCG
designing Business Process Modelsin Norway & India. He also
worked as a Flight Operations Assistant in the Norwegian Air Force.
Hehas an M.B.A and BSc in International Management from the BI
Norwegian School of Management.
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! Mr. Johnson (15 years)is a Senior Adviser to Jackson
Consulting Group and is a Public Affairs Professionalfocused on
political campaigns and helping clients interact with local, state
and the federal government. On
the campaign side he has worked with candidates including Jack
Kemp, John McCain, Newt Gingrich, MittRomney and Haley Barbour
mostly in a fundraising capacity. Most recently, he has formed his
own firm to
give strategic counsel to corporations and associations
representing financial services, insurance,pharmaceutical and the
tobacco industries. Alex serves on the Board of the American
Council of YoungPolitical Leaders and is a frequent political
contributor on MSNBC, CNBC and Fox Business.
! Mr. Ahmad (35 years)is a Senior Adviser to Jackson Consulting
Group. Previously, he was a founding partnerof Palo Alto Capital
Advisors, a silicon-valley based firm which provides advisory
services to institutionalinvestors, venture capital firms, and
companies. Prior to his role as an institutional investor, he was a
venturecapitalist and earlier the founder of a venture backed
software company. Mr. Ahmad has a B.S. degree from
the Massachusetts Institute of Technology, an M.S. degree in
Computer Systems from Stanford University, andan M.B.A. degree from
Stanford University.
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