Programme 2011

8:00 Registration

9:00 Welcome address
STRUCTURED PRODUCTS MAGAZINE

9:05 Chairman's opening remarks

9:10 Panel discussion: How individual European states will meet the regulatory demands
• How are regulators across Europe going to contend with the European regulation?
• What regulatory initiatives are emerging from individual countries?
• How will country specific regulation affect the wider European Market?
Moderator: Richard Jory, Editor, STRUCTURED PRODUCTS MAGAZINE
Marcello Minenna, Head of Quantitative Analysis Unit, CONSOB
Adam Jacobs, Assistant Director, European Regulatory Team, ISDA
Further panellists to be confirmed

9:50 SPECIAL ADDRESS: Comprehension and comparison of structured products: simplicity or yield?
• What can be read behind the price?
• Does "structured" necessarily mean "complex"?
• Recognizing and assessing the main drivers of complexity.
• Unveiling risks and opportunities of structured products to investors
Marcello Minenna, Head of Quantitative Analysis Unit, CONSOB

10:20 Conquering counterparty risk: How is the industry dealing with the challenge?
• Is counterparty risk still a concern for structured product investors?
• What impact is this having on the European market?
• Can European initiatives help to rebuild investor confidence?
- COSI
- Collateralised SPV
Axel Joergens, Head of Products & PWM Solutions, BETHMANN BANK AG / ABN AMRO GROUP

10.50 INTERACTIVE NETWORKING SESSION

11.20 Morning break

11:40 Innovation in Indexing
• Addressing roll cost in future based indices (commodities and volatility indices)
• Volatility control: How to obtain better risk adjusted returns?
• Multi asset indices: Is dynamic asset allocation the next playing field?
Bernd Henseler, Vice President, S&P INDICIES

12:10 Investor appetite for volatility products
• A brief history of volatility trading
• Still the preserve of sophisticated investors and discretionary managers?
• Understanding the performance of volatility products
• What are the alternatives to the US volatility indices?
Antti Suhonen, Managing Director & Head of Origination, Equity and Fund Structured Markets, BARCLAYS CAPITAL

12:40 Build, Price and Trade Your Own Structured Product with MarketDirect
• Be your Own Structurer
• Timing and Speed Are of Essence
• Implementing a Market View
• Pricing Matrix
• Wide Range of Equities, Commodities and Foreign Exchange
Christian Kronseder, Head of eCommerce, ROYAL BANK OF SCOTLAND

13:10 Lunch

STREAM ONE
14:10 Chairman's opening remarks

14:10 Selecting the underlying in your structured products portfolio
• The importance of the timing and selection of the underlying for structured products
• Structuring and hedging capabilities of products with traditional and innovative underlyings
• Multi-index structured products
• Rule-based strategy indices as underlyings
• The appetite for equity-linked structured products
Peter Schwendner, Partner, FORTINBRAS ASSET MANAGEMENT

14.40 Pricing and valuation
• A look at the prime drivers in pricing structured products
• The skew in the pricing of derivatives
• Are concerns over pricing driving investors away?
Serge Lignot, Head of Structured Products, PROMETEO INVESTMENT SERVICES

15.10 Hidden assets or new asset classes: Should volatility already be considered as an asset class?
• Has volatility become an asset class too soon?
• Do investors really understand volatility?
• What strategies are needed to access volatility and seek the rewards?
Vassilios Pappas, Managing Director, ASSENAGON ASSET MANAGEMENT

STREAM TWO
14.10 Chairman's opening remarks

14.10 The importance of structured products due diligence: A user guide to structured products selection and procurement
• The growing importance of buy-side due diligence in product selection and procurement
• Financial, mathematical, legal, operational, and marketing & sales related issues
• The value added of a product management department
Nicholas Soerensen, Assistant Vice President, Global Investment Solutions, DEUTSCHE BANK

14.40 Private bank case study: An original approach to integrating structured products in a portfolio
• Beyond the classical risk-return models
• Establishing a framework: the Return Distribution Cube
• Determining the preferred return distribution of your clients
• Selecting the right products for your clients
• Building the optimal portfolio
Andreas Blümke, Head Advisory & Distribution, VP BANK

15.10 Commodity exposure: Indexes or physically linked?
• Latest developments in the commodity market
• Are commodities still viewed as the natural alternative asset class?
• What is the best strategy for gaining exposure?
- Holding the physical product
- Investing through an index
• Outlook and future developments on the commodities markets (environmental markets, agriculture, etc ....)
Marius-Cristian Frunza, Associate professor, PARIS 1 SORBONNE UNIVERSITY

15.40 Afternoon break

16.00 Structured products in the American market: How is the industry developing across the pond?
• How is the structured products industry developing in the US?
• How does the market compare to Europe?
• Similar trends or a solitary market?
• What products will be emerging from the US in 2012?
Tim Mortimer, Managing Director, FUTURE VALUE CONSULTANTS

16.30 CLOSING ROUNDTABLE: What does the future hold for Europe's structured product market?
• What does 2012 hold for the European structured products market?
• What will be the main drivers?
• Do intermediaries require more support when working with structured products?
• Are current levels of education adequate?
Peter Vankleef, Managing Director, LAKEVIEW
Dang Co-Minh, Chief Executive Officer, LA BANQUE POSTALE STRUCTURED ASSET MANAGEMENT
Wim Schoutens, Research Professor, Department of Mathematics - CATHOLIC UNIVERSITY OF LEUVEN
Michael Romanek, Principal, RISE PARTNERS
Frank Ackermann, Managing Partner, AHP CAPITAL MANGEMENT GmbH

17:10 Chairman's closing remarks

17.20 End of conference and cocktail reception