Japan

Structured Products
Forum 2007

Tuesday 24th April

Grand Hyatt
Tokyo

Platinum Sponsor

Gold Sponsors Silver Sponsors Bronze Sponsors

 Following the success of our Introduction to Pacific Prospect

inaugural event in 2006, we are Pacific Prospect was founded

in July 2002 and has quickly
delighted to welcome you to our established itself as a leading
organiser of events for the Asian
2nd annual Japan Structured wholesale financial markets. It
strives to add value and help the
Products Forum 2007 positive and sustainable
development of these markets. In
addition, it has provided research
and consultancy services to
investors, intermediaries and
Its being held from 9:10am to 4:55pm on: issuers enabling them to grow
or protect their business.
Tuesday 24th April
Grand Hyatt, Tokyo For more information, please contact
Attending the Japan Structured Products Forum 2007 - the leading event of its type in Michael Stanhope
the country - means you wont miss out on vital new developments in the market. This
T 852 2522 3095
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 product
E mstanhope@pacificprospect.com
innovations.
Julee Muminovic
This conference will highlight expected developments in the coming year from this T 61 2 9690 2918
compelling asset class, including detailed discussions of the various types of product E julee@pacificprospect.com
including;
Andrew Crooke
Credit Derivatives & Structured Credit T 852 2522 3011
Equity Derivatives E andrew.crooke@pacificprospect.com
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 years forum for reasons including:

Keeping up-to-date with the latest trends and strategies in the Asian and Japanese
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 whats 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 Japan
Structured Products Forum?

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.

1
 Its 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: City Banks, Regional
Banks, Securities Firms, Life Insurance Companies, Fire and Marine Insurance
Companies, Hedge Funds, Pension Companies, Asset Management Firms and
Corporates.

The event will be hosted in English and Japanese - with simultaneous translation.

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 mstanhope@pacificprospect.com

2
 Agenda

Session A

8.50 Registration

9.10 Welcome Address

Takashi Goto
Managing Director, Head of Fixed Income Distribution
ABN AMRO Securities (Japan) Ltd

9.15 Platinum Sponsors Presentation

Innovations in Structured Credit

Conor MacNamara
Co-Head, Credit and Alternative Derivative Marketing - Asia
ABN AMRO Securities (Japan) Ltd

CPDOs: a breakthrough in synthetic credit investments

Loan correlation products
Natural catastrophe CDO
Zero cost protection CDS
Latest generation ABS products

9.40 Panel Discussion

Finding Greater Value in Structured Credit

Chair

Jason Humphreys
Partner
Allen & Overy

Panel Members

Yuko Kawai
Senior Researcher, Financial Markets Department
Bank of Japan

Naoki Shimmura
Deputy General Manager, Credit Products Investment
Mitsubishi UFJ Trust and Banking

3
 Yasuyuki Tateda
Chief Manager, Credit Trading, Derivatives and FX Trading
Mitsubishi UFJ Securities

Toshihiro Matsuo
Director, Structured Finance
Standard & Poors

Conor MacNamara
Co-Head, Credit and Alternative Derivative Marketing - Asia
ABN AMRO Securities (Japan) Ltd

Shun Cajot-Yoshida
Director, Global Structured Credit Products
Merrill Lynch

Keisuke Jo
Executive Director, Head of Structured Credit Products - Tokyo
Morgan Stanley

Jamie Spence
Head of Structured Credit Products Marketing - Asia
HSBC

Katsumi Mizutani
President
Markit

Kenji Ogawa
Specialist, Sales Department
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 this year?
What products will be most popular in Japan 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?
How will the synthetic correlation market develop?
The missing link: how does structured credit fit within a clients portfolio?
What is needed to help develop a bigger retail market for structured credit?
Marketing structured credit products

10.25 Presentation
Concept of Hedge Fund Replication: Clone of Hedge Fund Performance

Benjamin Bowler
Managing Director, Global Equity Linked Research
Merrill Lynch

Kanji Kikuchi
Director, Equity Structured Solutions
Merrill Lynch

Introduction of study of hedge fund beta, hedge fund clone

Merrill Lynch fund derivatives: techniques and application

10.50 Refreshments and Networking

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 11.10 Presentation
US ABS CDOs: Important Things to Consider in Light of Latest Developments in
the US Housing Market

Jaeik Oh
Director Structured Credit and CDOs
RBS Securities Japan

Potential downturn in the US residential market has recently raised concerns

among some investors in ABS CDOs
At the same time, the coupon spreads in the ABS CDO notes have widened to
record levels
How much of the potential risk is already priced into the current spread levels?

11.35 Presentation
Introduction to the Fastest Growing CDS Market Today: Leveraged Loan CDS

Keisuke Jo
Executive Director, Head of Structured Credit Products - Tokyo
Morgan Stanley

Introduction: why leverage loan CDS? From the investors perspective and the
hedgers perspective
Leveraged loan CDS mechanics: European contracts versus US contracts
Utilisation of LCDS in structured credit products

12.00 Presentation
2007: A Year Managers Can Add Value to Your Synthetic CDO Investment

Jamie Spence
Head of Structured Credit Products Marketing - Asia
HSBC

Managers: strategy alignment

Managed versus static: how can you evaluate the difference?
Finding the right manager
Are the interests of investors and managers in sync?

12.25 Presentation
Actively Managed Structured Products - The Road Map Ahead

Nicolas Gaussel
Managing Director, Head of Asia - Structured Asset Management
Socit Gnrale Asset Management

Rationale for actively managed structured products

Designing an actively managed structured product
Applications

12.50 Lunch

1.40 Presentation
Investment Opportunities in SIV Capital Notes

Brian Colgan
Managing Director
Brightwater Capital Management

This presentation will examine the SIV structure and investment opportunity, and will
also compare SIV investments with other investment structures.

Brightwater Capital Management, a division of WestLB Asset Management (US)

LLC, is one of the largest structured finance managers in the world. In addition to two
SIVs, the firm also manages a number of CDO/CLO transactions as well as a
securities arbitrage conduit. With over US$35 billion in assets under management
the firm has an excellent track record of generating impressive returns and providing
a high level of client service.

5
 2.05 Platinum Sponsors Presentation
Fund Linked Derivatives in an Institutional Framework

Jackie Lin
Vice President, Asia Fund Linked Derivatives Marketing and 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?

2.30 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

2.55 Presentation
Accessing Hedge Fund Returns Through Structured Products

Greg Taylor
Managing Director, Alternative Asset Group Europe
RBC Capital Markets
Royal Bank of Canada Europe Limited

RBC hedge 250 Index is the most diversified and representative benchmark of hedge
fund returns. The discussion will examine different structures such as total return
swaps and barrier call options that allow investors the opportunity to capture the
returns of RBC Hedge 250 on a customised basis.

3.20 Refreshments and Networking

3.35 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

4.00 Panel Discussion

Will Structured Products Become Mainstream in Japan?

Chair

Michael Stanhope
Chief Executive
Pacific Prospect

Panel Members

Nicolas Gaussel
Managing Director, Head of Asia - Structured Asset Management
Socit Gnrale Asset Management

6
 Walter Womersley
Head of Structuring - Asia
Rabobank

Russell Worth
Managing Director, Derivatives and Structured Products
RBC Capital Markets (Japan) Ltd

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

Makoto Kurokawa
Head of Fixed Income Sales
WestLB

Jackie Lin
Vice President, Asia Fund Linked Derivatives Marketing and Structuring
ABN AMRO

Abhinav Gorawara
Managing Director, Pac-Rim Head of Equity Structured Products
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?
Implementing volatility strategies for the current trading environment
Assessing the future direction of retail structured products
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?
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?
The end of the bull market: what will we be selling if the market goes flat?

4.55 Conference Closes

ABN AMRO will host a cocktail party in The Drawing Room at the Grand Hyatt
from 5.00pm to 6.00pm. This will be a Hawaiian-themed cocktail reception
promoting ABN AMROs SURF CPDO product. A draw for a 30GB Apple iPod and
some sailing attire will take place during the reception for all attendees.

All forum participants are welcome to attend.

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 Session B

11.10 Platinum Sponsors Workshop

High Yielding Fund Linked Derivatives

Jackie Lin
Vice President, Asia Fund Linked Derivatives Marketing and Structuring
ABN AMRO

How can fund linked derivatives help enhance yields on institutional portfolios?
CFO (Collateralised Fund Obligation): what is it?
Emerging hedge fund managers, how can they enhance the risk return profile of
institutional hedge fund portfolios?
Commodities: high returns at a fraction of the downside volatility

12.00 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?

12.50 Lunch

1.40 Workshop
Japans Structured Credit Market: Recent Trends, Local Issues and Opportunities

Shun Cajot-Yoshida
Director, Global Structured Credit Products
Merrill Lynch

Go Yajima
Director, Global Structured Credit Products
Merrill Lynch

Hikaru Valtan
Vice President, Global Structured Credit Products
Merrill Lynch

Recent trends in Japans structured credit market: tightening spreads and the
search for appropriate structure (long/short, added value of a manager)
Local issues and challenges: tight spreads, low volatility, accounting treatment,
BIS2 regulation and beyond
Opportunities: investment opportunities in Japanese structured credits in 2007

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 2.30 Platinum Sponsors Workshop Platinum Sponsor
CPDOs: A Breakthrough in Synthetic Credit Investments ABN AMRO
Carlos Cala Gold Sponsors
Executive Director, Exotic Credit Derivatives HSBC
ABN AMRO Merrill Lynch
Morgan Stanley
Constant Proportion Debt Obligation (CPDO): a unique asset class and the first
NATIXIS
fully-rated product in the credit market that uses an alternative leverage
technology to traditional CDOs
Reuters
Royal Bank of Scotland
Rating methodology explained
High-grade exposure in a form that is not directly affected by correlation volatility
Silver Sponsors
High certainty of principal and coupon payments Allen & Overy
Dynamic leveraged credit product combining elements from both CDO & CPPI Rabobank
technology
RBC Capital Markets
How does CPDO utilise variable leverage in order to control risk? Socit Gnrale Asset Management
3.20 Refreshments and Networking WEST LB

3.35 Workshop Bronze Sponsors

Alternative to Alternative Investment: Strategy and Application Bloomberg
CALYON
Benjamin Bowler Commerzbank
Managing Director, Global Equity Linked Research Dow Jones Indexes
Merrill Lynch FTSE
Goldman Sachs
Katsunori Shiga
Markit
Director, Equity Structured Solutions Scotia Capital
Merrill Lynch
For more information, please visit
Yukihiro Fukiki
http://www.pacificprospect.com/
Director, Equity Structured Solutions
jsp_2007/
Merrill Lynch

Hedge fund beta through ML Factor Index Fund

Volatility arbitrage Index
Long/short exposure via outperformance strategies

4.25 Workshop
Administration and Management of Structured Product Investments

Katsumi Mizutani
President
Markit

How to achieve efficient investment asset administration, information

management, risk management?
Introducing an updated overseas accounting system and how to administrate the
trading
Introduction to ABS Indices and description of rules
Review of International Accounting changes and Credit Event Settlement Protocol
DTCC Clearing and Trade Valuation Trends
Introduction of various tools for efficient investment management
CDS Calculators, and synthetic CDO valuation models
Cash Flow CDO (CLO, CBO) valuation models
Source information for Parameters and model verifications
Mapping Engines for ID for administrations and BIS capital management
Trade matching and Trade Confirmation management tools
The communication tool can cope with liability risks and new requirement
under Japan SOX rules

4.55 Conference Closes