You are on page 1of 66

BRITISH STANDARD |

| BS EN
|
|
|
12354-1:2000
|
|
|
|
|
|
|
|
|
|
|
|
|
Building acoustics Ð |
|
|
|
|
|
Estimation of acoustic |
|
|
|
|
|
performance of |
|
|
|
|
|
buildings from the |
|
|
|
|
|
performance of |
|
|
|
|
|
elements Ð |
|
|
|
|
|
|
|
|
Part 1: Airborne sound insulation |
|
|
between rooms |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The European Standard EN 12354-1:2000 has the status of a |
British Standard |
|
|
|
|
|
|
|
|
ICS 91.120.20 |
|
|
|
|
|
|
|
|
NO COPYING WITHOUT BSI PERMISSION EXCEPT AS PERMITTED BY COPYRIGHT LAW
|
|
|
|
BS EN 12354-1:2000

National foreword
This British Standard is the official English language version of EN 12354-1:2000.
The UK participation in its preparation was entrusted by Technical Committee
B/209, General building codes, to Subcommittee B/209/18, Sound insulation, which
has the responsibility to:

Ð aid enquirers to understand the text;


Ð present to the responsible European committee any enquiries on the
interpretation, or proposals for change, and keep the UK interests informed;
Ð monitor related international and European developments and promulgate
them in the UK.

A list of organizations represented on this subcommittee can be obtained on request


to its secretary.
Cross-references
The British Standards which implement international or European publications
referred to in this document may be found in the BSI Standards Catalogue under the
section entitled ªInternational Standards Correspondence Indexº, or by using the
ªFindº facility of the BSI Standards Electronic Catalogue.
A British Standard does not purport to include all the necessary provisions of a
contract. Users of British Standards are responsible for their correct application.
Compliance with a British Standard does not of itself confer immunity
from legal obligations.

Summary of pages
This document comprises a front cover, an inside front cover, the EN title page,
pages 2 to 63 and a back cover.
The BSI copyright notice displayed in this document indicates when the document
was last issued.

This British Standard, having Amendments issued since publication


been prepared under the
direction of the Sector Amd. No. Date Comments
Committee for Building and Civil
Engineering, was published under
the authority of the Standards
Committee and comes into effect
on 15 July 2000

 BSI 07-2000

ISBN 0 580 35182 3


(8523($167$1'$5' (1
1250((8523e(11(
(8523b,6&+(1250 $SULO

,&6

(QJOLVKYHUVLRQ

%XLOGLQJDFRXVWLFV(VWLPDWLRQRIDFRXVWLFSHUIRUPDQFHRI
EXLOGLQJVIURPWKHSHUIRUPDQFHRIHOHPHQWV3DUW$LUERUQH
VRXQGLQVXODWLRQEHWZHHQURRPV

$FRXVWLTXHGHEkWLPHQW&DOFXOGHODSHUIRUPDQFH %DXDNXVWLN%HUHFKQXQJGHUDNXVWLVFKHQ(LJHQVFKDIWHQ
DFRXVWLTXHGHVEkWLPHQWVjSDUWLUGHODSHUIRUPDQFHGHV YRQ*HElXGHQDXVGHQ%DXWHLOHLJHQVFKDIWHQ7HLO
pOpPHQWV3DUWLH,VROHPHQWDFRXVWLTXHDX[EUXLWV /XIWVFKDOOGlPPXQJ]ZLVFKHQ5lXPHQ
DpULHQVHQWUHGHVORFDX[

7KLV(XURSHDQ6WDQGDUGZDVDSSURYHGE\&(1RQ$XJXVW

&(1PHPEHUVDUHERXQGWRFRPSO\ZLWKWKH&(1&(1(/(&,QWHUQDO5HJXODWLRQVZKLFKVWLSXODWHWKHFRQGLWLRQVIRUJLYLQJWKLV(XURSHDQ
6WDQGDUGWKHVWDWXVRIDQDWLRQDOVWDQGDUGZLWKRXWDQ\DOWHUDWLRQ8SWRGDWHOLVWVDQGELEOLRJUDSKLFDOUHIHUHQFHVFRQFHUQLQJVXFKQDWLRQDO
VWDQGDUGVPD\EHREWDLQHGRQDSSOLFDWLRQWRWKH&HQWUDO6HFUHWDULDWRUWRDQ\&(1PHPEHU

7KLV(XURSHDQ6WDQGDUGH[LVWVLQWKUHHRIILFLDOYHUVLRQV (QJOLVK)UHQFK*HUPDQ $YHUVLRQLQDQ\RWKHUODQJXDJHPDGHE\WUDQVODWLRQ


XQGHUWKHUHVSRQVLELOLW\RID&(1PHPEHULQWRLWVRZQODQJXDJHDQGQRWLILHGWRWKH&HQWUDO6HFUHWDULDWKDVWKHVDPHVWDWXVDVWKHRIILFLDO
YHUVLRQV

&(1PHPEHUVDUHWKHQDWLRQDOVWDQGDUGVERGLHVRI$XVWULD%HOJLXP&]HFK5HSXEOLF'HQPDUN)LQODQG)UDQFH*HUPDQ\*UHHFH
,FHODQG,UHODQG,WDO\/X[HPERXUJ1HWKHUODQGV1RUZD\3RUWXJDO6SDLQ6ZHGHQ6ZLW]HUODQGDQG8QLWHG.LQJGRP

(8523($1 &200,77(( )25 67$1'$5',=$7,21


&20,7e (8523e(1 '( 1250$/,6$7,21
(8523b,6&+(6 .20,7(( )h5 125081*

&HQWUDO6HFUHWDULDWUXHGH6WDVVDUW%%UXVVHOV

‹&(1 $OOULJKWVRIH[SORLWDWLRQLQDQ\IRUPDQGE\DQ\PHDQVUHVHUYHG 5HI1R(1(


ZRUOGZLGHIRU&(1QDWLRQDO0HPEHUV
3DJH
(1

&RQWHQWV

)RUHZRUG 
 6FRSH  
 1RUPDWLYHUHIHUHQFHV  
 5HOHYDQWTXDQWLWLHV  
 4XDQWLWLHVWRH[SUHVVEXLOGLQJSHUIRUPDQFH  
 $SSDUHQWVRXQGUHGXFWLRQLQGH[5‡  
 6WDQGDUGL]HGOHYHOGLIIHUHQFH'Q7  
 1RUPDOL]HGOHYHOGLIIHUHQFH'Q  
 5HODWLRQEHWZHHQTXDQWLWLHV  
 4XDQWLWLHVWRH[SUHVVHOHPHQWSHUIRUPDQFH 
 6RXQGUHGXFWLRQLQGH[5  
 6RXQGUHGXFWLRQLQGH[LPSURYHPHQWD5  
 (OHPHQWQRUPDOL]HGOHYHOGLIIHUHQFH'QH  
 1RUPDOL]HGOHYHOGLIIHUHQFHIRULQGLUHFWDLUERUQHWUDQVPLVVLRQ'QV  
 )ODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFH'QI  
 9LEUDWLRQUHGXFWLRQLQGH[.LM  
 2WKHUHOHPHQWGDWD  
 2WKHUWHUPVDQGTXDQWLWLHV  
 'LUHFWWUDQVPLVVLRQ  
 ,QGLUHFWWUDQVPLVVLRQ 
 ,QGLUHFWDLUERUQHWUDQVPLVVLRQ  
 ,QGLUHFWVWUXFWXUHERUQHWUDQVPLVVLRQ IODQNLQJWUDQVPLVVLRQ  
 'LUHFWLRQDYHUDJHGMXQFWLRQYHORFLW\OHYHOGLIIHUHQFH ' YLM  
 )ODQNLQJVRXQGUHGXFWLRQLQGH[5LM  
 &DOFXODWLRQPRGHOV  
 *HQHUDOSULQFLSOHV 
 'HWDLOHGPRGHOIRUVWUXFWXUHERUQHWUDQVPLVVLRQ  
 ,QSXWGDWD  
 7UDQVIHURILQSXWGDWDWRLQVLWXYDOXHV  
 'HWHUPLQDWLRQRIGLUHFWDQGIODQNLQJWUDQVPLVVLRQLQVLWX 
 ,QWHUSUHWDWLRQIRUVHYHUDOW\SHVRIHOHPHQWV  
 /LPLWDWLRQV  
 'HWDLOHGPRGHOIRUDLUERUQHWUDQVPLVVLRQ 
 'HWHUPLQDWLRQIURPPHDVXUHGGLUHFWWUDQVPLVVLRQIRUVPDOOHOHPHQWV  
 'HWHUPLQDWLRQIURPPHDVXUHGWRWDOLQGLUHFWWUDQVPLVVLRQ  
 'HWHUPLQDWLRQIURPPHDVXUHGWUDQVPLVVLRQIRUWKHVHSDUDWHHOHPHQWVRIDV\VWHP  
 6LPSOLILHGPRGHOIRUVWUXFWXUHERUQHWUDQVPLVVLRQ 
 &DOFXODWLRQSURFHGXUH  
 ,QSXWGDWD  
 /LPLWDWLRQV  
 $FFXUDF\  
$QQH[$ QRUPDWLYH 6\PEROV  
$QQH[% LQIRUPDWLYH 6RXQGUHGXFWLRQLQGH[IRUPRQROLWKLFHOHPHQWV  
% 6RXQGUHGXFWLRQLQGH[LQIUHTXHQF\EDQGV  
% :HLJKWHGVRXQGUHGXFWLRQLQGH[  
$QQH[& LQIRUPDWLYH 6WUXFWXUDOUHYHUEHUDWLRQWLPH 

‹%6,
3DJH
(1

$QQH[' LQIRUPDWLYH 6RXQGUHGXFWLRQLQGH[LPSURYHPHQWRIDGGLWLRQDOOD\HUV  


' 6RXQGUHGXFWLRQLQGH[LPSURYHPHQWRIOD\HUV  
' 'LUHFWWUDQVPLVVLRQD5 
' )ODQNLQJWUDQVPLVVLRQ 
' :HLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWRIOD\HUV  
$QQH[( LQIRUPDWLYH 9LEUDWLRQUHGXFWLRQLQGH[IRUMXQFWLRQV  
( 'HWHUPLQDWLRQPHWKRGV 
( (PSLULFDOGDWD  
( /LPLWLQJYDOXHV  
$QQH[) LQIRUPDWLYH 'HWHUPLQDWLRQRILQGLUHFWWUDQVPLVVLRQ  
) /DERUDWRU\PHDVXUHPHQWRIWRWDOLQGLUHFWWUDQVPLVVLRQ  
) ,QGLUHFWDLUERUQHWUDQVPLVVLRQ  
) )ODQNLQJWUDQVPLVVLRQ 
) 'HWHUPLQDWLRQRILQGLUHFWDLUERUQHWUDQVPLVVLRQIURPNQRZQWUDQVPLVVLRQIRUWKH
VHSDUDWHHOHPHQWVRIDV\VWHP 
) +DOORUFRUULGRU  
) 9HQWLODWLRQV\VWHP  
$QQH[* LQIRUPDWLYH /DERUDWRU\ZHLJKWHGVRXQGUHGXFWLRQLQGH[LQFOXGLQJILHOGVLPXODWHG
IODQNLQJWUDQVPLVVLRQ
3UIVWDQGPLWEDXlKQOLFKHU)ODQNHQEHUWUDJXQJ
',1  
$QQH[+ LQIRUPDWLYH &DOFXODWLRQH[DPSOHV  
+ 6LWXDWLRQ 
+ 'HWDLOHGPRGHO  
+ 5HVXOWV  
+ 'HWDLOHGVWHSVIRUVHSDUDWLQJHOHPHQWIORRUDQGLQQHUZDOO 
+ 6WUXFWXUDOUHYHUEHUDWLRQWLPHSDUWLWLRQZDOODW+]RFWDYH  
+ 6LPSOLILHGPRGHO  
%LEOLRJUDSK\  

‹%6,
3DJH
(1

)RUHZRUG
7KLV (XURSHDQ 6WDQGDUG KDV EHHQ SUHSDUHG E\ 7HFKQLFDO &RPPLWWHH &(17&  $FRXVWLF SURSHUWLHV RI
EXLOGLQJSURGXFWVDQGRIEXLOGLQJVWKH6HFUHWDULDWRIZKLFKLVKHOGE\$)125

7KLV(XURSHDQ6WDQGDUGVKDOOEHJLYHQWKHVWDWXVRIDQDWLRQDOVWDQGDUGHLWKHUE\SXEOLFDWLRQRIDQLGHQWLFDO
WH[WRUE\HQGRUVHPHQWDWWKHODWHVWE\2FWREHUDQGFRQIOLFWLQJQDWLRQDOVWDQGDUGVVKDOOEHZLWKGUDZQ
DWWKHODWHVWE\2FWREHU

,WLVWKHILUVWYHUVLRQ RI DVHULHV RI VWDQGDUGV VSHFLI\LQJ FDOFXODWLRQ PRGHOV LQ EXLOGLQJ DFRXVWLFV $OWKRXJK
WKH VWDQGDUG FRYHUV WKH PDLQ W\SHV RI EXLOGLQJ FRQVWUXFWLRQ LW FDQQRW DV \HW FRYHU DOO YDULDWLRQV LQ WKH
FRQVWUXFWLRQ RI EXLOGLQJV ,W VHWV RXW DQ DSSURDFK IRU JDLQLQJ H[SHULHQFH IRU IXWXUH LPSURYHPHQWV DQG
GHYHORSPHQWV

'XULQJWKHSUHSDUDWLRQRIWKLVVWDQGDUGLWEHFDPHFOHDUWKDWVRPHRIWKHHOHPHQWGDWDQHFHVVDU\EDVHGRQ
VWDQGDUGL]HG PHDVXUHPHQW PHWKRGV DUH QRW \HW DYDLODEOH KHQFH VRPH LQIRUPDWLYH DQQH[HV KDYH EHHQ
DGGHGWRH[SODLQZKDWLVQHHGHGWRLQGLFDWHSRVVLEOHPHDVXUHPHQWPHWKRGVDQGWRLOOXVWUDWHWKLVZLWKVRPH
LQGLFDWLYH DFRXVWLFDO GDWD 7KHVH DQQH[HV VKRXOG IRUP WKH EDVLV IRU QHZ RU UHYLVHG VWDQGDUGV IRU EXLOGLQJ
HOHPHQWVZKLFKZRXOGUHSODFHWKHVHDQQH[HV

7KHDFFXUDF\RIWKLVVWDQGDUGFDQRQO\EHVSHFLILHGLQGHWDLODIWHUZLGHVSUHDGFRPSDULVRQVZLWKILHOGGDWD
ZKLFKFDQRQO\EHJDWKHUHGRYHUDSHULRGRIWLPHDIWHUHVWDEOLVKLQJWKHSUHGLFWLRQPRGHO7RKHOSWKHXVHULQ
WKHPHDQWLPHLQGLFDWLRQVRIWKHDFFXUDF\KDYHEHHQJLYHQEDVHGRQHDUOLHUFRPSDULVRQVZLWKFRPSDUDEOH
SUHGLFWLRQ PRGHOV ,W LV WKH UHVSRQVLELOLW\ RI WKH XVHU LH D SHUVRQ DQ RUJDQL]DWLRQ WKH DXWKRULWLHV  WR
DGGUHVV WKH FRQVHTXHQFHV RI WKH DFFXUDF\ LQKHUHQW IRU DOO PHDVXUHPHQW DQG SUHGLFWLRQ PHWKRGV E\
VSHFLI\LQJUHTXLUHPHQWV IRU WKH LQSXW GDWD DQGRU DSSO\LQJ D VDIHW\ PDUJLQ WR WKH UHVXOWV RU DSSO\LQJ VRPH
RWKHUFRUUHFWLRQ

$FFRUGLQJWRWKH&(1&(1(/(&,QWHUQDO5HJXODWLRQVWKHQDWLRQDOVWDQGDUGVRUJDQL]DWLRQVRIWKHIROORZLQJ
FRXQWULHV DUH ERXQG WR LPSOHPHQW WKLV (XURSHDQ 6WDQGDUG $XVWULD %HOJLXP &]HFK 5HSXEOLF 'HQPDUN
)LQODQG )UDQFH *HUPDQ\ *UHHFH ,FHODQG ,UHODQG ,WDO\ /X[HPERXUJ 1HWKHUODQGV 1RUZD\ 3RUWXJDO
6SDLQ6ZHGHQ6ZLW]HUODQGDQGWKH8QLWHG.LQJGRP

‹%6,
3DJH
(1

 6FRSH
7KLV GRFXPHQW GHVFULEHV FDOFXODWLRQ PRGHOV GHVLJQHG WR HVWLPDWH WKH DLUERUQH VRXQG LQVXODWLRQ EHWZHHQ
URRPVLQEXLOGLQJVSULPDULO\XVLQJPHDVXUHGGDWDZKLFKFKDUDFWHUL]HGLUHFWRULQGLUHFWIODQNLQJWUDQVPLVVLRQ
E\WKHSDUWLFLSDWLQJ EXLOGLQJ HOHPHQWV DQG WKHRUHWLFDOO\ GHULYHG PHWKRGV RI VRXQG SURSDJDWLRQ LQ VWUXFWXUDO
HOHPHQWV

$GHWDLOHGPRGHOLVGHVFULEHGIRUFDOFXODWLRQLQIUHTXHQF\EDQGVWKHVLQJOHQXPEHUUDWLQJFDQEHGHWHUPLQHG
IURP WKH FDOFXODWLRQ UHVXOWV $ VLPSOLILHG PRGHO ZLWK D UHVWULFWHG ILHOG RI DSSOLFDWLRQ LV GHGXFHG IURP WKLV
FDOFXODWLQJGLUHFWO\WKHVLQJOHQXPEHUUDWLQJXVLQJWKHVLQJOHQXPEHUUDWLQJVRIWKHHOHPHQWV

7KLVGRFXPHQWGHVFULEHVWKHSULQFLSOHVRIWKHFDOFXODWLRQVFKHPHOLVWVWKHUHOHYDQWTXDQWLWLHVDQGGHILQHVLWV
DSSOLFDWLRQV DQG UHVWULFWLRQV ,W LV LQWHQGHG IRU DFRXVWLFDO H[SHUWV DQG SURYLGHV WKH IUDPHZRUN IRU WKH
GHYHORSPHQWRIDSSOLFDWLRQGRFXPHQWVDQGWRROVIRURWKHUXVHUV LQ WKH ILHOG RI EXLOGLQJ FRQVWUXFWLRQ WDNLQJ
LQWRDFFRXQWORFDOFLUFXPVWDQFHV

7KHFDOFXODWLRQPRGHOVGHVFULEHGXVHWKHPRVWJHQHUDODSSURDFKIRUHQJLQHHULQJSXUSRVHVZLWKDFOHDUOLQN
WRPHDVXUDEOHTXDQWLWLHVWKDWVSHFLI\WKHSHUIRUPDQFHRIEXLOGLQJHOHPHQWV7KHNQRZQOLPLWDWLRQVRIWKHVH
FDOFXODWLRQPRGHOVDUHGHVFULEHGLQWKLVGRFXPHQW8VHUVVKRXOGKRZHYHUEHDZDUHWKDWRWKHUFDOFXODWLRQ
PRGHOVDOVRH[LVWHDFKZLWKWKHLURZQDSSOLFDELOLW\DQGUHVWULFWLRQV

7KHPRGHOVDUHEDVHGRQH[SHULHQFHZLWKSUHGLFWLRQVIRUGZHOOLQJVWKH\FRXOGDOVREHXVHGIRURWKHUW\SHV
RIEXLOGLQJVSURYLGHGWKHFRQVWUXFWLRQV\VWHPVDQGGLPHQVLRQVRIHOHPHQWVDUHQRWWRRGLIIHUHQWIURPWKRVH
LQGZHOOLQJV

 1RUPDWLYHUHIHUHQFHV
7KLV (XURSHDQ 6WDQGDUG LQFRUSRUDWHV E\ GDWHG RU XQGDWHG UHIHUHQFH SURYLVLRQV IURP RWKHU SXEOLFDWLRQV
7KHVH QRUPDWLYH UHIHUHQFHV DUH FLWHG DW WKH DSSURSULDWH SODFHV LQ WKH WH[W DQG WKH SXEOLFDWLRQV DUH OLVWHG
KHUHDIWHU)RUGDWHGUHIHUHQFHVVXEVHTXHQWDPHQGPHQWVWRRUUHYLVLRQVRIDQ\RIWKHVHSXEOLFDWLRQVDSSO\
WRWKLV(XURSHDQ6WDQGDUGRQO\ZKHQLQFRUSRUDWHGLQLWE\DPHQGPHQWRUUHYLVLRQ)RUXQGDWHGUHIHUHQFHV
WKHODWHVWHGLWLRQRIWKHSXEOLFDWLRQUHIHUUHGWRDSSOLHV

(1 $FRXVWLFV  0HDVXUHPHQW RI VRXQG LQVXODWLRQ LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV
3DUW/DERUDWRU\ PHDVXUHPHQW RI DLUERUQH VRXQG LQVXODWLRQ RI VPDOO EXLOGLQJ
HOHPHQWV ,62 

(1,62 $FRXVWLFV  0HDVXUHPHQW RI VRXQG LQVXODWLRQ LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV±
3DUW5HTXLUHPHQWVIRUODERUDWRU\WHVWIDFLOLWLHVZLWKVXSSUHVVHGIODQNLQJWUDQVPLVVLRQ
,62 

(1,62 $FRXVWLFV  0HDVXUHPHQW RI VRXQG LQVXODWLRQ LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV±
3DUW/DERUDWRU\ PHDVXUHPHQWV RI DLUERUQH VRXQG LQVXODWLRQ RI EXLOGLQJ HOHPHQWV
,62 

(1,62 $FRXVWLFV  0HDVXUHPHQW RI VRXQG LQVXODWLRQ LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV
3DUW)LHOG PHDVXUHPHQWV RI DLUERUQH VRXQG LQVXODWLRQ EHWZHHQ URRPV
,62 

(1,62 $FRXVWLFV  5DWLQJ RI VRXQG LQVXODWLRQ LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV
3DUW$LUERUQHVRXQGLQVXODWLRQ ,62 

SU(1,62 $FRXVWLFV/DERUDWRU\PHDVXUHPHQWRIWKHIODQNLQJWUDQVPLVVLRQRIDLUERUQHDQGLPSDFW
QRLVHEHWZHHQDGMRLQLQJURRPV±3DUW)UDPHGRFXPHQW ,62',6 

‹%6,
3DJH
(1

 5HOHYDQWTXDQWLWLHV

 4XDQWLWLHVWRH[SUHVVEXLOGLQJSHUIRUPDQFH

7KHVRXQGLQVXODWLRQEHWZHHQURRPVLQDFFRUGDQFHZLWK(1,62FDQEHH[SUHVVHGLQWHUPVRIVHYHUDO
UHODWHG TXDQWLWLHV 7KHVH TXDQWLWLHV DUH GHWHUPLQHG LQ IUHTXHQF\ EDQGV RQHWKLUG RFWDYH EDQGV RU RFWDYH
EDQGV IURPZKLFKWKHVLQJOHQXPEHUUDWLQJIRUWKHEXLOGLQJSHUIRUPDQFHFDQEHREWDLQHGLQDFFRUGDQFHZLWK
(1,62IRULQVWDQFH5
Z'Q7ZRU 'Q7Z& 

 $SSDUHQWVRXQGUHGXFWLRQLQGH[5

0LQXV WHQ WLPHV WKH FRPPRQ ORJDULWKP RI WKH UDWLR RI WKH WRWDO VRXQG SRZHU :WRW WUDQVPLWWHG LQWR WKH
UHFHLYLQJURRPWRWKHVRXQGSRZHU:ZKLFKLVLQFLGHQWRQDVHSDUDWLQJHOHPHQW7KLVUDWLRLVGHQRWHGE\t


5
  OJt
G% 

ZKHUH

t
= : WRW  :

,QJHQHUDOWKHWRWDOVRXQGSRZHU WUDQVPLWWHG LQWR WKH UHFHLYLQJ URRP FRQVLVWV RI WKH SRZHU UDGLDWHG E\ WKH
VHSDUDWLQJHOHPHQWWKHIODQNLQJHOHPHQWVDQGRWKHUFRPSRQHQWV

7KHLQGH[5
LWLVQRUPDOO\GHWHUPLQHGIURPPHDVXUHPHQWVDFFRUGLQJWR

6V
5
//  OJ  G% 
$

ZKHUH

/ LVWKHDYHUDJHVRXQGSUHVVXUHOHYHOLQWKHVRXUFHURRPLQGHFLEHOV

/ LVWKHDYHUDJHVRXQGSUHVVXUHOHYHOLQWKHUHFHLYLQJURRPLQGHFLEHOV

$ LVWKHHTXLYDOHQWVRXQGDEVRUSWLRQDUHDLQWKHUHFHLYLQJURRPLQVTXDUHPHWUHV

6V LVWKHDUHDRIWKHVHSDUDWLQJHOHPHQWLQVTXDUHPHWUHV

 6WDQGDUGL]HGOHYHOGLIIHUHQFH'Q7

7KHGLIIHUHQFHLQWKHVSDFHDQGWLPHDYHUDJHVRXQGSUHVVXUHOHYHOVSURGXFHGLQWZRURRPVE\RQHRUPRUH
VRXQGVRXUFHVLQRQHRIWKHPFRUUHVSRQGLQJWRDUHIHUHQFHYDOXHRIWKHUHYHUEHUDWLRQWLPHLQWKHUHFHLYLQJ
URRP

7
'Q7  //  OJ G% 
7R

ZKHUH

7 LVWKHUHYHUEHUDWLRQWLPHLQWKHUHFHLYLQJURRPLQVHFRQGV

7R LVWKHUHIHUHQFHUHYHUEHUDWLRQWLPHIRUGZHOOLQJVJLYHQDVV

‹%6,
3DJH
(1

 1RUPDOL]HGOHYHOGLIIHUHQFH'Q

7KHGLIIHUHQFHLQWKHVSDFHDQGWLPHDYHUDJHVRXQGSUHVVXUHOHYHOVSURGXFHGLQWZRURRPVE\RQHRUPRUH
VRXQG VRXUFHV LQ RQH RI WKHP FRUUHVSRQGLQJ WR WKH UHIHUHQFH HTXLYDOHQW VRXQG DEVRUSWLRQ DUHD LQ WKH
UHFHLYLQJURRP

$
'Q  //  OJ  G% 
$R

ZKHUH

$R LVWKHUHIHUHQFHDEVRUSWLRQDUHDJLYHQDVP

 5HODWLRQEHWZHHQTXDQWLWLHV

7KHOHYHOGLIIHUHQFHVDUHUHODWHGWRWKHDSSDUHQWVRXQGUHGXFWLRQLQGH[DVIROORZV

$R 
' Q 5
 OJ 5
 OJ G% >D @
6V 6V

 9   9
' Q7 5
  OJ 5
  OJ G% >E @
7R 6 V 6V

ZKHUH

9 LVWKHYROXPHRIWKHUHFHLYLQJURRPLQFXELFPHWUHV

,W LV VXIILFLHQW WR HVWLPDWH RQH RI WKHVH TXDQWLWLHV LQ RUGHU WR GHGXFH WKH RWKHU RQHV ,Q WKLV GRFXPHQW WKH
DSSDUHQWVRXQGUHGXFWLRQLQGH[5
LVFKRVHQDVWKHSULPHTXDQWLW\WREHHVWLPDWHG

 4XDQWLWLHVWRH[SUHVVHOHPHQWSHUIRUPDQFH

7KH TXDQWLWLHV H[SUHVVLQJ WKH SHUIRUPDQFH RI WKH HOHPHQWV DUH XVHG DV SDUW RI WKH LQSXW GDWD WR HVWLPDWH
EXLOGLQJSHUIRUPDQFH7KHVHTXDQWLWLHVDUHGHWHUPLQHGLQRQHWKLUGRFWDYHEDQGVDQGFDQDOVREHH[SUHVVHG
LQRFWDYHEDQGV,QUHOHYDQWFDVHVDVLQJOHQXPEHUUDWLQJIRUWKHHOHPHQWSHUIRUPDQFHFDQEHREWDLQHGIURP
WKLVLQDFFRUGDQFHZLWK(1,62IRULQVWDQFH5Z &&WU 

 6RXQGUHGXFWLRQLQGH[5

7HQ WLPHV WKH FRPPRQ ORJDULWKP RI WKH UDWLR RI WKH VRXQG SRZHU : LQFLGHQW RQ D WHVW VSHFLPHQ WR WKH
VRXQGSRZHU:WUDQVPLWWHGWKURXJKWKHVSHFLPHQ

:
5  OJ G% 
:

7KLVTXDQWLW\LVWREHGHWHUPLQHGLQDFFRUGDQFHZLWK(1,62

 6RXQGUHGXFWLRQLQGH[LPSURYHPHQWD5

7KHGLIIHUHQFHLQVRXQGUHGXFWLRQLQGH[EHWZHHQDEDVLFVWUXFWXUDOHOHPHQWZLWKDQDGGLWLRQDOOD\HU HJD
UHVLOLHQWZDOOVNLQDVXVSHQGHGFHLOLQJDIORDWLQJIORRU DQGWKHEDVLFVWUXFWXUDOHOHPHQWZLWKRXWWKLVOD\HU

$QQH['JLYHVLQIRUPDWLRQRQWKHGHWHUPLQDWLRQDQGWKHXVHRIWKLVTXDQWLW\

‹%6,
3DJH
(1

 (OHPHQWQRUPDOL]HGOHYHOGLIIHUHQFH'QH

7KHGLIIHUHQFHLQWKHVSDFHDQGWLPHDYHUDJHVRXQGSUHVVXUHOHYHOSURGXFHGLQWZRURRPVE\DVRXUFHLQ
RQHZKHUHVRXQG WUDQVPLVVLRQ LV RQO\ GXH WR D VPDOO EXLOGLQJ HOHPHQW HJ WUDQVIHU DLU GHYLFHV HOHFWULFDO
FDEOHGXFWVWUDQVLWVHDOLQJV\VWHPV 'QHLVQRUPDOL]HGWRWKHUHIHUHQFHHTXLYDOHQWVRXQGDEVRUSWLRQDUHD
$R LQWKHUHFHLYLQJURRP$R P

$
'Q H /  /  OJ G% 
$R

ZKHUH

$ LVWKHHTXLYDOHQWVRXQGDEVRUSWLRQDUHDLQWKHUHFHLYLQJURRPLQVTXDUHPHWUHV

7KLVTXDQWLW\LVWREHGHWHUPLQHGLQDFFRUGDQFHZLWK(1

 1RUPDOL]HGOHYHOGLIIHUHQFHIRULQGLUHFWDLUERUQHWUDQVPLVVLRQ'QV

7KHGLIIHUHQFHLQWKHVSDFHDQGWLPHDYHUDJHVRXQGSUHVVXUHOHYHOSURGXFHGLQWZRURRPVE\DVRXUFHLQ
RQH RI WKHP 7UDQVPLVVLRQ LV RQO\ FRQVLGHUHG WR RFFXU WKURXJK D VSHFLILHG SDWK EHWZHHQ WKH URRPV
HJYHQWLODWLRQ V\VWHPV FRUULGRUV  'QV LV QRUPDOL]HG WR WKH UHIHUHQFH HTXLYDOHQW VRXQG DEVRUSWLRQ DUHD
$R LQWKHUHFHLYLQJURRP$R P

$
'QV /  /    OJ G% 
$R

7KHVXEVFULSWµV¶LQGLFDWHVWKHW\SHRIWUDQVPLVVLRQV\VWHPFRQVLGHUHG

7KLVTXDQWLW\LVWREHGHWHUPLQHGZLWKDPHDVXUHPHQWPHWKRGZKLFKLVFRPSDUDEOHWR(1

127( 'HGLFDWHGPHDVXUHPHQWPHWKRGVIRUVSHFLILFV\VWHPVVKRXOGEHSUHSDUHGE\&(17&RU&(17&
VHH$QQH[) 

 )ODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFH'QI

7KHGLIIHUHQFHLQWKHVSDFHDQGWLPHDYHUDJHVRXQGSUHVVXUHOHYHOSURGXFHGLQWZRURRPVE\DVRXUFHLQ
RQHRIWKHP7UDQVPLVVLRQLVRQO\FRQVLGHUHGWRRFFXUWKURXJKDVSHFLILHGIODQNLQJSDWKEHWZHHQWKHURRPV
HJ VXVSHQGHG FHLOLQJ DFFHVV IORRU IDoDGH  'QI LV QRUPDOL]HG WR WKH UHIHUHQFH HTXLYDOHQW VRXQG
DEVRUSWLRQDUHD $R LQWKHUHFHLYLQJURRP$R P

$
' QI /   /     OJ  G% 
$R

7KLVTXDQWLW\LVWREHGHWHUPLQHGDFFRUGLQJWRSU(1,62

127( )RUVXVSHQGHGFHLOLQJV(1LVDYDLODEOHZKHUHWKHVXEVFULSW
F
LVXVHGLQVWHDGRIWKHPRUHJHQHUDO

I
)RUDFFHVVIORRUVDVWDQGDUGLVLQSUHSDUDWLRQSU(1,62 VHH$QQH[) 

‹%6,
3DJH
(1

 9LEUDWLRQUHGXFWLRQLQGH[.LM

7KLV TXDQWLW\ LV UHODWHG WR WKH YLEUDWLRQDO SRZHU WUDQVPLVVLRQ RYHU D MXQFWLRQ EHWZHHQ VWUXFWXUDO HOHPHQWV
QRUPDOL]HGLQRUGHUWRPDNHLWDQLQYDULDQWTXDQWLW\,WLVGHWHUPLQHGE\QRUPDOL]LQJWKHGLUHFWLRQDYHUDJHG
YHORFLW\OHYHOGLIIHUHQFHRYHUWKHMXQFWLRQWRWKHMXQFWLRQOHQJWKDQGWKHHTXLYDOHQWVRXQGDEVRUSWLRQOHQJWK
LIUHOHYDQWRIERWKHOHPHQWVLQDFFRUGDQFHZLWKWKHIROORZLQJHTXDWLRQ

'YLM +'Y ML OLM


.LM = + OJ G% 
 DL D M

ZKHUH

'YLM LVWKHYHORFLW\OHYHOGLIIHUHQFHEHWZHHQHOHPHQWLDQGMZKHQHOHPHQWLLVH[FLWHGLQGHFLEHOV

'YML LVWKHYHORFLW\OHYHOGLIIHUHQFHEHWZHHQHOHPHQWMDQGLZKHQHOHPHQWMLVH[FLWHGLQGHFLEHOV

OLM LVWKHFRPPRQOHQJWKRIWKHMXQFWLRQEHWZHHQHOHPHQWLDQGMLQPHWUHV

DL LVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKRIHOHPHQWLLQPHWUHV

DM LVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKRIHOHPHQWMLQPHWUHV

7KHHTXLYDOHQWDEVRUSWLRQOHQJWKLVJLYHQE\

  6 I UHI
D = 
F R 7V I

ZKHUH

7V LVWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHRIWKHHOHPHQWLRUMLQVHFRQGV

6 LVWKHDUHDRIHOHPHQWLRUMLQVTXDUHPHWUHV

I LVWKHFHQWUHEDQGIUHTXHQF\LQ+HUW]

IUHI LVWKHUHIHUHQFHIUHTXHQF\IUHI +]

FR LVWKHVSHHGRIVRXQGLQDLULQPHWUHVSHUVHFRQG

127( 7KHHTXLYDOHQWDEVRUSWLRQOHQJWKLVWKHOHQJWKRIDILFWLRQDOWRWDOO\DEVRUELQJHGJHRIDQHOHPHQWLILWVFULWLFDO
IUHTXHQF\LVDVVXPHGWREH+]JLYLQJWKHVDPHORVVDVWKHWRWDOORVVHVRIWKHHOHPHQWLQDJLYHQVLWXDWLRQ

7KHTXDQWLW\.LMLVWREHGHWHUPLQHGLQDFFRUGDQFHZLWKSU(1,62

127( )RUWKHWLPHEHLQJYDOXHVIRUWKLVTXDQWLW\FDQEHWDNHQIURP$QQH[(RUEHGHGXFHGIURPDYDLODEOHGDWDRQ
WKHMXQFWLRQYHORFLW\OHYHOGLIIHUHQFHDFFRUGLQJWR$QQH[(

 2WKHUHOHPHQWGDWD

)RUWKHFDOFXODWLRQVDGGLWLRQDOLQIRUPDWLRQRQWKHHOHPHQWFDQEHQHFHVVDU\HJ

£ PDVVSHUXQLWDUHDP
LQNLORJUDPVSHUVTXDUHPHWUH

£ W\SHRIHOHPHQW

£ PDWHULDO

£ W\SHRIMXQFWLRQ

‹%6,
3DJH
(1

 2WKHUWHUPVDQGTXDQWLWLHV

 'LUHFWWUDQVPLVVLRQ

7UDQVPLVVLRQ GXH RQO\ WR VRXQG LQFLGHQW RQ D VHSDUDWLQJ HOHPHQW DQG GLUHFWO\ UDGLDWHG IURP LW
VWUXFWXUHERUQH RUWUDQVPLWWHGWKURXJKSDUWVRILW DLUERUQH VXFKDVVOLWVDLUPRYLQJGHYLFHVRUORXYUHV

 ,QGLUHFWWUDQVPLVVLRQ

7UDQVPLVVLRQRIVRXQGIURPDVRXUFHURRPWRDUHFHLYLQJURRPWKURXJKWUDQVPLVVLRQSDWKVRWKHUWKDQWKH
GLUHFWWUDQVPLVVLRQSDWK,WFDQEHGLYLGHGLQWRDLUERUQHWUDQVPLVVLRQDQGVWUXFWXUHERUQHWUDQVPLVVLRQ7KH
ODWWHULVFDOOHGIODQNLQJWUDQVPLVVLRQ

 ,QGLUHFWDLUERUQHWUDQVPLVVLRQ

,QGLUHFW WUDQVPLVVLRQ RI VRXQG HQHUJ\ YLD DQ DLUERUQH WUDQVPLVVLRQ SDWK PDLQO\ HJ YHQWLODWLRQ V\VWHPV
VXVSHQGHGFHLOLQJVDQGFRUULGRUV

 ,QGLUHFWVWUXFWXUHERUQHWUDQVPLVVLRQ IODQNLQJWUDQVPLVVLRQ

7UDQVPLVVLRQRIVRXQGHQHUJ\IURPDVRXUFHURRPWRDUHFHLYLQJURRPYLDVWUXFWXUDO YLEUDWLRQDO SDWKVLQWKH


FRQVWUXFWLRQPDLQO\HJZDOOVIORRUVFHLOLQJV

 'LUHFWLRQDYHUDJHGMXQFWLRQYHORFLW\OHYHOGLIIHUHQFH ' YLM

7KHDYHUDJHRIWKHMXQFWLRQYHORFLW\OHYHOGLIIHUHQFHIURPHOHPHQWLWRMDQGHOHPHQWMWRL

' YLM ' Y ML


' YLM G% 


 )ODQNLQJVRXQGUHGXFWLRQLQGH[5LM

0LQXVWHQWLPHVWKHFRPPRQORJDULWKPRIWKHIODQNLQJWUDQVPLVVLRQIDFWRUtLMZKLFKLVWKHUDWLRRIWKHVRXQG
SRZHU:LMUDGLDWHGIURPDIODQNLQJFRQVWUXFWLRQMLQWKHUHFHLYLQJURRPGXHWRLQFLGHQWVRXQGRQFRQVWUXFWLRQL
LQWKHVRXUFHURRP WR WKH VRXQG SRZHU: ZKLFK LV LQFLGHQW RQ D UHIHUHQFH DUHD LQ WKHVRXUFH URRP7KH
DUHDRIWKHVHSDUDWLQJHOHPHQWLVFKRVHQDVWKHUHIHUHQFHDUHD

5 LM   OJt LM G% 

ZKHUH

t LM = : LM :

127( 7KH DUHD RI WKH VHSDUDWLQJ HOHPHQW LV FKRVHQ DV WKH UHIHUHQFH VLQFH WKHQ WKH FRQWULEXWLRQ RI HDFK
WUDQVPLVVLRQSDWKWRWKHWRWDOWUDQVPLVVLRQLVGLUHFWO\LQGLFDWHGZKLFKLVQRWWKHFDVHZLWKRWKHUFKRLFHV

‹%6,
3DJH
(1

 &DOFXODWLRQPRGHOV

 *HQHUDOSULQFLSOHV

7KHVRXQGSRZHULQWKHUHFHLYLQJURRPLVGXHWRVRXQGUDGLDWHGE\WKHVHSDUDWLQJVWUXFWXUDOHOHPHQWVDQG
WKH IODQNLQJ VWUXFWXUDO HOHPHQWV LQ WKDW URRP DQG E\ WKH UHOHYDQW GLUHFW DQG LQGLUHFW DLUERUQH VRXQG
WUDQVPLVVLRQ7KHWRWDOWUDQVPLVVLRQIDFWRUFDQEHGLYLGHGLQWRWUDQVPLVVLRQIDFWRUVUHODWHGWRHDFKHOHPHQW
LQWKHUHFHLYLQJURRPDQGWKHHOHPHQWVDQGV\VWHPVLQYROYHGLQWKHGLUHFWDQGLQGLUHFWDLUERUQHWUDQVPLVVLRQ

5
= -  OJ t
G% 

Q P N
t
= t G + Ê t I + Ê t H + Ê t V
I =O H =O V =O

ZKHUH WKH LQGLFHV G I H DQG V UHIHU WR WKH GLIIHUHQW FRQWULEXWLRQV WR WKH VRXQG WUDQVPLVVLRQ LOOXVWUDWHG LQ
)LJXUHDQGZKHUH

t
LV WKH VRXQG SRZHU UDWLR RI WRWDO UDGLDWHG VRXQG SRZHU LQ WKH UHFHLYLQJ URRP UHODWLYH WR LQFLGHQW
VRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW

tG LV WKH VRXQG SRZHU UDWLR RI UDGLDWHG VRXQG SRZHU E\ WKH FRPPRQ SDUW RI WKH VHSDUDWLQJ HOHPHQW
UHODWLYH WR LQFLGHQW VRXQG SRZHU RQ WKH FRPPRQ SDUW RI WKH VHSDUDWLQJ HOHPHQW ,W LQFOXGHV WKH
SDWKV'GDQG)GVKRZQLQ)LJXUH

tI LV WKH VRXQG SRZHU UDWLR RI UDGLDWHG VRXQG SRZHU E\ D IODQNLQJ HOHPHQW I LQ WKH UHFHLYLQJ URRP
UHODWLYHWRLQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW,WLQFOXGHVSDWKV)I
DQG'IVKRZQLQ)LJXUH

tH LV WKH VRXQG SRZHU UDWLR RI UDGLDWHG VRXQG SRZHU LQ WKH UHFHLYLQJ URRP E\ DQ HOHPHQW LQ WKH
VHSDUDWLQJHOHPHQWGXHWRGLUHFWDLUERUQHWUDQVPLVVLRQRILQFLGHQWVRXQGRQWKLVHOHPHQWUHODWLYHWR
LQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW

tV LVWKHVRXQGSRZHUUDWLRRIUDGLDWHGVRXQGSRZHULQWKHUHFHLYLQJURRPE\DV\VWHPVGXHWRLQGLUHFW
DLUERUQH WUDQVPLVVLRQ RI LQFLGHQW VRXQG RQ WKLV WUDQVPLVVLRQ V\VWHP UHODWLYH WR LQFLGHQW VRXQG
SRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW

Q LVWKHQXPEHURIIODQNLQJHOHPHQWVQRUPDOO\Q EXWLWFDQEHVPDOOHURUODUJHU

P LVWKHQXPEHURIHOHPHQWVZLWKGLUHFWDLUERUQHWUDQVPLVVLRQ

N LVWKHQXPEHURIV\VWHPVZLWKLQGLUHFWDLUERUQHWUDQVPLVVLRQ

)LJXUH²,OOXVWUDWLRQRIWKHGLIIHUHQWFRQWULEXWLRQVWRWKHWRWDOVRXQGWUDQVPLVVLRQWRDURRP
GUDGLDWHGGLUHFWO\IURPWKHVHSDUDWLQJHOHPHQWIDQGI±UDGLDWHGIURPIODQNLQJHOHPHQWV
HUDGLDWHGIURPFRPSRQHQWVPRXQWHGLQWKHVHSDUDWLQJHOHPHQWV±LQGLUHFWWUDQVPLVVLRQ

‹%6,
3DJH
(1

7KH VRXQG UDGLDWHG E\ D VWUXFWXUDO HOHPHQW FDQ EH FRQVLGHUHG WR EH WKH VXP RI VWUXFWXUHERUQH VRXQG
WUDQVPLVVLRQ WKURXJK VHYHUDO SDWKV (DFK SDWK FDQ EH LGHQWLILHG E\ WKH HOHPHQW L RQ ZKLFK WKH VRXQG LV
LQFLGHQW LQ WKH VRXUFH URRP DQG WKH UDGLDWLQJ HOHPHQW M LQ WKH UHFHLYLQJ URRP 7KH SDWKV IRU D IODQNLQJ
HOHPHQW DQG WKH VHSDUDWLQJ HOHPHQW DUH VKRZQ LQ )LJXUH ZKHUH LQ WKH VRXUFH URRP WKH HOHPHQWV L DUH
GHVLJQDWHG E\ ) IRU WKH IODQNLQJ HOHPHQW DQG ' IRU WKH VHSDUDWLQJ HOHPHQW DQG LQ WKH UHFHLYLQJ URRP WKH
HOHPHQWVMDUHGHVLJQDWHGE\IIRUDIODQNLQJHOHPHQWDQGGIRUWKHVHSDUDWLQJHOHPHQW

)LJXUH²'HILQLWLRQRIVRXQGWUDQVPLVVRQSDWKVLMEHWZHHQWZRURRPV

7KHPDLQDVVXPSWLRQVZLWKWKLVDSSURDFKDUHWKDWWKHWUDQVPLVVLRQSDWKVGHVFULEHGFDQEHFRQVLGHUHGWREH
LQGHSHQGHQW DQG WKDW WKH VRXQG DQG YLEUDWLRQDO ILHOGV EHKDYH VWDWLVWLFDOO\ :LWKLQ WKHVH UHVWULFWLRQV WKLV
DSSURDFK LV TXLWH JHQHUDO LQ SULQFLSOH DOORZLQJ IRU YDULRXV W\SHV RI VWUXFWXUDO HOHPHQWV LH PRQROLWKLF
HOHPHQWVFDYLW\ZDOOVOLJKWZHLJKWGRXEOHOHDIZDOOVDQGGLIIHUHQWSRVLWLRQLQJRIWKHWZRURRPV+RZHYHUWKH
DYDLODEOH SRVVLELOLWLHV WR GHVFULEH WKH WUDQVPLVVLRQ E\ HDFK SDWK LPSRVHV UHVWULFWLRQV LQ WKLV UHVSHFW 7KH
PRGHOSUHVHQWHGLVWKHUHIRUHUHVWULFWHGWRDGMDFHQWURRPVZKLOHWKHW\SHRIHOHPHQWVLVPDLQO\UHVWULFWHGE\
WKH DYDLODEOH LQIRUPDWLRQ RQ WKH YLEUDWLRQ UHGXFWLRQ LQGH[ WR PRQROLWKLF DQG OLJKWZHLJKW GRXEOH HOHPHQWV
6RPHLQGLFDWLRQVDUHJLYHQLQIRUWKHDSSOLFDWLRQWRRWKHUGRXEOHHOHPHQWVVXFKDVFDYLW\ZDOOV

7KH WUDQVPLVVLRQ IDFWRU IRU WKH VHSDUDWLQJ HOHPHQW FRQVLVWV RI FRQWULEXWLRQV IURP WKH GLUHFW WUDQVPLVVLRQ
DQGQIODQNLQJWUDQVPLVVLRQSDWKV

Q
tG t 'G  Ê t )G 
) 

7KH WUDQVPLVVLRQ IDFWRU IRU HDFK RI WKH IODQNLQJ HOHPHQWV I LQ WKH UHFHLYLQJ URRP FRQVLVWV RI FRQWULEXWLRQV
IURPIODQNLQJWUDQVPLVVLRQSDWKV

t I   t 'I  t )I  

7KH WUDQVPLVVLRQ IDFWRUV IRU WKHVH VWUXFWXUHERUQH WUDQVPLVVLRQ SDWKV DUH UHODWHG WR WKH VRXQG UHGXFWLRQ
LQGH[IRUGLUHFWWUDQVPLVVLRQ 5'G DQGWKHIODQNLQJVRXQGUHGXFWLRQLQGH[ 5LM DVIROORZV

 
t 'G =  -5'G

- 5LM  
t LM = 

‹%6,
3DJH
(1

7KH WUDQVPLVVLRQ IDFWRUV IRU WKH GLUHFW DQG LQGLUHFW DLUERUQH WUDQVPLVVLRQ DUH UHODWHG WR WKH HOHPHQW
QRUPDOL]HGOHYHOGLIIHUHQFH 'QH DQGWKHQRUPDOL]HGOHYHOGLIIHUHQFHIRULQGLUHFWDLUERUQHWUDQVPLVVLRQ 'QV
DVIROORZV

$R
tH =  -'Q¼ H  
6V

$R
tV =  -'Q¼ V  
6V

ZKHUH

6V LVWKHDUHDRIWKHVHSDUDWLQJHOHPHQWLQVTXDUHPHWUHV

$R LVWKHUHIHUHQFHHTXLYDOHQWVRXQGDEVRUSWLRQDUHDLQVTXDUHPHWUHV

7KHGHWDLOHGPRGHOFDOFXODWHVWKHEXLOGLQJSHUIRUPDQFHLQIUHTXHQF\EDQGVEDVHGRQDFRXVWLFGDWDIRUWKH
EXLOGLQJ HOHPHQWV LQ IUHTXHQF\ EDQGV RQHWKLUG RFWDYH EDQGV RU RFWDYH EDQGV  $V D PLQLPXP WKH
FDOFXODWLRQKDVWREHSHUIRUPHGIRURFWDYHEDQGVIURP+]WR+]RUIRURQHWKLUGRFWDYHEDQGVIURP
+] WR +] )URP WKHVH UHVXOWV WKH VLQJOH QXPEHU UDWLQJ IRU WKH EXLOGLQJ SHUIRUPDQFH FDQ EH
GHGXFHGLQDFFRUGDQFHZLWK(1,62

127( 7KH FDOFXODWLRQV FDQ EH H[WHQGHG WR KLJKHU RU ORZHU IUHTXHQFLHV LI HOHPHQW GDWD DUH DYDLODEOH IRU WKHVH
IUHTXHQFLHV +RZHYHU HVSHFLDOO\ IRU WKH ORZHU IUHTXHQFLHV QR LQIRUPDWLRQ LV DYDLODEOH DW WKLV WLPH RQ WKH DFFXUDF\ RI
FDOFXODWLRQVIRUWKHVHH[WHQGHGIUHTXHQF\UHJLRQV

7KH GHWDLOHG PRGHO GHDOV ZLWK ERWK WKH VWUXFWXUHERUQH WUDQVPLVVLRQ DQG WKH GLUHFW DQG LQGLUHFW DLUERUQH
WUDQVPLVVLRQ6LQFHWKHVHWUDQVPLVVLRQSDWKVFDQEHFRQVLGHUHGDVLQGHSHQGHQWWKH\DUHWUHDWHGVHSDUDWHO\
7KH FDOFXODWLRQ RI WKH VWUXFWXUHERUQH WUDQVPLVVLRQ LV GHVFULEHG LQ VHFWLRQ 7KH GLUHFW DQG LQGLUHFW
DLUERUQHWUDQVPLVVLRQLVGHVFULEHGLQVHFWLRQ

7KH VLPSOLILHG PRGHO FDOFXODWHV WKH EXLOGLQJ SHUIRUPDQFH DV D VLQJOH QXPEHU UDWLQJ EDVHG RQ WKH VLQJOH
QXPEHU UDWLQJV RI WKH SHUIRUPDQFH RI WKH HOHPHQWV LQYROYHG 7KH VLPSOLILHG PRGHO FRQVLGHUV RQO\ WKH
VWUXFWXUHERUQHWUDQVPLVVLRQDQGLVGHVFULEHGLQVHFWLRQ

 'HWDLOHGPRGHOIRUVWUXFWXUHERUQHWUDQVPLVVLRQ

 ,QSXWGDWD

7KHWUDQVPLVVLRQIRUHDFKRIWKHSDWKVFDQEHGHWHUPLQHGIURP

£ VRXQGUHGXFWLRQLQGH[RIVHSDUDWLQJHOHPHQW5V

£ VRXQGUHGXFWLRQLQGH[IRUHOHPHQWLLQVRXUFHURRP5L

£ VRXQGUHGXFWLRQLQGH[IRUHOHPHQWMLQUHFHLYLQJURRP5M

£ VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW E\ DGGLWLRQDO OD\HUV IRU VHSDUDWLQJ HOHPHQW LQ WKH VRXUFH URRP
DQGRULQWKHUHFHLYLQJURRPD5'D5G

£ VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW E\ DGGLWLRQDO OD\HUV IRU HOHPHQW L LQ WKH VRXUFH URRP DQGRU
HOHPHQWMLQWKHUHFHLYLQJURRPD5LD5M

£ VWUXFWXUDOUHYHUEHUDWLRQWLPHIRUDQHOHPHQWLQWKHODERUDWRU\7VODE

£ YLEUDWLRQUHGXFWLRQLQGH[IRUHDFKWUDQVPLVVLRQSDWKIURPHOHPHQWLWRHOHPHQWM.LM

£ DUHDRIVHSDUDWLQJHOHPHQW6V

‹%6,
3DJH
(1

£ DUHDRIHOHPHQWLLQVRXUFHURRP6  L

£ DUHDRIHOHPHQWMLQUHFHLYLQJURRP6M

£ FRPPRQFRXSOLQJOHQJWKEHWZHHQHOHPHQWLDQGHOHPHQWMDVPHDVXUHGIURPVXUIDFHWRVXUIDFHOLM

127( ,I'Q7RU'QLVFDOFXODWHGWKHDUHDRIWKHVHSDUDWLQJHOHPHQWVHUYHVDVDQDUELWUDU\UHIHUHQFHDQGFRXOGEH
WDNHQDVPWKURXJKRXWWKHFDOFXODWLRQV

7KH DFRXVWLF GDWD RQ WKH HOHPHQWV LQYROYHG VKRXOG EH WDNHQ SULPDULO\ IURP VWDQGDUGL]HG ODERUDWRU\
PHDVXUHPHQWV+RZHYHUWKH\PD\DOVREHGHGXFHGLQRWKHUZD\VXVLQJWKHRUHWLFDOFDOFXODWLRQVHPSLULFDO
HVWLPDWLRQVRUPHDVXUHPHQWUHVXOWVIURPILHOGVLWXDWLRQV,QIRUPDWLRQRQWKLVLVJLYHQLQVRPHDQQH[HV7KH
VRXUFHVRIWKHGDWDXVHGVKDOOEHFOHDUO\VWDWHG

,QIRUPDWLRQRQWKHVRXQGUHGXFWLRQLQGH[IRUKRPRJHQHRXVHOHPHQWVLVJLYHQLQ$QQH[%

,QIRUPDWLRQRQWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHIRUKRPRJHQHRXVHOHPHQWVLVJLYHQLQ$QQH[&

,QIRUPDWLRQRQWKHVRXQGUHGXFWLRQLQGH[LPSURYHPHQWDQGIODQNLQJVRXQGUHGXFWLRQLQGH[LPSURYHPHQWLV
JLYHQLQ$QQH['

,QIRUPDWLRQRQWKHYLEUDWLRQUHGXFWLRQLQGH[IRUFRPPRQMXQFWLRQVLVJLYHQLQ$QQH[(

 7UDQVIHURILQSXWGDWDWRLQVLWXYDOXHV

$FRXVWLF GDWD IRU WKH HOHPHQWV VWUXFWXUDO HOHPHQWV DGGLWLRQDO OD\HUV DQG MXQFWLRQV  KDYH WR EH FRQYHUWHG
LQWRLQVLWXYDOXHVEHIRUHWKHDFWXDOGHWHUPLQDWLRQRIWKHVRXQGWUDQVPLVVLRQ

)RU WKH VHSDUDWLQJ HOHPHQW DQG HDFK RI WKH IODQNLQJ HOHPHQWV WKH LQVLWX YDOXH RI WKH VRXQG UHGXFWLRQ
LQGH[5VLWXIROORZVIURP

7 VVLWX
5 VLWX  5  OJ G% 
7 VODE

ZKHUH

7VVLWX LVWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHRIWKHHOHPHQWLQWKHDFWXDOILHOGVLWXDWLRQLQVHFRQGV

7VODE LVWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHRIWKHHOHPHQWLQWKHODERUDWRU\LQVHFRQGV

)RUGLUHFWWUDQVPLVVLRQ5VKDOOLQFOXGHWKHIRUFHGWUDQVPLVVLRQDVLQFOXGHGLQODERUDWRU\PHDVXUHPHQWV

)RU HDFK IODQNLQJ WUDQVPLVVLRQ SDWK WKH VRXQG UHGXFWLRQ LQGH[ 5 RI WKH LQYROYHG HOHPHQWV LQFOXGLQJ WKH
VHSDUDWLQJ HOHPHQW  VKRXOG UHODWH WR WKH UHVRQDQW WUDQVPLVVLRQ RQO\ ,W LV FRUUHFW WR DSSO\ WKH ODERUDWRU\
VRXQG UHGXFWLRQ LQGH[ DERYH WKH FULWLFDO IUHTXHQF\ %HORZ WKH FULWLFDO IUHTXHQF\ WKLV FDQ EH FRQVLGHUHG D
UHDVRQDEOH HVWLPDWLRQ ZKLFK HUUV RQ WKH ORZ VLGH GXH WR QRQUHVRQDQW WUDQVPLVVLRQ ,I WKH YDOXHV RI WKH
VRXQGUHGXFWLRQLQGH[DUHEDVHGRQFDOFXODWLRQVIURPPDWHULDOSURSHUWLHVLWLVEHVWWRFRQVLGHURQO\UHVRQDQW
WUDQVPLVVLRQRYHUWKHZKROHIUHTXHQF\UDQJHRILQWHUHVW

)RU WKH IROORZLQJ EXLOGLQJ HOHPHQWV WKH VWUXFWXUDO UHYHUEHUDWLRQ WLPH 7VVLWX VKDOO EH WDNHQ DV EHLQJ HTXDO
WR7VODEZKLFKOHDGVWRDFRUUHFWLRQWHUPRIG%

£ OLJKWZHLJKWGRXEOHOHDIHOHPHQWVVXFKDVWLPEHUIUDPHGRUPHWDOIUDPHGVWXGZDOOV

£ HOHPHQWVZLWKDQLQWHUQDOORVVIDFWRUJUHDWHUWKDQ

£ HOHPHQWVZKLFKDUHPXFKOLJKWHUWKDQWKHVXUURXQGLQJVWUXFWXUDOHOHPHQWV E\DIDFWRURIDWOHDVWWKUHH 

£ HOHPHQWVZKLFKDUHQRWILUPO\FRQQHFWHGWRWKHVXUURXQGLQJVWUXFWXUDOHOHPHQWV

‹%6,
3DJH
(1

2WKHUZLVHWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHERWKIRUWKHODERUDWRU\DQGIRUWKHDFWXDOILHOGVLWXDWLRQLVWREH
WDNHQLQWRDFFRXQWVHH$QQH[&

127( $VDILUVWDSSUR[LPDWLRQWKHFRUUHFWLRQWHUPVIRUDOOW\SHVRIHOHPHQWVFDQEHWDNHQDVG%

)RUWKHDGGLWLRQDOOD\HUVWKHODERUDWRU\YDOXHFDQEHXVHGDVDQDSSUR[LPDWLRQIRUWKHLQVLWXYDOXHRIWKH
LPSURYHPHQWD5VLWX

D5VLWX D5 G% 

)RU HDFK IODQNLQJ WUDQVPLVVLRQ SDWK WKH VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW D5 RI WKH LQYROYHG HOHPHQWV
LQFOXGLQJWKHVHSDUDWLQJHOHPHQW VKRXOGUHODWHWRWKHUHVRQDQWWUDQVPLVVLRQRQO\+RZHYHUPHDVXUHPHQW
PHWKRGV WR GHWHUPLQH WKLV DUH QRW UHDGLO\ DYDLODEOH DQG WKHUH LV VRPH HYLGHQFH WR LQGLFDWH WKDW WKH
LPSURYHPHQW IRU GLUHFW WUDQVPLVVLRQ LV DOVR UHDVRQDEOH DV DQ HVWLPDWH IRU WKH LPSURYHPHQW IRU IODQNLQJ
WUDQVPLVVLRQWRRVHH$QQH['

)RUWKHMXQFWLRQVWKHLQVLWXWUDQVPLVVLRQLVFKDUDFWHUL]HGE\WKH GLUHFWLRQDYHUDJHG MXQFWLRQ YHORFLW\OHYHO


GLIIHUHQFH 'YLMVLWX 7KLVIROORZVIURPWKHYLEUDWLRQUHGXFWLRQLQGH[

O LM
' YLMVLWX =. LM - OJ G% ' YLMVLWX ˜  G% 
DLVLWX D MVLWX

ZLWK

  6 L I UHI
D L VLWX
& R 7 V L VLWX I


 6 M I UHI
D M VLWX
& R 7 V M VLWX I

ZKHUH

DLVLWX LVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKRIHOHPHQWLLQWKHDFWXDOILHOGVLWXDWLRQLQPHWUHV

DMVLWX LVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKRIHOHPHQWMLQWKHDFWXDOILHOGVLWXDWLRQLQPHWUHV

I LVWKHFHQWUHEDQGIUHTXHQF\LQ+HUW]

IUHI LVWKHUHIHUHQFHIUHTXHQF\IUHI +]

FR LVWKHVSHHGRIVRXQGLQDLULQPHWUHVSHUVHFRQG

OLM LVWKHFRXSOLQJOHQJWKRIWKHFRPPRQMXQFWLRQEHWZHHQHOHPHQWVLDQGMLQPHWUHV

6L LVWKHDUHDRIHOHPHQWLLQVTXDUHPHWUHV

6M LVWKHDUHDRIHOHPHQWMLQVTXDUHPHWUHV

7VLVLWX LVWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHRIHOHPHQWLLQWKHDFWXDOILHOGVLWXDWLRQLQVHFRQGV

7VMVLWX LVWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHRIHOHPHQWMLQWKHDFWXDOILHOGVLWXDWLRQLQVHFRQGV

‹%6,
3DJH
(1

)RUWKHIROORZLQJEXLOGLQJHOHPHQWVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKDVLWXLVWDNHQDVQXPHULFDOO\HTXDOWRWKH
DUHDRIWKHHOHPHQWVRDLVLWX 6LORDQGRUDMVLWX 6MORZKHUHWKHUHIHUHQFHOHQJWKOR P

£ OLJKWZHLJKWGRXEOHOHDIHOHPHQWVVXFKDVWLPEHUIUDPHGRUPHWDOIUDPHGVWXGZDOOV

£ HOHPHQWVZLWKDQLQWHUQDOORVVIDFWRUJUHDWHUWKDQ

£ HOHPHQWVZKLFKDUHPXFKOLJKWHUWKDQWKHVXUURXQGLQJVWUXFWXUDOHOHPHQWV E\DIDFWRURIDWOHDVWWKUHH 

£ HOHPHQWVZKLFKDUHQRWILUPO\FRQQHFWHGWRWKHVXUURXQGLQJVWUXFWXUDOHOHPHQWV

2WKHUZLVH WKH VWUXFWXUDO UHYHUEHUDWLRQ WLPH IRU WKH DFWXDO ILHOG VLWXDWLRQ KDV WR EH WDNHQ LQWR DFFRXQW VHH
$QQH[&

127( $VDILUVWDSSUR[LPDWLRQWKHHTXLYDOHQWDEVRUSWLRQOHQJWKFDQEHWDNHQDVDLVLWX 6LORDQGDMVLWX 6MORIRUDOO


W\SHV RI HOHPHQWV ZLWK OR   P ,I LQ WKDW FDVH WKH YLEUDWLRQ UHGXFWLRQ LQGH[ KDV D ORZHU YDOXH WKDQ D PLQLPXP YDOXH
.LMPLQWKDWPLQLPXPYDOXHLVWREHXVHG7KHPLQLPXPYDOXHLVJLYHQE\ LM )I)GRU'I 

Î Ë   ÛÞ
NLMPLQ = OJÏOLM OR Ì + Üß G% 
ÏÐ ÌÍ 6L 6 M ÜÝßà

 'HWHUPLQDWLRQRIGLUHFWDQGIODQNLQJWUDQVPLVVLRQLQVLWX

7KH VRXQG UHGXFWLRQ LQGH[ IRU GLUHFW WUDQVPLVVLRQ LV GHWHUPLQHG IURP WKH DGMXVWHG LQSXW YDOXH IRU WKH
VHSDUDWLQJHOHPHQWDFFRUGLQJWRWKHIROORZLQJ

5'G 5 VVLWX D5'VLWX D5 GVLWX G% 

7KHIODQNLQJVRXQGUHGXFWLRQLQGH[LVGHWHUPLQHGIURPWKHDGMXVWHGLQSXWYDOXHVDFFRUGLQJWRWKHIROORZLQJ
ZLWKLM )I)GDQG'I

5LVLWX 5 MVLWX 6V
5LM = + 5LVLWX + + 5 MVLWX + 'YLMVLWX +  OJ G% >D @
  6L 6 M

127( ,I DV D ILUVW DSSUR[LPDWLRQ WKH WHUPV ZLWK WKH VWUXFWXUDO UHYHUEHUDWLRQ WLPH DUH  WDNHQ DV G% DQG WKH
HTXLYDOHQWDEVRUSWLRQOHQJWKVDUHWDNHQDVDLVLWX 6LORDQGDMVLWX 6MORIRUDOOW\SHVRIHOHPHQWVHTXDWLRQ>D @FDQ
EHZULWWHQDV

5L 5M 6
5 LM = + D 5 L + + D 5 M + . LM + OJ V G% >E @
  O R O LM

127( (TXDWLRQ>D @LVLGHQWLFDOWRWKHIROORZLQJHTXDWLRQ

6V LVLWX
5 LM =  5 LVLWX + 5 LVLWX + 5 MVLWX +  ' YLMVLWX +   OJ  +  OJ G% >F @
6M MVLWX

+RZHYHUVLQFHWKHMXQFWLRQYHORFLW\OHYHOGLIIHUHQFHLVQRWDQLQYDULDQWTXDQWLW\DQGWKHUDGLDWLRQIDFWRUVDUH
RIWHQ QRW NQRZQ WKLV UHODWLRQ LV OHVV VXLWHG IRU SUHGLFWLRQV ,W FRXOG EH XVHG LQ H[LVWLQJ ILHOG VLWXDWLRQV WR
HVWLPDWH IODQNLQJ WUDQVPLVVLRQ LI DSSURSULDWH GDWD PHDVXUHG RU HVWLPDWHG  RQ WKH MXQFWLRQ YHORFLW\ OHYHO
GLIIHUHQFH'YLMDQGWKHUDGLDWLRQIDFWRUVsLDQGsMIRUWKDWILHOGVLWXDWLRQDUHDYDLODEOH

127( )RUFHUWDLQEXLOGLQJVLWXDWLRQV FRPELQDWLRQVRIOLJKWZHLJKWHOHPHQWVRUFRPELQDWLRQVRIOLJKWZHLJKWHOHPHQWVDQGPDVVLYH


HOHPHQWVHJZLWKVXVSHQGHGFHLOLQJVRUOLJKWZHLJKWIDFDGHV WKHIODQNLQJWUDQVPLVVLRQLVGRPLQDWHGE\SDWK)I WKHFRQWULEXWLRQVRISDWK
'IDQG)GEHLQJQHJOLJLEOH 2IWHQWKDWWUDQVPLVVLRQDOVRLQFOXGHVRULVHYHQGRPLQDWHGE\LQGLUHFWDLUERUQHWUDQVPLVVLRQSDWKV,QWKDW
FDVH LW LV IHDVLEOH WR FKDUDFWHUL]H WKH IODQNLQJ WUDQVPLVVLRQ IRU WKLV FRQVWUXFWLRQ DV D ZKROH E\ ODERUDWRU\ PHDVXUHPHQWV H[SUHVVHG
DV'QIIURPZKLFKWKHIODQNLQJVRXQGUHGXFWLRQLQGH[5)IFDQEHGHGXFHGVHH$QQH[)

‹%6,
3DJH
(1

7KH VRXQG WUDQVPLVVLRQ E\ WKH VHSDUDWLQJ HOHPHQW DQG E\ WKH IODQNLQJ HOHPHQWV FDQ EH FDOFXODWHG LQ
DFFRUGDQFHZLWKHTXDWLRQV  DQG  DSSO\LQJWKHHTXDWLRQV    WR  LQFOXVLYH7KHWRWDOVRXQG
WUDQVPLVVLRQ DSSDUHQW VRXQG UHGXFWLRQ LQGH[  FDQ EH FDOFXODWHG ZLWK HTXDWLRQ   XVLQJ WKH UHVXOWV RI
VHFWLRQLIDSSOLFDEOH

 ,QWHUSUHWDWLRQIRUVHYHUDOW\SHVRIHOHPHQWV

£ )RUIODQNLQJHOHPHQWVFRQVWUXFWHGRIVHYHUDOSDUWVWKHVRXQGUHGXFWLRQLQGH[RIWKHODUJHUSDUWGLUHFWO\
FRQQHFWHGWRWKHVHSDUDWLQJHOHPHQWVKRXOGEHWDNHQLQWRDFFRXQW,IFRPSOHWHGLVFRQWLQXLWLHVRFFXULQ
WKH HOHPHQW VXFK DV GRRUV RU KHDY\ FURVV HOHPHQWV WKH SDUWV EHKLQG WKHVH GLVFRQWLQXLWLHV FDQ EH
QHJOHFWHG

/HJHQG
 6WUXFWXUHWRFRQVLGHU
 6LGHYLHZV
 9HUWLFDOFURVVVHFWLRQ

)LJXUH

£ ,IDIODQNLQJFRQVWUXFWLRQFRQVLVWVRIPRUHW\SHVRIHOHPHQWVHDFKGLUHFWO\FRQQHFWHGWRWKHVHSDUDWLQJ
HOHPHQWHDFKRIWKHVHW\SHVKDVWREHFRQVLGHUHGDVDVHSDUDWHIODQNLQJHOHPHQW LQWKHLOOXVWUDWLRQWKH
IODQNLQJHOHPHQWIFRQVLVWVRIWKHWZRW\SHVDDQGE 

/HJHQG
 6LGHYLHZ

)LJXUH

‹%6,
3DJH
(1

£ )RUIODQNLQJHOHPHQWVQRWLQDVLQJOHSODQHLHZLWKEHQGVRURWKHUVKDSHVWKHWRWDODUHDFDQEHXVHG
XQOHVVWKHDQJOHVDWWKHGLVFRQWLQXLWLHVDUHODUJHVXFKDVWKRVHZLWKGHJUHHFRUQHUVLQVXFKFDVHV
DQHIIHFWLYHWRWDODUHDFDQEHXVHGWDNLQJLQWRDFFRXQWWKHYLEUDWLRQOHYHOGLIIHUHQFHDWWKHGLVFRQWLQXLW\

/HJHQG
 +RUL]RQWDOFURVVVHFWLRQ

)LJXUH
£ :LWK DGGLWLRQDO OD\HUV VXFK DV ZDOO OLQLQJV RU IORDWLQJ IORRUV WKH VRXQG UHGXFWLRQ LQGH[ DQG MXQFWLRQ
WUDQVPLVVLRQLQGH[UHODWHVWRWKHEDVLFVWUXFWXUDOHOHPHQWWKHHIIHFWRIWKHDGGLWLRQDOOD\HUEHLQJWDNHQ
LQWRDFFRXQWVHSDUDWHO\E\D5

)LJXUH
£ :LWK DGGLWLRQDO H[WHUQDO OD\HUV VXFK DV OLJKWZHLJKW H[WHUQDO OLQLQJ ZKLFK KDYH QHJOLJLEOH LQIOXHQFH RQ
WKH EHKDYLRXU RI WKH EDVLF VWUXFWXUDO HOHPHQW WKH FDOFXODWLRQ VKRXOG FRQFHUQ RQO\ WKH EDVLF LQQHU
HOHPHQW7KH HIIHFW RI WKH H[WHUQDO OLQLQJ RU FRQVWUXFWLRQ PD\ EH QHJOHFWHG RU RWKHUZLVH EH WDNHQ LQWR
DFFRXQWWKURXJKWKHYLEUDWLRQUHGXFWLRQLQGH[

)LJXUH

‹%6,
3DJH
(1

£ :LWKFDYLW\IODQNLQJHOHPHQWVWKHFDOFXODWLRQVKRXOGFRQFHUQSULPDULO\WKHLQQHUHOHPHQWZLWKWKHHIIHFW
RI WKH H[WHUQDO HOHPHQW WDNHQ LQWR DFFRXQW WKURXJK WKH YLEUDWLRQ UHGXFWLRQ LQGH[ 7KLV LQGH[ FDQ EH
EDVHG RQ PHDVXUHPHQWV LQ VLPLODU VLWXDWLRQV RU EH HVWLPDWHG E\ FRQVLGHULQJ WKH YDULRXV WUDQVPLVVLRQ
SDWKVFRQWULEXWLQJWRWKHYLEUDWLRQUHGXFWLRQLQGH[

)LJXUH

£ :LWK FDYLW\ ZDOOV DV D VHSDUDWLQJ HOHPHQW WKH VRXQG UHGXFWLRQ LQGH[ VKRXOG LQFOXGH WKH HIIHFW RI WKH
WUDQVPLVVLRQIURPRQHOHDIWRWKHRWKHUYLDWKHFRQQHFWLRQVDURXQGWKHSHULPHWHURIWKHHOHPHQWLIDQ\

)LJXUH

£ :LWK VSOLWOHYHO LH VWHSSHG  RU KRUL]RQWDOO\ GLVSODFHG LH VWDJJHUHG  URRPV WKH FRQWLQXDWLRQ RI WKH
VHSDUDWLQJFRQVWUXFWLRQVKRXOGEHWUHDWHGDVDIODQNLQJHOHPHQWRIWHQWKHGRPLQDQWRQH

/HJHQG /HJHQG
 +RUL]RQWDOFURVVVHFWLRQ  9HUWLFDOFURVVVHFWLRQ

)LJXUH )LJXUH

£ ,Q WKH FDVH RI OLJKWZHLJKW LQWHUQDO ZDOOV DQG ODUJH IORRU VODEV EHWZHHQ ORDGEHDULQJ ZDOOV WKH
WUDQVPLVVLRQLVGHWHUPLQHGE\WKHYLEUDWLRQVRIWKHWRWDOIORRUDUHD,QWKHOLPLWLQJFDVHRIYHU\OLJKWZDOOV
LWLVSUHIHUHGWRHVWLPDWHWKHGLUHFWDQGIODQNLQJWUDQVPLVVLRQE\WKHIORRUDVDZKROHE\

5'G+'I = 5 V -OJ 7VWRW 7 VODE - OJ 6 UHF 6 WRW 

ZKHUH
6UHF LVWKHWRWDOIORRUDUHDLQWKHUHFHLYLQJURRPDQGWKHVXEVFULSW
WRW
UHIHUVWRWKHWRWDOIORRUEHWZHHQWKHORDG
EHDULQJZDOOV7KLVFRUUHVSRQGVWRDSSO\LQJWKHPRGHOIRUWKHUHOHYDQWIODQNLQJSDWKZLWK ' YLMVLWX G%

‹%6,
3DJH
(1

/HJHQG
 6RXUFHURRP
 9HUWLFDOFURVVVHFWLRQ
 5HFHLYLQJURRP

)LJXUH

 /LPLWDWLRQV

£ 7KH PRGHO FDQ EH XVHG RQO\ IRU FRPELQDWLRQV RI HOHPHQWV IRU ZKLFK WKH YLEUDWLRQ UHGXFWLRQ LQGH[ LV
NQRZQRUFDQEHHVWLPDWHGIURPNQRZQYDOXHV

£ 7KHPRGHOLVRQO\DSSOLFDEOHIRUEDVLFVWUXFWXUDOHOHPHQWVZKLFKKDYHDSSUR[LPDWHO\WKHVDPHUDGLDWLRQ
FKDUDFWHULVWLFVIRUERWKVLGHV

£ :LWK YHU\ ODUJH IORRUV IORRUV ZLWK FROXPQV DQG OLJKWZHLJKW LQWHUQDO ZDOOV WKH IORRU RI D URRP FDQ QR
ORQJHUEHFRQVLGHUHGDVDQLQGHSHQGHQWHOHPHQWVRWKHLQFRUSRUDWLRQDFFRUGLQJWRWKHPRGHOFDQRQO\
EHFRQVLGHUHGDURXJKHVWLPDWH

£ 7KHFRQWULEXWLRQRIVHFRQGDU\WUDQVPLVVLRQSDWKVLQYROYLQJPRUHWKDQRQHMXQFWLRQLVQHJOHFWHG7KLVLV
SDUWO\ FRPSHQVDWHG E\ WKH YDOXHV IRU WKH YLEUDWLRQ UHGXFWLRQ LQGH[ DV IDU DV WKHVH DUH EDVHG RQ ILHOG
PHDVXUHPHQWV EXW FRXOG FDXVH DQ XQGHUHVWLPDWLRQ RI IODQNLQJ WUDQVPLVVLRQ ZLWK KRPRJHQHRXV
HOHPHQWVLQRWKHUFDVHV7KHVHVHFRQGDU\WUDQVPLVVLRQSDWKVPD\EHFRPHLPSRUWDQWZKHQDGGLWLRQDO
OD\HUVDUHDSSOLHGWRDODUJHSDUWRIWKHHOHPHQWV

£ 7KHPRGHORQO\GHVFULEHVWKHWUDQVPLVVLRQEHWZHHQDGMDFHQWURRPV

 'HWDLOHGPRGHOIRUDLUERUQHWUDQVPLVVLRQ

 'HWHUPLQDWLRQIURPPHDVXUHGGLUHFWWUDQVPLVVLRQIRUVPDOOHOHPHQWV

7KH FRQWULEXWLRQ FDQ EH GLUHFWO\ GHWHUPLQHG IURP WKH HOHPHQW QRUPDOL]HG OHYHO GLIIHUHQFH RI WKH HOHPHQWV
FRQVLGHUHG'QHWKURXJKHTXDWLRQV  DQG  ,QSULQFLSOHWKHHOHPHQWDVDSSOLHGVKRXOGEHLGHQWLFDOWR
WKHHOHPHQWIRUZKLFKGDWDDUHDYDLODEOHVR'QHVLWX 'QH

127( +RZHYHUIRUVRPHW\SHVRIHOHPHQWVOLNHVOLWVRUWUDQVIHUDLUGHYLFHVLWPD\EHIHDVLEOHWRH[WUDSRODWHWKH
DFRXVWLFEHKDYLRURIDQHOHPHQWDVDSSOLHGLQVLWXIURPWKHHOHPHQWGDWDRQDQHTXLYDOHQWHOHPHQWZLWKIRULQVWDQFHD
GLIIHUHQWOHQJWK,QWKDWFDVH'QHVLWXFRXOGEHGHGXFHGIURP'QHE\WDNLQJLQWRDFFRXQWWKHGLIIHUHQWGLPHQVLRQVLQDQ
DSSURSULDWHZD\

‹%6,
3DJH
(1

 'HWHUPLQDWLRQIURPPHDVXUHGWRWDOLQGLUHFWWUDQVPLVVLRQ

1R VWDQGDUGL]HG PHWKRGV RI PHDVXUHPHQW DUH FXUUHQWO\ DYDLODEOH WR FKDUDFWHUL]H WKH LQGLUHFW DLUERUQH
WUDQVPLVVLRQ 'QV IRU WUDQVPLVVLRQ V\VWHPV DV D ZKROH :KLOH LW LV GHVLUDEOH WR GHYHORS VXFK PHWKRGV IRU
FHUWDLQ WUDQVPLVVLRQ V\VWHPV VXFK DV GRPHVWLF YHQWLODWLRQ V\VWHPV IRU PDQ\ RWKHU LQGLUHFW WUDQVPLVVLRQ
V\VWHPV LW PD\ EH SUHIHUDEOH WR EDVH SUHGLFWLRQV RQ GDWD IRU WKH VHSDUDWH HOHPHQWV RI VXFK V\VWHPV
VHH 

)RUIODQNLQJFRQVWUXFWLRQVWKHWUDQVPLVVLRQLVJHQHUDOO\DFRPELQDWLRQRIERWKDLUERUQHDQGVWUXFWXUHERUQH
WUDQVPLVVLRQ+RZHYHUWKHRQO\VWDQGDUGL]HGPHDVXUHPHQWPHWKRGFXUUHQWO\DYDLODEOHWRGHWHUPLQHIODQNLQJ
QRUPDOL]HGOHYHOGLIIHUHQFH 'QI LVIRUVXVSHQGHGFHLOLQJVZKHUHWKHLQGLUHFWDLUERUQHWUDQVPLVVLRQSDWKLV
XVXDOO\GRPLQDQWDQGWKHUHIRUHLWVXVHLQDSUHGLFWLRQPHWKRGLVIHDVLEOHVHH$QQH[)

1RVWDQGDUGL]HGPHWKRGLVFXUUHQWO\DYDLODEOHIRURWKHUW\SHVRIIODQNLQJFRQVWUXFWLRQVZLWKGRPLQDQWLQGLUHFW
VWUXFWXUHERUQHWUDQVPLVVLRQ VHH$QQH[) 

 'HWHUPLQDWLRQIURPPHDVXUHGWUDQVPLVVLRQIRUWKHVHSDUDWHHOHPHQWVRIDV\VWHP

1R FDOFXODWLRQ VFKHPH LV FXUUHQWO\ DYDLODEOH WR GHWHUPLQH WKH QRUPDOL]HG OHYHO GLIIHUHQFH'QV IURP
NQRZOHGJHDQGDFRXVWLFDOGDWDRQWKHHOHPHQWVLQYROYHGLQWKHWUDQVPLVVLRQLHYHQWLODWLRQGXFWVVLOHQFHUV
VXVSHQGHGFHLOLQJVFRUULGRUKDOOGRRUVDQGGRRUJDSV6RPHSURSRVDOVGRKRZHYHUH[LVWZKLFKFRXOGIRUP
WKHEDVLVIRUIXUWKHUGHYHORSPHQWRIVXFKVFKHPHV)RUVRPHVLWXDWLRQVLQIRUPDWLRQLVJLYHQLQ$QQH[)

 6LPSOLILHGPRGHOIRUVWUXFWXUHERUQHWUDQVPLVVLRQ

 &DOFXODWLRQSURFHGXUH

7KHVLPSOLILHGYHUVLRQRIWKHFDOFXODWLRQPRGHOSUHGLFWVWKHZHLJKWHGDSSDUHQWVRXQGUHGXFWLRQLQGH[RQWKH
EDVHV RI WKH ZHLJKWHG VRXQG UHGXFWLRQ LQGLFHV RI WKH HOHPHQWV LQYROYHG ,W FRQFHUQV WKH ZHLJKWLQJ LQ
DFFRUGDQFHZLWK(1,627KHPRGHOLVJLYHQIRUWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[5ZEXWFDQDOVR
EHDSSOLHGWRWKHVLQJOHQXPEHUUDWLQJZLWKWKHVSHFWUXPDGDSWDWLRQWHUPLH5Z&7KHUHVXOWLQJHVWLPDWH
RI WKH EXLOGLQJ SHUIRUPDQFH LV JLYHQ LQ WKH VDPH W\SH RI VLQJOH QXPEHU UDWLQJ DV LV XVHG IRU WKH EXLOGLQJ
HOHPHQWVLH5
ZRU 5
Z& 

127( )RUFRQYHQLHQFHWKHVXPV ZLWKWKHVSHFWUXPDGDSWDWLRQWHUPFDQEHGHQRWHGE\RQH V\PERO IRU LQVWDQFH


5
Z& 5
$DQG'Q7Z& 'Q7$

127( 7KHHQHUJHWLFVXPPDWLRQLQYROYHGLQWKHPRGHOLVH[DFWIRU5
$DQGDUHDVRQDEOHDSSUR[LPDWLRQIRU5
Z

7KH DSSOLFDWLRQ RI WKH VLPSOLILHG PRGHO LV UHVWULFWHG WR GLUHFW DQG IODQNLQJ WUDQVPLVVLRQ ZLWK SULPDULO\
KRPRJHQHRXV HOHPHQWV 7KH LQIOXHQFH RI WKH VWUXFWXUDO GDPSLQJ RI HOHPHQWV LV WDNHQ LQWR DFFRXQW LQ DQ
DYHUDJHZD\QHJOHFWLQJWKHVSHFLILFVRIWKHVLWXDWLRQ(DFKIODQNLQJHOHPHQWVKRXOGEHHVVHQWLDOO\WKHVDPH
RQ WKH VRXUFH DQG UHFHLYLQJ VLGH ,I WKH YDOXHV IRU WKH YLEUDWLRQ UHGXFWLRQ LQGH[ GHSHQG RQ IUHTXHQF\ WKH
YDOXHDW+]PD\EHWDNHQDVDJRRGDSSUR[LPDWLRQEXWWKHUHVXOWFDQWKHQEHOHVVDFFXUDWH

)RU WKH VLPSOLILHG PRGHO WKH SUHGLFWLRQ HTXDWLRQV       DQG   DUH UHZULWWHQ DQG WKH ZHLJKWHG
DSSDUHQWVRXQGUHGXFWLRQLQGH[EHWZHHQWZRURRPVLVGHWHUPLQHGIURP

Î -5   Q -5   Q -5   Q -5   Þ
5 Z
=-  OJÏ 'G Z + Ê  )IZ + Ê  'IZ + Ê  )GZ ß G% 
Ð ) = I =O I =O ) =O à

ZKHUH

5'GZ LVWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[IRUGLUHFWWUDQVPLVVLRQLQGHFLEHOV

5)IZ LVWKHZHLJKWHGIODQNLQJVRXQGUHGXFWLRQLQGH[IRUWKHWUDQVPLVVLRQSDWK)ILQGHFLEHOV

5'IZ LVWKHZHLJKWHGIODQNLQJVRXQGUHGXFWLRQLQGH[IRUWKHWUDQVPLVVLRQSDWK'ILQGHFLEHOV

‹%6,
3DJH
(1

5)GZ LVWKHZHLJKWHGIODQNLQJVRXQGUHGXFWLRQLQGH[IRUWKHWUDQVPLVVLRQSDWK)GLQGHFLEHOV

Q LV WKH QXPEHU RI IODQNLQJ HOHPHQWV LQ D URRP QRUPDOO\ Q  EXW LW FDQ EH VPDOOHU RU ODUJHU
GHSHQGLQJRQWKHGHVLJQDQGFRQVWUXFWLRQRIWKHFRQVLGHUHGVLWXDWLRQ VHH 

127( )RUFHUWDLQEXLOGLQJVLWXDWLRQV FRPELQDWLRQVRIOLJKWZHLJKWHOHPHQWVRUFRPELQDWLRQVRIOLJKWZHLJKWHOHPHQWV


DQG PDVVLYH HOHPHQWV HJ ZLWK VXVSHQGHG FHLOLQJV RU OLJKWZHLJKW IDFDGHV  WKH IODQNLQJ WUDQVPLVVLRQ LV GRPLQDWHG E\
SDWK)IDQGWKHODVWWZRWHUPVLQ  FDQEHQHJOHFWHGIRUWKDWIODQNLQJHOHPHQW

127( 7KHFRQWULEXWLRQE\RQHIODQNLQJHOHPHQWWRWKHWRWDOIODQNLQJWUDQVPLVVLRQFDQ EHHYDOXDWHGE\DGGLQJWKH


FRUUHVSRQGLQJ WUDQVPLVVLRQ YLD WKH SDWKV )I DQG 'I WKH FRQWULEXWLRQ RI IODQNLQJ WUDQVPLVVLRQ WR WKH UDGLDWLRQ E\ WKH
VHSDUDWLQJHOHPHQWFDQEHHYDOXDWHGE\DGGLQJWKHWUDQVPLVVLRQYLDWKHSDWKV)GIRUDOOIODQNLQJHOHPHQWV

)RU HDFK WUDQVPLVVLRQ SDWK WKH ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ LV SUHGLFWHG IURP WKH LQSXW GDWD RQ WKH
HOHPHQWVDQGMXQFWLRQV VHH 

7KH ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ IRU GLUHFW WUDQVPLVVLRQ LV GHWHUPLQHG IURP WKH LQSXW YDOXH IRU WKH
VHSDUDWLQJHOHPHQWDFFRUGLQJWRWKHIROORZLQJ

5'GZ 5 VZ  D5 'GZ G% 

ZKHUH

5VZ LVWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHVHSDUDWLQJHOHPHQWLQGHFLEHOV

D5'GZ LV WKH WRWDO ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW E\ DGGLWLRQDO OLQLQJ RQ WKH VRXUFH
DQGRUUHFHLYLQJVLGHRIWKHVHSDUDWLQJHOHPHQWLQGHFLEHOV

7KH ZHLJKWHG IODQNLQJ VRXQG UHGXFWLRQ LQGLFHV DUH GHWHUPLQHG IURP WKH LQSXW YDOXHV DFFRUGLQJ WR WKH
IROORZLQJ

5 ) Z + 5 I Z 6V
5 )I Z = + D 5 )I Z + . )I +  OJ G%
 OROI
5 ) Z + 5 V Z 6V
5 )G Z = + D 5 )G Z + . )G +  OJ G% >D @
 OR O I
5 V Z + 5 I Z 6V
5 'I Z = + D 5 'I Z + . 'I +  OJ G%
 OR O I

ZKHUH

5)Z LVWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHIODQNLQJHOHPHQW)LQWKHVRXUFHURRPLQGHFLEHOV

5IZ LV WKH ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ RI WKH IODQNLQJ HOHPHQW I LQ WKH UHFHLYLQJ URRP LQ
GHFLEHOV

D5)IZ LV WKH WRWDO ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW E\ DGGLWLRQDO OLQLQJ RQ WKH VRXUFH
DQGRUUHFHLYLQJVLGHRIWKHIODQNLQJHOHPHQWLQGHFLEHOV

D5)GZ LV WKH WRWDO ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW E\ DGGLWLRQDO OLQLQJ RQ WKH IODQNLQJ
HOHPHQWDWWKHVRXUFHVLGHDQGRUVHSDUDWLQJHOHPHQWDWWKHUHFHLYLQJVLGHLQGHFLEHOV

D5'IZ LVWKHWRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOLQLQJRQWKHVHSDUDWLQJ
HOHPHQWDWWKHVRXUFHVLGHDQGRUIODQNLQJHOHPHQWDWWKHUHFHLYLQJVLGHLQGHFLEHOV

.)I LVWKHYLEUDWLRQUHGXFWLRQLQGH[IRUWUDQVPLVVLRQSDWK)ILQGHFLEHOV

.)G LVWKHYLEUDWLRQUHGXFWLRQLQGH[IRUWUDQVPLVVLRQSDWK)GLQGHFLEHOV

‹%6,
3DJH
(1

.'I LVWKHYLEUDWLRQUHGXFWLRQLQGH[IRUWUDQVPLVVLRQSDWK'ILQGHFLEHOV

6V LVWKHDUHDRIWKHVHSDUDWLQJHOHPHQWLQVTXDUHPHWUHV

OI LV WKH FRPPRQ FRXSOLQJ OHQJWK RI WKH MXQFWLRQ EHWZHHQ VHSDUDWLQJ HOHPHQW DQG WKH IODQNLQJ
HOHPHQWV)DQGILQPHWUHV

OR LVWKHUHIHUHQFHFRXSOLQJOHQJWKOR P

127( $FFRUGLQJWRHTXDWLRQ>F @LWIROORZVIRUKRPRJHQHRXVEXLOGLQJHOHPHQWVZLWKDUDGLDWLRQIDFWRURIWKDWWKH


ZHLJKWHGIODQNLQJVRXQGUHGXFWLRQLQGH[FDQEHH[SUHVVHGDV LM )I)GRU'I 

6V
5 LM Z = 5 L Z + D 5 LM Z + ' Y LM VLWX + OJ G% >E @
6M

+RZHYHUVLQFHWKHMXQFWLRQYHORFLW\OHYHOGLIIHUHQFHLVQRWDQLQYDULDQWTXDQWLW\WKLVUHODWLRQLVOHVVVXLWHGIRUSUHGLFWLRQV
,WFRXOGEHXVHGLQH[LVWLQJILHOGVLWXDWLRQVWRHVWLPDWHIODQNLQJWUDQVPLVVLRQLIDSSURSULDWHPHDVXUHGRUHVWLPDWHGGDWD
RQWKHMXQFWLRQYHORFLW\OHYHOGLIIHUHQW'YLMIRUWKDWILHOGVLWXDWLRQLVDYDLODEOH

127( )RUFHUWDLQIODQNLQJFRQVWUXFWLRQVOLNHVXVSHQGHGFHLOLQJVOLJKWZHLJKWIDFDGHVRU ZDOOVWKHWUDQVPLVVLRQLV


GRPLQDWHGE\SDWK)IVRWKHFRQWULEXWLRQVRISDWK'IDQG)GFDQEHQHJOHFWHG,IWKDWWUDQVPLVVLRQLVFKDUDFWHUL]HGE\
WKHZHLJKWHGIODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFH'QIZWKHIROORZLQJKROGV VHHDOVR$QQH[) 

O ODE 6
5 )I Z = ' Q I Z +  OJ +  OJ V G% >F @
OI $R

)RUVXVSHQGHGFHLOLQJVWKLVTXDQWLW\LVGHQRWHGDV'QFZDQGOODE P

7KLVLVRQO\DSSOLFDEOHLIWKHGLPHQVLRQVFRQVLGHUHGDUHVLPLODUWRWKRVHDSSOLHGLQWKHODERUDWRU\

 ,QSXWGDWD

$FRXVWLF GDWD RQ WKH HOHPHQWV LQYROYHG VKRXOG EH WDNHQ SULPDULO\ IURP VWDQGDUGL]HG ODERUDWRU\
PHDVXUHPHQWV+RZHYHUWKH\PD\DOVREHGHGXFHGLQRWKHUZD\VXVLQJWKHRUHWLFDOFDOFXODWLRQVHPSLULFDO
HVWLPDWLRQVRUPHDVXUHPHQWUHVXOWVIURPILHOGVLWXDWLRQV,QIRUPDWLRQRQWKLVLVJLYHQLQVRPHDQQH[HV7KH
VRXUFHVRIGDWDXVHGVKDOOEHFOHDUO\VWDWHG

7KHLQSXWGDWDFRQVLVWRIWKHIROORZLQJ

£ WKHZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHHOHPHQWV5VZ5)Z5IZ

£ ,QIRUPDWLRQRQWKLVIRUKRPRJHQHRXVHOHPHQWVLVJLYHQLQ$QQH[%

£ WKHYLEUDWLRQUHGXFWLRQLQGH[IRUHDFKMXQFWLRQDQGSDWK.)I.)G.'I

,QIRUPDWLRQRQWKLVIRUFRPPRQMXQFWLRQVLVJLYHQLQ$QQH[(,IWKHYDOXHVDUHIUHTXHQF\GHSHQGHQWWKH
YDOXHDW+]LVWREHXVHGLQWKLVVLPSOLILHGPRGHO,IWKHYDOXHLVORZHUWKDQDPLQLPXPYDOXH.LMPLQ
WKDWPLQLPXPYDOXHLVWREHWDNHQ7KHPLQLPXPYDOXHLVJLYHQE\ LM )I)GRU'I 

Ë   Û
. LM PLQ = OJ O I O R Ì + Ü G% 
Ì 6L 6 M Ü
Í Ý

,IDIODQNLQJHOHPHQWKDVLQVLJQLILFDQWRUQRVWUXFWXUDOFRQWDFWZLWKWKHVHSDUDWLQJHOHPHQW.)ILVWREH
WDNHQHTXDOWRWKLVPLQLPXPYDOXHZKLOHWKHWUDQVPLVVLRQSDWKV)GDQG'IDUHWREHQHJOHFWHG LHE\
VHWWLQJWKH.LMYDOXHVYHU\KLJK 

£ WKHWRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWIRUWKHVHSDUDWLQJHOHPHQWD5'GZ

‹%6,
3DJH
(1

7KLV YDOXH IROORZV HLWKHU GLUHFWO\ IURP DYDLODEOH UHVXOWV IRU WKH DSSURSULDWH FRPELQDWLRQ RU LV GHGXFHG
IURPUHVXOWVIRUHDFKRIWKHOD\HUVLQYROYHGVHSDUDWHO\

RQH OD\HU  D5 'G Z = D5 ' Z RU D5 G Z G%


D 5 G Z D5 ' Z 
WZR OD\HUV  D5 'G Z = D 5 ' Z + RU = D5 G Z + G%
 

,QWKHFDVHRIWZROLQLQJVKDOIWKHYDOXHLVWDNHQIRUWKHOLQLQJZLWKWKHORZHUYDOXH

£ WKHWRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWIRUHDFKIODQNLQJSDWKD5)IZD5)GZD5'IZ

7KHVHYDOXHVIROORZHLWKHUGLUHFWO\IURPDYDLODEOHUHVXOWVIRUWKHDSSURSULDWHFRPELQDWLRQRUDUHGHGXFHG
IURPUHVXOWVIRUHDFKRIWKHOD\HUVLQYROYHGVHSDUDWHO\ LM )I)GRU'I 

RQH OD\HU 5 LMZ = 5 LZ RU 5 MZ G%


5 MZ 5 LZ 
WZR OD\HUV 5 LMZ = 5 LZ +  RU = 5 MZ +  G%
 

,QWKHFDVHRIWZROLQLQJVKDOIWKHYDOXHLVWDNHQIRUWKHOLQLQJZLWKWKHORZHUYDOXH

,QIRUPDWLRQRQWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWLVJLYHQLQ$QQH['

 /LPLWDWLRQV

£ WKHOLPLWDWLRQVIRUWKHGHWDLOHGPRGHODOVRDSSO\IRUWKHVLPSOLILHGPRGHO

£ WKH VLPSOLILHG PRGHO DSSOLHV PDLQO\ WR GZHOOLQJV ZKHUH WKH GLPHQVLRQV RI WKH HOHPHQWV DUH VLPLODU WR
WKRVHLQWKHWHVWIDFLOLW\'HYLDWLRQVIURPWKLVPD\UHVXOWLQOHVVDFFXUDWHUHVXOWV

£ WKH VLPSOLILHG PRGHO DVVXPHV HOHPHQWV IRU ZKLFK WKH VRXQG UHGXFWLRQ LQGH[ KDV D VLPLODU IUHTXHQF\
GHSHQGHQFHZLWKHOHPHQWVZKLFKKDYHDFOHDUO\GHYLDWLQJIUHTXHQF\EHKDYLRXUDVIRULQVWDQFHGRXEOH
OLJKWZHLJKWHOHPHQWVWKHDFFXUDF\PD\EHOHVV

 $FFXUDF\
7KH FDOFXODWLRQ PRGHOV SUHGLFW WKH PHDVXUHG SHUIRUPDQFH RI EXLOGLQJV DVVXPLQJ JRRG ZRUNPDQVKLS DQG
KLJK PHDVXUHPHQW DFFXUDF\ 7KH DFFXUDF\ RI WKH SUHGLFWLRQ E\ WKH PRGHOV SUHVHQWHG GHSHQGV RQ PDQ\
IDFWRUV WKH DFFXUDF\ RI WKH LQSXW GDWD WKH ILWWLQJ RI WKH VLWXDWLRQ WR WKH PRGHO WKH W\SH RI HOHPHQWV DQG
MXQFWLRQVLQYROYHGWKHJHRPHWU\RIWKHVLWXDWLRQDQGWKHZRUNPDQVKLS,WLVWKHUHIRUHQRWSRVVLEOHWRVSHFLI\
WKHDFFXUDF\RIWKHSUHGLFWLRQVLQJHQHUDOIRUDOOW\SHVRIVLWXDWLRQVDQGDSSOLFDWLRQV'DWDRQWKHDFFXUDF\
ZLOO KDYH WR EH JDWKHUHG LQ IXWXUH E\ FRPSDULQJ WKH UHVXOWV RI WKH PRGHO ZLWK D YDULHW\ RI ILHOG VLWXDWLRQV
+RZHYHUVRPHLQGLFDWLRQVFDQEHJLYHQ

7KH PDLQ H[SHULHQFH LQ WKH DSSOLFDWLRQ RI VLPLODU PRGHOV KDV EHHQ VR IDU ZLWK EXLOGLQJV ZKHUH WKH EDVLF
VWUXFWXUDOHOHPHQWVDUHKRPRJHQHRXVLHEULFNZDOOVFRQFUHWHJ\SVXPEORFNVHWF,QWKRVHVLWXDWLRQVWKH
SUHGLFWLRQ RI WKH VLQJOH QXPEHU UDWLQJ E\ WKH GHWDLOHG PRGHO LV RQ DYHUDJH FRUUHFW QR ELDV HUURU  ZLWK D
VWDQGDUG GHYLDWLRQ RI G% WRG% WKH ORZHU YDOXH LI DOO DVSHFWV DUH WDNHQ LQWR DFFRXQW WKH ODUJHU WR
FRPSOH[VLWXDWLRQVDQGZKHQQHJOHFWLQJWKHVWUXFWXUDOUHYHUEHUDWLRQWLPH 

3UHGLFWLRQV ZLWK WKH VLPSOLILHG PRGHO VKRZ D VWDQGDUG GHYLDWLRQ RI DERXW G% ZLWK D WHQGHQF\ WR
RYHUHVWLPDWHWKHLQVXODWLRQVOLJKWO\

,QDSSO\LQJWKHSUHGLFWLRQVLWLVDGYLVDEOHWRYDU\WKHLQSXWGDWDHVSHFLDOO\LQFRPSOLFDWHGVLWXDWLRQVDQGZLWK
DW\SLFDOHOHPHQWVZLWKTXHVWLRQDEOHLQSXWGDWD7KHUHVXOWLQJYDULDWLRQLQWKHUHVXOWVJLYHVDQLPSUHVVLRQRI
WKHH[SHFWHGDFFXUDF\IRUWKHVHVLWXDWLRQVDVVXPLQJVLPLODUZRUNPDQVKLS

‹%6,
3DJH
(1

$QQH[$
QRUPDWLYH

6\PEROV

6\PERO 3K\VLFDOTXDQWLW\ 8QLW


D HTXLYDOHQWDEVRUSWLRQOHQJWKRIDVWUXFWXUDOHOHPHQW >P@
DVLWX HTXLYDOHQWDEVRUSWLRQOHQJWKRIDVWUXFWXUDOHOHPHQWLQWKHDFWXDOILHOGVLWXDWLRQ >P@
$ HTXLYDOHQWVRXQGDEVRUSWLRQDUHDLQWKHUHFHLYLQJURRP >P@
$R UHIHUHQFHHTXLYDOHQWVRXQGDEVRUSWLRQDUHDIRUGZHOOLQJVJLYHQDVP >P@
$K HTXLYDOHQWVRXQGDEVRUSWLRQDUHDRIDKDOO >P@
F% EHQGLQJZDYHVSHHG >PV@
F/ ORQJLWXGLQDOZDYHVSHHG >PV@
&a FRUUHFWLRQWHUPIRUDEVRUSWLRQDERYHVXVSHQGHGFHLOLQJ >G%@
&GRRUSRV FRUUHFWLRQWHUPWRWDNHLQWRDFFRXQWWKHUHODWLYHSRVLWLRQRIWKHGRRUVLQDKDOO >G%@
& VSHFWUXPDGDSWDWLRQWHUPDFFRUGLQJWR(1,62 >G%@
&WU VSHFWUXPDGDSWDWLRQWHUPDFFRUGLQJWR(1,62 >G%@
FR VSHHGRIVRXQGLQDLU PV >PV@
'Q7 VWDQGDUGL]HGVRXQGOHYHOGLIIHUHQFH >G%@
'QH HOHPHQWQRUPDOL]HGOHYHOGLIIHUHQFHRIVPDOOEXLOGLQJHOHPHQWV >G%@
'QV QRUPDOL]HGVRXQGOHYHOGLIIHUHQFHIRULQGLUHFWWUDQVPLVVLRQWKURXJKDV\VWHPV >G%@
'QI IODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFH >G%@
'QF 'QIIRUDVXVSHQGHGFHLOLQJ >G%@
'YLM MXQFWLRQYHORFLW\OHYHOGLIIHUHQFHEHWZHHQH[FLWHGHOHPHQWLDQGUHFHLYLQJHOHPHQWM >G%@

' YLMVLWX GLUHFWLRQDYHUDJHGMXQFWLRQYHORFLW\OHYHOGLIIHUHQFHEHWZHHQHOHPHQWVLDQGMLQWKH >G%@


DFWXDOILHOGVLWXDWLRQ
G GHSWKRIFDYLW\RIDGGLWLRQDOOLQLQJV >P@
(O <RXQJ
VPRGXOXVRIDIOH[LEOHLQWHUOD\HU >1P@
I IUHTXHQF\ >+]@
IF FULWLFDOIUHTXHQF\ >+]@
IFHII HIIHFWLYHFULWLFDOIUHTXHQF\WDNLQJLQWRDFFRXQWORQJLWXGLQDODQGVKHDUZDYHV >+]@
IUHI UHIHUHQFHIUHTXHQF\ +] >+]@
IO FKDUDFWHULVWLFIUHTXHQF\IRUWKHHIIHFWRIIOH[LEOHLQWHUOD\HUVDWMXQFWLRQV >+]@
IS SODWHDXIUHTXHQF\IRUWKHVRXQGUHGXFWLRQLQGH[ >+]@
I. IUHTXHQF\WRH[SUHVVWKHIUHTXHQF\GHSHQGHQFHRIWKHYLEUDWLRQUHGXFWLRQLQGH[ >+]@
+]
IR PDVVVSULQJUHVRQDQFHIUHTXHQF\ >+]@
FRQWLQXHG

‹%6,
3DJH
(1

6\PEROV FRQWLQXHG

6\PERO 3K\VLFDOTXDQWLW\ 8QLW


*O VKHDUPRGXOXVRIDIOH[LEOHLQWHUOD\HU >1P@
KSO IUHHKHLJKWRIWKHSOHQXPDERYHWKHFHLOLQJ >P@
KODE ODERUDWRU\YDOXHDVUHIHUHQFHIRUKSO P >P@
LM LQGLFHVIRUDQHOHPHQWIRUDWUDQVPLVVLRQSDWKLMLLQGLFDWHVDQHOHPHQWLQWKH >@
VRXUFHURRP )' DQGMDQHOHPHQWLQWKHUHFHLYLQJURRP IG
N LQGH[IRUDERUGHURIDQHOHPHQW >@
NR ZDYHQXPEHULQDLU NR pIFR >UDGP@

.LM YLEUDWLRQUHGXFWLRQLQGH[IRUHDFKWUDQVPLVVLRQSDWKLMRYHUDMXQFWLRQ >G%@


.LMPLQ PLQLPXPYDOXHIRU.LMLQWKHDFWXDOILHOGVLWXDWLRQ >G%@
/ DYHUDJHVRXQGSUHVVXUHOHYHOLQWKHVRXUFHURRP >G%UHm3D@
/ DYHUDJHVRXQGSUHVVXUHOHYHOLQWKHUHFHLYLQJURRP >G%UHm3D@
/N OHQJWKRIERUGHUNRIDWRWDOIORRUSODWHEHWZHHQORDGEHDULQJZDOOV >P@
OLM FRPPRQFRXSOLQJOHQJWKEHWZHHQHOHPHQWLDQGHOHPHQWM >P@
OI FRPPRQFRXSOLQJOHQJWKEHWZHHQIODQNLQJHOHPHQWIDQGVHSDUDWLQJHOHPHQW >P@
OODE ODERUDWRU\YDOXHDVUHIHUHQFHIRUOLM >P@
ON OHQJWKRIERUGHUNRIDQHOHPHQW >P@
OR UHIHUHQFHOHQJWK P >P@
P
PDVVSHUXQLWDUHDRIDQHOHPHQW >NJP@
P
R UHIHUHQFHPDVVSHUXQLWDUHD NJP >NJP@
0 OJ P¶^LP¶L >@
Q QXPEHURIIODQNLQJHOHPHQWVLQDURRP >@
5 VRXQGUHGXFWLRQLQGH[RIDQHOHPHQW >G%@
5VLWX VRXQGUHGXFWLRQLQGH[RIDQHOHPHQWLQWKHDFWXDOILHOGVLWXDWLRQ >G%@
5
DSSDUHQWVRXQGUHGXFWLRQLQGH[ >G%@
5LM IODQNLQJVRXQGUHGXFWLRQLQGH[ >G%@
5V VRXQGUHGXFWLRQLQGH[RIVHSDUDWLQJHOHPHQW >G%@
5L VRXQGUHGXFWLRQLQGH[IRUHOHPHQWLLQVRXUFHURRP >G%@
5LVLWX VRXQGUHGXFWLRQLQGH[RIHOHPHQWLWKHDFWXDOILHOGVLWXDWLRQ >G%@
5M VRXQGUHGXFWLRQLQGH[IRUHOHPHQWMLQUHFHLYLQJURRP >G%@
5MVLWX VRXQGUHGXFWLRQLQGH[RIHOHPHQWMLQWKHDFWXDOILHOGVLWXDWLRQ >G%@
D5V VRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOD\HUVIRUVHSDUDWLQJ >G%@
HOHPHQW
D5' VRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOD\HUVIRUVHSDUDWLQJ >G%@
HOHPHQWLQWKHVRXUFHURRP
D5G VRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOD\HUVIRUVHSDUDWLQJ >G%@
HOHPHQWLQWKHUHFHLYLQJURRP
FRQWLQXHG

‹%6,
3DJH
(1

6\PEROV FRQWLQXHG

6\PERO 3K\VLFDOTXDQWLW\ 8QLW


D5L VRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOD\HUVIRUHOHPHQWL >G%@

D5M VRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOD\HUVIRUHOHPHQWM >G%@


5KV VRXQGUHGXFWLRQLQGH[RIWKHZDOOEHWZHHQDKDOODQGWKHVRXUFHURRP >G%@
5KU VRXQGUHGXFWLRQLQGH[RIWKHZDOOEHWZHHQWKHKDOODQGWKHUHFHLYLQJURRP >G%@
5Z ZHLJKWHGVRXQGUHGXFWLRQLQGH[DFFRUGLQJWR(1,62 >G%@
5VZ ZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHVHSDUDWLQJHOHPHQW >G%@
5)Z ZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHIODQNLQJHOHPHQW)LQWKHVRXUFHURRP >G%@
5IZ ZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHIODQNLQJHOHPHQWILQWKHUHFHLYLQJURRP >G%@
D5'GZ WRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOLQLQJRQWKHVRXUFH >G%@
DQGRUUHFHLYLQJVLGHRIWKHVHSDUDWLQJHOHPHQW
D5)IZ WRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOLQLQJRQWKHVRXUFH >G%@
DQGRUUHFHLYLQJVLGHRIWKHIODQNLQJHOHPHQW
D5)GZ WRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOLQLQJRQWKH >G%@
IODQNLQJHOHPHQWDWWKHVRXUFHVLGHDQGRUVHSDUDWLQJHOHPHQWDWWKHUHFHLYLQJVLGH
D5'IZ WRWDOZHLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DGGLWLRQDOOLQLQJRQWKH >G%@
VHSDUDWLQJHOHPHQWDWWKHVRXUFHVLGHDQGRUIODQNLQJHOHPHQWDWWKHUHFHLYLQJVLGH
6UHF DUHDRIWKHSDUWRIDIORRUVHHQIURPWKHUHFHLYLQJURRP >P@
6WRW WRWDODUHDRIDIORRUILHOGEHWZHHQORDGEHDULQJVWUXFWXUDOHOHPHQWV >P@
6KV6KU DUHDRIWKHZDOOEHWZHHQWKHKDOODQGWKHVRXUFHURRPDQGUHFHLYLQJURRP >P@
UHVSHFWLYHO\
6FV6FU WKHDUHDRIWKHFHLOLQJLQWKHVRXUFHURRPDQGUHFHLYLQJURRPUHVSHFWLYHO\ >P@
6ODE ODERUDWRU\YDOXHDVUHIHUHQFHIRU6FVDQG6FU  P >P@
6V DUHDRIVHSDUDWLQJHOHPHQW >P@
6L6M DUHDRIDQHOHPHQWLQWKHVRXUFHURRP L DQGUHFHLYLQJURRP M UHVSHFWLYHO\ >P@
W WKLFNQHVVRIDVWUXFWXUDOHOHPHQW >P@
WD WKLFNQHVVRIDQDEVRUELQJOLQLQJ >P@
WO WKLFNQHVVRIDIOH[LEOHLQWHUOD\HU >P@
7 UHYHUEHUDWLRQWLPHLQWKHUHFHLYLQJURRP >V@
7R UHIHUHQFHUHYHUEHUDWLRQWLPHIRUGZHOOLQJVJLYHQDVV >V@
7V VWUXFWXUDOUHYHUEHUDWLRQWLPHRID KRPRJHQHRXV HOHPHQW >V@
7VODE ODERUDWRU\VWUXFWXUDOUHYHUEHUDWLRQWLPHIRUHDFK KRPRJHQHRXV HOHPHQW >V@
7VVLWX VWUXFWXUDOUHYHUEHUDWLRQWLPHLQWKHDFWXDOILHOGVLWXDWLRQ >V@
9 WKHYROXPHRIWKHUHFHLYLQJURRP >P@

Y L DYHUDJHVTXDUHYHORFLW\RYHUHOHPHQWL IUHHZDYHV > PV @

Y M DYHUDJHVTXDUHYHORFLW\RYHUHOHPHQWM IUHHZDYHV > PV @

:WRW WRWDOUDGLDWHGVRXQGSRZHULQWRUHFHLYLQJURRP >:@


FRQWLQXHG

‹%6,
3DJH
(1

6\PEROV FRQFOXGHG

6\PERO 3K\VLFDOTXDQWLW\ 8QLW


:LM UDGLDWHGVRXQGSRZHUE\HOHPHQWMGXHWRLQFLGHQWVRXQGRQHOHPHQWL >:@

: VRXQGSRZHULQFLGHQWRQDWHVWVSHFLPHQLQWKHVRXUFHURRP >:@
: VRXQGSRZHUUDGLDWHGIURPDWHVWVSHFLPHQLQWRWKHUHFHLYLQJURRPGXHWRLQFLGHQW >:@
VRXQGRQWKDWVSHFLPHQLQWKHVRXUFHURRP
Z LQGH[WRLQGLFDWHZHLJKWHGVRXQGUHGXFWLRQLQGLFHVDFFRUGLQJWR(1,62 >@
aN DEVRUSWLRQFRHIILFLHQWIRUEHQGLQJZDYHILHOGDWERUGHUNRIDQHOHPHQW >@

gLM SRZHUWUDQVPLVVLRQIDFWRUIRUEHQGLQJZDYHILHOGDWDMXQFWLRQEHWZHHQHOHPHQWLDQGM >@

DO UHGXFWLRQRIYLEUDWLRQUHGXFWLRQLQGH[E\DIOH[LEOHOD\HU >G%@

hWRW WRWDOORVVIDFWRU >@

hWRWODE WRWDOORVVIDFWRULQWKHODERUDWRU\VLWXDWLRQ >@

hLQW LQWHUQDOORVVIDFWRU >@


r GHQVLW\ >NJP@
rR GHQVLW\RIDLU >NJP@
s UDGLDWLRQIDFWRUIRUIUHHEHQGLQJZDYHV >@
sI UDGLDWLRQIDFWRUIRUIRUFHGZDYHV >@

t WUDQVPLVVLRQIDFWRU VRXQGSRZHUUDWLR >@


tLM IODQNLQJWUDQVPLVVLRQIDFWRU >@

t
VRXQGSRZHUUDWLRRIWRWDOUDGLDWHGVRXQGSRZHULQWKHUHFHLYLQJURRPUHODWLYHWR >@
LQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW
tG VRXQGSRZHUUDWLRRIUDGLDWHGVRXQGSRZHUE\WKHFRPPRQSDUWRIWKHVHSDUDWLQJ >@
HOHPHQWUHODWLYHWRLQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJ
HOHPHQW,WLQFOXGHVWKHSDWK'GDQGSDWKV)G
tI VRXQGSRZHUUDWLRRIUDGLDWHGVRXQGSRZHUE\DIODQNLQJFRQVWUXFWLRQILQWKHUHFHLYLQJ >@
URRPUHODWLYHWRLQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW
,WLQFOXGHVSDWKV)IDQG'I
tV VRXQGSRZHUUDWLRRIUDGLDWHGVRXQGSRZHULQUHFHLYLQJURRPE\LQGLUHFWDLUERUQH >@
WUDQVPLVVLRQV\VWHPVGXHWRLQFLGHQWVRXQGSRZHURQWKLVWUDQVPLVVLRQV\VWHP
UHODWLYHWRLQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJHOHPHQW
tH VRXQGSRZHUUDWLRRIUDGLDWHGVRXQGSRZHULQWKHUHFHLYLQJURRPE\DQHOHPHQWLQWKH >@
VHSDUDWLQJHOHPHQWGXHWRGLUHFWDLUERUQHVRXQGWUDQVPLVVLRQRILQFLGHQWVRXQGRQWKLV
HOHPHQWUHODWLYHWRLQFLGHQWVRXQGSRZHURQWKHFRPPRQSDUWRIWKHVHSDUDWLQJ
HOHPHQW

‹%6,
3DJH
(1

$QQH[%
LQIRUPDWLYH

6RXQGUHGXFWLRQLQGH[IRUPRQROLWKLFHOHPHQWV

% 6RXQGUHGXFWLRQLQGH[LQIUHTXHQF\EDQGV
)RUFRPPRQPRQROLWKLFVWUXFWXUDOHOHPHQWVWKHODERUDWRU\VRXQGUHGXFWLRQ5FDQEHFDOFXODWHGDFFXUDWHO\
VHH OLWHUDWXUH  ,Q VXFK FDVHV WKH FRQWULEXWLRQ RI IRUFHG WUDQVPLVVLRQ FDQ EH QHJOHFWHG IRU IODQNLQJ SDWKV
7KH WRWDO ORVV IDFWRU DV LQIOXHQFHG E\ WKH ODERUDWRU\ LV LPSRUWDQW DQG KDV WR EH WDNHQ LQWR DFFRXQW LQ
DFFRUGDQFHZLWKWKHVSHFLILFDWLRQVJLYHQLQ(1,62 VHH$QQH[& 

7KHIROORZLQJHTXDWLRQVFDQEHXVHGEDVHGRQ>@ VHHELEOLRJUDSK\ 

5 = - OJ t


Ë r F Û I Fs 
t  =  ÌÌ R R ÜÜ I > IF
Í  IP ‡ Ý I h WRW

Ë r F Û s
t  =  ÌÌ R R ÜÜ I   IF %
Í  IP ‡ Ý h WRW

Ë  r R F R Û ËÌ (O +O )
Ü s I +  
IF s  ÛÜ
t =  ÌÌ Ü I < IF
Í  IP ‡ Ý ÌÍ O  +O  I h WRW ÜÝ

ZKHUH

t LVWKHWUDQVPLVVLRQIDFWRU

P
LVWKHPDVVSHUXQLWDUHDLQNLORJUDPVSHUVTXDUHPHWUH

I LVWKHIUHTXHQF\LQ+HUW]

IF LVWKHFULWLFDOIUHTXHQF\ F R  F/W LQ+HUW]

hWRW LVWKHWRWDOORVVIDFWRU IRUWKHODERUDWRU\VLWXDWLRQVHH$QQH[& 

s LVWKHUDGLDWLRQIDFWRUIRUIUHHEHQGLQJZDYHV

sI LVWKHUDGLDWLRQIDFWRUIRUIRUFHGWUDQVPLVVLRQ

OO DUHWKHOHQJWKVRIWKHERUGHUVRIWKH UHFWDQJXODU HOHPHQWLQPHWUHV

7KHWRWDOORVVIDFWRUIRUWKHODERUDWRU\VLWXDWLRQLVFDOFXODWHGDFFRUGLQJWR$QQH[&

‹%6,
3DJH
(1

7KH UDGLDWLRQ IDFWRU IRU IRUFHG ZDYHV LV EDVHG RQ >@ VHH ELEOLRJUDSK\  DQG ZLWK O JUHDWHU WKDQ O
FDOFXODWHGIURP

I [
=  ,Q N R O O  - ] I ˆ  %

O O  O 
L   OQ  + -
O O  O  O  O  N 

ZKHUH

NR LVWKHZDYHQXPEHULQUDGLDQSHUPHWUHNR pIFR

7KHUDGLDWLRQIDFWRUIRUIUHHZDYHVLVEDVHGRQ>@ VHHELEOLRJUDSK\ DQGFDOFXODWHGIURP

 Ë I Û

(
 I O + O  )
 =  = O O  ÌÌ Ü
Ü  =
 - I F I Í FR Ý F R
[%D)]
F R Ë 
Ì + Ü
Û
I =
I F ÌO O Ü
Í   Ý

LIIˆIFWKHQ

I˜IFs s

(O  + O  ) F R
IIFs  d + d 
O O  IF

ËË + l Û
Ì Ì - l  ÛÜ OQ + l Ü
ÌÍ Ý  l Ü I
d = Ì Ü ZLWK l = >%E @
Ì   Ë - l  Û

Ü IF
Ì Ì Ü Ü
Í Í Ý Ý

I > I F  d  =  HOVH d  =


(
F R  - l )
I F 
O O  l  - l

IIIFDQGs!ss s

sˆ

,II!IFWKHQ

IIFDQGsss s

I!IFDQGsss s >%F @

HOVH s s

sˆ

‹%6,
3DJH
(1

7KHVH HTXDWLRQV DUH YDOLG IRU D SODWH VXUURXQGHG E\ DQ LQILQLWH EDIIOH RIWHQ UHOHYDQW IRU WKH ODERUDWRU\
VLWXDWLRQ+RZHYHULQEXLOGLQJVDVWUXFWXUDOHOHPHQWLVRIWHQVXUURXQGHGE\RUWKRJRQDOHOHPHQWVZKLFKZLOO
LQFUHDVHWKHUDGLDWLRQHIILFLHQF\ZHOOEHORZWKHFULWLFDOIUHTXHQF\E\DIDFWRURI HGJHPRGHV WR FRUQHU
PRGHV 

)RU WKH UDGLDWLRQ IDFWRUV DOWHUQDWLYH HTXDWLRQV DUH DYDLODEOH IURP PRUH UHFHQW OLWHUDWXUH VHH
ELEOLRJUDSK\>@ 

$ERYHWKHFULWLFDOIUHTXHQF\WKLVIUHTXHQF\LVUHSODFHGLQWKHFDOFXODWLRQE\DQHIIHFWLYHFULWLFDOIUHTXHQF\WR
WDNHLQWRDFFRXQWRWKHUZDYHW\SHVUHOHYDQWIRU WKLFN ZDOOV DQGRU KLJKHU IUHTXHQFLHV VHH ELEOLRJUDSK\>@
>@ DFFRUGLQJWR

Ë WI Ë WI Û ÛÜ
IF HII =IF Ì  +  + ÌÌ  ÜÜ I < IS
Ì F/ F/ Ü
Í Í ÝÝ


ËI Û F
IFHII =IF Ì Ü ZLWK IS = / I ˜ IS %
Ì IS Ü W
Í Ý

ZKHUH

W LVWKHWKLFNQHVVRIWKHHOHPHQWLQPHWUHV

F/ LVWKHORQJLWXGLQDOYHORFLW\RIWKHPDWHULDOLQPHWUHVSHUVHFRQG

%DVHGRQFDOFXODWLRQVDFFRUGLQJWRWKLVPRGHOVRPHH[DPSOHVRIWKHVRXQGUHGXFWLRQLQGH[LQRFWDYHEDQGV
IRU PRQROLWKLF HOHPHQWV DUH JLYHQ LQ WDEOH % IRU D ODERUDWRU\ VLWXDWLRQ LQ DFFRUGDQFH ZLWK $QQH[& 7KH
FDOFXODWLRQVDUHSHUIRUPHGDWVLQJOHIUHTXHQFLHVDWRQHWKLUGRFWDYHGLVWDQFHDQGWKHUHVXOWVDYHUDJHGRYHUD
EDQGZLGWKRIRQHRFWDYHLQRUGHUWRDVVXUHDVPRRWKWUDQVPLVVLRQEHWZHHQWKHWKUHHIUHTXHQF\UDQJHVRI
HTXDWLRQ % 7KHPDWHULDOSURSHUWLHVDUHJLYHQLQ7DEOH%WRJHWKHUZLWKWKHJHQHULFPDWHULDOQDPHVIRU
ZKLFKWKH\DUHLQGLFDWLYH

7DEOH%²7\SLFDOPDWHULDOSURSHUWLHV

0DWHULDO 'HQVLW\ /RQJLWXGLQDO9HORFLW\ ,QWHUQDOORVV


IDFWRU
r NJP F/ PV
hLQW 
&RQFUHWH   
&DOFLXPVLOLFDWH   
/LJKWZHLJKWFRQFUHWH   
$XWRFODYHGDHUDWHGFRQFUHWH   

‹%6,
3DJH
(1

7DEOH%²&DOFXODWHGVRXQGUHGXFWLRQLQGH[LQRFWDYHEDQGVIRUVRPHPRQROLWKLFVWUXFWXUHV
H[DPSOHV

&RQVWUXFWLRQ 0DVV 6RXQGUHGXFWLRQLQGH[ G% LQRFWDYHEDQGV


NJP +] 5Z &&WU

    N N N


PPFRQFUHWH          
PPFRQFUHWH          
PP&D6LEORFNV          
PP&D6LEORFNV          
PPOLJKWZHLJKWFRQF          
PPOLJKWZHLJKWFRQF          
PPDXWRFODHUFRQF          
PPDXWRFODHUFRQF          

% :HLJKWHGVRXQGUHGXFWLRQLQGH[
%DVHGRQFDOFXODWLRQVDFFRUGLQJWRWKHPRGHOJLYHQLQ)LJXUH%LQIRUPDWLRQLVJLYHQRQWKHZHLJKWHGVRXQG
UHGXFWLRQLQGH[5ZIRUPRQROLWKLFVWUXFWXUDOHOHPHQWVLQ)LJXUH%DVIXQFWLRQRIWKHPDVVSHUXQLWDUHDIRU
VRPH FRPPRQ PDWHULDOV VHH 7DEOH %  7KH VLQJOH QXPEHU UDWLQJV DUH FDOFXODWHG IURP WKH RFWDYH EDQG
YDOXHVDFFRUGLQJWR(1,62

7KHVH GDWD FDQ EH XVHG WR SURYLGH D UHDVRQDEO\ VDIH HVWLPDWH LQ FDVHV ZKHUH QR PHDVXUHG GDWD DUH
DYDLODEOH ,W LV DSSOLFDEOH WR KRPRJHQHRXV VLQJOHOHDI HOHPHQWV FRQVWUXFWHG IURP FOD\ EULFNV FRQFUHWH
FDOFLXPVLOLFDWH EORFNV J\SVXP EORFNV DXWRFODYHG DHUDWHG FRQFUHWH DQG YDULRXV W\SHV RI OLJKWZHLJKW
FRQFUHWH 0RUWDU DQG ILUPO\ DWWDFKHG SODVWHU FDQ EH LQFOXGHG LQ WKH GHWHUPLQDWLRQ RI WKH VXUIDFH PDVV
6WUXFWXUDOHOHPHQWVZLWKKROHVFDQQRWEHFRQVLGHUHGDVKRPRJHQHRXVXQOHVVWKHGLPHQVLRQVRIWKHKROHV
DUHVPDOODQGWKHYROXPHRIKROHVLVOHVVWKDQRIWKHJURVVYROXPH

‹%6,
3DJH
(1

/HJHQG
$ :HLJKOHGVRXQGUHGXFWLRQLQGH[5Z G%
% 6XUIDFHPDVVP
 NJP
 £ &RQFUHWH
 £ &DOFLXP±6LOLFDWH
 « /LJKWZHLJKWFRQFUHWH
  $XWRFODYHGDHUDWHGFRQFUHWH
)RUP
!NJPWKHGDWDLQWKHILJXUHFDQDVDVDIHDYHUDJHEHUHSUHVHQWHGE\

5 Z =  OJ P
 P
R - G% %

)RUWKHFRUUHVSRQGLQJVSHFWUXPDGDSWDWLRQWHUPVWKHIROORZLQJKROGV

&LVDERXWFRQVWDQWWLOOG%IRUWKHKLJKHUPDVVHV

&WU OJ P
P
R G%OLPLWHGE\ˆ&WUˆG% %

)LJXUH%²:HLJKWHGVRXQGUHGXFWLRQLQGH[IRUVRPHFRPPRQPRQROLWKLFVWUXFWXUDOHOHPHQWV
DFFRUGLQJWR7DEOH%

$FRPSDULVRQZLWKPHDVXUHPHQWUHVXOWVJDWKHUHGLQGLIIHUHQWODERUDWRULHVRYHUWKHODVWWKLUW\\HDUVVKRZWKDW
WKHPHDVXUHGUHVXOWVOLHLQDUDQJHDURXQGWKHJLYHQOLQHVIURPG%WLOOG%7KLVUHODWLYHO\ODUJHVSUHDGLV
GXHWRVHYHUDOIDFWRUVVRPHUHODWHGWRVSHFLILFSURGXFWSURSHUWLHVEXWVRPHWRWKHODERUDWRU\IDFLOLWLHV DQG
PHDVXUHPHQWPHWKRGVDSSOLHG,WLVWREHH[SHFWHGWKDWPHDVXUHPHQWUHVXOWVDFFRUGLQJWRWKHQHZYHUVLRQ
RI(1,62ZLOOVKRZDERXWKDOIWKLVVSUHDG7KHVHIDFWVDUHUHIOHFWHGLQWKHGLIIHUHQWHPSLULFDO
PDVVODZ

UHODWLRQVZKLFKKDYHEHHQDQGDUHEHLQJXVHGZLWKLQ(XURSHH[DPSOHVRIZKLFKDUHJLYHQLQ)LJXUH%

‹%6,
3DJH
(1

/HJHQG
 :HLJKWHGVRXQGUHGXFWLRQLQGH[5Z G%
 6XUIDFHPDVVP
 NJP
7KHGDWDLQWKLVILJXUHFDQEHUHSUHVHQWHGE\WKHIROORZLQJH[SUHVVLRQV

$ P ‡ ˜   NJP  5 Z =    OJ  (P ‡P


R ) -   G%
) P ‡ ˜  NJP 5 Z =    OJ  (P ‡P
R ) -  & = - G%

%
*% P ‡ ˜   NJP 5 Z =   OJ  (P ‡P
R ) -  –  G%


)LJXUH%²([LVWLQJHPSLULFDOUHODWLRQVIRUWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[RIKRPRJHQHRXV
VWUXFWXUDOHOHPHQWV $)*% WKHPLQLPXPYDOXHVIURP)LJXUH%DUHJLYHQIRUFRPSDULVRQ

‹%6,
3DJH
(1

$QQH[&
LQIRUPDWLYH

6WUXFWXUDOUHYHUEHUDWLRQWLPH

7KHUHYHUEHUDWLRQWLPHRIDVWUXFWXUDOHOHPHQW7VFDQEHHYDOXDWHGIURPWKHWRWDOORVVIDFWRUZKLFKIROORZV
IURPWKHLQWHUQDOORVVHVWKHORVVHVGXHWRUDGLDWLRQDQGWKHORVVHVDWWKHSHULPHWHURIWKHHOHPHQW


7V =
I h WRW

 rR FR s FR 
h WRW = h LQW + + Ê ON N &
 I P‡ 
6 I IF N =

ZKHUH

hWRW LVWKHWRWDOORVVIDFWRU

I LVWKHFHQWUHEDQGIUHTXHQF\LQ+HUW]

hLQW LVWKHLQWHUQDOORVVIDFWRURIWKHPDWHULDO

P
LVWKHPDVVSHUXQLWDUHDLQNLORJUDPVSHUVTXDUHPHWUH

s LVWKHUDGLDWLRQIDFWRUIRUIUHHEHQGLQJZDYHV


IF LVWKHFULWLFDOIUHTXHQF\ F R  F/W LQ+HUW]

6 LVWKHDUHDRIWKHHOHPHQWLQVTXDUHPHWUHV

aN LVWKHDEVRUSWLRQFRHIILFLHQWIRUEHQGLQJZDYHVDWWKHSHULPHWHUN

ON LVWKHOHQJWKRIWKHMXQFWLRQDWWKHSHULPHWHUNLQPHWUH

FR LVWKHVSHHGRIVRXQGLQDLULQPHWUHVSHUVHFRQGFR PV

rR LVWKHGHQVLW\RIDLULQNLORJUDPSHUFXELFPHWUHV

)RUFDOFXODWLRQVLQRQHWKLUGRFWDYHEDQGVWKHIUHTXHQF\FDQEHWDNHQDVWKHFHQWUHIUHTXHQF\RIWKHEDQG
FRQVLGHUHG)RUFDOFXODWLRQVLQRFWDYHEDQGVWKHEHVWHVWLPDWHLVREWDLQHGE\XVLQJWKHFHQWUHIUHTXHQF\RI
WKHORZHURQHWKLUGRFWDYHEDQGZLWKLQWKHRFWDYHEDQGFRQVLGHUHG

7KH LQWHUQDO ORVV IDFWRU IRU FRPPRQ KRPRJHQHRXV EXLOGLQJ PDWHULDOV LV URXJKO\  7KH UDGLDWLRQ ORVVHV
FDQQRUPDOO\EHQHJOHFWHG7KHDEVRUSWLRQFRHIILFLHQWVGHSHQGRQWKHVLWXDWLRQDQGWKHVWUXFWXUDOHOHPHQWV
FRQQHFWHGDWWKHSHULPHWHU

‹%6,
3DJH
(1

)LHOGVLWXDWLRQ

7KHDEVRUSWLRQFRHIILFLHQWDWDSHULPHWHUZLOOYDU\EHWZHHQDQGLQILHOGVLWXDWLRQV

7KLVDEVRUSWLRQFRHIILFLHQWaNIRUDVWUXFWXUHLFDQEHGHGXFHGIURPWKHYLEUDWLRQUHGXFWLRQLQGH[ .LM DWWKH


MXQFWLRQEHWZHHQWKHFRQVLGHUHGHOHPHQWLDQGWKHHOHPHQWMFRQQHFWHGWRLW

 I F M . 
N Ê  LM &
M  I UHI

ZKHUH

IF LVWKHFULWLFDOIUHTXHQF\LQ+HUW]

IUHI LVWKHUHIHUHQFHIUHTXHQF\LQ+HUW]IUHI +]

M LQGLFDWHVWKHHOHPHQWVZKLFKDUHFRQQHFWHGWRWKHFRQVLGHUHGHOHPHQWLDWERUGHUN

,IWKHDUHDFRQVLGHUHGLVSDUWRIDODUJHUVWUXFWXUDOHOHPHQWDQGWKHMXQFWLRQVDUHIRUPHGE\OLJKWHOHPHQWV
WKH DFWXDO VWUXFWXUDO UHYHUEHUDWLRQ WLPH FDQ EH LQIOXHQFHG RU GRPLQDWHG E\ WKH EHKDYLRXU RI WKH ODUJHU
VWUXFWXUDOHOHPHQWDVDZKROHGXHWRWKHEDFNIORZRIYLEUDWLRQDOHQHUJ\

7KLV HIIHFW FDQ EH LQFRUSRUDWHG E\ PD[LPL]LQJ WKH VXPWHUP LQ HTXDWLRQ &  IRU D VXEDUHD 6 RI D ODUJH
VWUXFWXUDOHOHPHQWWR

 
Ê ON N ˆ Ê /N N &
N = N =

ZKHUH

/N LVWKHOHQJWKRIMXQFWLRQNRIWKHWRWDOIORRUVODELQPHWUHV

aN LVWKHDEVRUSWLRQFRHIILFLHQWRIMXQFWLRQNRIWKHWRWDOIORRUVODE

%\ WKLV DSSURDFK DQ HIIHFWLYH VWUXFWXUDO UHYHUEHUDWLRQ WLPH LV FDOFXODWHG ZKLFK LV QRW WKH DFWXDO VWUXFWXUDO
UHYHUEHUDWLRQWLPHEXW\LHOGVWKHFRUUHFWUHVXOWVIRUWKHLQVLWXVRXQGUHGXFWLRQLQGH[7KHDFWXDOVWUXFWXUDO
UHYHUEHUDWLRQWLPHLVODUJHUE\DIDFWRU6WRW6

/DERUDWRU\VLWXDWLRQ

)RUPHDVXUHPHQWVLQWKHODERUDWRU\LQDFFRUGDQFHZLWK(1,62WKHDYHUDJHDEVRUSWLRQFRHIILFLHQWDV
VSHFLILHG LQ (1,62 LV DERXW  IRU KHDY\ FRQVWUXFWLRQV DURXQGNJP  7KLV FDQ EH
UHSUHVHQWHG E\ D KHDY\ IUDPH RI PP FRQFUHWH DURXQG WKH WHVW RSHQLQJ )RU WKDW VLWXDWLRQ aN FDQ EH
FDOFXODWHGDFFRUGLQJWR

N = ( -  )

 Î  cy ( + c ) ( + y ) Þ
= Ï ß &
 Ï c ( + y ) + y  + c 
Ð ( ) ßà

 I
c = y =  F
IF P‡

7KLV LV EDVHG RQ D RQH GLPHQVLRQDO WKHRU\ VHH ELEOLRJUDSK\ >@  HPSLULFDOO\ DGMXVWHG IRU GLIIXVH ILHOGV
%DVHGRQWKLVWKHWRWDOORVVIDFWRUIRUWKHODERUDWRU\VLWXDWLRQFDQEHHVWLPDWHGDV

‹%6,
3DJH
(1


h WRWODE    h LQW  &
 I

7KLVHTXDWLRQKROGVIRUVWUXFWXUDOHOHPHQWVZLWKDVXUIDFHPDVVEHORZP
 NJPhLQWFDQQRUPDOO\EH
WDNHQDV

127( )RUDVSHFLILFODERUDWRU\WKHYDOXHVFDQEHFDOFXODWHGDVIRUWKHILHOGVLWXDWLRQPDNLQJXVHRIWKHDSSURSULDWH
YDOXHVIRUWKHYLEUDWLRQUHGXFWLRQLQGH[DWWKHERUGHUVRIWKHWHVWRSHQLQJ

‹%6,
3DJH
(1

$QQH['
LQIRUPDWLYH

6RXQGUHGXFWLRQLQGH[LPSURYHPHQWRIDGGLWLRQDOOD\HUV

' 6RXQGUHGXFWLRQLQGH[LPSURYHPHQWRIOD\HUV
7KH LPSURYHPHQW LQ VRXQG UHGXFWLRQ E\ D OD\HU VXFK DV D UHVLOLHQWO\ PRXQWHG ZDOO OLQLQJ IORDWLQJ IORRU RU
VXVSHQGHG FHLOLQJ LV LQ SULQFLSOH GLIIHUHQW IRU IODQNLQJ WUDQVPLVVLRQ DQG GLUHFW WUDQVPLVVLRQ DQG GHSHQGV
DGGLWLRQDOO\ RQ WKH W\SH RI EDVLF VWUXFWXUDO HOHPHQWV LW LV DSSOLHG WR ,W VKRXOG WKHUHIRUH EH GHWHUPLQHG E\
PHDVXUHPHQWV LQ D ODERUDWRU\ ERWK IRU GLUHFW DQG IODQNLQJ WUDQVPLVVLRQ ZLWK WKH VDPH EDVLF VWUXFWXUDO
HOHPHQWDVLVDSSOLHGLQWKHILHOGVLWXDWLRQFRQVLGHUHG

)RU WKH WLPH EHLQJ WKHUH LV QR VWDQGDUGL]HG PHDVXUHPHQW PHWKRG DYDLODEOH QRU DFFXUDWH SRVVLELOLWLHV WR
GHULYH WKH HIIHFW IRU IODQNLQJ WUDQVPLVVLRQ IURP WKH RQH IRU GLUHFW WUDQVPLVVLRQ RU WR FRUUHFW UHVXOWV IRU
FKDQJHVLQWKHEDVLFVWUXFWXUDOHOHPHQW6RPHLQIRUPDWLRQLVJLYHQLQWKLVDQQH[IRUDUHDOLVWLFDQGSUDFWLFDO
DSSURDFK

' 'LUHFWWUDQVPLVVLRQD5

£ 'HWHUPLQH WKH LPSURYHPHQW E\ D OD\HU DV WKH GLIIHUHQFH LQ VRXQG UHGXFWLRQ LQGH[ PHDVXUHG LQ
DFFRUGDQFHZLWK(1,62EHWZHHQDEDVLFVWUXFWXUDOHOHPHQWZLWKWKHOLQLQJDQGWKHEDVLFHOHPHQW
DORQH 7R JHW DW OHDVW FRPSDUDEOH UHVXOWV XVH DV D VWDQGDUGL]HG EDVLF VWUXFWXUDO HOHPHQW D
KRPRJHQHRXVSODVWHUHGHOHPHQWZLWKDPDVVRI “ NJP&DUHVKRXOGEHWDNHQWKDWWKHVRXQG
UHGXFWLRQLQGH[IRUWKHEDVLFHOHPHQWDORQHLVQRWDIIHFWHGE\DQ\LQGLUHFWDLUERUQHWUDQVPLVVLRQWKURXJK
OHDNVLQWKHHOHPHQWDQGDURXQGWKHSHULPHWHU2WKHUEDVLFVWUXFWXUDOHOHPHQWVFDQEHXVHGLQDGGLWLRQ

£ $SSO\ WKH ODERUDWRU\ UHVXOWV IRU WKH VWDQGDUGL]HG EDVLF VWUXFWXUDO HOHPHQW LQ WKH FDOFXODWLRQV IRU GLUHFW
WUDQVPLVVLRQXQOHVVUHVXOWVIRUDPRUHDSSURSULDWHEDVLFHOHPHQWDUHDYDLODEOH

127( 7KHLPSURYHPHQWGHFUHDVHVJHQHUDOO\ZLWKDQLQFUHDVHLQWKHVXUIDFHPDVVRIWKHEDVLFVWUXFWXUDOHOHPHQW
PDLQO\GXHWRGLUHFWRULQGLUHFW DWWKHSHULPHWHU FRXSOLQJEHWZHHQWKHOD\HUDQGWKHEDVLFVWUXFWXUDOHOHPHQW7KHUHVXOW
IRUWKHVWDQGDUGL]HGEDVLFVWUXFWXUDOHOHPHQWZLOOWKHUHIRUHEHFRUUHFWRURQWKHVDIHVLGHIRUVWUXFWXUDOHOHPHQWV ZLWKD
VXUIDFHPDVVQRWPXFKODUJHUWKDQWKDWRIWKHVWDQGDUGL]HGEDVLFVWUXFWXUDOHOHPHQW

7KHUHVXOWVFDQEHH[SUHVVHGLQDVLQJOHQXPEHUUDWLQJD5ZE\DSSO\LQJ(1,62WRWKHUHVXOWVIRUWKH
EDVLFVWUXFWXUDOHOHPHQWZLWKDQGZLWKRXWWKHWHVWHGOLQLQJDQGWDNLQJWKHGLIIHUHQFH

6RPHW\SLFDOH[DPSOHVRIWKHLPSURYHPHQWE\DGGLWLRQDOOD\HUVDUHJLYHQLQ7DEOH'

' )ODQNLQJWUDQVPLVVLRQ

£ 7KHLPSURYHPHQWFDQEHGHWHUPLQHGE\PHDVXUHPHQWVLQWKHILHOGRUVSHFLDOODERUDWRU\IDFLOLWLHVZKHUH
LWFDQEHDVVXUHGWKDWWUDQVPLVVLRQRFFXUVRQO\E\DIODQNLQJSDWK LHSDWK)I 7KLVFDQEHUHDOL]HGE\
VSHFLDOFRQVWUXFWLRQVDQGRUE\DSSO\LQJYHU\HIILFLHQWZDOOOLQLQJVDQGIORRUFRYHULQJVWRSUHYHQWDOORWKHU
WUDQVPLVVLRQSDWKV7KHVRXQGUHGXFWLRQLQGH[LPSURYHPHQWLVREWDLQHGIURPWKHPHDVXUHPHQWRIWKH
VRXQG WUDQVPLVVLRQ ZLWK DQG ZLWKRXW WKH OLQLQJ WR EH WHVWHG DSSOLHG WR RQH RI WKH VWUXFWXUDO HOHPHQWV
LQYROYHGLQWKHIODQNLQJWUDQVPLVVLRQSDWKFRQVLGHUHG7RJHWUHVXOWVDWOHDVWFRPSDUDEOHDVZLWKGLUHFW
WUDQVPLVVLRQ LW LV UHFRPPHQGHG WR XVH DV WKH EDVLF VWUXFWXUDO HOHPHQW D KRPRJHQHRXV SODVWHUHG
HOHPHQWZLWKDPDVVRI “ NJP&DUHVKRXOGEHWDNHQWKDWWKHVRXQGUHGXFWLRQLQGH[IRUWKH
EDVLFVWUXFWXUDOHOHPHQWDORQHLVQRWDIIHFWHGE\DQ\LQGLUHFWDLUERUQHWUDQVPLVVLRQWKURXJKOHDNVLQWKH
HOHPHQWDQGDURXQGWKHSHULPHWHU2WKHUEDVLFVWUXFWXUDOHOHPHQWVFDQEHXVHGLQDGGLWLRQ

‹%6,
3DJH
(1

£ $SSO\ WKH UHVXOWV IRU WKH VWDQGDUGL]HG EDVLF VWUXFWXUDO HOHPHQW LQ WKH FDOFXODWLRQV IRU IODQNLQJ
WUDQVPLVVLRQXQOHVVUHVXOWVIRUDPRUHDSSURSULDWHEDVLFHOHPHQWDUHDYDLODEOH

£ $VDUHDVRQDEOHHVWLPDWHWKHVRXQGUHGXFWLRQLQGH[LPSURYHPHQWIRUIODQNLQJWUDQVPLVVLRQFDQEHWDNHQ
DVHTXDOWRWKHLPSURYHPHQWIRUGLUHFWWUDQVPLVVLRQ

127( 7KHLPSURYHPHQWIRUIODQNLQJWUDQVPLVVLRQFDQGHYLDWHIURPWKDWIRUGLUHFWWUDQVPLVVLRQ$WORZIUHTXHQFLHV
WKDWLVEHORZWKHFULWLFDOIUHTXHQF\RIWKHOLQLQJDQGEHORZWKHIUHTXHQF\ZKHUHFRXSOLQJHIIHFWVRFFXUWKLVLVGXHWRWKH
GLIIHUHQW H[FLWDWLRQ LQYROYHG ZKLOH DW KLJKHU IUHTXHQFLHV WKLV LV PDLQO\ FDXVHG E\ WKH HIIHFW RI OHDNDJHV LQ WKH EDVLF
VWUXFWXUDOHOHPHQWIRUWKHPHDVXUHPHQWVZLWKRXWOLQLQJV

7KHUHVXOWVFDQEHH[SUHVVHGLQDVLQJOHQXPEHUUDWLQJD5ZE\DSSO\LQJ(1,62WRWKHUHVXOWVIRUWKH
EDVLFVWUXFWXUDOHOHPHQWZLWKDQGZLWKRXWWKHWHVWHGOLQLQJDQGWDNLQJWKHGLIIHUHQFH

6RPH W\SLFDO H[DPSOHV RI WKH VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW IRU IODQNLQJ WUDQVPLVVLRQ E\ DGGLWLRQDO
OD\HUVWRDIODQNLQJZDOODUHJLYHQLQ7DEOH'

7DEOH'²6RXQGUHGXFWLRQLQGH[LPSURYHPHQWD5RIDGGLWLRQDOOD\HUV H[DPSOHV

&RQVWUXFWLRQDGGLWLRQDOOD\HU D5>G%@LQRFWDYHEDQGV>+]@ D5Z


    N N >G%@
%DVLFZDOOPPJ\SVXPEORFNVNJP
PPSODVWHUERDUGPPFDYLW\ZLWKPP       
PLQHUDOZRROQRVWXGV
PPSODVWHUERDUGPPFDYLW\ZLWKPP       
PLQHUDOZRROZRRGHQVWXGV
PPSODVWHUERDUGPPFDYLW\ZLWKPP       
PLQHUDOZRROPHWDOVWXGVLVRODWHGIURPZDOO
%DVLFZDOOPPSODVWHUHGSRURXVFRQFUHWHNJP
PPSODVWHUERDUGPPPLQHUDOZRROPHWDO       
VWXGV
PPSRURXVFRQFUHWHPPPLQHUDOZRROQR       
VWXGV
%DVLFZDOOPP&DOFLXP6LOLFDWHEORFNVNJP
PP™PPJ\SVXPERDUGPPIRDPQR       
VWXGV
%DVLFZDOOPPSODVWHUHGKROORZEORFNVNJP
PPFHPHQWSODVWHUPPPLQHUDOZRROQR       
VWXGV
PPFHPHQWSODVWHUPPPLQHUDOZRROQR       
VWXGV
6DPHFRQVWUXFWLRQDVLQ7DEOH'

‹%6,
3DJH
(1

7DEOH'²6RXQGUHGXFWLRQLQGH[LPSURYHPHQWD5IRUIODQNLQJWUDQVPLVVLRQRIDGGLWLRQDOOD\HUVRQ
DIODQNLQJZDOO H[DPSOHV VDPHFRQVWUXFWLRQVDVLQGLFDWHGLQ7DEOH'ZLWK

&RQVWUXFWLRQDGGLWLRQDOOD\HU D5>G%@LQRFWDYHEDQGV>+]@ D5Z


    N N >G%@
%DVLFZDOOPPSODVWHUHGSRURXVFRQFUHWHNJP
PPSODVWHUERDUGPPPLQHUDOZRROPHWDO       
VWXGV
PPSRURXVFRQFUHWHPPPLQHUDOZRROQR       
VWXGV
%DVLFZDOOPPSODVWHUHGKROORZEORFNVNJP
PPFHPHQWSODVWHUPPPLQHUDOZRROQR       
VWXGV
PPFHPHQWSODVWHUPPPLQHUDOZRROQR       
VWXGV

' :HLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWRIOD\HUV
,I DGGLWLRQDO OD\HUV ZDOO OLQLQJV IORDWLQJ IORRUV RU VXVSHQGHG FHLOLQJV  DUH IL[HG WR D KRPRJHQHRXV EDVLF
VWUXFWXUDOHOHPHQW VHSDUDWLQJHOHPHQWRUIODQNLQJHOHPHQW WKHDLUERUQHVRXQGLQVXODWLRQFDQEHLPSURYHGRU
UHGXFHGGHSHQGLQJRQWKHUHVRQDQFHIUHTXHQF\IRRIWKHV\VWHP

)RUHOHPHQWVZKHUHWKHLQVXODWLRQOD\HULVIL[HGGLUHFWO\WRWKHEDVLFFRQVWUXFWLRQ ZLWKRXWVWXGVRUEDWWHQV
WKHUHVRQDQFHIUHTXHQF\IRLVFDOFXODWHGE\

Ë   Û
IR   6 ‡ ÌÌ  Ü
Ü '
Í P
 P
 Ý

ZKHUH

V
LVWKHG\QDPLFVWLIIQHVVRIWKHLQVXODWLRQOD\HUDFFRUGLQJWR(1³$FRXVWLFV±'HWHUPLQDWLRQ
RIG\QDPLFVWLIIQHVV±3DUW0DWHULDOVXVHGXQGHUIORDWLQJIORRUVLQGZHOOLQJV´LQPHJDQHZWRQVSHU
FXELFPHWUH

P
 LVWKHPDVVSHUXQLWDUHDRIWKHEDVLFVWUXFWXUDOHOHPHQWLQNLORJUDPVSHUVTXDUHPHWUH

P
 LVWKHPDVVSHUXQLWDUHDRIWKHDGGLWLRQDOOD\HULQNLORJUDPVSHUVTXDUHPHWUH

)RUDGGLWLRQDOOD\HUVEXLOWZLWKPHWDORUZRRGHQVWXGVRUEDWWHQVQRWGLUHFWO\FRQQHFWHGWRWKHEDVLFVWUXFWXUDO
HOHPHQW ZKHUH WKH FDYLW\ LV ILOOHG ZLWK D SRURXV LQVXODWLRQ OD\HU ZLWK DQ DLU UHVLVWLYLW\ U˜N3DVP
DFFRUGLQJ WR (1 ³$FRXVWLFV ± 0DWHULDOV IRU DFRXVWLFDO DSSOLFDWLRQV ± 'HWHUPLQDWLRQ RI DLUIORZ
UHVLVWDQFH´WKHUHVRQDQFHIUHTXHQF\IRLVFDOFXODWHGE\

 Ë   Û
IR =  Ì + Ü '
G Í P
 P
 ÜÝ
Ì

ZKHUH

G LVWKHGHSWKRIWKHFDYLW\LQPHWUHV

‹%6,
3DJH
(1

)RUEDVLFVWUXFWXUDOHOHPHQWVZLWKDZHLJKWHGVRXQGUHGXFWLRQLQGH[LQWKHUDQJHRIG%ˆ5ZˆG%WKH
UHVXOWLQJ ZHLJKWHG VRXQG UHGXFWLRQ LQGH[ LPSURYHPHQW DV D UHVXOW RI DQ DGGLWLRQDO OD\HU FDQ EH HVWLPDWHG
IURP WKH UHVRQDQFH IUHTXHQF\ IR URXQGHG WR WKH QHDUHVW LQWHJHU YDOXH  DFFRUGLQJ WR WDEOH ' )RU
UHVRQDQFHIUHTXHQFLHVORZHUWKDQ+]WKHYDOXHDOVRGHSHQGVXSRQWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[
RIWKHEDVLFVWUXFWXUDOHOHPHQWWKLVLVLOOXVWUDWHGLQ)LJXUH'

7DEOH'²:HLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DOLQLQJGHSHQGLQJRQWKHUHVRQDQFH
IUHTXHQF\

5HVRQDQFHIUHTXHQF\IRRIWKHOLQLQJ D5Z
+] G%
ˆ 5Z
 5Z
 5Z
 5Z
 
 
 
 
 
± 
! 
127( )RUUHVRQDQFHIUHTXHQFLHVEHORZ+]WKHPLQLPXPYDOXHRID5Z
LVG%
127( 9DOXHVIRULQWHUPHGLDWHUHVRQDQFHIUHTXHQFLHVFDQEHGHGXFHGE\
OLQHDULQWHUSRODWLRQRYHUWKHORJDULWKPRIWKHIUHTXHQF\
127( 5ZGHQRWHVWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHEDUHZDOORU
IORRULQG%

/HJHQG
$ :HLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWD5Z G%
% :HLJKWHGVRXQGUHGXFWLRQLQGH[RIWKHEDUHZDOORUIORRU G%

)LJXUH'²:HLJKWHGVRXQGUHGXFWLRQLQGH[LPSURYHPHQWE\DQDGGLWLRQDOOD\HUZLWKUHVRQDQFH
IUHTXHQF\EHORZ+]DVIXQFWLRQRI5ZIRUWKHEDUHVWUXFWXUDOHOHPHQW

‹%6,
3DJH
(1

$QQH[(
LQIRUPDWLYH

9LEUDWLRQUHGXFWLRQLQGH[IRUMXQFWLRQV

( 'HWHUPLQDWLRQPHWKRGV
7KH YLEUDWLRQ UHGXFWLRQ LQGH[ .LM DW MXQFWLRQV LV GHILQHG E\ HTXDWLRQ   LQ UHODWLRQ WR WKH YHORFLW\ OHYHO
GLIIHUHQFHRYHUDMXQFWLRQLQERWKGLUHFWLRQVWDNLQJLQWRDFFRXQWZKHUHUHOHYDQWWKHVWUXFWXUDOUHYHUEHUDWLRQ
WLPHRIWKHHOHPHQWVLQYROYHG

,WFDQWKHUHIRUHEHGHGXFHGIURPPHDVXUHPHQWVRIWKHYLEUDWLRQOHYHOGLIIHUHQFH'YLMDQG'YMLRYHUDMXQFWLRQ
,Q JHQHUDO WKLV UHODWHV WR WKH QRW H[FLWHG VLGH RI VWUXFWXUDO HOHPHQW L
RXWVLGH
 DQG WKH UDGLDWLQJ VLGH RI
VWUXFWXUDO HOHPHQW M
LQVLGH
 IRU VXEVWDQWLDOO\ KRPRJHQHRXV FRQVWUXFWLRQV WKH VLGH RI WKH FRQVWUXFWLRQ LV
LUUHOHYDQWEXWQRWVRIRUGRXEOHOHDIFRQVWUXFWLRQV

,Q SULQFLSOH WKH VWUXFWXUDO UHYHUEHUDWLRQ WLPH LV WR EH GHWHUPLQHG IRU ERWK HOHPHQWV LQYROYHG +RZHYHU IRU
OLJKWZHLJKW GRXEOH HOHPHQWV OLNH WLPEHU IUDPH RU PHWDOVWXG ZDOOV WLPEHU IORRU FRQVWUXFWLRQV DQG RWKHU
HOHPHQWV ZLWK D KLJK LQWHUQDO ORVV IDFWRU JUHDWHU WKDQ  WKH VWUXFWXUDO UHYHUEHUDWLRQ WLPH QHHG QRW EH
PHDVXUHG DQG WKH HTXLYDOHQW DEVRUSWLRQ OHQJWK VKRXOG EH WDNHQ QXPHULFDOO\ HTXDO WR WKH DUHD RI WKH
HOHPHQW

127( $ VWDQGDUGL]HG PHDVXUHPHQW PHWKRG WR GHWHUPLQH WKLV TXDQWLW\ ZLOO EH JLYHQ LQ GRFXPHQW
SU(1,62 ,W LV SUREDEO\ IHDVLEOH WR DSSO\ WKH VWDQGDUGL]HG PHDVXUHPHQW PHWKRG DOVR LQ ILHOG VLWXDWLRQV WR
GHGXFHWKLVTXDQWLW\WRFKDUDFWHUL]HDMXQFWLRQ

)RU KRPRJHQHRXV HOHPHQWV WKH YLEUDWLRQ UHGXFWLRQ LQGH[ FDQ EH H[SUHVVHG LQ WKH VWUXFWXUHERUQH SRZHU
WUDQVPLVVLRQIDFWRUgLMIRUWKHWUDQVPLVVLRQRYHUWKHMXQFWLRQRIHOHPHQWVLDQGM

I F M I FL
. LM  OJ g LM   OJ  OJ g ML   OJ G% (
I UHI I UHI

ZKHUH

IF LVWKHFULWLFDOIUHTXHQF\LQ+HUW]

IUHI LVUHIHUHQFHIUHTXHQF\LQ+HUW]IUHI +]

)RU WKHVH W\SHV RI HOHPHQWV WKH YLEUDWLRQ UHGXFWLRQ LQGH[ FRXOG DOVR EH GHGXFHG IURP PHDVXUHG RU
FDOFXODWHGYDOXHVRIWKHSRZHUWUDQVPLVVLRQIDFWRU

( (PSLULFDOGDWD
)RUFRPPRQW\SHVRIMXQFWLRQVGDWDRQ.LMDUHJLYHQLQWKLVDQQH[GHSHQGLQJRQWKHPDVVSHUXQLWDUHDRI
WKHHOHPHQWVFRQQHFWHGDWWKHMXQFWLRQGHQRWHGDVPDQGP'DWDDUHRQO\DYDLODEOHIRUMXQFWLRQVZKHUH
WKHHOHPHQWVDWHLWKHUVLGHRIWKHMXQFWLRQLQWKHVDPHSODQHKDYHWKHVDPHPDVV7KHUHODWLRQVIRU.LM DUH
JLYHQDVIXQFWLRQRIWKHTXDQWLW\0GHILQHGDV

P
^L
0 OJ (
P
L

‹%6,
3DJH
(1

ZKHUH

P
L LVWKHPDVVSHUXQLWDUHDRIWKHHOHPHQWLLQWKHWUDQVPLVVLRQSDWKLMLQNLORJUDPVSHUVTXDUH
PHWUH

P
^L LV WKH PDVV SHU XQLW DUHD RI WKH RWKHU SHUSHQGLFXODU HOHPHQW PDNLQJ XS WKH MXQFWLRQ LQ
NLORJUDPVSHUVTXDUHPHWUH

127( 7KHFKRLFHRIWKHPDVVUDWLRIRU0LVDFWXDOO\DUELWUDU\IRUWUDQVPLVVLRQDURXQGWKHFRUQHUVLQFHWKHYLEUDWLRQ
UHGXFWLRQ LQGH[ LV WKH UHFLSURFDO RI WKH UHVXOW IRU WUDQVPLVVLRQ DURXQG WKH FRUQHU LV WKH VDPH IRU 0 OJPP RU
0 OJPP

7KHVH GDWD DUH GHGXFHG IURP JHQHUDOL]HG GDWD RQ WKH MXQFWLRQ YHORFLW\ OHYHO GLIIHUHQFHV DV DYDLODEOH IURP
OLWHUDWXUH 7KH RWKHU WHUPV LQ HTXDWLRQ   DUH HVWLPDWHG RQ WKH EDVLV WKDW WKH YLEUDWLRQ UHGXFWLRQ LQGH[
VKRXOG EH VXFK WKDW IRU DOO VWUXFWXUDO HOHPHQWV DQG ILHOG VLWXDWLRQV WKH HVWLPDWHG MXQFWLRQ YHORFLW\ OHYHO
GLIIHUHQFHVKRXOGRQDYHUDJHEHFRUUHFW7KLVUHVXOWHGJHQHUDOO\LQYDOXHVIRU.LM ZKLFKDUHG%ORZHUWKDQ
WKHFRUUHVSRQGLQJGLUHFWLRQDYHUDJHGMXQFWLRQYHORFLW\OHYHOGLIIHUHQFH,IRWKHUUHOHYDQWGDWDDUHDYDLODEOHRQ
WKH MXQFWLRQ YHORFLW\ OHYHO GLIIHUHQFH WKH VDPH DSSURDFK FRXOG EH XVHG WR GHGXFH YDOXHV IRU WKH YLEUDWLRQ
UHGXFWLRQLQGH[.LMIRUDSSOLFDWLRQRIWKHPRGHO

)RU WKH WLPH EHLQJ WKHUH DUH LQVXIILFLHQW GDWD DYDLODEOH WR GHGXFH YDOXHV GLUHFWO\ DFFRUGLQJ WR WKH JLYHQ
UHODWLRQ  

7KH WUDQVPLVVLRQ LV LQ JHQHUDO RQO\ VOLJKWO\ GHSHQGHQW RQ IUHTXHQF\ DW OHDVW LQ WKH IUHTXHQF\ UDQJH IURP
+] WR+] :KHUH SRVVLEOH DQ LQGLFDWLRQ LV JLYHQ RI WKH IUHTXHQF\ GHSHQGHQF\ LQ WKLV UDQJH WKH
IUHTXHQF\ WR EH DSSOLHG LV WKH FHQWUH IUHTXHQF\ RI WKH RQHWKLUG RFWDYH EDQG RU RFWDYH EDQG FRQVLGHUHG
2XWVLGHWKLVUDQJHWKHIUHTXHQF\HIIHFWFDQEHODUJHUHVSHFLDOO\ZLWKOLJKWZHLJKWFRQVWUXFWLRQV

,WLVLQGLFDWHGLQZKLFKFDVHVWKHHTXLYDOHQWDEVRUSWLRQOHQJWKRIWKHVWUXFWXUDOHOHPHQWVVKRXOGEHWDNHQDV
QXPHULFDOO\HTXDOWRDUHDRIWKHVHHOHPHQWV

)RU IOH[LEOH LQWHUOD\HUV WKH LPSURYHPHQW E\ WKH LQWHUOD\HU RYHU WKH ULJLG MXQFWLRQ LV FKDUDFWHUL]HG E\ D
IUHTXHQF\ IZKLFKGHSHQGVRQWKHVKHDUPRGXOXV*DQGWKLFNQHVVWRIWKHLQWHUOD\HUDQGWKHGHQVLW\r

DQGrRIWKHHOHPHQWVFRQQHFWHG7KLVIUHTXHQF\YDULHVDV *  W r r ( )
7KHJLYHQHVWLPDWHLQ ( LVD
JOREDO HVWLPDWH IRU VRPH W\SLFDO MXQFWLRQV FKDUDFWHUL]HG E\ (W RI DERXW01P ZKHUH ( LV WKH
PRGXOXVRIHODVWLFLW\ * ( DQGWWKHWKLFNQHVVRIWKHOD\HU

127( :RUN LV LQ SURJUHVV ZKLFK FRXOG PDNH LW SRVVLEOH WR LPSURYH WKHVH UHODWLRQV PDNLQJ WKHP PRUH JHQHUDOO\
DSSOLFDEOHIRUYDULRXVNLQGVRILQWHUOD\HUV

7KHPHDVXUHGGDWDVKRZDW\SLFDOVSUHDGDURXQGWKHJLYHQOLQHVRI“G%LQFUHDVLQJWR“G%IRUMXQFWLRQV
ZLWK OLJKWZHLJKW HOHPHQWV LQ VRPH FDVHV WKH GHYLDWLRQ FDQ EH PXFK ODUJHU GXH WR YDULDWLRQV LQ MXQFWLRQ
GHWDLOVDQGLQZRUNPDQVKLS

( /LPLWLQJYDOXHV
,I D IODQNLQJ HOHPHQW KDV LQVLJQLILFDQW RU QR VWUXFWXUDO FRQWDFWV ZLWK WKH VHSDUDWLQJ HOHPHQW RQO\.)I LV
UHOHYDQW.)GDQG.'IFDQEHJLYHQKLJKYDOXHVLQRUGHUWRPDNHWKRVHWUDQVPLVVLRQSDWKVQHJOLJLEOH,QWKH
FDVHRIDKRPRJHQHRXVIODQNLQJHOHPHQWWKHPLQLPXPYDOXHIRUWKHYLEUDWLRQUHGXFWLRQLQGH[LV.)I OJIF
G%ZLWKGRXEOHOHDIOLJKWZHLJKWHOHPHQWV.)I G%LVDUHDVRQDEOHPLQLPXPYDOXHLQWKHVHFDVHV$V
DORZHUOLPLWWKHYDOXHRI.LMFKRVHQVKRXOGUHVXOWLQ 'YLMVLWX  G%

‹%6,
3DJH
(1

5LJLGFURVVMXQFWLRQ

.     0   0  G%  G%  RFWDYH


(
.     0  .  G%  G%  RFWDYH

)LJXUH(

([DPSOHV

)LJXUH(

‹%6,
3DJH
(1

5LJLG7MXQFWLRQ

.     0  0  G%  G%  RFWDYH


(
.     0  .  G%  G%  RFWDYH

)LJXUH(

([DPSOHV

)LJXUH(

‹%6,
3DJH
(1

:DOOMXQFWLRQZLWKIOH[LEOHLQWHUOD\HUV

.  =  +  0 +  0  +D  G%

.  =  +  0 +  0  G%  ˆ .  ˆ - G% G%RFWDYH

.  =  +  0  + D  ( = .  ) G% (

I
D  =  OJ G% IRU I > I
I

(
I =  +] LI    01P   VHH WH[W
W

)LJXUH(

([DPSOHV

/HJHQG
 (ODVWLF
)LJXUH(

‹%6,
3DJH
(1

/LJKWZHLJKWIDoDGHMXQFWLRQ

.  =  +  0 G% DQG PLQLPXP  G%  G%  RFWDYH

.  =  +  0 ( = .  ) G%  G%  RFWDYH (

D IDFDGHVLWX = 6 IDFDGH  O R

)LJXUH(

([DPSOHV

)LJXUH(

‹%6,
3DJH
(1

-XQFWLRQRIOLJKWZHLJKWGRXEOHOHDIZDOODQGKRPRJHQHRXVHOHPHQWV

I
.  =  +  0 -  OJ G% DQG PLQLPXP  G%
IN

P
.  =  -  0 +  0 G% >   G%  RFWDYH (
P

I
.  =  +  0 +  OJ ( = .  )
IN

IN =  +] OLJKWZHLJK W ZDOOVLWX = 6 OLJKWZHLJKW ZDOO  OR

)LJXUH(

([DPSOHV

)LJXUH(

‹%6,
3DJH
(1

-XQFWLRQRIOLJKWZHLJKWFRXSOHGGRXEOHOHDIZDOOV

I
.  =  +  0 -  OJ G% DQG PLQLPXP  G%
IN

I
.  =  +  0 -  OJ G%( = .  ) (
IN

I N = +] VLWX = 6O R

)LJXUH(

([DPSOHV

)LJXUH(

‹%6,
3DJH
(1

&RUQHURUWKLFNQHVVFKDQJH

$ &RUQHU

.  =   0 -  G%DQGPLQLPXP - G% = .     G%  RFWDYH

% &KDQJH

.  =  0  -  G% = .     G%  RFWDYH (

)LJXUH(

‹%6,
3DJH
(1

$QQH[)
LQIRUPDWLYH

'HWHUPLQDWLRQRILQGLUHFWWUDQVPLVVLRQ

) /DERUDWRU\PHDVXUHPHQWRIWRWDOLQGLUHFWWUDQVPLVVLRQ
8QGHUWKHUHVWULFWLRQWKDWWKHWUDQVPLVVLRQFRQQHFWHGZLWKDIODQNLQJVWUXFWXUDOHOHPHQWLVGRPLQDWHGE\WKH
SDWK )I LW LV IHDVLEOH WR FKDUDFWHUL]H WKLV WUDQVPLVVLRQ E\ ODERUDWRU\ PHDVXUHPHQWV 7KLV ZLOO RIWHQ EH WKH
FDVHZLWKIODQNLQJFRQVWUXFWLRQVOLNHOLJKWZHLJKWHOHPHQWVVXVSHQGHGFHLOLQJVDFFHVVIORRUV,QWKHVHFDVHV
WKHWUDQVPLVVLRQFDQEHSULPDULO\VWUXFWXUHERUQHSULPDULO\DLUERUQHRUDFRPELQDWLRQRIERWK7RH[SUHVVWKH
UHVXOWVIURPVXFKPHDVXUHPHQWVLWZRXOGEHGHVLUDEOHWRXVHDQLQYDULDQWTXDQWLW\WKDWLVDTXDQWLW\ZKLFKLV
LQGHSHQGHQW RI WKH PHDVXUHPHQW VLWXDWLRQ )URP VXFK D TXDQWLW\ WKH EHKDYLRXU LQ WKH ILHOG FRXOG EH
H[WUDSRODWHG+RZHYHUVXFKDTXDQWLW\FDQQRWEHJLYHQLQJHQHUDOLWLVDWPRVWIHDVLEOHWRGHGXFHVXFKD
TXDQWLW\LIWKHPDLQWUDQVPLVVLRQPHFKDQLVPLVNQRZQLHSULPDULO\VWUXFWXUHERUQHRUSULPDULO\DLUERUQH

)RUWKHWLPHEHLQJWKHUHIRUHWKHODERUDWRU\PHDVXUHPHQWRILQGLUHFWWUDQVPLVVLRQKDVWKHSULPDU\REMHFWLYHRI
LQWHUFRPSDULVRQRIGLIIHUHQWSURGXFWVLQDVWDQGDUGL]HGPHDVXUHPHQWVLWXDWLRQ7KHPHDVXUHPHQWUHVXOWVDUH
IRUWKDWSXUSRVHH[SUHVVHGVXIILFLHQWO\DVDIODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFH'QIUHODWHGWRWKHVSHFLILHG
ODERUDWRU\VLWXDWLRQ

$
' Q I  / /   OJ  G%  $ R  P  )
$

ZKHUH

/ LVWKHDYHUDJHVRXQGSUHVVXUHOHYHOLQWKHVRXUFHURRPLQGHFLEHOV

/ LV WKH DYHUDJH VRXQG SUHVVXUH OHYHO LQ WKH UHFHLYLQJ URRP GXH RQO\ WR VRXQG WUDQVPLWWHG E\ WKH
FRQVLGHUHGIODQNLQJFRQVWUXFWLRQLQGHFLEHOV

$ LV WKH HTXLYDOHQW VRXQG DEVRUSWLRQ DUHD LQ WKH UHFHLYLQJ URRP LQ VTXDUH PHWUHV UHIHUHQFH
YDOXH$R P

)RUVXVSHQGHGFHLOLQJVWKLVLVPHDVXUHGLQDFFRUGDQFHZLWK(1WKHTXDQWLW\WKHUHEHLQJGHQRWHG
DV'QFDQGIRUDFFHVVIORRUVDFFRUGLQJWRSU(1,62/DERUDWRU\PHDVXUHPHQWVRIWKHUHGXFWLRQRI
WUDQVPLWWHG LPSDFW QRLVH E\ IORRU FRYHULQJV RQ D OLJKWZHLJKW IORRU )RU RWKHU IODQNLQJ FRQVWUXFWLRQV
PHDVXUHPHQWPHWKRGVDUHVSHFLILHGLQSU(1,62

,QWKHQH[WVHFWLRQVDSRVVLEOHDSSURDFKZLOOEHJLYHQIRUWKHXVHRIWKLVTXDQWLW\LQSUHGLFWLRQVVHSDUDWHO\IRU
DLUERUQHDQGVWUXFWXUHERUQH IODQNLQJ WUDQVPLVVLRQ

‹%6,
3DJH
(1

) ,QGLUHFWDLUERUQHWUDQVPLVVLRQ

,QWKHFDVHRIPDLQO\DLUERUQHWUDQVPLVVLRQWKHIROORZLQJUHODWLRQFDQEHXVHGWRGHWHUPLQHWKHQRUPDOL]HG
OHYHOGLIIHUHQFH'QVLQDILHOGVLWXDWLRQIURPWKHSURGXFWLQIRUPDWLRQ'QI VHH)LJXUH) 

)LJXUH),OOXVWUDWLRQRIWKHUHOHYDQWTXDQWLWLHVIRUWKHSUHGLFWLRQRILQGLUHFWDLUERUQHWUDQVPLVVLRQ

KSO O LM 6 FVODE 6 FUODE


'QV = 'QI +  OJ +  OJ & G% )
KODE O ODE 6 FV 6 FU

ZLWK

£ QRDEVRUELQJOLQLQJ

& =  G%

£ DEVRUELQJOLQLQJ

FR
& =  G% I ˆ  )
WD

6 FV 6 FU KODE F F R
& =  OJ G%  R < I <
6 FVODE 6 FUODE KSO WD PLQ KODE KSO ( )
6 FV 6 FU 
KODE F R
& =  OJ G% I ˜
6 FVODE 6 FUODE KSO (
PLQ KODE KSO )
ZKHUH

6FV6FU LVWKHDUHDRIWKHFHLOLQJLQWKHVRXUFHURRPDQGUHFHLYLQJURRPUHVSHFWLYHO\LQVTXDUHPHWUHV
LQWKHODERUDWRU\DVUHIHUHQFHZLWKWKHLQGH[
ODE
ZKLFKIRUWKH,62ODERUDWRU\FDQEHWDNHQ
DV6FVODE 6FUODE P

‹%6,
3DJH
(1

KSO LVWKHIUHHKHLJKWRIWKHSOHQXPDERYHWKHFHLOLQJLQPHWUHVLQWKHODERUDWRU\DVUHIHUHQFHWKLV
LVKODEZKLFKIRUWKH,62ODERUDWRU\FDQEHWDNHQDVKODE P

WD LVWKHWKLFNQHVVRIWKHDEVRUELQJOLQLQJLQWKHSOHQXPLQPHWUHV

FR LVWKHVRXQGVSHHGLQDLULQPHWUHVSHUVHFRQGFR PV

127( )RU WKH XVH RI WKLV DQG IXWXUH LPSURYHG UHODWLRQV LW DFWXDOO\ ZRXOG EH QHFHVVDU\ WR SHUIRUP DGGLWLRQDO
PHDVXUHPHQWV LQ WKH ODERUDWRU\ WR HVWDEOLVKHG WKDW LQGHHG WKH LQGLUHFW DLUERUQH WUDQVPLVVLRQ LV GRPLQDQW DQG WR
HVWDEOLVKDPRUHDFFXUDWHGLVFULPLQDQWIRUWKHDEVRUSWLRQLQWKHSOHQXP

127( 7KHIODQNLQJQRUPDOL]HGOHYHOGLIIHUHQFHZLOOQRUPDOO\UHODWHWRWKHFRPSOHWHIODQNLQJFRQVWUXFWLRQLQFOXGLQJ
WKHLQGLUHFWDLUERUQHWUDQVPLVVLRQWKURXJKDX[LOLDULHVVXFKDVDLULQOHWVDQGOLJKWIL[WXUHV+RZHYHULQWKLVFDVHLWFRXOGEH
FRQVWUXFWHGIURPVHSDUDWHGDWDRQWKHLQGLUHFWWUDQVPLVVLRQIRUWKHFHLOLQJDVVXFKDQGWKHDX[LOLDULHVDVVXFK

) )ODQNLQJWUDQVPLVVLRQ

,QFDVHRIPDLQO\VWUXFWXUHERUQHWUDQVPLVVLRQWKHIROORZLQJUHODWLRQFDQEHXVHGWRGHWHUPLQHWKHIODQNLQJ
VRXQGUHGXFWLRQLQGH[5)ILQDILHOGVLWXDWLRQIURPWKHSURGXFWLQIRUPDWLRQ'QI

6 V O ODE 7 V)ODE 7 VI ODE


5 )I = ' QI + OJ + OJ + OJ G% )
$ R O )I 7 V) 7 VI

7KHODVWWHUPVZLWKWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHDUHQHJOHFWHGLIWKHFRQVWUXFWLRQFRQFHUQHGKDVDKLJK
LQWHUQDOORVVIDFWRUVXFKDVVDQGZLFKZDOOVOLJKWZHLJKWGRXEOHOHDIZDOOV

127( )RUWKH XVH RI WKLV DQG IXWXUH LPSURYHG UHODWLRQV LW ZRXOG EH QHFHVVDU\ IRU VRPH W\SHV RI FRQVWUXFWLRQ WR
SHUIRUPDGGLWLRQDOODERUDWRU\PHDVXUHPHQWVWRHVWDEOLVKWKDWWKHVWUXFWXUHERUQHWUDQVPLVVLRQLVLQGHHGGRPLQDQW

) 'HWHUPLQDWLRQ RI LQGLUHFW DLUERUQH WUDQVPLVVLRQ IURP NQRZQ WUDQVPLVVLRQ IRU
WKHVHSDUDWHHOHPHQWVRIDV\VWHP

) +DOORUFRUULGRU

7KHQRUPDOL]HGOHYHOGLIIHUHQFH'QVIRUWUDQVPLVVLRQYLDKDOOVRUFRUULGRUVFDQEHHVWLPDWHGIURPHTXDWLRQ
) LIGLIIXVHVRXQGILHOGVLQWKHURRPVDQGWKHKDOOFDQEHDVVXPHGVHH)LJXUH)

)LJXUH),OOXVWUDWLRQRIWZRURRPVDORQJDFRUULGRUZLWKUHOHYDQWTXDQWLWLHV

‹%6,
3DJH
(1

$K $R
'QV = 'QK = 5 KV + 5 KU +  OJ + & GRRU SRVLWLRQ G% )
6 KV 6 KU

ZKHUH

5KV LVWKHVRXQGUHGXFWLRQLQGH[RIWKHZDOOEHWZHHQWKHKDOODQGWKHVRXUFHURRPLQGHFLEHOV

5KU LV WKH VRXQG UHGXFWLRQ LQGH[ RI WKH ZDOO EHWZHHQ WKH KDOO DQG WKH UHFHLYLQJ URRP LQ
GHFLEHOV

6KV LVWKHDUHDRIWKHZDOOEHWZHHQWKHKDOODQGWKHVRXUFHURRPLQVTXDUHPHWUHV

6KU LVWKHDUHDRIWKHZDOOEHWZHHQWKHKDOODQGWKHUHFHLYLQJURRPLQVTXDUHPHWUHV

$K LVWKHHTXLYDOHQWVRXQGDEVRUSWLRQDUHDRIWKHKDOOLQVTXDUHPHWUHV

&GRRUSRVLWLRQ LVDFRUUHFWLRQWHUPWRWDNHLQWRDFFRXQWWKHHIIHFWRIWKHRULHQWDWLRQRIWKHGRRUVWRHDFK
RWKHU

127( 7KHYDOXHIRUWKLVFRUUHFWLRQWHUPFDQEHHVWLPDWHGWREHEHWZHHQG%IRUGRRUVDWƒWRHDFKRWKHUDQG
OHVVWKDQPDSDUWWRG%IRUJUHDWHUGLVWDQFHVDQGRUSDUDOOHOSRVLWLRQV

7KH VRXQG UHGXFWLRQ LQGH[ RI WKH ZDOOV 5K IROORZV IURP WKH VRXQG UHGXFWLRQ LQGLFHV RI WKH GLIIHUHQW
FRPSRVLQJ HOHPHQWV 5KL VXFK DV WKH ZDOO LWVHOI GRRUV DQG ZLQGRZV LQFOXGLQJ VHDOV 1RUPDOO\ WKH VRXQG
UHGXFWLRQWRWKHKDOOLVGRPLQDWHGE\WKHGRRUVLQWKRVHZDOOVDQGWKHTXDOLW\RIWKHVHDOV

)RU KDOOV WKH DEVRUSWLRQ LV QRUPDOO\ GRPLQDWHG E\ WKH DUHD RI WKH RSHQLQJ WR WKH VWDLUZD\V IRU ORQJ
FRUULGRUV WKH SDUWV RI WKH FRUULGRU EH\RQG WKH URRPV XQGHU FRQVLGHUDWLRQ FDQ EH WDNHQ LQWR DFFRXQW DV
DEVRUSWLRQE\WKHRSHQFURVVVHFWLRQRIWKHFRUULGRU

) 9HQWLODWLRQV\VWHP

7KH QRUPDOL]HG OHYHO GLIIHUHQFH 'QV IRU WUDQVPLVVLRQ YLD YHQWLODWLRQ V\VWHPV FRXOG EH HVWLPDWHG IURP WKH
WUDQVPLVVLRQORVVWKURXJKWKHHOHPHQWVLQYROYHGVXFKDVEHQGVJULGVVLOHQFHUVDQGDUHDFKDQJHV7KLVLV
GLUHFWO\UHODWHGWRWKHHVWLPDWLRQRIWKHVRXQGOHYHOVGXHWRLQVWDOODWLRQ

‹%6,
3DJH
(1

$QQH[*
LQIRUPDWLYH

/DERUDWRU\ZHLJKWHGVRXQGUHGXFWLRQLQGH[LQFOXGLQJILHOGVLPXODWHG
IODQNLQJWUDQVPLVVLRQ
3UIVWDQGPLWEDXlKQOLFKHU
)ODQNHQEHUWUDJXQJ
',1

,Q*HUPDQ\WKHSUHGLFWLRQRIWKHSHUIRUPDQFHLQWKHILHOGLQDFFRUGDQFHZLWK',1LVEDVHGRQSURGXFW
LQIRUPDWLRQDERXWWKHVHSDUDWLQJHOHPHQWGHQRWHGDV5
ZZKLFKLVGHWHUPLQHGLQDVSHFLDOODERUDWRU\IDFLOLW\
LQZKLFKWKHIODQNLQJWUDQVPLVVLRQLVVLPXODWHGDVLWRFFXUVRQDYHUDJHLQWKHILHOGIRUDJLYHQW\SHRIEXLOGLQJ
FRQVWUXFWLRQ 7KLV DQQH[ JLYHV LQIRUPDWLRQ DERXW WKH ZD\ WR GHGXFH WKLV TXDQWLW\ 5
Z IURP WKH ZHLJKWHG
VRXQG UHGXFWLRQ LQGH[ 5Z RI WKH HOHPHQW LQ DFFRUGDQFH ZLWK (1,62 DQG YLFH YHUVD 7KLV DOORZV D
WUDQVLWLRQ SHULRG WR DSSO\ *HUPDQ 6WDQGDUGV RQ WKH EDVLV RI SURGXFW LQIRUPDWLRQ LQ DFFRUGDQFH ZLWK
(1,62 DQG (XURSHDQ 6WDQGDUGV RQ WKH EDVLV RI SURGXFW LQIRUPDWLRQ LQ DFFRUGDQFH ZLWK
',1

7KHFRQYHUVLRQIURP5ZWR5
ZLVGRQHE\

(
5
Z = -  OJ  - 5 Z  
+ 
- (5 )I Z + d )  
) G% *

7KHFRQYHUVLRQIURP5
ZWR5ZLVGRQHE\

- (5 )I Z + d )  
LI 5
Z ˆ 5 )I Z -  G% 5 Z = -  OJËÌ  - 5   ÛÜ G%

Z
-  *
Í Ý

LI 5 Z
> 5 )I Z -  G%  5 Z = 5 Z
+  G%

ZKHUH

5
Z LV WKH ZHLJKWHG DSSDUHQW VRXQG UHGXFWLRQ LQGH[ ZLWK ILHOGDOLNH IODQNLQJ WUDQVPLVVLRQ LQ
GHFLEHOV

5Z LVWKHZHLJKWHGVRXQGUHGXFWLRQLQGH[ZLWKRXWIODQNLQJWUDQVPLVVLRQLQGHFLEHOV

5)IZ LV WKH ZHLJKWHG IODQNLQJ VRXQG UHGXFWLRQ LQGH[ RI WKH ODERUDWRU\ DV WHVWHG ZLWK D OLJKWZHLJKW
GRXEOHOHDIVHSDUDWLQJHOHPHQWDFFRUGLQJWR',1LQGHFLEHOV

d LVWKHLQFUHDVHRIWKHZHLJKWHGIODQNLQJVRXQGUHGXFWLRQLQGH[RIWKHODERUDWRU\IDFLOLW\GXHWRD
KHDY\WHVWREMHFWLQGHFLEHOV

)RUWKHFRQYHUVLRQIURP5ZWR5
Z VHHHTXDWLRQ* WKHYDOXHIRU5)IZLVWREHWDNHQDV5)IZ G%

)RU WKH FRQYHUVLRQ IURP5


Z WR 5Z VHH HTXDWLRQ *  5)IZ LV WKH PHDVXUHG YDOXH IURP WKH WHVW IDFLOLW\ LQ
ZKLFK5
ZKDVEHHQREWDLQHGLIPHDVXUHGGDWDDUHQRWDYDLODEOHWKLVFDQEHWDNHQDOVRDV5)IZ G%

‹%6,
3DJH
(1

3URYLGHG DQ LGHDO 7MXQFWLRQ LH ULJLG FRQQHFWLRQ  EHWZHHQ WHVW REMHFW DQG WHVW IDFLOLW\ DQG DVVXPLQJ
GRPLQDQWIODQNLQJWUDQVPLVVLRQE\SDWK)IdFDQEHHVWLPDWHGE\

P I

<   d =  G%


P W

P I
P I

 ˆ ˆ  d =  -  OJ G% *


P W
P W

P I

>  d =  G%
P W

ZKHUH

P
W LVWKHPDVVSHUXQLWDUHDRIWKHWHVWREMHFWLQNLORJUDPVSHUVTXDUHPHWUH

P
I LV WKH DYHUDJHG PDVV SHU XQLW DUHD RI WKH IODQNLQJ HOHPHQWV RI WKH WHVW IDFLOLW\ LQ NLORJUDPV SHU
VTXDUHPHWUH

)RUWKHFRQYHUVLRQIURP5ZWR5
ZWKHYDOXHIRUP
ILVWREHWDNHQDVP
I NJP

)RUWKHFRQYHUVLRQIURP5
ZWR5ZWKHDYHUDJHGPDVVSHUXQLWDUHDP
ILVWKHDFWXDOYDOXHIRUWKHWHVWIDFLOLW\
LQZKLFK5
ZKDVEHHQREWDLQHG

,IQRULJLGFRQQHFWLRQH[LVWVEHWZHHQWHVWREMHFWDQGWHVWIDFLOLW\WDNHd G%

,QSUDFWLFHd G%LVDQDSSUR[LPDWLRQZKLFK\LHOGVDFRQYHUVLRQIRUERWKOLJKWZHLJKWDQGKHDY\VHSDUDWLQJ
HOHPHQWVZLWKDSUHFLVLRQZLWKLQWKHOLPLWVRI(1$FRXVWLFV0HDVXUHPHQWRIVRXQGLQVXODWLRQ
LQ EXLOGLQJV DQG RI EXLOGLQJ HOHPHQWV 3DUW 'HWHUPLQDWLRQ YHULILFDWLRQ DQG DSSOLFDWLRQ RI SUHFLVLRQ GDWD
,62  $QQH[% 

‹%6,
3DJH
(1

$QQH[+
LQIRUPDWLYH

&DOFXODWLRQH[DPSOHV

+ 6LWXDWLRQ

5RRPVQH[WWRHDFKRWKHUYROXPHVERWKPDQGGLPHQVLRQVLQPHWUHVHH)LJXUH+

.H\
$ *URXQGSODQ
% 6HFWLRQDOYLHZ

6HSDUDWLQJHOHPHQW
 :DOOP™P PPPFRQFUHWHNJP

)ODQNLQJHOHPHQWV LGHQWLFDORQERWKVLGHV 
 )DoDGH P™P PULJLG7MXQFWLRQ
PPFDOFLXPVLOLFDWHEORFNVNJP
 ,QWHUQDOZDOO P™P PFURVVMXQFWLRQZLWKHODVWLFOD\HU
PPJ\SVXPEORFNVNJP
 &HLOLQJ P™P PULJLGFURVVMXQFWLRQ
PPFRQFUHWHNJP
 )ORRU P™P PULJLGFURVVMXQFWLRQ
PPFRQFUHWHPPILQLVKNJP
 )OH[LEOHFRQQHFWLRQ

)LJXUH+

‹%6,
3DJH
(1

+ 'HWDLOHGPRGHO

+ 5HVXOWV

7KHUHVXOWLQJGLUHFWDQGIODQNLQJVRXQGUHGXFWLRQLQGLFHVDUHJLYHQSHUHOHPHQWSHUSDWKDQGWRWDOLQRFWDYH
EDQGV DQG DV ZHLJKWHG YDOXHV YDOXHV DUH URXQGHG WR WKH QHDUHVWG% 7KH GHWDLOV RI WKH FDOFXODWLRQ DUH
LOOXVWUDWHGIRUWKHYDOXHVXQGHUOLQHGLQSDUDJUDSK+DQG+

)UHTXHQF\ +] +] +] N+] N+] N+] 5Z


G%
5ZDOO 5G       
5'G       
5)G       
5)G       
5)G       
5)G       
5IORRU 5I       
5'I       
5)I       
5FHLOLQJ 5I       
5'I       
5)I       
5IDoDGH 5I       
5'I       
5)I       
5LQWHUQDOZDOO 5I       
5'I       
5)I       
7RWDO       

5
Z &&WU    G%VRIRULQVWDQFH5
Z& 5
$   G% $ 

+ 'HWDLOHGVWHSVIRUVHSDUDWLQJHOHPHQWIORRUDQGLQQHUZDOO

$VDQH[DPSOHWKHFDOFXODWLRQVDUHZRUNHGRXWIRUWKHVHSDUDWLQJHOHPHQWWKHIORRUDQGWKHLQWHUQDOZDOOIRU
FDOFXODWLRQVRIWKHVWUXFWXUDOUHYHUEHUDWLRQWLPHIRUWKH+]RFWDYHEDQG EROG VHH+

+ 7UDQVIHURILQSXWGDWDRIHOHPHQWVWRLQVLWXYDOXHV

3DUWLWLRQZDOOP NJPIF +]6 P

)UHTXHQF\    N N N +]


,QSXW 5V VHH$QQH[%       G%
&DOFXODWHG OJ 7VVLWX7VODE       G%
5HVXOW 5VVLWX>VHHHTXDWLRQ  @       G%

‹%6,
3DJH
(1

)ORRUP NJPIF +]6 POLM P

)UHTXHQF\    N N N +]


,QSXW 5I VHH$QQH[%       G%
&DOFXODWHG OJ 7VVLWX7VODE       G%
5HVXOW 5IVLWX>VHHHTXDWLRQ  @       G%

,QWHUQDOZDOOP NJPIF +]6 POLM P

)UHTXHQF\    N N N +]


,QSXW 5I VHH$QQH[%       G%
&DOFXODWHG OJ 7VVLWX7VODE       G%

5HVXOW 5IVLWX>VHHHTXDWLRQ  @       G%

+ 7UDQVIHURILQSXWGDWDRIMXQFWLRQVWRLQVLWXYDOXHV

)ORRUO)I P6) 6I P6V P

$QQH[(HTXDWLRQ ( ZLWKP


VP
I .)I G%.'I G%.)G G%

)UHTXHQF\    N N N +]


3DUWLWLRQ DVLWX>VHHHTXDWLRQ  @       G%
)ORRU DVLWX>VHHHTXDWLRQ  @       G%
(TXDWLRQ   'Y)I OJ G%
+] 'Y'I OJ    G%

'Y)G OJ    G%

,QWHUQDOZDOOO)I P6) 6I P6V P

$QQH[(HTXDWLRQ ( ZLWKP


VP
I .)I G%.'I G%.)G G%

)UHTXHQF\    N N N +]


3DUWLWLRQ DVLWX>VHHHTXDWLRQ  @       G%
,QWZDOO DVLWX>VHHHTXDWLRQ  @       G%
(TXDWLRQ   'Y)I OJ G%
+] 'Y'I OJ    G%

'Y)G OJ    G%

‹%6,
3DJH
(1

+ 'HWHUPLQDWLRQRIGLUHFWDQGIODQNLQJVRXQGWUDQVPLVVLRQHTXDWLRQV+]

3DUWLWLRQ GLUHFW 5'G 


IORRU 5)G  G%
,QWHUQDOZDOO 5)G  G%
)ORRU 5)I  G%
5'I  G%
,QWHUQDOZDOO 5)I  G%
5'I  G%

7KHURXQGHGYDOXHVDUHJLYHQLQWKHWDEOHZLWKUHVXOWVLQ+ EROG 

+ 6WUXFWXUDOUHYHUEHUDWLRQWLPHSDUWLWLRQZDOODW+]RFWDYH

&DOFXODWLRQVIRUWKLVRFWDYHEDQGZLWKI +] ORZHURQHWKLUGRFWDYHEDQG 

/DERUDWRU\

:LWKP
 NJDQGIF +]HTXDWLRQ & JLYHV aN 

:LWKhLQW s 6ODE PDQGSON PHTXDWLRQ & JLYHV hWRW WKXV

7VODE V WKHHVWLPDWLRQDFFRUGLQJWRHTXDWLRQ & ZRXOGJLYH7VODE V 

)LHOGERUGHUVZLWK

£ IORRU .LM DQGG%>VHHHTXDWLRQ ( @

WKXVHTXDWLRQ & JLYHVa 

£ FHLOLQJ .LM DQGG%>VHHHTXDWLRQ ( @

WKXVHTXDWLRQ & JLYHVa 

£ IDoDGH .LM DQGG%>VHHHTXDWLRQ ( @

WKXVHTXDWLRQ & JLYHVa 

£ LQWHUQDOZDOO .LM DQGG%>VHHHTXDWLRQ ( +]@

WKXVHTXDWLRQ & JLYHVa 

7KLVUHVXOWVLQ>VHHHTXDWLRQ & @hWRW DQG7VVLWX V

6RWKHWHUPVIRUWKHVRXQGUHGXFWLRQLQGH[DQGWKHMXQFWLRQWUDQVPLVVLRQDUH

£ SDUWLWLRQ OJ7VVLWX7VODE OJ G%

DVLWX P

‹%6,
3DJH
(1

)ROORZLQJWKHVDPHSURFHGXUHLWDOVRIROORZVWKDW

£ IORRU DVLWX P

£ LQWHUQDOZDOO DVLWX P

+ 6LPSOLILHGPRGHO
7KHVLPSOLILHGPRGHOLVDSSOLHGWRWKHVDPHVLWXDWLRQ

, 1 387 '$ 7$ (/(0(176 -81&7,216

P
5Z G% P
VP
I .)I G% .)G G% .'I G%
NJP  $QQH[% $QQH[(
:DOO V  
)ORRU ) I       
&HLOLQJ ) I       
)DoDGH ) I       
,QWHUQDOZDOO ) I       

5(68/76>HTXDWLRQV    @

:DOO 5'G G%

5G   G%

5G   G%

5G   G%

5G   G%

)ORRU 5'   G%

5   G%

&HLOLQJ 5'   G%

5   G%

)DoDGH 5'   G%

5   G%

,QWHUQDOZDOO 5'   G%

5   G%

7RWDO>HTXDWLRQ  @ 5¶Z  G% &FDG%

>HTXDWLRQ E @ 'Q7Z OJ> [ @   G%

‹%6,
3DJH
(1

$VDVHFRQGH[DPSOHDIORDWLQJIORRULVDGGHGERWKLQWKHVRXUFHDQGUHFHLYLQJURRP7KHVRXQGUHGXFWLRQ
LQGH[LPSURYHPHQWLVJLYHQDVD5Z G%

7KLVDIIHFWVWKHWUDQVPLVVLRQSDWKV)I)GDQG'IIRUWKHIORRU>HTXDWLRQ  @

D5Z  [  G%D5GZ G%DQGD5'Z G%

6RIRUWKHVHSDUDWLQJZDOODQGWKHIORRUWKHIROORZLQJWUDQVPLVVLRQVFKDQJH

:DOO 5G  G%

)ORRU 5'  G%

5  G%

$QGWKHWRWDOUHVXOWEHFRPHV

5
Z =    G% &FD - G%

'Q7 Z =  +  =    G%

‹%6,
3DJH
(1

%LEOLRJUDSK\

>@ &UHPHU / 7KHRULH GHU 6FKDOOGlPPXQJ GQQHU :lQGH EHL VFKUlJHP (LQIDOO $NXVW =HLWVFKULIW 
 

>@ &UHPHU / 0 +HFNO (( 8QJDU 6WUXFWXUH ERUQH VRXQG 6SULQJHU9HUODJ %HUOLQ 1HZ<RUN QG
HGLWLRQ

>@ ',16FKDOOVFKXW]LP+RFKEDX$QIRUGHUXQJHQXQG1DFKZHLVH',1%HUOLQ

>@ *HUUHWVHQ ( &DOFXODWLRQ RI VRXQG WUDQVPLVVLRQ EHWZHHQ GZHOOLQJV E\ SDUWLWLRQV DQG IODQNLQJ
VWUXFWXUHV$SSOLHG$FRXVWLFV  

>@ *HUUHWVHQ ( &DOFXODWLRQ RI DLUERUQH DQG LPSDFW VRXQG LQVXODWLRQ EHWZHHQ GZHOOLQJV $SSOLHG
$FRXVWLFV  

>@ *|VHOH . 8QWHUVXFKXQJHQ ]XU 6FKDOOOlQJVOHLWXQJ LQ %DXWHQ %HULFKWH DXV GHU %DXIRUVFKXQJ
+HIW  

>@ *XLGH4XDOLWHO$VVRFLDWLRQ4XDOLWHO3DULV

>@ +HFNO 0 'LH 6FKDOOGlPPXQJ YRQ KRPRJHQHQ (LQIDFKZDQGHQ HQGOLFKHU )OlFKH $FXVWLFD 
 

>@ +RPE$HD/\GLVROHUHQGHNRQVWUXNVMRQHU1%,

>@ -RVVH5DQG-/DPXUH7UDQVPLVVLRQGXVRQSDUXQHSDURLVLPSOH$FXVWLFD  

>@ /MXQJJUHQ6$LUERUQHVRXQGLQVXODWLRQRIWKLQZDOOV-$6$  

>@ /MXQJJUHQ6$LUERUQHVRXQGLQVXODWLRQRIWKLFNZDOOV-$6$  

>@ 0DLGDQLN*5HVSRQVHRIULEEHGSDQHOVWRUHYHUEHUDQWDFRXVWLFILHOGV-$6$  

>@ 0HFKHO)36FKDOO/lQJVGlPPXQJYRQ8QWHUGHFNHQ:.6%=HLWVFKULIWIU:lUPH.lOWH6FKDOO
XQG%UDQGVFKXW]VSHFLDOLVVXH$XJXVW

>@ g1250%6FKDOOVFKXW]XQG5DXPDNXVWLNLP+RFKEDX21:LHQ

>@ 6HZHOO (& 7UDQVPLVVLRQ RI UHYHUEHUDQW VRXQG WKURXJK D VLQJOHOHDI SDUWLWLRQ VXUURXQGHG E\ DQ
LQILQLWHULJLGEDIIOH-RXUQDORI6RXQGDQG9LEUDWLRQ  

>@ *HUUHWVHQ((XURSHDQGHYHORSPHQWVLQSUHGLFWLRQPRGHOVIRUEXLOGLQJDFRXVWLFV$FWD$FXVWLFD
 

>@ 1RYDN5$5DGLDWLRQIURPSDUWLDOO\H[FLWHGSODWHV$FWD$FXVWLFD  

>@ ',1%DXDNXVWLVFKH3UIXQJHQ/XIWXQG7ULWWVFKDOOGlPPXQJ',1%HUOLQ

‹%6,
BS EN |
|
12354-1:2000 |
|
|
|
|
|
|
BSI Ð British Standards Institution
|
|
|
|
|
|
| BSI is the independent national body responsible for preparing British Standards. It
|
| presents the UK view on standards in Europe and at the international level. It is
| incorporated by Royal Charter.
|
|
| Revisions
|
|
| British Standards are updated by amendment or revision. Users of British Standards
|
| should make sure that they possess the latest amendments or editions.
|
|
| It is the constant aim of BSI to improve the quality of our products and services. We
|
| would be grateful if anyone finding an inaccuracy or ambiguity while using this
| British Standard would inform the Secretary of the technical committee responsible,
|
| the identity of which can be found on the inside front cover. Tel: 020 8996 9000.
|
| Fax: 020 8996 7400.
|
|
| BSI offers members an individual updating service called PLUS which ensures that
|
| subscribers automatically receive the latest editions of standards.
|
|
| Buying standards
|
| Orders for all BSI, international and foreign standards publications should be
|
| addressed to Customer Services. Tel: 020 8996 9001. Fax: 020 8996 7001.
|
|
| In response to orders for international standards, it is BSI policy to supply the BSI
|
| implementation of those that have been published as British Standards, unless
|
| otherwise requested.
|
|
| Information on standards
|
| BSI provides a wide range of information on national, European and international
|
| standards through its Library and its Technical Help to Exporters Service. Various
|
| BSI electronic information services are also available which give details on all its
|
| products and services. Contact the Information Centre. Tel: 020 8996 7111.
|
| Fax: 020 8996 7048.
|
|
| Subscribing members of BSI are kept up to date with standards developments and
| receive substantial discounts on the purchase price of standards. For details of
|
| these and other benefits contact Membership Administration. Tel: 020 8996 7002.
|
| Fax: 020 8996 7001.
|
|
| Copyright
|
|
| Copyright subsists in all BSI publications. BSI also holds the copyright, in the UK, of
|
| the publications of the international standardization bodies. Except as permitted
| under the Copyright, Designs and Patents Act 1988 no extract may be reproduced,
|
| stored in a retrieval system or transmitted in any form or by any means ± electronic,
|
| photocopying, recording or otherwise ± without prior written permission from BSI.
|
|
| This does not preclude the free use, in the course of implementing the standard, of
|
| necessary details such as symbols, and size, type or grade designations. If these
|
| details are to be used for any other purpose than implementation then the prior
| written permission of BSI must be obtained.
|
|
| If permission is granted, the terms may include royalty payments or a licensing
|
| agreement. Details and advice can be obtained from the Copyright Manager.
|
| Tel: 020 8996 7070.
|
|
|
|
|
|
|
|
|
BSI |
|
389 Chiswick High Road |
|
London |
|
W4 4AL |
|
|
|
|
|
|

You might also like