Best Practice & Added Value Developments in

14 May 2008 •The Hatton 51-53 Hatton Garden • London

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8.45    Registration Opens

9.30    Chairperson’s Introduction

Marilyn Ramplin
Executive Director
JP MORGAN

9.40   Trends in Collateral Management and the Implications of Using Different Collateral Types

• The changing regulatory landscape
• Securities Collateral - trends and challenges
• Rehypothication - reducing your funding costs
• Collateral optimisation models

Katie Emerson
VP - OTC Derivatives Collateral Management - CommanD
JP MORGAN

10.20  Collateral Management as Risk Mitigation Tool

1. Credit risk and methods of mitigation
2. Key concepts in credit risk
3. The impact of collateral management on credit risk
4. Benefits, costs and risks
5. Experiences from a practical point of view

Danny Peeters
Head of Collateral Management
KBC BANK

11.00  Refreshments

11.20  Addressing Valuation Challenges of OTC Derivatives in Collateral Arrangements

1. Key regulatory and legal requirements
2. Fair valuation in practice
3. Collateral related disputes
4. Effective controls of collateral valuation
5. Independent valuation (costs & benefits, responsibilities of valuation, legal implications)
6. Trends and best practice

Philip Forkan
Associate Director
DERIVATIVES CONSULTING GROUP

12.00  Examining Developments in Margining Methodology and Policy

• Margining methodology: what are banks offering and what do asset managers want?
• How are banks changing their operational service offering to satisfy fund manager demands?
• Key issues in collateral management between banks and asset managers

Michael Bryant
Managing Director
INTEDELTA

12.40  Lunch

1.40   Successfully Structuring and Managing Collateral Agreements

• Different methods of providing collateral
• Preserving proprietary interests
• Two way margining
• Advance quantification of margin calls
• Margining on credit lines
• Acceptable collateral and haircuts
• Cross-margining
• Relationship with events of default and other contractual provisions

Richard Frase
Partner
DECHERT

2.20    Evaluating Collateral Management Technology – What are the Necessary Key Features?

• Fundamental features and key requirements of CMM
• Current options and the integration challenges they pose
• Ideas on the future use of CMM that may influence current technology choices

3.00    Refreshments

Panel Discussion
3.20    Getting Most out of Collateral Management

• Outsourcing vs. in-house
• What should Managers be asking from Third Party Collateral Management service providers
• Managing buy side / sell side relationships
• Achieving operational excellence
• Finding the balance between efficiency and control
• Opportunities for standardisation
• Where can Managers obtain more value from collateral management
• Future developments, challenges and opportunities

Daniel Sullivan
Vice President,  Investment Operations
JP MORGAN ASSET MANAGEMENT

Ian Hunt
Principal
INVESTMENT HORIZON

Ron Tannenbaum
Head of Marketing
GLOBEOP

Milly Cohn
RBS Collateral Management
ROYAL BANK OF SCOTLAND

4.20    Chairperson’s Closing Remarks

4.25    Close of Conference

9.00 Registration opens

9.30     Welcome and Introduction

Reconciliations

• Ensuring the all transactions are captured correctly
• Investigate trade breaks (alleged trades vs. booked trades)

Settlements

• Process derivatives payments, LIBOR, coupons, CDS
• Send trades to administrator/custodian

Documentation Management

• Tracking and collection of derivatives documentation
• Managing documentation process through fund signature

Valuations

• Daily and month-end valuations, position and pricing reconciliations using independent price sources
• Reconcile the independent pricing to counterparty mark
• Valuation differences analyzed against benchmark tolerance levels set for each product

Collateral Management

• Relies on the valuation methodology matching the counterparties’
• Independent pricing for collateral
• Daily collateral calls with counterparties
• Maintenance and calculation of daily collateral

12.30 Close of Workshop