Structured

Products
Forum 2007

Tuesday 13th March

Four Seasons Hotel
Hong Kong

Platinum Sponsor

Gold Sponsors Silver Sponsors Bronze Sponsors

 We are delighted to welcome you Introduction to Pacific Prospect

to our 3rd annual Structured Pacific Prospect was founded

in July 2002 and has quickly
Products Forum 2007 established itself as a leading
organiser of events for the Asian
wholesale financial markets. It
strives to add value and help the
positive and sustainable
It's being held from 9:00am to 5.00pm on:
development of these markets. In
Thursday 8th March addition, it has provided research
Westin Hotel, Taipei and consultancy services to
investors, intermediaries and
Tuesday 13th March issuers – enabling them to grow
Four Seasons Hotel, Hong Kong or protect their business.

Thursday 15th March For more information, please contact

Pan Pacific Hotel, Singapore
Michael Stanhope
More than 1,000 delegates attended the event in these three locations in 2006. T 852 2522 3095
E [email protected]
Attending the Structured Products Forum 2007 - now firmly established as the leading
event of its type in Asia - means you won't miss out on vital new developments in the
Andrew Crooke
market. This multi-stream one day conference enables you to meet with an elite group of
product structurers and distributors - offering you a comprehensive review of the latest T 852 2522 3011
product innovations. E [email protected]

This conference will highlight expected developments in the coming year from this
compelling asset class, including detailed discussions of the various types of product
including;

– Credit Derivatives & Structured Credit

– Equity Derivatives
– Interest Rate Derivatives
– Hedge Fund Products
– Fund-linked Derivatives
– Commodity Derivatives
– Currency Derivatives

Private Banks, Institutional Investors and Retail Market Distributors attend the event for
FREE!

Clients will attend this year’s forum for reasons including:

– Keeping up-to-date with the latest trends and strategies in the Asian derivatives
market
– Assessing the competitive environment to avoid missing out on new opportunities
– Understanding the risks and rewards of investing in different products
– Learning how to measure the risks
– Seeing what is the behind the product and how it works (what derivatives are being
used, how the risk is being offset, how product is priced, what technology is being
used)
– Being able to remain at the cutting edge of innovation by knowing what the demand is
and how to tailor product to it
– Monitoring changes in the tax, legal and regulatory environment by reading incisive
commentary on regulators' thoughts and opinions that will shape the market
– Discovering how to maximise the revenue they get from engaging structured
products by learning how to adopt the most effective internal processes, strategies
and technology
– Understanding what's happening elsewhere in Asia, and what innovations are
occurring in the US and European markets
– Finding out what they need to do to get trades approved internally and externally,
quickly and correctly

Investors and distributors rarely speak to their competitors. They are, however, very keen
to learn proprietary insight into their rivals' strategies and opinions on trades and market
trends. Where else can they get this information except from attending the Structured
Products Forum?

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 There is an increasing likelihood that if you are not selling the best products to your
clients, then someone else is. The event is designed to help investment professionals
understand how they can keep pace with record growth and innovation in structured
products.

The day is packed with content, panel discussions, presentations, workshops and case-
studies to help de-mystify these products and assess the relevance and benefits of each
type of security. Segments of the Forum examine how to structure and price products
while other sections provide practical tips on product marketing, trends in advertising and
development in retail distribution platforms.

You must keep pace with an evolving market landscape.

It's especially relevant for you, whether you are a Wholesale Investor buying product
directly or facilitating the sale of Structured Products to your clients. Focusing on key
developments, challenges and opportunities across the full range of Structured Products,
this Forum has been exclusively prepared for amongst others: Insurance Companies,
Asset Managers, Hedge Funds, Banks, Corporates, Trust Departments, Securities
Firms, Distributors to retail and high-net-worth clients, Brokerage Houses, Regulators,
Private Banks, and Bond Funds.

Target participants include:

– Portfolio managers
– Risk managers
– Legal, operations and compliance officers
– Middle-office managers
– Relationship managers
– Heads of sales and marketing
– Investment advisors/consultants
– Research analysts

The event is broken up into two segments Session A and Session B. Session A provides
you with an interesting overview of these products, whereas Session B is a series of
more interactive and technical workshops and case studies. This structure allows
delegates to switch between streams according to their interest in particular topics.

We look forward to welcoming you soon.

Michael Stanhope
Chief Executive
Pacific Prospect
T 852 2522 3095
E [email protected]

2
 Agenda

Session A

8.40 Registration

9.00 Welcome Address

Harold Y Kim, Ph.D

Managing Director, Head of Structured Products
Citigroup Global Markets Asia

9.05 Platinum Sponsor's Presentation

Structured Products in 2007: The Case for Principal Protection

Harold Y Kim, Ph.D

Managing Director, Head of Structured Products
Citigroup Global Markets Asia

– Recent Asian experience

– The current macro and volatility environment
– The case for principal protection

9.30 Panel Discussion

Becoming Mainstream: Will Structured Products Ever Make It?

Chair

Michael Walker
Director, Head of Asia Pacific Equity Linked Warrants
Citigroup Global Markets Asia

Panel Members

John Robson
Managing Director, Head of Retail Structured Products - Asia Ex Japan
JPMorgan

Paul Cluley
Partner
Allen & Overy

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 Anthony Yeung
Regional Director, Asia Pacific
Dow Jones Indexes and STOXX Limited

Dean Yogev
Head of Correlation Trading - Non-Japan Asia
Morgan Stanley

Ferdy Khouw
Managing Director - Head of Global Markets Sales, Non Japan Asia
RBC Capital Markets

Ian Sosso
Managing Director, Head of Corporates and Markets - Asia Pacific
Commerzbank

Walter Womersley
Head of Structuring - Asia
Rabobank

Kurt Finkbeiner
Head of Equity Derivatives Trading
HSBC

Franklin Heng
Managing Director, Head of Equity Derivatives and Structured Products Distribution
The Royal Bank of Scotland

Elliott Hann
Head of Fixed Income - Asia
Reuters

Gary Hung
Director, Equity Structured Solutions - Asia Pacific
Merrill Lynch

Topics to include:

– Are structured products close to becoming ‘mainstream’? What will it take for this
to happen?
– How is the composition of structured products within a clients' portfolio changing?
– What are the cutting-edge structured investment strategies for 2007?
– Which local markets will present the biggest opportunities in Asia this year?
– Implementing volatility strategies for the current trading environment
– Assessing the future direction of retail structured products in Asia
– What is the appetite among retail clients for equity and fund derivatives?
– Developing approaches to capital protected fund structures
– Why are simpler, more thematic products more popular?
– Is the explosive growth of structured products in Asia sustainable?
– Private placement versus public offer – is this blurring the line between retail and
private banking?
– What are distributors looking for from product providers? Is this realistic?
– What are the challenges in structuring products for retail distribution?
– How can you educate the salesforce? How do you set up a system and processes
to ensure that client suitability is correct?
– What are the biggest challenges in educating investors? Who has the main
responsibility for doing this?
– Hybrids, hedge funds and alternative assets: what is the best way to educate
investors to buy them?
– What are the regulatory barriers to overcome in the region?
– The end of the bull market: what will we be selling if the market goes flat?

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 10.20 Presentation
New Wealth Management Tools: Opportunities From Structured Products

John Robson
Managing Director, Head of Retail Structured Products - Asia Ex Japan
JPMorgan

– From complex payoffs to new underlyings - different objectives require different

solutions
– Satisfying clients need for strategic assets
– Key new products that demonstrate the flexibility of structured products

10.40 Presentation
Fund Derivatives - Product Samples

Ian Sosso
Managing Director, Head of Corporates and Markets - Asia Pacific
Commerzbank

– What are fund derivatives?

– The all-star suite of fund indices
– Option-based products
– CPPI-based products
– Q&A

11.00 Presentation
Fund Linked Product Structuring

Gabriel Segredo
Director - Fund Derivatives
Rabobank

– The underlying universe: single manager, multi-manager and indices

– Types of structures: pass-through, risk protection and risk enhancement
– Comparison
– New developments

11.20 Refreshments and Networking

11.40 Presentation
Structured Products Linked to Alternative Investments

Fabien Labouret
Managing Director, Head of Structured Products - Asia
Natixis Asia

– Using structured products to extract value

– Hedge fund-linked tailor-made solutions: from principal protection to yield
enhancement
– An alternative to alternatives: investing in life settlement transactions and
structured products linked to portfolios of US life insurance policies
– Accessing the US life insurance market
– Using the IXIS CIB innovative Investment Program to extract value: from premium
financing to life settlement
– US life insurance policies tailor-made solutions: from principal protection to yield
enhancement

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 12.00 Presentation
JPMorgan Tradeable Index Strategies

Charles Wong
Executive Director, Head of Rates Structuring - Asia
JPMorgan

– Generating alpha through a broad array of dynamic trading strategies

– Providing exposure to carry, momentum and tax arbitrage though JPMorgan's
proprietary Index Strategies
– Opportunities to maximise portfolio returns and exploit market activities across
bull & bear scenarios across a wide range of asset classes

12.20 Presentation
Structuring Product Around Hedge Funds

Wyn James
Head of Business Development - Asia, Alternative Assets Group
Royal Bank of Canada

12.40 Presentation
Innovation in Structured Credit Products and What it Means for Asia

Eric Alby
Head of Structured Credit Product Management - Non-Japan Asia
Morgan Stanley

– credit market update

– Some regulatory and accounting drivers behind the growth of structured credit
– Retail opportunities for investors and distributors
– Case studies
– Investment themes for 2007

1.00 Presentation
Actively Managed Structured Products - The Road Map Ahead

Michael Wong
Managing Director, Head of Structured Products Sales - Asia Pacific
Société Générale Asset Management

– Rationale for actively managed structured products

– Designing an actively managed structured product
– Applications

1.20 Lunch

2.05 Platinum Sponsor's Presentation

The Global Macro and Volatility Environment

Thomas Gillespie PhD

Managing Director, Regional Head of Equity Derivatives Strategy
Citigroup Global Markets Asia

– Review of global trends in equity volatility

– Structural reasons for low volatility
– Comparison of different geographic regions

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 2.25 Presentation
Fund Linked Derivatives in an Institutional Framework

Pieter Oyens
Head of Asia Fund Linked Derivatives Marketing & Structuring
ABN AMRO

– Why do institutional investors buy fund-linked derivatives?

– How can fund-linked derivatives help in helping in addressing issues such as high
economic capital cost, negative spread, duration mismatches?
– What new innovations can be expected in this area?

2.45 Presentation
Structured Credit Opportunities in the Current Credit Environment

Mike Scherrer
Director, Global Structured Credit Products
Merrill Lynch

– Tightening spreads and the search for appropriate structures

– Long/short opportunities
– The value add of a manager

3.05 Presentation
The Tranched ABX Index and the Development of the ABS Correlation Market

Stephen Wong
Managing Director, Head of Structured Credit & CDOs - Asia Pacific
The Royal Bank of Scotland

– How did the Tranched ABX Index develop?

– Will the ABS correlation market drive the be-spoke ABS CDO tranches?
– What are the impediments?
– How will the ABS correlation market affect traditional cashflow ABS CDO pricing?

3.25 Refreshments and Networking

3.40 Presentation
Emerging Opportunities in Structured Credit

Jeffrey S Tolk
Managing Director, Asia Head of Structuring - Structured Credit Products
HSBC

– Identifying relative value in structured credit

– New strategies for credit CPPI
– Opportunities for sourcing Asian risk in credit structures

4.00 Panel Discussion

Finding Greater Value in Structured Credit

Chair

Thomas Jones
Partner
Allen & Overy

Panel Members

Richard Clarke
Director, Structured Solutions & Alternative Investments
AXA Investment Managers

Jamie Spence
Head of Structured Credit Products Marketing – Asia
HSBC

Chandrakant Mohanty
Managing Director, Global Structured Credit Products
Merrill Lynch

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 Stephen Wong
Managing Director, Head of Structured Credit & CDOs - Asia Pacific
The Royal Bank of Scotland

David Crammond
Chief Executive Officer
Markit Asia

Chris Hodgeman
Head, Structured Credit Marketing - Asia ex Japan/Korea
ABN AMRO

Shan Luo
Head of Credit Structuring - Asia
RBC Capital Markets

Francois de Supervielle
Director, Structured Credit Marketing - Asia
Natixis Asia

Leslie Van Orsdel

Head of Fixed Income Business Development
Bloomberg

Topics to include:

– What is the expected outlook for spreads in 2007 - are investors afraid to invest in
credit?
– How does one create attractive returns in a tight spread environment?
– How important are managed trades going to be in Asia this year?
– What products will be most popular in 2007?
– Pros and cons of CPDO, and what is the next generation going to look like?
– What product features do clients want?
– What is the continuing scope for CPPI across Asia?
– Credit hybrid structures - what are the new innovations?
– Good products and bad products - how can investors tell the difference?
– What are the regulatory barriers to overcome in the region? How much impact will
Basel II have on banks' incentive to issue CDOs?
– The missing link: how does structured credit fit within a clients' portfolio?

5.00 Conference Closes

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 Session B

10.00 Workshop
Where to Capture Value in the Current Credit Markets

Francois de Supervielle
Director, Structured Credit Marketing - Asia
Natixis Asia

Laurent Benissan
Director, Structured Credit Products - Asia
Natixis Asia

– In the tight credit spread environment and the ever-changing credit cycle, a focus on
a Dynamic Multi-Credit Asset Class Portfolio is an excellent way to capture value.
What are the benefits of such a strategy and how can investors implement it?
– Negative comments have been mushrooming from the US Home Equity Loan sector
lately - how can investors take advantage of this situation?

10.40 Workshop
CDOs of ABS

Grace Wu
Director, Global Structured Credit Products
Merrill Lynch

– Overview and current status of the market

– Cash and synthetic structures
– Emerging opportunities

11.20 Refreshments and Networking

11.40 Workshop
CPDOs: A Breakthrough in Synthetic Credit Investments

Chris Hodgeman
Head, Structured Credit Marketing - Asia ex Japan/Korea
ABN AMRO

– Constant Proportion Debt Obligation (CPDO): a unique asset class and the first
fully-rated product in the credit market that uses an alternative leverage technology
to traditional CDOs
– Rating methodology explained
– High-grade exposure in a form that is not directly affected by correlation volatility
– High certainty of principal and coupon payments
– Dynamic leveraged credit product combining elements from both CDO & CPPI
technology
– How does CPDO utilise variable leverage in order to control risk?

12.20 Workshop
Investing in a Low Volatility Environment

Garry Frenklah
Head of Private Banking Sales, non-Japan Asia
The Royal Bank of Scotland

– Investor experience: 1996 to 2006

– Market outlook in 2007
– Application of instrument/investment strategy to express a view
– History repeats itself? The use of back-testing

1.00 Return to Session A for Presentation

1.20 Lunch

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 2.05 Workshop Platinum Sponsor
Financial Planning & Retirement Planning: the Next Generation of Structured Citigroup
Savings Products and Variable Annuities
Gold Sponsors
Alexis Zervoglos ABN AMRO
Head of Hybrid Derivatives Commerzbank
Commerzbank HSBC
JPMorgan
– Why focus on retirement planning?
Merrill Lynch
– Why variable annuities and why guaranteed minimum benefits?
Morgan Stanley
– Bringing structured product technology and flexibility to the long-term savings
NATIXIS
market
The Royal Bank of Scotland
– Minimising reserve requirements and maximising market share and return on
capital
Silver Sponsors
– A global trend: developments in the US, Europe and Asia
Allen & Overy
2.45 Platinum Sponsor's Workshop Rabobank
Pricing and Hedging Exotic Options RBC Capital Markets
Reuters
Ken Hon Société Générale Asset Management
Managing Director, Head Trader - Asia-Pacific Equity Derivatives
Citigroup Global Markets Asia Bronze Sponsors
ANZ
– Exotic products in Asia Barclays Capital
– Replication using vanilla options Bloomberg
– Evaluating & hedging risk CALYON
– Case study Deutsche Bank
Dow Jones Indexes
3.25 Refreshments and Networking FTSE
3.40 Workshop ING Wholesale Banking
Generating Alpha - A New Strategy in Structured Products
Markit
Nomura
Greg Yu Scotia Capital
Vice President, Asia Equity Exotics and Hybrids Product Development UBS
JPMorgan

– How do hedge funds produce alpha?

– What are some of those strategies? For more information, please visit
– Can a structured product replicate the strategies of a hedge fund? http://www.pacificprospect.com/
– Can the hedge fund returns be delivered at a lower cost? sp_2007/

4.20 Platinum Sponsor's Workshop

Introducing the Asian Quant Idols - Quantitative Investment Strategy

Arom Pathammavong
Director, Head of Asia-Pacific Structuring
Citigroup Global Markets Asia

– Investing in a growing universe of opportunities: a new challenge

– Extracting alpha faster, cheaper: a systematic answer?
– Momentum and value search: quantitative strategy based on simple concepts
– Asia Quant Idols: implementation of an efficient model

5.00 Conference Closes

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