• No results found

powadima

N/A
N/A
Protected

Academic year: 2020

Share "powadima"

Copied!
58
0
0

Loading.... (view fulltext now)

Full text

(1)

7HFKQLRQ

±

,VUDHO,QVWLWXWHRI7HFKQRORJ\

6WHSKHQDQG1DQF\*UDQG:DWHU5HVHDUFK,QVWLWXWH

32:$',0$±)LQDO5HSRUW

8UL6KDPLU(ODG6DORPRQV$OH[DQGHU*RU\DVKNR

-DQXDU\

,QWURGXFWLRQ

7KHDLPRIWKH32:$',0$32WDEOH:$WHU',VWULEXWLRQ0$QDJHPHQWSURMHFWLVWR GHYHORS D SURWRW\SH UHDOWLPH RSWLPDOFRQWURO V\VWHP IRU D ODUJH ZDWHU GLVWULEXWLRQ QHWZRUN7KHSURMHFWZDVFRQGXFWHGGXULQJWKH\HDUVIRUWKH(XURSHDQ8QLRQ XQGHULWV)LIWK3URJUDPDVDFROODERUDWLYHSURMHFWRIIRXU8QLYHUVLWLHVDQGWKHLUZDWHU FRPSDQ\VXEFRQWUDFWRUVVHHZHESDJHKWWSZZZQFODFXNSRZDGLPD

ƒ 7KH8QLYHUVLW\RI1HZFDVWOHXSRQ7\QH8. 3URIHVVRU'HUHN-DPLHVRQ±3URMHFW&RRUGLQDWRU 7KDPHV:DWHU±HYDOXDWLRQRIWKH6&$'$V\VWHPV

ƒ *UDQG :DWHU 5HVHDUFK ,QVWLWXWH 7HFKQLRQ±,VUDHO ,QVWLWXWH RI 7HFKQRORJ\

3URI8UL6KDPLU±7HDP/HDGHU

6XEFRQWUDFWRU'HSDUWPHQWRI:DWHU6HZDJHDQG'UDLQDJH+DLID0XQLFLSDOLW\ <DURQ%HQ$UL'LUHFWRU

ƒ 8QLYHUVLGDG3ROLWHFQLFDGH9DOHQFLD 3URI)HUQDQGR0DUWLQH]±7HDP/HDGHU

6XEFRQWUDFWRU$JXDVGH9DOHQFLDVXEFRQWUDFWRU

ƒ 8QLYHUVLWDGHJOL6WXGLGL)HUUDUD,WDO\ 3URIHVVRU0DUFR)UDQFKLQL±7HDP/HDGHU 6XEFRQWUDFWRU0(7$&DVWHOIUDQFR(PLOLD

(2)

3DFNDJHGXULQJWKHSURMHFWGXUDWLRQ7KHUHSRUWLVDOVRWRVHUYHDVLQSXWWRWKH ILQDOUHSRUWRIWKHSURMHFWDVDZKROH

7KH+DLID$1HWZRUNDQG3UREOHP)RUPXODWLRQ

+DLIDLVDSRUWFLW\LQWKHQRUWKRI,VUDHOZLWKDSRSXODWLRQRIDERXW,WFRYHUVD WRSRJUDSK\WKDWULVHVUDSLGO\IURPVHDOHYHOWRHOHYDWLRQVDERYHPHWHUV7KH+DLID FLW\ZDWHUGLVWULEXWLRQV\VWHPLVIHGIURPWKUHHFRQQHFWLRQVWRWKHQDWLRQDOZDWHUV\VWHP RSHUDWHGE\0HNRURW,VUDHO1DWLRQDO:DWHU&RPSDQ\7KHDQQXDOZDWHUVXSSO\WRWKH FLW\LVDERXWPFP7KHUHDUHDERXWNPRIPDLQSLSHVWDQNVZLWKDWRWDOYROXPH RIDERXWP SXPSLQJVWDWLRQVDQGVRPHSUHVVXUH]RQHVGXHWRWKHYHU\

SURQRXQFHGWRSRJUDSK\$0DVWHU3ODQLVEHLQJSUHSDUHGIRUWKHHQWLUHFLW\VQHWZRUN EXWWKHUHVWLOOLVQRK\GUDXOLFPRGHODYDLODEOHIRUWKHV\VWHP

$ SRUWLRQ RI WKH V\VWHP ± FDOOHG +DLID$ VKRZQ LQ )LJXUH ZDV VHOHFWHGIRU WKLV VWXG\7KLVSDUWRIWKHV\VWHPZDVVHOHFWHGIRUWKHIROORZLQJUHDVRQV

x ,WLVGHILQHGGLVWLQFWO\E\LWVVXSSO\SRLQWV

x ,WKDVOLPLWHGLQIOXHQFHRQRWKHUSDUWVRIWKHV\VWHP

x 0RVWRIWKHUHTXLUHGLQIRUPDWLRQLVDYDLODEOH

x 7KHRQJRLQJXSJUDGHRIWKHFLW\V6&$'$KDVEHJXQLQWKLVDUHD

x +DLID$ LV LQWHUHVWLQJ HQRXJK IRU RXU SXUSRVHV LQ WKH 32:$',0$ SURMHFW

7KH+DLID$QHWZRUNLVVKRZQLQ)LJXUH,WFRQWDLQVWKHVXSSO\SRLQWVWKHPDLQIHHGHU OLQHVL[SUHVVXUH]RQHVZLWKWKHLUWDQNVDQGDERXWRIWKHFLW\GLVWULEXWLRQQHWZRUN 6HHDOVRDVFKHPDWLFRI+DLID$LQDODWHUVHFWLRQ

7KH+DLID$QHWZRUNLVORFDWHGRQWKHZHVWHUQDQGQRUWKZHVWHUQVLGHRIWKHFLW\,WLVIHG IURP WZR PDMRU SXPSLQJ VWDWLRQV 9DGL5LVKD LQ WKH VRXWK DQG 2ILU LQ WKH QRUWKDQG VHUYHVDSRSXODWLRQRIDERXW7KHSHDNGDLO\FRQVXPSWLRQRYHUWKH\HDULVDERXW PGD\ZKLOHWKHDYHUDJHGDLO\FRQVXPSWLRQLVDERXWPGD\7KHSHDN

KRXUO\GHPDQGLVHVWLPDWHGWREHDERXWRIWKHSHDNGDLO\GHPDQGPK7KH

WRWDOVWRUDJHLVPZKLFKLVRIWKHSHDNGDLO\FRQVXPSWLRQ

(3)

)LJXUH+DLID$QHWZRUNOD\RXW

/D\RXWK\GUDXOLFHOHPHQWVDQGGDWD

(4)

0DQDJHPHQW$UHDV'0$V±VHHEHORZ7KHWDQNVKDYHDWRWDOVWRUDJHRIP

7DQNVDUHORFDWHGLQDOOVL[SUHVVXUH]RQHVEXWPRVWRIWKHVWRUDJHP LVORFDWHG

LQWKHORZHVW]RQH'0$7KHDGGLWLRQDOPDUHVSUHDGRYHUWKHRWKHUSUHVVXUH

]RQHVDVVKRZQLQ7DEOH

7DEOH7DQNVLQWKH+DLID$1HWZRUN

1XPEHU 1DPH %RWWRP(OHYDWLRQP +HLJKWP 9ROXPHP

3XD 0DKDQH'DYLG 0DKDQH'DYLG 0DUNXV 6KSULQ]DN 6WHOD0DULV 3HOHJ 0HLU 5DPDW6KDXO 7RWDO 7KHUHDUHSXPSLQJXQLWVJURXSHGLQSXPSLQJVWDWLRQVDVVKRZQLQ7DEOH 7DEOH3XPSVLQWKH+DLID$1HWZRUN

1XPEHU 6WDWLRQ (OHFWULFLW\FRQQHFWLRQ$ 3XPS 3RZHU+3

9DGL5LVKD ;

UHVHUYH

UHVHUYH

0DKDQH'DYLG ;

6KSULQ]DN ;

$QLOHYLFK] ;

UHVHUYH

2ILU ;

UHVHUYH

$V FDQ EH VHHQ IURP 7DEOH WKH SXPSLQJ XQLWV LQ HDFK SXPSLQJ VWDWLRQ DUH QRW DOO LGHQWLFDOVRHDFKLVPRGHOHGVHSDUDWHO\DQGWKH\FDQQRWEHJURXSHG,QVRPHSXPSLQJ VWDWLRQVWKHUHDUHUHVHUYHSXPSVIRUFDVHVZKHQDZRUNLQJSXPSIDLOVRUIRUWKHRSWLRQRI F\FOLQJEHWZHHQWKHSXPSV

(5)

7KHUHDUHQRFRQWUROOHGYDOYHVLQWKHV\VWHP7KHUHLVDYDOYHOLQNLQWKH(3$1(7 K\GUDXOLFPRGHOWKDWFORVHVZKHQ0DKDQH'DYLGSXPSLQJVWDWLRQLVVZLWFKHGRQ)RU PRGHOLQJSURSRVHVWKLVFRQWUROYDOYHZDVUHPRYHGDQGD359ZDVHQWHUHGOLQN9LQ WKHPRGHO7KHRSWLPL]DWLRQGHVLJQSURFHVVLQFOXGHVWKLVYDOYHDVDGHFLVLRQYDULDEOHIRU HDFKKRXU

7KHQHWZRUNFRYHUVGHPDQGPDQDJHPHQWDUHDV'0$VDVVKRZQLQ7DEOH'0$ LVVXSSOLHGIURPWKHWZRVRXUFHVDQGLQWXUQVXSSOLHVZDWHUWRWKHRWKHUILYH'0$V

7DEOH'HPDQG0DQDJHPHQW$UHDV'0$V

'0$QXPEHU '0$QDPH 3XPSLQJLQ 3XPSLQJRXW 5DPDW6KDXO 9DGL5LVKD

2ILU $QLOHYLFK]6KSULQ]DN 0DKDQH'DYLG

0DUNXV 0DKDQH'DYLG

0DKDQH'DYLG 0DKDQH'DYLG

6KSULQ]DN 6KSULQ]DN

3HOHJ 6KSULQ]DN

3XD $QLOHYLFK]

7KHWRWDOGDLO\GHPDQGIRUDSHDNGHPDQGGD\RI+DLID$LVDERXWPGD\7KH

WRWDOFRQVXPSWLRQLVDOORFDWHGDPRQJWKH'0$VDVVKRZQLQ7DEOHDQGZLWKLQHDFK '0$HTXDOO\DPRQJLWVQRGHVZKLFKDUHOLVWHGLQ7DEOH

7DEOH'0$V3HDN'D\'HPDQGVDQG/LVWRI1RGHVLQHDFK'0$ '0$

1XPEHU 3HDN'DLO\GHPDQGPGD\ 'HPDQGQRGHV

7RWDO

&XUUHQWRSHUDWLQJURXWLQH

(6)

WU\DQGUHGXFHWKHRSHUDWLQJFRVW$Q(3$1(7PRGHOZLWKWKHVHVLPSOHFRQWUROUXOHVLQ LWZDVFRQVWUXFWHG,WKDVEHHQXVHGWRFRPSDUHWKHRSWLPL]DWLRQUHVXOWVZLWKWKHFXUUHQW RSHUDWLRQFRVWVZKLFKLVGRQHLQ:RUN3DFNDJHEHORZ

&RQVWUDLQWV

7KHIROORZLQJFRQVWUDLQWVDUHWREHFRQVLGHUHGLQWKHRSWLPDORSHUDWLRQGHVLJQ

x

$ PLQLPXPSUHVVXUHRIPHWHUVVKRXOGEHPDLQWDLQHGDWDOOGHPDQGQRGHV

x

0LQLPXP DQG PD[LPXP WDQN OHYHOV 7KH RSHUDWRUV ZLVK WR NHHS WKH ZDWHU

OHYHOLQWKH WDQNVZLWKLQVRPH UDQJH 7KHVH FRQVWUDLQWV DUH WR NHHSVWRUDJHIRU HPHUJHQF\XVHVVXFKDVILUHILJKWLQJDQGWRDYRLGZDVWHRIVSLOOLQJZDWHUIURP WKH WDQNV DQG WR DEVRUE WKH HIIHFWV RI FRPPXQLFDWLRQ GHOD\V DQG HUURUV LQ WKH 6&$'$ V\VWHP +RZ WKHVH OLPLWV DUH GHWHUPLQHG LV QRW H[SOLFLW DQG ZH KDYH VLPSO\DFFHSWHGWKHYDOXHVDVJLYHQ$QHYDOXDWLRQRIWKHWUDGHRIIEHWZHHQWKH VDIHW\PDUJLQVHPHUJHQF\VWRUDJHDWWKHERWWRPIUHHVSDFHWRDYRLGVSLOODWWKH WRSDQGHQHUJ\FRVWFRXOGEHWKHVXEMHFWRIDQRWKHUVWXG\

(7)

7KHIROORZLQJ³DP´FRQVWUDLQWVZHUHXVHG

7DEOH0LQLPXP/HYHOV5HTXLUHGLQ7DQNVDW³DP´ 1XPEHU 1DPH ³DP´OHYHOP

3XD

0DKDQH'DYLG

0DKDQH'DYLG

0DUNXV

6KSULQ]DN

6WHOD0DULV

3HOHJ

0HLU

5DPDW6KDXO

x

(QHUJ\7KHFDSDFLW\RIWKHHOHFWULFLW\FRQQHFWLRQLQVRPHSXPSLQJVWDWLRQVLV OLPLWHG)RUH[DPSOHWKHFRQQHFWLRQDW³6KSULQ]DN´VWDWLRQLV;$PSHUHV7KLV PHDQVWKDWRQO\SXPSLQJXQLWVZLWKDWRWDORIDERXW+3FDQEHRSHUDWHGDWDQ\ JLYHQWLPH$WWKLVVWDWLRQWKHUHDUHSXPSVZLWKDWRWDOFDSDFLW\RI+3VRWKH RSWLPL]DWLRQ ZLOO VHHN IRU HDFK WLPH WKH EHVW FRPELQDWLRQ RI SXPSV ZLWKLQ WKLV FRQVWUDLQW

:RUN3DFNDJH8VHRIDQ$11WR5HSOLFDWHD6LPXODWRURIWKH:DWHU

'LVWULEXWLRQ1HWZRUN

7KH REMHFWLYH RI :3 DV VWDWHG LQ WKH SURMHFW SURSRVDO ZDV WR XVH RI DQ $11 WR UHSOLFDWHERWKZDWHUTXDQWLW\DQGTXDOLW\DVSHFWVRIDK\GUDXOLFVLPXODWLRQPRGHODQGLWV DSSOLFDWLRQWRWKHH[SHULPHQWDOQHWZRUNV$VWKHSURMHFWSURJUHVVHGZDWHUTXDOLW\ZDV GURSSHGDQGHPSKDVLVZDVSODFHGRQZDWHUTXDQWLW\DQGVDYLQJRIHQHUJ\FRVWV

,Q RUGHU WR JDLQ H[SHULHQFH ZLWKWKH GHYHORSPHQWRI DQ$11IRU D ZDWHU GLVWULEXWLRQ V\VWHPWKHILUVWSKDVHZDVWRGRVRIRUWKHVLPSOH$Q\7RZQQHWZRUN:DOVNL ,QLWLDOH[SHULPHQWDWLRQLQGLFDWHGWKDWWKLV QHWZRUNLQLWVRULJLQDO IRUPGLGQRW SURYLGH VXIILFLHQWGLYHUVLW\RIIXQFWLRQIRUWKHSXUSRVHRIWHVWLQJWKHVXLWDELOLW\RIDQ$116RPH PRGLILFDWLRQVZHUHWKHUHIRUHLQWURGXFHGLQWKHPRGHORIWKHQHWZRUNDQGWKHUHVXOWLQJ PRGHOZDVFDOOHG$Q\7RZQ0RGLILHG$707KHGHWDLOVRIWKLVPRGHOWKH$11DQG WKHUHVXOWVREWDLQHGZLWKLWZLOOEHGHVFULEHGEHORZ

(8)

VHUYHLQDSDUWLFXODUUROHQDPHO\WRUHSODFHWKHVLPXODWRULQDUHDOWLPHRQOLQHFRQWURO V\VWHP:HWKHUHIRUHUHTXLUHWKH$11WRVDWLVI\WZRFULWHULD

,W LV PRUH FRPSXWDWLRQDOO\ HIILFLHQW WKDQ WKH VLPXODWRU LW UHSODFHV ZKLFK LV (3$1(7 LQ RXU FDVH 7KH $11V FRPSXWDWLRQ WLPH PXVW EH VXFK WKDW WKH RSWLPL]DWLRQIRUWKHRSHUDWLRQSODQQLQJKRUL]RQVHHEHORZLVDFFHSWDEOH

,WLVVXIILFLHQWO\DFFXUDWHDQGUREXVWWRVHUYHDVDQHPXODWRURI(3$1(7LQWKH FRQWH[WRIWKHRSWLPL]DWLRQVFKHPHIRURSHUDWLRQRIWKHQHWZRUNRYHUDSODQQLQJ KRUL]RQRIRQHGD\DKHDGSRVVLEO\VRPHZKDWORQJHUWRGHDOVXFFHVVIXOO\ZLWKWKH LVVXHRIHQGVWDWHVHHEHORZ

6LQFHWKHRSWLPL]DWLRQURXWLQHLVEDVHGRQD*HQHWLF$OJRULWKPWKHQHWZRUNVLPXODWRURU LWVUHSODFHPHQW$11KDVWREHUXQYHU\PDQ\WLPHVIRUHDFKRSWLPL]DWLRQLQWKHFDVHRI +DLID$EHWZHHQDQGWLPHVIRUHDFKRSWLPL]DWLRQSRSXODWLRQVL]H EHWZHHQDQGJHQHUDWLRQVLHHYHU\KRXU$VLPXODWRUVXFKDV(3$1(7 ZRXOGWDNHPRUHFRPSXWDWLRQWLPHWKDQFDQEHDOORZHG

$11DUFKLWHFWXUH

,WVKRXOGEHHPSKDVL]HGWKDWWKHUHLVQRVWDQGDUGZD\RIFRQVWUXFWLQJWKHDUFKLWHFWXUH RI$11VQRUDUHWKHUHIL[HGZD\VIRUVHOHFWLQJWKHVHWRIWUDLQLQJDQGWHVWLQJGDWD DQGIRUFKRRVLQJWKHWUDLQLQJDOJRULWKP7KHVHFKRLFHVPXVWEHJXLGHGE\DQLQWLPDWH IDPLOLDULW\ZLWKWKHV\VWHPEHLQJPRGHOHGDQGWKHDSSOLFDWLRQIRUZKLFKWKH$11LV WREHXVHG

%DVHG RQ H[SHULHQFH ZLWK DQ (3$1(7 PRGHO RI WKH +DLID$ QHWZRUN WKH LQSXW RXWSXWVWUXFWXUHVKRZQLQ)LJXUHZLWKLQSXWYDULDEOHVDQGRXWSXWYDULDEOHV OLVWHGLQDODWHUVHFWLRQZDVVHOHFWHGIRUWKH$11

)LJXUH,QSXW2XWSXW6WUXFWXUHRIWKH+DLID$$11

^

^

2XWSXWV

^

^

^

3XPSLQJVWDWHVW

7DQNVOHYHOW

'HPDQGVW

9DOYHVVHWWLQJVW

`

3XPSVHQHUJ\W

`

7DQNVOHYHOW

(9)

7KLVLVDIHHGIRUZDUG$11LHLWSURGXFHVWKHRXWSXWE\PRYLQJDKHDGIURPWKHLQSXW WKURXJKWKHQHWZRUN7KH$11KDVDVLQJOHKLGGHQOD\HU7KHQXPEHURIQRGHVLQWKLV OD\HULVYDULHGGXULQJWKHH[SHULPHQWDWLRQEHWZHHQDQGDVZLOOEHGHVFULEHGODWHU

$V D UXOH LW LV XVHIXOWRVFDOHWKH LQSXWVDQG RXWSXWVVR WKDW WKH\DOZD\V IDOO ZLWKLQD VSHFLILHGUDQJH±XVXDOO\>@RU>@,QILUVWFDVH>@DVLJPRLGDFWLYDWLRQIXQFWLRQLV XVHGIRUWKHQHXURQ

IV6 H[SD6

)RUWKHUDQJH>@WKHVLJPRLGLVWKHVDPHDVWKHK\SHUEROLFWDQJHQWDFWLYDWLRQIXQFWLRQ M6 H[SD6H[SD6H[SD6H[SD6

,QDQG6 ¦LZL[L EZL LVWKHZHLJKWRIWKHFRQQHFWLRQLWRQHXURQDQGELVWKH

QHXURQELDV

2WKHUVXLWDEOHUDQJHVDQGIXQFWLRQVFDQDOVREHXVHG7KHUHDVRQIRUWKHFKRLFHRIWKH VLJPRLG RUK\SHUEROLFWDQJHQW IXQFWLRQVLVWKDWWKH\ DUHVTXDVKLQJIXQFWLRQV ± VLQFH WKHLUVORSHDSSURDFKHV]HURDVWKHLQSXWJHWVODUJHWKH\FRPSUHVVDQLQILQLWHLQSXWUDQJH LQWRDILQLWHRXWSXWUDQJH:KLOHWKLVLVDGHVLUDEOHSURSHUW\LWFDXVHVDSUREOHPZKHQD VWHHSHVWGHVFHQWDOJRULWKPLVXVHGWRWUDLQWKH$11VLQFHWKHJUDGLHQWFDQEHYHU\VPDOO ZKLFK UHVXOWV LQ VPDOO FKDQJHV LQ WKH ZHLJKWV DQG ELDVHV HYHQ ZKHQWKH ZHLJKWV DQG ELDVHVDUHIDUIURPWKHLURSWLPDOYDOXHV$SRVVLEOHZD\RIDYRLGLQJWKLVHIIHFWLVWROLPLW WKHUDQJHRIRXWSXWVWR>GHOWDGHOWD@ZKHUHGHOWDLVDVPDOOQXPEHUIRUH[DPSOH

$QRWKHUDSSURDFKIRUVFDOLQJQHWZRUNLQSXWVDQGRXWSXWVLVWRQRUPDOL]HWKHPHDQDQG VWDQGDUGGHYLDWLRQRIWKHWUDLQLQJVHWVRWKDWWKH\ZLOOKDYH]HURPHDQDQGXQLW\VWDQGDUG GHYLDWLRQ8QIRUWXQDWHO\WKHUHLVQRVLQJOH³FRUUHFW´VFDOLQJSURFHGXUHDQGWKHXOWLPDWH WHVWLVZKHWKHUWKHQHWZRUNLVVXFFHVVIXO

7UDLQLQJDQG7HVWLQJ

(10)

,Q WKH WUDLQLQJ SKDVH D VHW RI LQSXW DQG FRUUHVSRQGLQJ RXWSXW YHFWRUV LV XVHG ,Q WKH WHVWLQJ SKDVH DQRWKHU VHW RI LQSXW YHFWRUV LV XVHG WR JHQHUDWH RXWSXWV ZKLFK DUH FRPSDUHGZLWKWKHNQRZQRXWSXWV(UURUPHDVXUHVDUHFRPSXWHGLQERWKSKDVHV

$113HUIRUPDQFH

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

7KXVWKHWUXHYDOXHRIDQ$11LVHVWDEOLVKHGRQO\LQWKHFRQWH[WRIWKLVXVHIRUZKLFKLW LVGHVLJQHG0RUHSUHFLVHO\WKHDEVROXWHDFFXUDF\RIDQ$11LQLWVHOILVQRWDVLPSRUWDQW DVWKHWHVWZKHWKHULWLVDFFXUDWHHQRXJKUREXVWDQGIDXOWWROHUDQWLQVLPXODWLQJWKHUHDO V\VWHPLQWKHFRQWH[WRIWKH*$RSWLPL]DWLRQ6WLOOWKHDFFXUDF\RIWKH$11LWVHOIVKRXOG H[FHHG VRPH WKUHVKROG OHYHO RWKHUZLVH LW PD\ SHUIRUP SRRUO\ 2XU H[SHULHQFH ZLWK +DLID$LQGLFDWHVWKDWDQ506(VHHGHILQLWLRQEHORZRILVDPLQLPXP

'HYHORSLQJDQ$11LVEDVLFDOO\DKHXULVWLFSURFHVVLQWKHVHQVHWKDWLWLVVRPHZKDWRIDQ DUW([SHULHQFHGRHVSURYLGHJXLGDQFHEXWWKHGHYHORSPHQWRIDVXFFHVVIXO$11IRUD SDUWLFXODU DSSOLFDWLRQ UHTXLUHV WULDODQGHUURU NHHSLQJ LQ PLQG GXULQJ WKLV SURFHVV WKH VSHFLILFSXUSRVHIRUZKLFKWKH$11LVEHLQJGHVLJQHG

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

(11)

(UURU0HDVXUHV

:HXVHVHYHUDOHUURUVPHDVXUHVWRHYDOXDWHWKHILWQHVVRIWKH$11DVDUHSODFHPHQWRI WKH VLPXODWRU LQ WKH RSWLPL]DWLRQ SDFNDJH3 YHFWRUV RI LQSXWV DUH XVHG (DFK LQSXW YHFWRUS «3JHQHUDWHVDFRPSXWHGRXWSXWYHFWRUWSMM «0IRUZKLFKZHKDYHWKH

YHFWRURIWUXHRXWSXWV2SM3 KHUHVWDQGVIRUWKHQXPEHURIWUDLQLQJRUWHVWLQJYHFWRUV

VLQFH WKH HUURU LV FRPSXWHG IRU HDFK RI WKHP VHSDUDWHO\ 7KH VWDQGDUG SHUIRUPDQFH PHDVXUHLV

5RRWPHDQVTXDUHHUURU506(

W 2SM 30

3 S 0 M SM UPV

¦¦

H :KHUH

WSMLVWKHWUXH(3$1(7YDOXHRIRXWSXWMZKHQWKHLQSXWYHFWRULVS

2SMLVWKHFRPSXWHG$11YDOXHRIRXWSXWMZKHQWKHLQSXWYHFWRULVS

7KH506(IRUWKHQRUPDOL]HGYDOXHVGRHVQRWSURYLGHLQIRUPDWLRQDERXWWKHDEVROXWH YDOXHV RI WKH HUURUV $ PHDVXUH WKDW FDSWXUHV WKLV LQIRUPDWLRQ LV FRPSXWHG ZLWK WKH RULJLQDORXWSXWYDOXHV 5HODWLYH506(M

L M L M L M

L W PD[W

4 3 ¸ ¹ · ¨ © § ˜

¦

:KHUH

PD[WSMLQWKHGHQRPLQDWRULVWRDYRLG YHU\ODUJHGHYLDWLRQVZKLFKRFFXU

ZKHQWSME\FKDQFHLVVPDOOLHOHVVWKDQ

7KHYDOXHLVDQDYHUDJH HUURUIRUHDFKRXWSXWYDULDEOHM WDNHQRYHUDOOLQSXWYHFWRUV

,Q DGGLWLRQ WR WKH DYHUDJH YDOXH RI WKH 5HODWLYH 506( ZH FRPSXWH WKH0D[LPXP 5HODWLYH506(RYHUDOOLQSXWYHFWRUVIRUHDFKRXWSXWYHFWRUMDV

0D[LPXP5HODWLYH506(M

M L M L M

L W PD[ W

(12)

7UDLQLQJVKRXOGQRWEHFRQWLQXHGEH\RQGWKHSRLQWZKHUHDQDFFHSWDEOHHUURULVDFKLHYHG )XUWKHUWUDLQLQJPD\UHVXOWLQRYHUILWWLQJ7KLVPHDQVWKDWZKLOHWKHUHVXOWLQJ$11KDVD JRRGHUURUPHDVXUHVLWKDVOHVVUREXVWQHVVWRIRUHFDVWRXWSXWVIRUYHFWRUVZKLFKZHUHQRW LQWKHWUDLQLQJVHW7KLVLVDQDORJRXVWRXVLQJDSRO\QRPLDORIKLJKGHJUHHWRILWWKURXJK SRLQWVLQDFRUUHODWLRQVWXG\ZKLFKUHVXOWVLQDFXUYHWKDWDSSUR[LPDWHVWKHSRLQWVZHOO EXWKDVVXFKRVFLOODWLRQVDVWRSRRULQSUHGLFWLQJWKHGHSHQGHQWYDULDEOHDWSRLQWVQRW LQFOXGHGLQWKHWUDLQLQJVHW

7UDLQLQJ$OJRULWKPV

2QFH WKH QHWZRUN ZHLJKWV DQG ELDVHV KDYH EHHQ LQLWLDOL]HG WKH QHWZRUN LV UHDG\ IRU WUDLQLQJ7KHWUDLQLQJSURFHVVUHTXLUHVDVHWRIH[DPSOHVRIQHWZRUNLQSXWYHFWRUV;DQG FRUUHVSRQGLQJRXWSXWYHFWRUV< 'XULQJWUDLQLQJWKHZHLJKWVDQGELDVHVRIWKHQHWZRUN DUHDGMXVWHGLWHUDWLYHO\WRPLQLPL]HWKHQHWZRUNSHUIRUPDQFHPHDVXUH±WKH506(RIWKH QRUPDOL]HGRXWSXWVRIWKHWUDLQLQJVHW

7UDLQLQJ LV SHUIRUPHG ZLWK VHWV SDLUV RI LQSXWRXWSXW YHFWRUV 7KH SURFHVV LV LWHUDWLYH VXFFHVVLYHSDLUVDUHXVHGWRIHHGWKHLWHUDWLYHSURFHVV$EDFNSURSDJDWLRQDOJRULWKPIRU IHHGIRUZDUG$11VLVXVXDOO\LPSOHPHQWHGLQEDWFKPRGH±LHWKHZHLJKWVDQGELDVHV RI WKH QHWZRUN DUH XSGDWHG RQO\ DIWHU WKH HQWLUH WUDLQLQJ VHW KDV EHHQ DSSOLHG WR WKH QHWZRUN(DFKLWHUDWLRQRIWKHEDWFKWUDLQLQJLVQDPHGDQHSRFK 7KHJUDGLHQWVFDOFXODWHG ZLWKHDFKWUDLQLQJSDLURIWKHHSRFKDUHDGGHGWRSURGXFHWKHFKDQJHLQWKHZHLJKWVDQG ELDVHV

6HYHUDO RSWLRQV DUH DYDLODEOH IRU WUDLQLQJ DOJRULWKPV %DVLFDOO\ WKHVH DUH RSWLPL]DWLRQ PHWKRGVWKDWXVHWKHJUDGLHQWRIDQREMHFWLYHIXQFWLRQ±ZKLFKPHDVXUHVWKHJRRGQHVVRI ILWRIWKHSUHGLFWHGRXWSXWWRWKHLUNQRZQYDOXHVWRPDNHVXFFHVVLYHPRYHVLQZKLFK YDOXHVRIWKHSDUDPHWHUVZHLJKWVDUHDGMXVWHGLQDZD\WKDWUHGXFHVWKHYDOXHRIWKH REMHFWLYHIXQFWLRQ

:HFRQVLGHUHGWKUHHWUDLQLQJDOJRULWKP

(13)

x 5HVLOLHQWEDFNSURSDJDWLRQDKHXULVWLFPRGLILFDWLRQRIWKHVWDQGDUGVWHHSHVW GHVFHQWDOJRULWKP5LHGPLOOHU0DQG+%UDXQ

x $ YHUVLRQRIWKHFRQMXJDWHJUDGLHQWDOJRULWKPE\3RODNDQG5LELHUH+DJDQ HWDO

7KHFODVVLFDOEDFNSURSDJDWLRQWUDLQLQJDOJRULWKPVKDYHRQHFRPPRQGLVDGYDQWDJHWKH\ DGMXVW WKH ZHLJKWV LQ WUDLQHG $11 LQ WKH VWHHSHVW GHVFHQW GLUHFWLRQ QHJDWLYH RI WKH JUDGLHQW%XWLWWXUQVRXWWKDWDOWKRXJKWKHIXQFWLRQGHFUHDVHVPRVWUDSLGO\DORQJWKH QHJDWLYHRIWKHJUDGLHQWWKLVGRHVQRWQHFHVVDULO\SURGXFHWKHIDVWHVWFRQYHUJHQFH7KH 3RODN5LELHUHKDVEHWWHUFRQYHUJHQFHSURSHUWLHVDVLWXVHVFRQMXJDWHGLUHFWLRQV

7KHFODVVLFDODSSURDFKIRUDGMXVWLQJWKHZHLJKWVZLMLQWKHWUDLQLQJSURFHVVLVWKHJUDGLHQW

GHVFHQWDOJRULWKPZLWKPRPHQWXP

'ZLMQ Ow(wZLM P'ZLMQ

:KHUH'ZLMQ DQG'ZLMQ DUH LQFUHPHQWV DGMXVWPHQWV WR WKH ZHLJKW RI WKH OLQN

EHWZHHQQRGHLDQGMRIWKH$11GXULQJHSRFKVQDQGQODQGP DUHFDOOHGOHDUQLQJ UDWHDQGPRPHQWXP UHVSHFWLYHO\$6&(7DVN&RPPLWWHH,(TS7KH\ DUH VHOHFWHG KHXULVWLFDOO\ WR DFFHOHUDWH WKH FRQYHUJHQFH RI WKH LWHUDWLYH RSWLPL]DWLRQ SURFHVV

$VPHQWLRQHGHDUOLHUWKHIODWSDUWVDWWKHHQGVRIWKHVLJPRLGIXQFWLRQVORZGRZQWKH LWHUDWLYH WUDLQLQJ SURFHVV 7R RYHUFRPH WKLV GUDZEDFN DUHVLOLHQW EDFNSURSDJDWLRQ SURFHGXUHXVHVRQO\WKHVLJQRIWKHGHULYDWLYHVLQGHWHUPLQLQJWKHGLUHFWLRQRIWKHZHLJKW XSGDWH 7KH XSGDWH YDOXH IRU HDFK ZHLJKW ELDV LV LQFUHDVHG E\ D IDFWRUG ZKHQ WKH

GHULYDWLYHRIWKHSHUIRUPDQFHIXQFWLRQZLWKUHVSHFWWRWKDWZHLJKWKDVWKHVDPHVLJQIRU WZR VXFFHVVLYH LWHUDWLRQV 7KH XSGDWH YDOXH LV GHFUHDVHG E\ D IDFWRUG ZKHQ WKH

GHULYDWLYHZLWKUHVSHFWWRWKDWZHLJKWFKDQJHVVLJQIURPWKHSUHYLRXVLWHUDWLRQ

(14)

FRQMXJDWH JUDGLHQW DOJRULWKP FRQYHUJH TXDGUDWLF DOO\ LH WKH HUURU GHFUHDVHV DV WKH VTXDUHURRW

2QHYHUVXV0DQ\$11V

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

)RUWKH$Q\7RZQ0RGLILHGFDVHVHHEHORZZHWULHGZLWKDQXPEHURI$11VZKLFK LQGHHGVKRZHGEHWWHUDFFXUDF\WKDQDVLQJOH$11IRUDOORXWSXWYDULDEOHV+RZHYHUIRU WKH +DLID$ V\VWHP ZH UHYHUWHG WR XVLQJ D VLQJOH $11 IRU WKH HQWLUH V\VWHP GXH WR FRQVLGHUDWLRQVRIFRPSXWDWLRQDOHIILFLHQF\

$11IRU$Q\7RZQ0RGLILHG

$VVWDWHGDERYHLQRUGHUWRJDLQH[SHULHQFHZLWKWUDLQLQJDQ$11RIDZDWHUGLVWULEXWLRQ QHWZRUNDQGXVHLQZLWKWKH*$DOJRULWKPZHEHJDQZLWKWKHVLPSOH$Q\7RZQPRGHO :DOVNL+RZHYHUVRPHPRGLILFDWLRQVZHUHLQWURGXFHG7KHPDLQGHILFLHQF\RI WKHRULJLQDOQHWZRUNIRURXUSURMHFWLVWKHODFNRIDGHTXDWHVWRUDJHFDSDFLW\WRDOORZWKH V\VWHP WR EH RSHUDWHG HIILFLHQWO\ 2WKHU FKDQJHV ZHUH DOVR IRXQG XVHIXO WR PDNH WKH $Q\7RZQ0RGLILHG$70PRGHOPRUHVXLWDEOHDQGFKDOOHQJLQJIRUXVLQJWKH$11DQG *$LQFRPELQDWLRQ7KHPRGLILFDWLRQVPDGHDUHDVIROORZV

x

7KHXQLWVZHUHFRQYHUWHGLQWR6,XQLWV

x

$QDGGLWLRQDOVWRUDJHWDQNZDVLQWURGXFHG

x

$ VPDOOQXPEHURISLSHVZHUHDGGHGPDLQO\LQWKHQRUWKHUQSDUWRIWKHQHWZRUN

x

$ WLPHYDULDEOHHOHFWULFLW\WDULIIZDVLQWURGXFHG

(15)

0RGLILHG$Q\7RZQPRGHO

7KHQHZGDWDDUH

x $ WKLUG WDQN ZDV LQWURGXFHG DW QRGH 7KH QHZ WDQN KDV WKH VDPH SURSHUWLHVDVWKHWZRROGWDQNV,WLVFRQQHFWHGWRMXQFWLRQZLWKDIW PPFKZ SLSH

x $OOWDQNVLQWKHV\VWHPKDYHWKHIROORZLQJSURSHUWLHV

3URSHUW\ 9DOXHP

(OHYDWLRQ

,QLWLDOOHYHO

0LQLPXPOHYHO

0D[LPXPOHYHO

'LDPHWHU

x 7KHGHPDQGVDWHDFKRIWKHMXQFWLRQVLVPKRXU

x 7KHGLDPHWHUIRUDOOQHZSLSHVDQGLVPPDQG

WKHLUFRHIILFLHQWLV&KZ

x 7KHHOHFWULFLW\WDULIIFKDQJHVGXULQJWKHGD\DVIROORZV

+RXUV 5DWHFRVWXQLWV.:K

±

±

±

±

x )RUFRVWFDOFXODWLRQSXUSRVHVWKHSXPSVHIILFLHQF\FXUYHLVJLYHQE\

4 4

(

˜ ˜

K

:KHUH4LVWKHSXPSIORZLQPKRXU

(16)

7KH(3$1(7WRRONLWZDVXVHGDVDK\GUDXOLFVROYHU)RXU$11VZHUHWUDLQHGWRSHUIRUP SUHGLFWLRQVRIGLIIHUHQWRXWSXWV

$11IRUWDQNOHYHOSUHGLFWLRQ

,QSXWV WDQN OHYHOW WDQN OHYHOW WDQN OHYHOW SXPS VWDWHW SXPS VWDWHW SXPS VWDWHW WRWDO GHPDQGW WLPHDPSP WLPH « GHPSDWPXOWWGHPSDWPXOWWGHPSDWPXOWW

+LGGHQXQLWV

2XWSXWV WDQNOHYHOWWDQNOHYHOWWDQNOHYHOW $11IRUSXPSHQHUJ\ZDUQLQJSUHGLFWLRQ

,QSXWV WDQNOHYHOWWDQNOHYHOWWDQNOHYHOWSXPSVWDWHWSXPS VWDWHWSXPSVWDWHWWRWDOGHPDQGW

+LGGHQXQLWV

2XWSXW ZDUQLQJW

$11IRUSUHGLFWLRQRIWKHSUHVVXUHDWMXQFWLRQ±ZKLFKLVFRQVLGHUHGD FULWLFDOORFDWLRQLQWKHV\VWHP

,QSXWV WDQN OHYHOW WDQN OHYHOW WDQN OHYHOW SXPS VWDWHW SXPS VWDWHWSXPSVWDWHWWRWDOGHPDQGW

+LGGHQXQLWV

2XWSXW SUHVVXUHYDOXH

$ IRXUWK$11ZDVDOVRWULHGWRSUHGLFWZDUQLQJVWKDWDUHJHQHUDWHGE\WKH(3$1(7 7KHUH DUH VHYHUDO W\SHV RI ZDUQLQJV WKDW DUH FUHDWHG E\ (3$1(7 LQGLFDWLQJ WKDW VRPHWKLQJXQDFFHSWDEOHKDVRFFXUUHGLQWKHQXPHULFDOVROXWLRQRIWKHVLPXODWRU

7KH LQSXW YHFWRUV IRU WUDLQLQJ DQG WHVWLQJ ZHUH JHQHUDWHG E\ WKH (3$1(7 WRRONLW SURJUDPXQGHUWKHIROORZLQJFRQGLWLRQV

x

7RWDOOHQJWKRIWKHH[SHULPHQWV F\FOHVWLPHVKRXUV

x

,QLWLDOVWDWHVRIWKHWDQNVZHUHFKRVHQUDQGRPO\IURPDXQLIRUPGLVWULEXWLRQRYHU WKHUDQJH>«@

x

7KHVWDWHRIHDFKSXPSRQRIIZDVFKRVHQUDQGRPO\IRUHDFKKRXU

x

)RU$11SUHGLFWRUVRIWKHWDQNVOHYHOSXPSHQHUJ\DQGSUHVVXUHDW1RGH $11VDQG

(17)

7KH QXPEHU RI WUDLQLQJ HSRFKV GLG QRW H[FHHG IRU DQ\ RI WKH IRXU $11¶V 7KH SUHGLFWLRQ DFFXUDF\ RI WKH WHVWLQJ VWDJH RIIRXURXWSXW YDULDEOHV H[FHSW ZDUQLQJ LV VKRZQLQ7DEOH

7DEOH(UURU0HDVXUHVIRU$Q\7RZQ$11

3UHGLFWLRQYDOXH 5HODWLYH 506(

0D[LPXP UHODWLYH506(

7DQNOHYHO

7DQNOHYHO

7DQNOHYHO

3UHVVXUHDWQRGH

(QHUJ\

6DPSOHUHVXOWVDUHVKRZQLQ)LJXUHVIRUWKHILUVWVHWVRQO\WKHVHDUHVKRZQIRU FODULW\ RIWKH SUHVHQWDWLRQ 7KH UHVXOWV DUH VKRZQIRUSUHVVXUH DW DMXQFWLRQ -XQFWLRQ OHYHO RI D WDQN 7DQN DQG WKH HQHUJ\ XVHG E\ D SXPS 3XPS 5HVXOWV RI (3$1(7DUHVKRZQLQEOXH$11UHVXOWVLQUHG

(18)

)LJXUH(3$1(7DQG$11UHVXOWVIRUOHYHOLQ7DQNOHYHO 506( 5HODWLYH506(

(19)

&RQFOXVLRQV5HVXOWLQJIURP'HYHORSPHQWRIWKH$11IRU$Q\7RZQ0RGLILHG %DVHGRQWKHH[SHULPHQWDOUHVXOWVDERYHLWPD\EHFRQFOXGHGWKDW

x

2QWKLVVWDJHRXUPDLQDLPZDVWRGHPRQVWUDWHWKDWYHU\VLPSOH$11¶VDQGDV FRQVHTXHQFH YHU\ FRPSXWDWLRQDO HIIHFWLYH FRXOG DFKLHYH QRW YHU\ ELJ SUHGLFWLRQ HUURUV +RZHYHUWRSURYHWKDWWKHHUURUVDUH³QRWYHU\ELJ´LQGHHGUHDOL]DWLRQRIWKH *$$11 RSWLPL]DWLRQ SDFNDJH DQG HVWLPDWHV RI WKH DFFXUDF\ FRUUHVSRQGLQJ RSWLPL]DWLRQSURFHVVLVDEVROXWHO\QHFHVVDU\FRQGLWLRQ

x

7KH$70PRGHOLVTXLWHVPDOO,WPXVWEHH[SHFWHGWKDWWUDLQLQJDQ$11IRUD ODUJH UHDO V\VWHP ZRXOG EH PXFK PRUH GHPDQGLQJ VLQFH WKH FRPSOH[LW\ RI WKH $11LQFUHDVHVVXEVWDQWLDOO\ZLWKLWVVL]H

x

7KHORZHVWSUHGLFWLRQDFFXUDF\ZDVREWDLQHGIRUWDQNOHYHOV7KLVLVGXHWRWKH IDFWWKDWWKHOHYHOVDSSHDULQWKH$11WZLFHRQFHDVRXWSXWVDQGWKHQDVLQSXWVIRU WKHIROORZLQJKRXUVHH)LJXUHDERYH7KLVPHDQVWKDWHUURUVIRUWDQNOHYHOVDUH SURSDJDWHGLQDGLIIHUHQWZD\WKDQIRUYDULDEOHVWKDWDUHRQO\RXWSXWVDQGGRQRW IHHGEDFNLQWRWKHQH[WKRXU

,QDGGLWLRQWRWKHHUURUVRIWKHQRUPDOL]HGYDOXHVZHKDYHDOVRH[DPLQHGWKHHUURUVRI WKHDEVROXWHYDOXHVRIWKHYDULDEOHV7KLVLVLPSRUWDQWIRUWKHRYHUDOOSHUIRUPDQFHRIWKH *$$11SURFHGXUH:HZLOOUHWXUQWRWKLVLVVXHZKHQWKHUHVXOWVRIWKH+DLID$ VLPXODWLRQE\$11DUHGLVFXVVHG

$11IRU+DLID$

([SHULHQFHZLWKWKH$Q\7RZQPRGHOSURYHGTXLWHFRQFOXVLYHO\WKHDGYDQWDJHRIFUHDWLQJ VHSDUDWH$11VIRUSDUWVRIWKHV\VWHPLQWHUPVRIFRPSXWDWLRQDOHIILFLHQF\6WLOOIRU +DLID$ZHGHVLJQHGDVLQJOH$11VLQFHZHIRXQGWKDWLWSURYLGHVWKHEHVWWUDGHRII EHWZHHQ FRPSXWDWLRQDO HIILFLHQF\ DQG DFFXUDF\ ZKHQ LW LV FRPELQHG ZLWK WKH *$ IRU RSWLPL]DWLRQ

7DEOHVDQGOLVWWKHGDWDIRUWKH$11RI+DLID$,WKDVLQSXWVSXPSVRQH YDOYHKRXUO\GHPDQGVLQWKH'0$VWDQNOHYHOVDWWKHEHJLQQLQJRIWKHKRXU±DQG RXWSXWV±WKHSRZHUFRQVXPSWLRQDWSXPSLQJVWDWLRQVSUHVVXUHDWQHWZRUNQRGHV DQGOHYHOVLQWKHWDQNVDWWKHHQGRIWKHKRXU

(20)

7DEOH7KH,QSXWVRIWKH+DLID$$11

,QSXW ,QSXWGHVFULSWLRQ +\GUDXOLFHOHPHQW

3XPSVWDWH RII RQ 2ILU

3XPSVWDWH RII RQ 2ILU

3XPSVWDWH RII RQ 0*$QLOHYLFK] 3XPSVWDWH RII RQ 0*$QLOHYLFK] 3XPSVWDWH RII RQ 5LVKD

3XPSVWDWH RII RQ 5LVKD

3XPSVWDWH RII RQ 0'0DKDQH'DYLG 3XPSVWDWH RII RQ 0'0DKDQH'DYLG 3XPSVWDWH RII RQ 0'0DKDQH'DYLG 3XPSVWDWH RII RQ 6KS6SULQ]DN 3XPSVWDWH RII RQ 6KS6SULQ]DN 3XPSVWDWH RII RQ 6KS6SULQ]DN 3XPSVWDWH RII RQ 6KS6SULQ]DN 3UHVVXUHUHGXFLQJYDOYH359 9

'0$KRXUO\GHPDQG

'0$KRXUO\GHPDQG

'0$KRXUO\GHPDQG

'0$KRXUO\GHPDQG

'0$KRXUO\GHPDQG

'0$KRXUO\GHPDQG

7DQNOHYHODWWLPHW 3XD

7DQNOHYHODWWLPHW 0'B830DKDQH'DYLG 7DQNOHYHODWWLPHW 0DUFXV

7DQNOHYHODWWLPHW 0'B'0DKDQH'DYLG 7DQNOHYHODWWLPHW 6SK6KSULQ]DN

7DQNOHYHODWWLPHW 565DPDW6KDXO 7DQNOHYHODWWLPHW 606WHOD0DULV 7DQNOHYHODWWLPHW 3HOHJ

(21)

7DEOH7KH2XWSXWVRIWKH+DLID$$11

2XWSXW 2XWSXWGHVFULSWLRQ +\GUDXOLFHOHPHQW 3XPSLQJVWDWLRQSRZHU 2ILU2ILU2ILU

3XPSLQJVWDWLRQSRZHU $QLOHYLFK]0*0* 3XPSLQJVWDWLRQSRZHU 5LVKD5LVKD5LVKD 3XPSLQJVWDWLRQSRZHU 'DYLG0'0'0'

3XPSLQJVWDWLRQSRZHU 6KSULQ]DN6KS6KS6KS6KS

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

3UHVVXUHQRGH

7DQNOHYHODWWLPHW 3XD

7DQNOHYHODWWLPHW 0'B830DKDQH'DYLG

7DQNOHYHODWWLPHW 0DUFXV

7DQNOHYHODWWLPHW 0'B'0DKDQH'DYLG 7DQNOHYHODWWLPHW 6SK6KSULQ]DN

7DQNOHYHODWWLPHW 565DPDW6KDXO 7DQNOHYHODWWLPHW 606WHOD0DULV 7DQNOHYHODWWLPHW 3HOHJ

7DQNOHYHODWWLPHW 0HLU

7UDLQLQJDQGWHVWLQJWKH$11

7KHLQSXWWUDLQLQJVHWIRU+DLID$ZDVJHQHUDWHGDVIROORZV

x

)RUHDFKSXPSLQJVWDWLRQWKHYDOXHRIWKHSXPSLQJKRXUVLVFKRVHQUDQGRPO\ IURPDJLYHQUDQJHDVOLVWHGLQ7DEOH

7DEOH5DQJHIURPZKLFKSXPSLQJKRXUVZHUHVHOHFWHGDWUDQGRP 3XPSLQJ

VWDWLRQ 3XPSLQJVWDWLRQ

0LQSXPSLQJ KRXUV

0D[SXPSLQJ KRXUV

2ILU

$QLOHYLFK

5LVKD

0DKDQHB'DYLG

(22)

x

7KHWLPHVDWZKLFKDSXPSLVWXUQHGRQLVVHOHFWHGDWUDQGRPRYHUWKH KRXUV

x

7KHGHPDQGRIWKH'0$LVGLVWULEXWHGHTXDOO\DPRQJDOOMXQFWLRQVRIWKH'0$ 7ZR VHWV RI H[SHULPHQWV ZHUH FRQGXFWHG ,Q WKH ILUVW WKH GHPDQG IRU HDFK '0$LVGHWHUPLQLVWLFDQGVHWDWRIWKHPD[LPXPGHPDQGIRUWKH'0$,Q WKHVHFRQGVHWWKHGHPDQGIRUHDFK'0$ZDVFKRVHQUDQGRPO\LQWKHUDQJH WLPHVWKHPD[LPXPGHPDQGWRWLPHVWKHPD[LPXPGHPDQG7KHWUDLQLQJ UHVXOWVIRUWKHVHFDVHVDUHSUHVHQWHGEHORZ

x

7KHVWDWHRIWKHVLQJOHYDOYHLVFKRVHQDWUDQGRPRYHUWKHUDQJHP«P

x

7KHLQLWLDOVWDWHRIHDFKWDQNLVFKRVHQDWUDQGRPLQWKHUDQJHPLQWDQNOHYHO

PPD[WDQNOHYHO±PEHIRUHHDFKVLPXODWLRQF\FOH

x

7KHUDQJHIRUWKHWDQNOHYHOVZDVFKRVHQDVPPD[LPDOKHDGP,ID WDQNOHYHORFFXUVRXWVLGHRIWKLVUDQJHWKHFRUUHVSRQGLQJLQSXWYHFWRUZDVQRW LQFOXGHGLQWKHLQSXWWUDLQLQJVHW

x

$OOWUDLQLQJWHVWLQJYHFWRUVZHUHQRUPDOL]HGLQWKHUDQJH>@

$ VXJJHVWHGUXOHRIWKXPEIRUWKHQXPEHURIWKHWUDLQLQJYHFWRUVLV

1RRI7UDLQLQJYHFWRUV F[ 7RWDOQXPEHURI$11ZHLJKWVZKHUHF

)RU+DLID$ZLWKRQHKLGGHQOD\HUWKHQXPEHURIKLGGHQQRGHVZDVFKDQJHGEHWZHHQ WRVRWKHFRUUHVSRQGLQJQXPEHURIZHLJKWVUDQJHGEHWZHHQDQG)ROORZLQJ WKH LQHTXDOLW\ DERYH WKH UHTXLUHG QXPEHU RI WUDLQLQJ LQSXW VHWV LV %H\RQG WKLV QXPEHUWKHWUDLQLQJGLGQRWLPSURYHVLJQLILFDQWO\

7KHVHWRIWKHWHVWLQJYHFWRUVFRQWDLQVDERXWYHFWRUVZKLFKLVVXIILFLHQWIRUVWDEOH UHVXOWVUHJDUGLQJRIWKHWHVWLQJSUHGLFWLRQHUURUV

7UDLQLQJRIWKH$11

7KH EDVLF SUREOHP RI WKH IXQFWLRQ¶V DSSUR[LPDWLRQ E\ $11 LV WKH RSWLPDO WUDGHRII EHWZHHQWKHWUDLQLQJFRPSOH[LW\QXPEHURIWKHZHLJKWVLQ$11DQGQXPEHURIYHFWRUV LQWKHWUDLQLQJVHWRQWKHRQHKDQGDQGWKHDFKLHYHGSUHGLFWLRQHUURURQWKHRWKHU7KH JUHDWHUWKHFRPSOH[LW\ZKLFKLVHVVHQWLDOO\DOVRDIOH[LELOLW\WKHEHWWHUWKHFKDQFHRI REWDLQLQJDJRRGILWORZSUHGLFWLRQHUURUV7KHSULFHRILQFUHDVHGFRPSOH[LW\LVDJUHDWHU FRPSXWDWLRQDOHIIRUW

(23)

:H EHJDQ WR WHDFK WKH $11 ZLWK GLIIHUHQW EDFNSURSDJDWLRQ WUDLQLQJ DOJRULWKPV ZLWK PRPHQWXP,QLWLDODWWHPSWVWRREWDLQ506(YDOXHVOHVVWKDQDWOHDVWZLWKOHVVWKDQ HSRFKV WUDLQLQJ YHFWRUV IDLOHG $ GLVWLQFW LPSURYHPHQW RI WKH SUHGLFWLRQ DFFXUDF\ZDVDFKLHYHGE\XVLQJWKH3RODN5LELHUHFRQMXJDWHJUDGLHQWDOJRULWKP

7KHUHVXOWLVDVHWRI$11VZLWKLQSXWVRXWSXWVDQGEHWZHHQDQGKLGGHQ QRGHV)LJXUHGHPRQVWUDWHVWKHGHFUHDVHRIWKH506(ZLWKWKHQXPEHURIHSRFKVLQ WUDLQLQJWKH$11ZLWKKLGGHQQRGHV

)LJXUH(YROXWLRQRIWKH506(LQWUDLQLQJWKH+DLID$$11ZLWKKLGGHQQRGHV

7KH QXPEHU RI WUDLQLQJ HSRFKV LV OLPLWHG WR DYRLG RYHUILWWLQJ VHH H[SODQDWLRQ LQ D SUHYLRXVVHFWLRQ

7KH7HVWLQJ506(IRUQRUPDOL]HGRXWSXWYDOXHVDUHVKRZQLQ7DEOH

7DEOH7HVWLQJ506(YDOXHVIRUQRUPDOL]HG>@RXWSXWVRIWKH+DLID$$11ZLWK GHWHUPLQLVWLFDQGUDQGRPGHPDQGV

+LGGHQXQLWV

'HWHUPLQLVWLF'HPDQG

(24)

,QFUHDVLQJ WKH QXPEHU RI KLGGHQ QRGHV DERYH GLG QRW GHFUHDVH WKH WHVWLQJ 506( DOWKRXJKWKHWUDLQLQJHUURUVGLGGHFUHDVH,WZDVWKHUHIRUHGHFLGHGWRVWD\ZLWKDVWKH PD[LPXPQXPEHURIKLGGHQQRGHV

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

7DEOHOLVWVWHVWLQJHUURUVIRUWKHZDWHUOHYHOVLQWKHWDQNV7KHUHODWLYHHUURULVWKH DEVROXWHGLIIHUHQFHEHWZHHQWKH$11DQGWUXH(3$1(7YDOXHVGLYLGHGE\WKHWUXH (3$1(7YDOXHZKHQWKH(3$1(7YDOXHLVOHVVWKDQZHGLYLGHE\

7DEOH5HODWLYHDQGDEVROXWHWHVWLQJHUURUVRIWDQNOHYHOV 7DQN 0D[LPXPDEVROXWH

UHODWLYHHUURU

$YHUDJHDEVROXWH HUURU

0D[LPXPDEVROXWH HUURU

PHWHU PHWHU

3XD

0'B83

0DUFXV

0'B'

6KS

56

60

3HOHJ

0HLU

(25)

:RUN3DFNDJH 'HYHORSPHQWRIDQDGDSWLYHRSWLPL]DWLRQSURFHGXUH

EDVHGRQD*$VSHFLILFDOO\IRUUHDOWLPHFRQWURORIZDWHUGLVWULEXWLRQ

QHWZRUNV

7KHREMHFWLYHRI:RUN3DFNDJHLVWRGHYHORSD*$WRROIRURSWLPL]LQJWKHRSHUDWLRQRI D QHWZRUNZKLFKLVVLPXODWHGE\DQ$117KH7:5,WHDPSURYLGHGDVXSSRUWLQJUROHLQ WKLVZRUNDQGZHKDYHWKHUHIRUHQRWFRQVWUXFWHGDVSHFLDOSXUSRVH*$WRRO,QVWHDGZH XVHGRSWL*$ZZZRSWLZDWHUFRPD*$HQJLQHWKDWLVDYDLODEOHFRPPHUFLDOO\DQGLVDW RXUGLVSRVDOIUHHE\YLUWXHRIWKHSUHVHQFHRILWVGHYHORSHUDQGRZQHU(ODG6DORPRQVRQ RXUWHDP$EDVLFRYHUYLHZRIJHQHWLFDOJRULWKPVGLIIHUHQWSDUDPHWHUVDQGPHWKRGVLV DYDLODEOHLQRSWL*$¶VXVHUPDQXDOKWWSZZZRSWLZDWHUFRPRSWLJDPDQXDOKWPO

+HUH ZH GLVFXVV VRPH RI WKH JHQHUDO FRQVLGHUDWLRQV LQ GHYHORSLQJ D UHDOWLPH RSWLPL]DWLRQ SURFHGXUH IRU RSHUDWLQJ D ZDWHU GLVWULEXWLRQ QHWZRUN 7KH RSWLPL]DWLRQ LPSOLHVWKDWDWDQ\SRLQWLQWLPHZHORRNDKHDGRYHUDWLPHSHULRGZKLFKLVWKH³RSHUDWLRQ SODQQLQJKRUL]RQ´DQGZLVKWRGHWHUPLQHWKHRSHUDWLQJSODQRIWKHFRQWUROOHGHOHPHQWV SXPSVYDOYHVIRUHDFKKRXURYHUWKLVWLPHKRUL]RQRUIRUVPDOOHUWLPHLQFUHPHQWLILW LVUHOHYDQWWRFKDQJHWKHRSHUDWLRQVRRIWHQ

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

:HILUVWGLVFXVVVRPHLPSRUWDQWFRQVLGHUDWLRQVLQGHYHORSLQJDQDGDSWLYHRQOLQHRSWLPDO RSHUDWLRQSURFHGXUHDQGWKHQSURFHHGWRGHVFULEHLQGHWDLOWKHPHWKRGRORJ\GHYHORSHGLQ WKLVSURMHFW

(26)

'HPDQG)RUHFDVWV

2SHUDWLRQRIDGLVWULEXWLRQV\VWHPIRUDSODQQLQJSHULRGDKHDGUHTXLUHVIRUHFDVWVRIWKH GHPDQGV ,W LV ZHOO NQRZQ IURP H[SHULHQFH WKDW VXFK IRUHFDVWV KDYH DKLJK GHJUHH RI XQFHUWDLQW\7KHUHIRUHRSHUDWLRQSODQQLQJKDVWREHUHSHDWHGUDWKHUIUHTXHQWO\WRDOORZ IRUQHZGDWDDVWKH\EHFRPHDYDLODEOH8QIRUHVHHQHYHQWVLQWKHV\VWHPVXFKDVSLSHRU HTXLSPHQW IDLOXUH PD\ DOVR UHTXLUH UHFDOFXODWLRQ RI WKH RSHUDWLRQ SODQ 7KLV WRSLF LV FRYHUHGLQDODWHUVHFWLRQ:RUN3DFNDJH

'HPDQGIRUHFDVWLQJIRUWKH 32:$',0$ SURMHFW ZDV GHYHORSHGE\WKH)HUUDUD WHDP DQGLVRXWVLGHWKHVFRSHRIWKLVUHSRUW+HUHZHPHUHO\HPSKDVL]HWKDWWKHXQFHUWDLQW\LQ GHPDQG IRUHFDVWLQJ LV RI PDMRU FRQFHUQ LQ GHYHORSPHQW RI WKH RYHUDOO RSWLPL]DWLRQ SDFNDJH7KHVHQVLWLYLW\WRYDULDWLRQVLQWKHGHPDQGVLVVRPHZKDWDOOHYLDWHGE\WKHIDFW WKDWWKHRSWLPL]DWLRQLVUHUXQ HYHU\ KRXU ZLWKQHZGDWD 7KHVH GDWD LQFOXGH WKH QHZ GHPDQGIRUHFDVWZKLFKPD\EHWKHVDPHDVLQWKHSUHYLRXVKRXUDQGWKHDFWXDOOHYHOVLQ WKH WDQNV 7KHVH OHYHOV UHDG LQ YLD WKH 6&$'$ V\VWHP PD\ GHYLDWH IURP WKRVH FDOFXODWHG RQH KRXU DJR GXH WR GLIIHUHQFHV LQ WKH GHPDQGV WR LQDFFXUDFLHV RI WKH K\GUDXOLFPRGHODQG WRWKHLQDFFXUDFLHVRI WKH$11 LQ UHSOLFDWLQJ LW 7KH DFWXDO WDQN OHYHOV EHFRPH WKH VWDUWLQJ SRLQW IRU WKH QHZ RSWLPL]DWLRQ IRU WKH QH[W KRXU DQG E\ DFFHSWLQJWKHPHUURUVPDGHLQSUHYLRXVWLPHVDUHQRZHOLPLQDWHGIURPDIIHFWLQJWKHQHZ VROXWLRQ7KXVWKHRSHUDWLRQSODQLVH[HFXWHGRQHKRXUDWDWLPHDQGPRGLILHGLQWKHQHZ KRXU

7KLVPD\FDXVHVRPHLQVWDELOLW\LQWKHRSHUDWLRQDKXQWLQJSURFHVVDVLWZHUHZKLFK FDXVHVWKHSXPSVWRWXUQRQDQGRIIUDWKHUPRUHIUHTXHQWO\WKDQLVSUDFWLFDO([SHULHQFH KDVVKRZQWKDWWKLVLVQRWDUHDOSUREOHPLQWKHPHWKRGRORJ\ZHKDYHGHYHORSHG6WLOOLI LQDQRWKHUDSSOLFDWLRQWKLVGRHVWXUQRXWWREHDGHILFLHQF\WKHQVRPHPHDVXUHFDQEH WDNHQWRSUHYHQWUDSLGFKDQJHVLQRSHUDWLRQRUSHQDOL]HWKHPLQWKHREMHFWLYHIXQFWLRQVR WKDWWKHVROXWLRQVWHQGVWRDYRLGWKHP

(27)

/HQJWKRIWKH2SHUDWLRQ3ODQQLQJ3HULRG

8UEDQZDWHUGLVWULEXWLRQV\VWHPVW\SLFDOO\RSHUDWHZLWKGDLO\DQGZHHNO\F\FOHVZKLFK WHQG WR YDU\ LQ VKDSH LQ GLIIHUHQW VHDVRQV RI WKH \HDU 7KH W\SLFDO RSHUDWLRQ SODQQLQJ KRUL]RQLVKRXUVDKHDGLQYLHZRIWKLVF\FOLFEHKDYLRU:KHQWKHUHLVODUJHVWRUDJHLQ WKHV\VWHPLWPD\KDYHDZHHNO\F\FOHEHLQJORZHUHGHDFKGD\VOLJKWO\WREHILOOHGXS GXULQJWKHZHHNHQGDQGVRPHFRQVLGHUDWLRQPXVWEHJLYHQWRWKLVZHHNO\EHKDYLRU,Q WKHFDVHRI+DLIDDQGPRVWVSHFLILFDOO\+DLID$WKHVL]HRIRYHUDOOVWRUDJHLVQRWYHU\ ODUJHVHHDERYHDQGGDLO\RSHUDWLRQLVVXIILFLHQW

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

(QG3RLQW'HWHUPLQDWLRQ

7KHSUREOHPRIWKHHQGVWDWHLVRQHWKDWLVHQFRXQWHUHGLQPRVWZDWHUUHVRXUFHVPRGHOV DQG RWKHU LQYHQWRU\ SUREOHPV DQG KDV DWWUDFWHG PXFK DWWHQWLRQ E\ UHVHDUFKHUV DQG SUDFWLWLRQHUV:HDYRLGJHWWLQJLQWRWKHJHQHUDOLVVXHDQGUHVWULFWRXUVHOYHVWRWKHVSHFLILF DSSURDFKWDNHQLQWKLVSURMHFW

3UDFWLFDOO\DOODSSURDFKHVWRGHWHUPLQLQJDQRSWLPDORSHUDWLQJSODQIRUDZDWHUUHVRXUFHV V\VWHPHQFRXQWHUWKHGLIILFXOW\RIGHDOLQJZLWKWKHVWDWHRIWKHV\VWHPDWWKHHQGRIWKH SODQQLQJSHULRG7KLVWLPHSHULRGLVPHUHO\D³VOLFH´RXWRIWKHLQILQLWHWLPHKRUL]RQRYHU ZKLFK WKH V\VWHP ZLOO EH RSHUDWHG EXW IRU SUDFWLFDO UHDVRQV ZH FDQQRW H[SHFW WR GHWHUPLQHWKHRSHUDWLQJSROLF\IRUDOOWLPHVWRFRPH:HPXVWWKHUHIRUHOLPLWWKHWLPH KRUL]RQWRVRPHWKLQJPDQDJHDEOHDQGGRVRPHWKLQJWRLQFOXGHFRQVLGHUDWLRQVRIIXWXUH WLPHVLQWKHRSWLPL]DWLRQRYHUWKLVOLPLWHGWLPHKRUL]RQ

(28)

7KHUHDUHDWKHUHIRUHDIHZZD\VIRUKDQGOLQJWKHLVVXHRIWKHHQGVWDWH,QRXUFDVHWKHVH DUHWKHOHYHOVLQWKHWDQNV7KHRSWLRQVDUH

7KHHQGVWDWHLVHLWKHUVHWWRDIL[HGYDOXHRUFRQVWUDLQHGWREHDERYHVRPHYDOXH 7KLVYDOXHFDQEHIRUH[DPSOHWKHLQLWLDOVWDWHRUVRPHRWKHUYDOXH)RUH[DPSOH LIWKHUHDUHNQRZQFRQVLGHUDWLRQIRUKDYLQJWKHWDQNVILOOHGDWWKHHQGRIWKHSHULRG RUDOORZLQJWKHPWRHPSW\E\DFHUWDLQDPRXQW

+DYLQJ VXFK D FRQVWUDLQW QRW DW WKH HQG RI WKH SODQQLQJ SHULRG EXW DW VRPH LQWHUPHGLDWHWLPH,1RXUFDVHWKLVPLJKWEHIXOOWDQNVDWWKHHQGRIWKHORZWDULII SHULRG

*LYLQJDYDOXHRSSRVLWHRIDFRVWWRWKHVWDWHOHYHOVRIWKHWDQNVDWWKHHQGRI WKH SHULRG ,W LV GLIILFXOW WR VHW WKLV YDOXH ZKLFK VKRXOG LQ IDFW UHIOHFW WKH LQFUHPHQWDORSHUDWLQJFRVWRIWKHV\VWHPIURPWKDWSRLQWRQDVDIXQFWLRQRIWKLV VWDWHZKLFKEHFRPHVWKHLQLWLDOVWDWHIRUWKHIXWXUH

([WHQGLQJWKHWLPHKRUL]RQWRWKHSRLQWZKHUHWKHHQGVWDWHKDVOLWWOHHIIHFWRQWKH RSHUDWLRQ GXULQJWKHILUVW IHZ WLPHVWHSV 7KH RSHUDWLRQGXULQJ ODWHU WLPHVWHSV ZLOODQ\KRZEHUHFDOFXODWHGLQWKHQH[WWLPHVWHSVRWKHRSHUDWLQJSODQIRUODWHU WLPHV LV QRW UHDOO\ ELQGLQJ 7KHUH PHUHO\ WR HQVXUH WKDW WKH RSHUDWLRQ IRU WKH LPPHGLDWHWLPHVWHSVLVQRW³P\RSLF´DQGGRHVKDYHFRQVLGHUDWLRQRIWKHFRVWVWR EHLQFXUUHGLQODWHUWLPHV

6XIILFH LW WR VD\ WKDW WKLV LVVXH PXVWEHFRQVLGHUHG FDUHIXOO\ LQ DQ\DSSOLFDWLRQ RI WKH RSWLPL]DWLRQ WR RWKHU V\VWHPV 6RPH RI WKH GLOHPPD DVVRFLDWHG ZLWK VHOHFWLQJ WKH SODQQLQJSHULRGLVDOOHYLDWHGE\WKHIDFWWKDWWKHRSWLPL]DWLRQLVUHUXQHYHU\KRXU

:RUN3DFNDJH &RPELQLQJWKH*$ZLWKWKH$11WRIRUPDQRSWLPDO

FRQWURO SURFHVV IRU ZDWHU GLVWULEXWLRQ DQG LWV DSSOLFDWLRQ WR WKH

H[SHULPHQWDOQHWZRUNV

(29)

2SWLPDORSHUDWLRQIRUWKH$Q\7RZQQHWZRUN

$ *$PRGHOZDVEXLOWLQRUGHUWRVROYHWKHRSHUDWLRQSUREOHP7KH*$HQJLQHWKDWZDV XVHGLVRSWL*$7KH*$PRGXOHZDVFRQQHFWHGWRWKH(3$1(7WRRONLWZKLFKVROYHVWKH $70QHWZRUNDQGJHQHUDWHVWKHUHVXOWVIRUHDFKRSHUDWLRQDOVFKHGXOHSURSRVHGE\WKH *$7KHFRPELQHGPRGXOH\LHOGVJRRGUHVXOWV$IHDVLEOHVROXWLRQLVUHDFKHGDOUHDG\LQ WKH ILUVW *$ JHQHUDWLRQ %HORZ DUH WZR ILJXUHV VKRZLQJ UHVXOWV )LJXUH VKRZV WKH SURJUHVVRIWKHILWQHVVIXQFWLRQRYHUJHQHUDWLRQV

)LJXUHSURJUHVVRIWKH$70ILWQHVVIXQFWLRQ*$(3$1(7

)LJXUHVKRZVWKHUHVXOWVRIWKHEHVWVROXWLRQIRXQG7KHWKUHHEOXHOLQHVVKRZWKHZDWHU OHYHOVLQWKHVWRUDJHWDQNVOHIWRUGLQDWHRQO\WZRDUHVHHQDVWZRRIWKHWDQNVIROORZ H[DFWO\WKHVDPHSDWWHUQWDQNVDQGWKHFRORUHGEORFNOLQHVKRZVWKHQXPEHURI SXPSV RSHUDWLQJ LQ HDFK WLPH VWHS ULJKW RUGLQDWH 7KH GLIIHUHQW FRORUV DUH IRU WKH GLIIHUHQWHOHFWULFLW\WDULIIWLPHVJUHHQ±ORZFRVW\HOORZ±PHGLXPFRVWDQGUHG±KLJK FRVW1RWHWKDWDPD[LPXPRIRQO\WZRRXWRIWKHWKUHHSXPSVRSHUDWH7KLVLVWKHUHVXOW RIWKHUHODWLYHPDJQLWXGHRIWKHGHPDQGVSXPSFDSDFLWLHVDQGWDQNYROXPHV

(30)

7KHJHQHWLFDOJRULWKPPRGHOIRU$70FRQVLVWVRIWKHSDUDPHWHUVSUHVHQWHGLQ7DEOH 7DEOH*$SDUDPHWHUVIRU$70PRGHO

*$SDUDPHWHU 3DUDPHWHUYDOXH

%LQDU\VWULQJ SXPSV;KRXUV ELWV

3RSXODWLRQVL]H

1XPEHURIJHQHUDWLRQV

0XWDWLRQSUREDELOLW\

&URVVRYHUW\SH 7ZRSRLQWV

6HOHFWLRQW\SH 7RSPDWH

3HQDOWLHVW\SH /LQHDU

,QWKHQH[WVWDJHWKH(3$1(7ZDVUHSODFHGZLWKWKHIRXU$11VWUDLQHGDVGHVFULEHGLQ :RUN3DFNDJH%HORZDUHWZRILJXUHVVKRZLQJUHVXOWV)LJXUHVKRZVWKHSURJUHVV RIWKHILWQHVVIXQFWLRQRYHUJHQHUDWLRQVDQG)LJXUHVKRZVWKHUHVXOWVRIWKHEHVW VROXWLRQIRXQG,QERWKILJXUHVWKHEOXHOLQHLQGLFDWHVWKH(3$1(7VROXWLRQZKLOHWKH F\DQOLQHLQGLFDWHVWKH$11SUHGLFWLRQ

(31)

)LJXUH5HVXOWVRIWKHEHVWVROXWLRQIRXQGIRU$70*$$11

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

,QRUGHUWRFRPSDUHWKHSHUIRUPDQFHWKH*$(3$1(7DQGWKH*$$11SURFHGXUHVD VHULHVRIUXQVRIHDFKZHUHPDGH7KHUHVXOWVDUHVKRZQLQ7DEOHWKHYDOXHRIWKH REMHFWLYHIXQFWLRQFRVWDQGWKHUXQQLQJWLPHV

(32)

:KLOHWKH*$$11DYHUDJHFRVWLVOHVVWKHQKLJKHUWKDQWKH*$(3$1(7DYHUDJH FRVWWKH*$$11UXQQLQJWLPHLVRQDYHUDJHIDVWHUWKDQWKH*$(3$1(7

*$11SURJUDPIRU+DLID$

+DYLQJJRRGUHVXOWVIRU$70WKH*$11SURJUDPZDVXSGDWHGDQGHQKDQFHGIRUXVH ZLWKWKH+DLID$QHWZRUN7KHPDLQIHDWXUHVWKDWZHUHLPSOHPHQWHGLQWKHSURJUDPDUH

x 1HWZRUN]RQLQJIRU'0$VZLWKGLIIHUHQWGHPDQGSDWWHUQV

x 0LQLPXPPD[LPXPHQGRIVLPXODWLRQDQGVSHFLILFKRXUOHYHOVFRQVWUDLQWV IRUHDFKWDQN

x 9DOYHVW\SHLQFOXGHV359VDQG2Q2IIYDOYHV

x (DFKSXPSFDQKDYHDGLIIHUHQWHOHFWULFLW\WDULIIVWUXFWXUH

x (DFKSXPSFDQKDYHFHQWUDOORFDORUPDQXDOFRQWURO&HQWUDOWKHSXPSLV RSHUDWHG IURP WKH FRQWURO FHQWHU YLD WKH RSWLPL]DWLRQ SURJUDP /RFDO ± WKH SXPSLVRSHUDWHGDFFRUGLQJWRORFDOFRQWUROUXOHVVXFKDVVHWSRLQWV0DQXDO WKHSXPSLVRSHUDWHGPDQXDOO\E\WKHRSHUDWRU

x &RVWRIZDWHUDQGRIHQHUJ\LVDVVLJQHGWRHDFKRIWKHVRXUFHV7KLVRSWLRQ ZDVLPSOHPHQWHGEXWQRWXVHGIRU+DLID$,WZDVDGGHGVLQFHLQWKHFDVHRI 9DOHQFLDWKHUHDUHWUHDWPHQWFRVWVDWWKHVRXUFHV

x 0D[LPXPHQHUJ\FRQVXPSWLRQFRQVWUDLQWVFDQEHLPSRVHGRQSXPSVWDWLRQV

x 7KHSURJUDPFDQEHUXQLQ(3$1(7PRGHRU$11PRGH

x $ UXQ FDQ EHVWDUWHGIURP D SUHYLRXVGHVLJQ7KLV SURYLGHVWKH *$ ZLWK D VROXWLRQWKDWKDVDJRRGFKDQFHRIEHLQJIHDVLEOHDQGFORVHWRRSWLPDO

x &RQVWUDLQWVRQWKHWRWDOQXPEHURISXPSLQJKRXUVIRUHDFKSXPSLQJVWDWLRQ FDQ EH LPSRVHG 7KLV RSWLRQ ZDV DGGHG WR KHOS WKH SURFHVV FRQYHUJH ,W LV FOHDUWKDWDUDQJHRISXPSLQJKRXUFDQEHHVWLPDWHGVLQFHDVSHFLILHGYROXPH RIZDWHUVKRXOGEHSXPSHGWRHDFK'0$DFFRUGLQJWRWKH]RQHGHPDQG

x $QHQKDQFHGDQGIULHQGO\*8,ZDVFUHDWHG

x 9DOLGDWLRQSURFHGXUHZLWK(3$1(7ZDVDGGHGWRHQVXUHWKDWWKHRSWLPL]HG VROXWLRQIRXQGE\WKH*$11LV(3$1(7IHDVLEOH

(33)

8QWLO WKLV VWDJH WKH VWHDG\VWDWH YHUVLRQ RI WKH SURJUDP ZDV XVHG VHSDUDWH KRXUO\ RSWLPL]DWLRQ ZLWKRXW WKH G\QDPLF IHDWXUH 7KH REMHFWLYH ZDV WR PLQLPL]H RSHUDWLRQDO FRVWVIRUWKHKRXUVKRUL]RQZKLOHNHHSLQJWKHIROORZLQJFRQVWUDLQWV

x

6XSSO\DOOGHPDQG

x

3UHVVXUHDERYHPLQLPXPDWGHPDQGQRGHV

x

0D[LPDOSRZHUDWSXPSLQJVWDWLRQV

x

7DQNOHYHOVDWVSHFLILFKRXUV

x

)LQDOWDQNOHYHOVDWWKHHQGRIWKHGHVLJQKRUL]RQ±XVXDOO\VHWWRWKHLQLWLDOWDQN OHYHOV

6LQFHFRQVWUDLQWVZLWKRXWVRPHWROHUDQFHVKDYHQRPHDQLQJLQWKHSUDFWLFDOZRUOGPP RIYLRODWLRQLQDZDWHUOHYHOLVQRWOLNHDYLRODWLRQRIPDVHWRIFRQVWUDLQWWROHUDQFHV ZHUHGHWHUPLQHGDQGVKRZQLQ7DEOH

7DEOH&RQVWUDLQWWROHUDQFHVIRU+DLID$ 7\SHRI&RQVWUDLQW 7ROHUDQFHOHYHO

3UHVVXUHYLRODWLRQ aDFFXUDF\RIPHDVXUHPHQWHTXLSPHQW a PHWHU

0D[LPXPWDQNOHYHOYLRODWLRQ aDFFXUDF\RIPHDVXUHPHQWHTXLSPHQW a FP

7RWDOWDQNOHYHOYLRODWLRQV ,Q HDFK WDQN HDFK KRXU QR PRUH WKHQ WKH PD[LPDOYLRODWLRQDOORZHG

(34)

7KHJHQHWLFDOJRULWKPPRGHOXVHVWKHSDUDPHWHUVVKRZQLQ7DEOH 7DEOH*$SDUDPHWHUVIRU+DLID$*$11

*$SDUDPHWHU 3DUDPHWHUYDOXH

%LQDU\VWULQJ SXPSV;KRXUV ELWV

5HDOVWULQJ YDOYH;KRXUV YDOXHV

3RSXODWLRQVL]H

1XPEHURIJHQHUDWLRQV 9DULDEOHSDUDPHWULFUXQV

0XWDWLRQSUREDELOLW\

&URVVRYHUW\SH 7ZRSRLQWV

6HOHFWLRQW\SH 7RSPDWH

3HQDOWLHVW\SH /LQHDU

7KH UHVXOWV DUH VXPPDUL]HG LQ )LJXUH $ VHULHV RI UXQV ZDV PDGH ZLWK GLIIHUHQW QXPEHURIJHQHUDWLRQKRUL]RQWDOD[LV7KHUHGOLQHOHIWYHUWLFDOD[LVLVWKHDYHUDJHFRVW RI WKH RSWLPL]HG RSHUDWLRQDO FRQWURO VHWWLQJV 7KH EOXH OLQH ULJKW YHUWLFDO D[LV LV WKH SUREDELOLW\RIILQGLQJDIHDVLEOHVROXWLRQZLWKWKH$11DVDK\GUDXOLFVLPXODWRU,WFDQEH VHHQ WKDW DV WKH QXPEHU RI JHQHUDWLRQ LQFUHDVHV WKH DYHUDJH FRVW GHFUHDVHV DQG WKH SUREDELOLW\RIILQGLQJDIHDVLEOHVROXWLRQLQFUHDVHV

(35)

7KH'*$11SURJUDPIRU+DLID$

)ROORZLQJ WKH SURMHFW PHHWLQJ LQ )HUUDUD RQ -DQXDU\ WKH *$11 SURJUDP ZDV IXUWKHUGHYHORSHGWRLQFOXGHG\QDPLFFDSDELOLWLHV7KHUHVXOWLV'*$11ZKLFKVWDQGV IRU'\QDPLF*HQHWLF$OJRULWKP±$UWLILFLDO1HXUDO1HWZRUNHQKDQFHG7KHVWDQGVIRU HQKDQFHG ZKLFK LQGLFDWHV DQ DGGLWLRQDO FRQVWUDLQW WKDW ZDV LPSRVHG RQ RSHUDWLQJ SXPSVGXULQJKLJKWDULIISHULRGVWRLPSURYHFRQYHUJHQFHWRWKHRSWLPXPVROXWLRQVHH EHORZ

7KHSURJUDPKDVWKHIROORZLQJIHDWXUHVEH\RQGWKRVHRI*$11

x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

x $ GHGLFDWHG VXEURXWLQH ZDV DGGHG WR FRQQHFW WR D 6&$'$ V\VWHP $W WKH PRPHQWVLQFHZHDUHQRWUHDOO\ZRUNLQJZLWKD6&$'$V\VWHPWKHVXEURXWLQH VHQGV(3$1(7WKHRSHUDWLQJLQVWUXFWLRQVIRUWKHFRPLQJKRXUDQGUHFHLYHVEDFN WKHUHVXOWLQJWDQNOHYHOVDWWKHHQGRIWKHQH[WKRXUZKLFKDUHWKHQYLHZHGDVLI WKH\ZHUHUHDGE\WKH6&$'$V\VWHP7KHVHOHYHOVDUHWKHQXVHGDVWKHQHZLQLWLDO FRQGLWLRQ IRU WKH QH[W KRXUV RSWLPL]DWLRQ 7KLV DOORZV XV WR ³JURXQG´ WKH WDQN OHYHOVHDFKKRXUDQGDYRLGFXPXODWLYHHUURUV,WLQIDFWHPXODWHVZKDWZRXOGRFFXU LQDUHDOV\VWHPZLWK6&$'$

x $ GHGLFDWHGVXEURXWLQHZDVDGGHGWRFRPPXQLFDWHZLWKWKHGHPDQGIRUHFDVWLQJ PRGXOH6LQFHWKHGHPDQGIRUHFDVWLQJPRGXOHZDVQRWDYDLODEOHDVDVWDQGDORQH PRGXOHRXUVXEURXWLQHH[WUDFWVWKHYDOXHVIRUHDFK'0$IURPWKHILOHRIWKH IRUHFDVWHGGHPDQGVJHQHUDWHGE\WKHGHPDQGIRUHFDVWLQJPRGXOH

(36)

HDFK KRXU WKH PDLQ SURJUDP H[WUDFWV IURP WKLV ILOH WKH YDOXHV IRU WKH QH[W RSHUDWLQJKRUL]RQ

x $ SHQDOW\RQRSHUDWLQJSXPSVDWKLJKWDULIIWLPHVZDVLQWURGXFHG7KLVRSWLRQ KHOSVWRJXLGHWKHRSWLPL]DWLRQ³DZD\´IURPRSHUDWLQJLQWKHKLJKWDULIISHULRGV,Q VSLWHRIWKLVSHQDOW\SXPSVFDQVWLOORSHUDWHGXULQJWKHKLJKWDULIISHULRGVDQGWKHUH LVQRLQIOXHQFHRQWKHIHDVLELOLW\RIWKHVROXWLRQ$ZDVDSSHQGHGWRWKHSURJUDP QDPHUHVXOWLQJLQ'*$11,WLVRXUILQDOYHUVLRQ

(37)

)LJXUH)ORZ&KDUWRI'*$11

:DLWIRUQH[WKRXU

*HWGDWDIURPWKH 6&$'$

2SWLPL]H "

*HWQHZGHPDQG IRUHFDVW

8SGDWHLQLWLDOWDQN OHYHOV

8SGDWHHOHFWULFLW\ WDULIIV

5XQ*$11

0DNH DQRWKHU

UXQ"

,V IHDVLEOH"

:3 1R

<HV

<HV

1R

1R

<HV 6HQGRSHUDWLQJGHVLJQ WRWKH6&$'$

(38)

7KH'*$11SURJUDPVWDJHV

7KHSURJUDPLVZDLWLQJIRUWKHQH[WKRXUDFWLYLWLHVDQGLQIRUPDWLRQ2QFHWKH VHWWLPHDUULYHVWKHQH[WVWHSVDUHSHUIRUPHG

7KH6&$'$PRGXOHLVFDOOHGDQGWKHXSGDWHGWDQNVOHYHOVDQGIORZVWKDWDUH QHHGHG IRU FDOFXODWLRQ RI WKH DFWXDO GHPDQGV LQ WKH ODVW KRXU E\ WKH IRUHFDVWLQJPRGXOHDUHUHFHLYHGEDFN

$ GHFLVLRQZKHWKHUWRFRPSXWHDQHZRSHUDWLQJSODQLVPDGH$WWKLVVWDJH WKH DQVZHU LV ³<HV´ HYHU\ WLPH VLQFH LW ZDV DJUHHG WR GR VR ,W ZRXOG EH SRVVLEOH WR LQWURGXFH VRPH FULWHULD IRU WKLV GHFLVLRQ IRU H[DPSOH WKH WUXH WDQNVOHYHOVDUHDVSUHGLFWHGDQGQRFKDQJHLQWKHRSHUDWLQJGHVLJQLVQHHGHG 7KHIRUHFDVWLQJPRGXOHPDNHVQHZGHPDQGIRUHFDVWDQGWKHPDLQSURJUDPLV

XSGDWHG

7KHLQLWLDOWDQNVOHYHOVDUHXSGDWHGIURPWKHGDWDUHFHLYHGIURPWKH6&$'$ V\VWHP

7KHHOHFWULFLW\WDULIIVIRUWKHQH[WRSHUDWLQJKRUL]RQVDUHXSGDWHG

7KH*$11RSWLPL]DWLRQPRGXOHLVFDOOHG7KHEHVWVROXWLRQRIWKHSUHYLRXV KRXULVXVHGDVRQHPHPEHULQWKHLQLWLDOSRSXODWLRQRIWKH*$7KHRSHUDWLQJ SODQIRUWKHUHPDLQLQJSDUWVRIWKHSODQQLQJKRUL]RQWKHILUVWKRXUKDVSDVVHG VR LW LV GURSSHG DQG D QHZ KRXU DW WKH HQG KDV EHHQ DGGHG 7KLV KDV LPSURYHGWKHVSHHGRIWKHUXQVVXEVWDQWLDOO\VLQFHLWFDQEHH[SHFWHGWKDWWKH RSWLPDORSHUDWLRQLQWKHQHZWLPHKRUL]RQZRXOGEHFORVHWRWKHRQHIRXQGLQ WKHSHUYLRXVKRXU

'XULQJWKHRSWLPL]DWLRQDWDXVHUGHILQHGLQWHUYDOWKHEHVWVROXWLRQIRXQGWR WKDWSRLQWE\WKH*$11RSWLPL]DWLRQLVYDOLGDWHGZLWKWKH(3$1(7PRGHOIRU IHDVLELOLW\ 7KH EHVW ORZ FRVW IHDVLEOH VROXWLRQ LV NHSW LQ SDUDOOHO ZLWK WKH RSWLPL]DWLRQ SURFHGXUH 7KLV YDOLGDWLRQ SURFHVV KDV QR LQIOXHQFH RQ WKH RSWLPL]DWLRQSURFHVVZKLFKLVPDGHHQWLUHO\E\WKH*$ZLWKWKH$117KLV PHWKRGLQVXUHVWKDWDWWKHHQGRIWKHUXQDUHDOIHDVLEOHVROXWLRQLIRQHKDV EHHQIRXQGLVDYDLODEOH

(39)

7KHRXWFRPHRIWKH*$11LVFKHFNHGWRGHWHUPLQHLIWKHVROXWLRQLVIHDVLEOH ,IQRWVWDJHLVLQYRNHG:RUN3DFNDJH,IWKHVROXWLRQLVIHDVLEOHWKHQ ZHSURFHHGZLWKVWHS

$ VHW RI DOWHUQDWLYH DFWLRQV LV FRQVLGHUHG DV GHVFULEHG LQ WKH QH[W VHFWLRQ :RUN3DFNDJH

7KH6&$'$V\VWHPLVXSGDWHGZLWKWKHQHZRSHUDWLQJGHVLJQIRUWKHQH[WKRXU WKHSURJUDPUHWXUQVWRVWDJHDQGZDLWVIRUWKHQH[WKRXU

(40)
(41)

5HVXOWV

(DFKVLPXODWHGGD\WDNHVDERXWRQHKRXUWRUXQRQDYHUDJHLWWDNHVDERXWPLQXHWVWR PDNHDVLQJOHKRXUUXQRQD0+]3,,,FRPSXWHU$FRPSDULVRQZLWK*$(3$1(7 UXQVZDVPDGH7KHUHVXOWVDUHWKDWXVLQJ(3$1(7LQVWHDGRI$11LVDERXWWLPHV VORZHU IRU WKH +DLID$ QHWZRUN 7KH UXQWLPH RI WKH *$11 SURJUDP LV FRQVLGHUHG VXLWDEOHIRU RXU SXUSRVHVLQFH LW LV PXFK VKRUWHU WKDQ WKHXSGDWHWLPH LQWHUYDOV RI WKH 6&$'$V\VWHP

$WHDFKKRXUWKH(3$1(7ILOH,13ILOHWKDWFRQWDLQVWKHRSHUDWLQJGHVLJQLVVDYHG,Q DGGLWLRQ WZR GDLO\ ILOHV DUH VDYHG ³6ROXWLRQVGDW´ DQG ³+RXUB&RVWGDW´ 7KH ILUVW FRQWDLQVLQIRUPDWLRQDERXWWKHUHVXOWVRIHDFKRSHUDWLQJGHVLJQDWHDFKKRXUZKLOHWKH ODWWHUKROGVLQIRUPDWLRQDERXWWKHDFWXDORSHUDWLQJFRVWVHDFKKRXUDVUHFHLYHGIURPWKH 6&$'$V\VWHPRULQRXUFDVHIURPWKH(3$1(77KLVLVWKHFRVWRIWKHILUVWKRXURQO\ RIWKHRSHUDWLQJGHVLJQPDGHE\WKHSURJUDPHDFKKRXU%HORZLVDVDPSOHSULQWRXWRI WKH³+RXUB&RVWGDW´ILOHIRU$SULOWK

7LPH +RXUFRVW

(42)

([SODQDWLRQRIWKHWDEOH

x $WWKHUHLVDQRSWLPDORSHUDWLQJSODQIRUWKHQH[WKRXUVZLWKDOHYHO VHWIRUWKDWPRUQLQJDQGDJDLQKRXUVODWHU

x 7KHFRVWRIRSHUDWLRQDFFRUGLQJWRWKLVSODQLQWKHKRXUEHWZHHQDQG LV1,6

x 7KH SURJUDP LV UXQ DJDLQ DW ZLWK WDQN OHYHOV FRPSXWHG IURP WKH RSHUDWLRQGXULQJWKHILUVWKRXU7KHFRVWIRUWKHILUVWKRXURIWKDWUXQEHWZHHQ DQGLV1,6

x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

$OO KRXUV ,13 ILOHV REWDLQHG IURP WKH '*$11 SURJUDP ZHUH FKHFNHG ZLWK (3$1(77DQNOHYHOYLRODWLRQV!PIURPQRPLQDODQGSUHVVXUHYLRODWLRQDWFULWLFDO SRLQW !P DQG DOO ZDUQLQJ PHVVDJH IURP (3$1(7 ZHUH UHFRUGHG IRU WKH HQWLUH VLPXODWHG\HDU

7KUHHIXOO\HDUUXQVZHUHPDGHZLWKWZRGHPDQGIRUHFDVWVHWVVHH:RUN3DFNDJH EHORZ

'*$11ZLWK81,)(IRUHFDVWHG±QRYLRODWLRQVQRZDUQLQJPHVVDJHV '*$11ZLWK:'$IRUHFDVW±QRYLRODWLRQVQRZDUQLQJPHVVDJHV

'*$11 ZLWK 81,)( IRUHFDVW ± RQH YLRODWLRQ LQ 60 WDQNV OHYHO P ZKHUHDVPLQLPDOOHYHOLVPQRZDUQLQJPHVVDJHV

7RWDOQXPEHURIWKHRQHKRXUH[SHULPHQWV GD\V[KRXUV[\HDUV 7KHVHUHVXOWVLQGLFDWHWKDW'*$11LVVWDEOH

(43)

(3$1(7DVD9DOLGDWLRQ0RGXOH

$VGHVFULEHGLQVWHSRIWKH'*$11IORZFKDUWDERYHDQ(3$1(7YDOLGDWLRQPRGXOH ZDVLQWURGXFHG7KHPHWKRGRORJ\XVHGIRUWKHYDOLGDWLRQLVDVIROORZV

x

$WSUHGHILQHG*$JHQHUDWLRQLQWHUYDOVWKHEHVW*$$11VROXWLRQLVFKHFNHG IRUIHDVLELOLW\ZLWKWKHK\GUDXOLFPRGHOXVHGWRWUDLQWKH$11

x

$ IHDVLEOHVROXWLRQLVNHSWDQGUHSODFHGRQO\E\DEHWWHUIHDVLEOHVROXWLRQLI IRXQG

x

$WWKHHQGRIWKH*$$11RSWLPL]DWLRQSURFHVVWKHEHVWIHDVLEOHVROXWLRQLV XVHG

1RWH (3$1(7LVQRWSDUWRIWKH*$$11RSWLPL]DWLRQSURFHVVQRUGRHVLWLQIOXHQFH WKLVSURFHVVLQDQ\ZD\

7KHPDLQUHDVRQVDQGEHQHILWVIRUWKLVYDOLGDWLRQSURFHGXUHDUH

x

6LQFHWKH(3$1(7PRGHOZDVXVHGIRUWKHWUDLQLQJRIWKH$11DQGWKHUHLVQR DFFXUDWH$11E\GHILQLWLRQWKH(3$1(7PRGHOLVPRUHDFFXUDWHWKHQWKH $11 (YHQ LI WKH $11 LV FORVH WR SHUIHFW LW LV VWLOO OHVV DFFXUDWH WKHQ WKH (3$1(7PRGHOXVHGIRUWUDLQLQJLW

x

7KH RSWLPL]HG RSHUDWLQJ VFKHPH LV IHDVLEOH DFFRUGLQJ WR WKH EHVW DYDLODEOH PRGHO

x

7KLV SURFHVVLV PRUH UREXVW DV GHSHQGHQFH RQ WKH DFFXUDF\ RI WKH $11 LV UHGXFHG,QWKHJHQHUDOFDVHIRUFLW\³&´ZHZLOOQRWKDYHWREHVRGHSHQGHGRQD KLJKO\DFFXUDWH$11LIRQHLVGLIILFXOWWRDFKLHYH

x

7KHUHLVDIHDVLEOHRSHUDWLQJVFKHPHIRUWKHHQWLUHSODQQLQJKRUL]RQZKHQWKHUH LVDIDLOXUHRIWKH6&$'$

7:5,VRIWZDUHDQGILQDOSURMHFWVRIWZDUH

$IWHURXUWHDPGHYHORSHGWKLV'*$11WKHILQDOSDFNDJHIRUWKHSURMHFWZDVGHYHORSHG E\WKH81(:WHDP7KLVLVUHSRUWHGVHSDUDWHO\E\WKH81(:WHDP

(44)

:RUN3DFNDJH([WHQVLRQ RI WKH RSWLPDOFRQWURO SURFHVV WR LQFOXGH

HPHUJHQF\SURFHGXUHV

7KH 7:5, 7HDP WRRN WKH OHDG LQ WKLV :RUN 3DFNDJH 7KH REMHFWLYH RI :3 LV WR LQFRUSRUDWH SURFHGXUHV IRU GHDOLQJ ZLWK HPHUJHQF\ FRQGLWLRQV VXFK DV SLSH EXUVWV VWLFNLQJ YDOYHV SXPS IDLOXUHV ORVV RI HOHFWULFLW\ HWF :H DUH LQWHUHVWHG LQ HPHUJHQF\ VLWXDWLRQVWKDWFDXVHDGHFOLQHLQV\VWHPSHUIRUPDQFHZKLFKLVGHILQHGDVDIDLOXUH

2XULQLWLDOSURSRVDOIRUKDQGOLQJHPHUJHQF\VLWXDWLRQVZDVDVIROORZV7RIRUPXODWHD PXOWLREMHFWLYHSUREOHP023ZLWKWZRREMHFWLYHIXQFWLRQVPD[LPL]HWKHDPRXQWRI ZDWHUVXSSOLHGDQGPD[LPL]HWKHPLQLPXPSUHVVXUHDWDQ\RIWKHFRQVXPHUQRGHV7KHUH LVDWUDGHRIIEHWZHHQWKHVHWZR±DVPRUHZDWHULVVXSSOLHGWKHPLQLPXPSUHVVXUHZLOOEH UHGXFHG $Q HPHUJHQF\ RFFXUV ZKHQ LW LV QRW SRVVLEOHWRVXSSO\ WKH UHTXLUHGGHPDQG ZLWKSUHVVXUHVDWDOOFRQVXPHUQRGHVDERYHWKHUHTXLUHGPLQLPXPSUHVVXUH

)LJXUH0XOWLSOHREMHFWLYH02VSDFH

,Q)LJXUH3PD[LVWKHRULJLQDOPLQLPXPSUHVVXUHWKDWPXVWEHPDLQWDLQHGDQG RIWKHZDWHUVXSSO\LVWKHRULJLQDOZDWHUGHPDQG$IDLOXUHRFFXUVZKHQWKHSRLQW> 3PD[@LVLQIHDVLEOHVLQFHWKLVGHPDQGOHYHODQGPLQLPXPSUHVVXUHFDQQRWEHSURYLGHGDW WKHVDPHWLPHWKLVLVWKHGHILQLWLRQRIDQHPHUJHQF\FRQGLWLRQ

(45)

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

'XULQJRXUDWWHPSWVWRFDXVHDIDLOXUHLQWKH$70QHWZRUNZHFORVHGDQXPEHURIPDLQ SLSHVDQGIROORZHGWKHSUHVVXUHFKDQJHVDWDFULWLFDOQRGHDVWKHGHPDQGFKDQJHG6XFK PXOWLSOHFRPSRQHQWEUHDNGRZQVDUHYHU\UDUHLQUHDOV\VWHPV$VXPPDU\RIWKHUHVXOWV DSSHDUVLQ)LJXUH,WVKRZVWKDWRQFHWKHVXSSO\OHYHOJRHVDERYHRIWKHGHPDQGV WKHSUHVVXUHDWWKHPRVWFULWLFDOQRGHEHJLQWRGURSEHORZWKHUHTXLUHGPLQLPXPP +RZHYHUHYHQZKHQWKHIXOORIWKHGHPDQGLVVXSSOLHGWKHPD[LPXPSUHVVXUH GURSLVRQO\DERXWPZKLFKZRXOGQRWEHYLHZHGLQDUHDOV\VWHPDVDIDLOXUHPHUHO\ DQLQFRQYHQLHQFH

(46)

+DYLQJREWDLQHGWKHVHUHVXOWVLWZDVVXJJHVWHGWRSDUWLDOO\UHWXUQWRWKHRULJLQDOSURMHFW SURSRVDO QDPHO\ FDSWXULQJ WKH NQRZOHGJH RI WKH V\VWHP RSHUDWRUV KRZ WR GHDO ZLWK HPHUJHQF\VLWXDWLRQV,QFDVHVRIIDLOXUHVWKDWGRQRWFDXVHDSDUWRIWKHV\VWHPWREH GLVFRQQHFWHG ZKLFK FDXVH VXSSO\ LQ WKDW SDUW WR EH FXUWDLOHG WKH '*$11 RU *$(3$1(7LVXVHGWRREWDLQDIHDVLEOHRSHUDWLQJSODQZLWKLQWKHRULJLQDOFRQVWUDLQWV

:KHQD FRPSRQHQW EUHDNGRZQ RFFXUV DQGDIHDVLEOH VROXWLRQ FDQQRW EH REWDLQHG WKH GHVLJQWLPHKRUL]RQLVGHFUHDVHGDQGWKH'*$11SURJUDPLVLQLWLDWHGDJDLQ,IQRZD IHDVLEOHVROXWLRQLVQRWREWDLQHGDSUHGHILQHGOLEUDU\EDVHGRSHUDWLQJVFHQDULRVLVXVHG

7KHIROORZLQJVFKHPHZDVHPEHGGHGLQWKH'*$11SURJUDP

x

5HGXFHGGHVLJQWLPHKRUL]RQZKHQDIHDVLEOHVROXWLRQFDQQRWEHIRXQG

x

6HWWLQJSXPSVWR³PDQXDORII´ZKHQWKH\DUHQRWDYDLODEOH

x

,QFDVHRIDFKDQJHLQWKHZDWHUQHWZRUNWKDWFDQQRWEHVLPXODWHGE\WKH$11 ZHVZLWFKWR*$(3$1(7

x

/LEUDU\RIRSHUDWLRQDOVWHSVDYDLODEOHRIIOLQH

:RUN 3DFNDJH ,QFOXVLRQ RI UHDOWLPH GHPDQG IRUHFDVWLQJ DQG LWV

DSSOLFDWLRQWRWKHH[SHULPHQWDOQHWZRUNV

2XU WHDP SURYLGHG D VXSSRUWLQJ UROH LQ WKLV ZRUN SDFNDJH DQG RXU PDLQ WDVN ZDV WR VXSSO\WKH81,)(WHDPZLWKGHPDQGGDWDIRUGHVLJQLQJWKHUHDOWLPHGHPDQGIRUHFDVWLQJ SURFHGXUH7KLVSURFHGXUHZDVWREHHPEHGGHGLQWKH'*$11SURJUDP

(47)

:HGHILQHIRUHDFKKRXUWWKH$YHUDJH)RUHFDVWLQJ5HODWLYH(UURU$)5(

$)5(W ˜

¦

I'

W WL

WUXH'

W WL

WUXH'

W WL

:KHUH

W W L

I' LVWKHIRUHFDVWHGGHPDQGYDOXHIRUKRXUWL

W W L

WUXH' LVWKHWUXHGHPDQGYDOXHIRUKRXUWLL «

7KHUHVXOWVRIWKH81,)(IRUHFDVWLQJDOJRULWKPIRU'0$DUH 0LQLPDO$)5( 0D[LPXP

$YHUDJHRYHUWKH\HDU$)5( 6W'HYRYHUWKH\HDU$)5(

7KH$)5(IRU'0$RYHUWKH\HDULVVKRZQLQ)LJXUH

)LJXUH81,)($)5(IRU'0$RYHUWKH\HDU

5HVXOWVIRU81,)(IRUHFDVWLQJDOJRULWKPIRUWKHQH[WKRXURQO\'0$DUH 0LQLPXP)5( 0D[LPXP)5(

(48)

7KH)5(IRUQH[WKRXURQO\'0$RYHUWKH\HDULVVKRZQLQ)LJXUH )LJXUH)5(IRUQH[WKRXURQO\'0$RYHUWKH\HDU

,QWKHVDPHPDQQHUWKH³UHDOKRXUO\GHPDQGGDWD´IRU\HDUZHUHJHQHUDWHGDQG VHQWWRWKH81,)(WHDPIRUIRUHFDVWLQJ7KHUHVXOWVSURYLGHGE\WKH81,)(WHDPKDG DERXWWKHVDPHDVIRUWKH$YHUDJH)5(LVDERXWZLWKUDUHHYHQWVRIYHU\ODUJH KXQGUHGVSHUFHQWIRUHFDVWLQJHUURUV

([KDXVWLYH H[SHULPHQWV ZLWK WKH '*$11 SURFHGXUH LQGLFDWH WKDW ORZ DFFXUDF\ RI GHPDQG IRUHFDVWLQJ GRHV QRW FDXVH VHULRXV GHWHULRUDWLRQ LQ WKH SHUIRUPDQFH RI WKH '*$11RSWLPL]DWLRQ±SURYLGHGWKHYDOXHVRIODVWKRXUVGHPDQGVDUHXVHGWRFDOFXODWH WKHWUXHYDOXHRIWKHWDQNOHYHOVDWWKHHQGRIWKHKRXUZKLFKDUHWKHQXVHGDVLQLWLDO FRQGLWLRQVIRUWKHQH[WKRXU7KLVSURFHGXUHLVXVHGLQWKHVLPXODWHGHQYLURQPHQWDVDQ HTXLYDOHQWRIEULQJLQJLQYLDWKH6&$'$WKHFRUUHFWFXUUHQWYDOXHVRIWKHWDQNOHYHOV 6LQFHWKHVHWDQNOHYHOVDUHQRWDYDLODEOHLQWKHVLPXODWHGHQYLURQPHQWWKHFDOFXODWHGWDQN OHYHOVXVLQJWKHDFWXDOGHPDQGYDOXHVDFWDVWKHHTXLYDOHQWRIWKLVPHDVXUHPHQW

(49)

7KHUHVXOWVZLWKWKH:'$IRUHFDVWLQJDOJRULWKPIRU'0$DUH 0LQLPXP$)5( 0D[LPXP$)5( $YHUDJHRYHUWKH\HDU$)5(

6W'HYRYHUWKH\HDU$)5(

:HWKHQIRXQGWKDWWKHRSHUDWLQJFRVWDQGWKHQXPEHURIFRQVWUDLQWVYLRODWLRQVZLWKWKLV GHPDQG IRUHFDVW UHPDLQHG SUDFWLFDOO\ DV WKH\ ZHUH ZLWK WKH 81() PHWKRG ZKHQ WKH DFWXDOODVWKRXUVGHPDQGVZHUHXVHGWRFDOFXODWHWKHLQLWLDOWDQNOHYHOIRUWKHQH[W KRXU7KLVZLOOEHVHHQZKHQWKH:3UHVXOWVDUHSUHVHQWHGLQWKHQH[WVHFWLRQ

:RUN3DFNDJH (YDOXDWLRQRIEHQHILWVDULVLQJIURPUHDOWLPHRSWLPDO

FRQWURO RI ZDWHUGLVWULEXWLRQ QHWZRUNV GHILQLWLRQ RI LWV 6&$'$

UHTXLUHPHQWVDQGGRFXPHQWDWLRQRIPHWKRGRORJ\

7KHPDLQREMHFWLYHRI:3LVWRHYDOXDWHWKHUHDOWLPHRSWLPDOFRQWUROV\VWHPIRUZDWHU GLVWULEXWLRQQHWZRUNVLQWHUPVRILWVEHQHILWVFRVWV7KHFRPSDULVRQLVPDGHEHWZHHQWKH FXUUHQW ZD\ RI RSHUDWLRQ DQG WKH SURSRVHG RSWLPDO FRQWURO SURJUDP 7KH FULWHULD IRU FRPSDULVRQZLOOLQFOXGHVDWLVI\LQJWKHGHPDQGVFRVWVDYLQJVSUHVVXUHVLQWKHQHWZRUN DQGWKHDELOLW\WRPHHWRSHUDWLRQDOFRQVWUDLQWV2QWKHRWKHUKDQGVRPHLQYHVWPHQWVLQD QHZRUXSJUDGHG6&$'$V\VWHPDUHQHHGHG

%DVHUXQ±FXUUHQWRSHUDWLRQ

(50)

7DEOH0RQWKO\RSHUDWLQJFRVWVZLWKFXUUHQWRSHUDWLRQ 0RQWK 2SHUDWLQJFRVW1,6

(51)

)LJXUH0RQWKO\FRVWVIRU'*$11DQG'*$11UXQVZLWKGLIIHUHQWGHPDQG IRUHFDVWLQJDOJRULWKPV

7KHWRWDOFRVWVDYLQJVGXHWRVKLIWLQJRISXPSRSHUDWLRQWRORZHOHFWULFLW\WDULIISHULRGV DUHOLVWHGLQ7DEOH

7DEOH6DYLQJVLQRSHUDWLRQFRVWV

5XQ &RVWVDYLQJV 1,6

&RVWVDYLQJV

'*$11DQG81,)('HPDQG)RUHFDVW

'*$11DQG:'$'HPDQG)RUHFDVW

'*$11DQG81,)('HPDQG)RUHFDVW

(VWLPDWLRQRIWKHFRQILGHQFHLQWHUYDOIRUWKHFRVWUHVXOWV

(52)

)LJXUHHVWLPDWLRQRIWKHFRQILGHQFHLQWHUYDOIRUWKHFRVWUHVXOWV

7KHUHVXOWLQJVWDWLVWLFVDUH 0LQLPXPFRVW 0D[LPXPFRVW $YHUDJHFRVW

6WDQGDUG'HYLDWLRQ&RVW

$ IHZ UXQV ZHUH DOVR PDGH IRU RQH IXOO PRQWK DQG D VLPLODU UDQJH RI YDOXHV RI WKH RSWLPDOFRVWZDVREWDLQHG&RQFOXVLRQWKHHUURUHVWLPDWLRQIRUWKHPRQWKO\HOHFWULFLW\ FRVWIRU'*$11LVLQWKHUDQJHRI

(VWLPDWLRQRIWKHFRPSXWDWLRQDODGYDQWDJHRIWKH$11XVHGDVDQHWZRUNVLPXODWRU $ PDLQREMHFWLYHRIWKH32:$',0$SURMHFWLV³WRGHYHORSDFRPSXWDWLRQDOO\HIILFLHQW DOWHUQDWLYH WR D K\GUDXOLF VLPXODWLRQ PRGHO´ ,Q WKLV VHFWLRQ ZH DGGUHVV WKH UHODWLYH FRPSXWDWLRQDODGYDQWDJHRIWKH$11DVFRPSDUHGWRDQHWZRUNVLPXODWRU(3$1(7$ WKHRUHWLFDO IUDPHZRUN LV GHYHORSHG ILUVW DQG LWV UHVXOWV DUH WKHQ FRPSDUHG ZLWK FRPSXWDWLRQDOH[SHULHQFH

/HW$ EHWKHDOJRULWKPXVHGLQ(3$1(7WRVROYHWKHK\GUDXOLFHTXDWLRQVDQLWHUDWLYH

(53)

,W FDQ EH VKRZQ WKDW WKH FRPSXWDWLRQDO EXUGHQ H[SUHVVHG DV WKH QXPEHU RI PXOWLSOLFDWLRQVIRURQHWLPHVWHSRIWKH(3$1(7DOJRULWKPFDQEHHVWLPDWHGDVIROORZV &$t W˜'˜-

:KHUHW LVWKHQXPEHURIWKHLWHUDWLRQVWRDFKLHYHFRQYHUJHQFH'LVWKHQXPEHURIOLQNV LQWKHK\GUDXOLFQHWZRUNDQG- LVWKHWRWDOQXPEHURIQRGHVLQFOXGLQJWDQNVVRXUFHV 7KHQXPEHURILWHUDWLRQVRIWKLVPHWKRGGHSHQGVVWURQJO\RQVSHFLILFSDUDPHWHUVRIWKH ZDWHUQHWZRUNDQGFDQQRWEHHVWLPDWHGLQJHQHUDOWHUPV)RUHDFKVSHFLILFZDWHUQHWZRUN WKHQXPEHURILWHUDWLRQVLQWKH(3$1(7VLPXODWLRQLVVHWDFFRUGLQJWRH[SHULHQFH:H KDYHXVHG

1RZOHW$EHWKHDOJRULWKPWKDWVLPXODWHWKHWUDLQHG$11H,+0ZKHUH,LVQXPEHURI

WKHLQSXWV+LVQXPEHURIKLGGHQQRGHVDQG0LVQXPEHURIRXWSXWV(DFKRIWKHRXWSXWV UHSOLFDWHV WKH EHKDYLRU RI D K\GUDXOLF YDULDEOH IORZ SUHVVXUH RU KHDG DW D VSHFLILF ORFDWLRQRIWKHZDWHUQHWZRUNZLWKDFFXUDF\H

7KH FRPSXWDWLRQDO EXUGHQ QXPEHU RI PXOWLSOLFDWLRQV IRU WKLV FDVH LV HVWLPDWHG DV IROORZV

&$a+,0FP+0

7KHILUVWWHUPUHSUHVHQWVWKHWRWDOQXPEHURIFRQQHFWLRQVLQWKH$11)RUHDFKOLQNWKHUH LV MXVW RQH PXOWLSOLFDWLRQ 7KH VHFRQG WHUP UHSUHVHQWV WKH QXPEHU RI LWHUDWLRQV WR DSSUR[LPDWH D VLJPRLG IXQFWLRQ FPLV D FRQVWDQW WKDW GHSHQGV RQ WKH QXPEHU RI

PXOWLSOLFDWLRQVUHTXLUHGWRFRPSXWHWKHH[SRQHQWLDOVLJPRLGIXQFWLRQZKLFKLVWKHQHXURQ DFWLYDWLRQIXQFWLRQ([SHULHQFHVKRZVWKDWWKLVFRQVWDQWLVDSSUR[LPDWHO\+0LV WKHQXPEHURIQRGHVKLGGHQSOXVRXWSXWDWZKLFKDVLJPRLGLVWREHFDOFXODWHG

&RPSDULVRQRIWKHFRPSXWDWLRQDOEXUGHQRIWKH$11DQG(3$1(7UHTXLUHVHVWLPDWLRQRI WKHUHTXLUHGVL]HRIWKH$11)RU+DLID$ZHXVHG$116RIURPHVWLPDWLRQ DERYHLWLVFOHDUWKDW

&$ a[ PXOWLSOLFDWLRQV

,QRUGHUWRHVWLPDWH&$ LWLVQHFHVVDU\WRNQRZWKHSDUDPHWHUVRIWKHZDWHUPRGHO,Q

+DLID$WKHUHDUHSLSHVDQGHOHPHQWVQRGHVWDQNVDQGSXPSV6XSSRVHWKDW

(54)

7KXVWKHUDWLRRIWKHQXPEHURIPXOWLSOLFDWLRQVLQ(3$1(7DQGWKLV$11LV7KLVLV DQDSSUR[LPDWLRQRIWKHUHODWLYHHIILFLHQF\RIWKH$11DVFRPSDUHGZLWK(3$1(7±IRU RQHDSSOLFDWLRQRQHKRXURIWKHWZRDOJRULWKPV

7KHUHVXOWVRIUXQQLQJWKH(3$1(7WRRONLWIRU+DLID$DQGWKH$11PRGHORQ WKHVDPHFRPSXWHUDUHDVIROORZV

ƒ ,WWDNHV[VHFRQGVWRFRPSXWHRQHKRXUVRSHUDWLRQRIWKH+DLID$ZDWHU

QHWZRUNZLWKLWHUDWLRQ

ƒ ,WWDNHV[ VHFRQGVWRFRPSXWHRQHRXWSXWYHFWRUUHSOLFDWLQJRQHKRXUV

RSHUDWLRQRI+DLID$

ƒ 7KH $11 LV WKXV WLPHV IDVWHU 7KLV ILJXUH FRPSDUHV IDYRUDEO\ ZLWK WKH WKHRUHWLFDOUDWLRRIJLYHQDERYH

,QWKHRSWLPL]DWLRQSURFHVVZHKDYHWKHIROORZLQJILJXUHV

ƒ 5XQQLQJ*$ZLWKDOOSURJUDPFRPSRQHQWVH[FHSWVLPXODWRU$11RU (3$1(7JHQHUDWLRQVVHFRQG

ƒ 5XQQLQJ*$$11JHQHUDWLRQVVHFRQG

ƒ 5XQQLQJ*$(3$1(7 JHQHUDWLRQVVHFRQG

/HW7 EH WKH WLPH UHTXLUHG IRU WKH VLPXODWRU (3$1(7 RU $11 WR SHUIRUP RQH JHQHUDWLRQLQWKHFRPELQHG*$VLPXODWRURSWLPL]DWLRQSURFHVV7KHQIURPWKHILJXUHV DERYH

7 (3$1(7 VHFRQGV 7$11 VHFRQGV 7KHVHILJXUHVDUHVKRZQLQWKHIROORZLQJWDEOH

2SWLPL]HU *$ *$$11 *$(3$1(7

2QHJHQHUDWLRQVHF

6LPXODWRU $11 (3$1(7

2QHJHQHUDWLRQVHF

7KHFRPSXWDWLRQDOHIILFLHQF\RIWKH$11UHODWLYHWR(3$1(7LV 7 (3$1(77$11

7KHODUJHGLIIHUHQFHEHWZHHQWKLVILJXUHDQGFRPSDULVRQDERYHIRUUXQQLQJWLPHVRI (3$1(7DQG$11VWDQGLQJDORQHUHTXLUHVIXUWKHULQYHVWLJDWLRQ

(55)

$ PRUHVLJQLILFDQWFRQFOXVLRQIURPWKHVHILJXUHVLVDVIROORZVLPSURYHGFRPSXWDWLRQDO HIILFLHQF\ RI WKH *$$11 RSWLPL]DWLRQ SURFHVV GHSHQGV RQO\ PLOGO\ RQ WKH $11 UXQQLQJ WLPH )RU H[DPSOH LI WKH $11 FRXOG EH WLPHV IDVWHU WKH *$$11 RSWLPL]DWLRQSURFHVVZRXOGEHRQO\WLPHVIDVWHU

(VWLPDWLRQRI6&$'$FRVWV

7KHWDVNRIHVWLPDWLQJWKHLQYHVWPHQWVQHHGHGWRLQVWDOODQHZ6&$'$V\VWHPIRUWKH +DLID$QHWZRUNZDVPDGHE\7KHPHV:DWHUDVDVXEFRQWUDFWRURIWKH81(:WHDP

,Q RUGHU WR KDYH D ZDWHU V\VWHP FRQWUROOHG E\ DQ RSWLPL]DWLRQ SURJUDP WKH IROORZLQJ UHTXLUHPHQWVDUHWREHPHW

x

$ PRGHOLQJ FRPSXWHU IRU WKH SURJUDP LV WR EH FRQQHFWHG WR WKH 6&$'$ V\VWHPLQWKHFRQWUROFHQWHU

x

7KH6&$'$V\VWHPVKRXOGKDYHWKHDELOLW\WRUHFHLYHRSHUDWLRQDOLQIRUPDWLRQ IRUPWKHRSWLPL]DWLRQSURJUDP

x

(DFKSXPSVKRXOGKDYHDWOHDVWIORZSRZHUDQGVWDWXVPHDVXUHPHQWV

x

(DFKSXPSLQJVWDWLRQVKRXOGKDYHSUHVVXUHPHDVXUHPHQWV

x

(DFKWDQNVKRXOGKDYHDOHYHOPHDVXUHPHQWZLWKFRQYHUVLRQWRWKHYROXPH

x

&ULWLFDOSUHVVXUHQRGHVVKRXOGKDYHSUHVVXUHPHDVXUHPHQWV

x

7KH 6&$'$ VKRXOG PDNH D UHDGLQJ F\FOH IRU DOO 578¶V DW OHDVW HYHU\ PLQXWHV

x

$OOUHDGLQJVVKRXOGEHDYDLODEOHIRUDWOHDVWWZR\HDUV

:DWHUSUHVVXUHDQGOHDNDJH

(56)

7DEOHSUHVVXUHFRPSDULVRQVFXUUHQWRSHUDWLRQ±RSWLPL]DWLRQYDOXHV

32:$',0$ZHEVLWH KWWSZZZQFODFXNSRZDGLPD 'HVLJQHGE\'HUHN-DPLHVRQ

,PSOHPHQWHGE\2IHU0HQFKHOO

8QGHUVXSHUYLVLRQRI8UL6KDPLUDW7:5, ,QVWDOOHGRQWKH1&/6HUYHU

6XPPDU\&RQFOXVLRQVDQG5HFRPPHQGDWLRQV

&UHDWLQJ VRIWZDUH IRU DXWRPDWLF UHDOWLPH RSWLPDO FRQWURO RI D ODUJH UHDO ZDWHU GLVWULEXWLRQV\VWHPLVDGLIILFXOWWDVN,WLVDSUREOHPWKDWKDVEHHQDGGUHVVHGRYHUWKH \HDUV E\ PDQ\ UHVHDUFKHUV DQG GHYHORSHUV DQG VWLOO WKHUH LV QR UHDGLO\ DYDLODEOH PHWKRGRORJ\QRULWVLPSOHPHQWDWLRQLQVRIWZDUHIRUVWDQGDUGDSSOLFDWLRQ

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

6LQFHRXUREMHFWLYHLVGHYHORSPHQWRIDUHDOWLPHRQOLQHRSWLPL]DWLRQVRIWZDUHSDFNDJH WKHPRVWLPSRUWDQWIHDWXUHRIWKH$11LVLWVUREXVWQHVV QDPHO\LWVDELOLW\WRJHQHUDWH JRRGFDQGLGDWHVIRUWKHRSWLPL]DWLRQSURJUDPZKHWKHU*$RUDQ\RWKHUVHDUFKURXWLQHWR \LHOGMRLQWO\DQHIIHFWLYH*$11DOJRULWKP,WLVDOVRLPSRUWDQWWRKDYHDJRRGGHPDQG IRUHFDVWLQJ SURFHGXUH VR WKDW LQ FRPELQDWLRQ ZLWK WKH *$11 LW EHFRPHV SUDFWLFDO WR DSSO\WKHFRPELQHGSDFNDJHWRUHDOZDWHUGLVWULEXWLRQV\VWHPV

(57)

7KHRQO\UHDVRQIRUKDYLQJDQ$11LQVWHDGRIDQHWZRUNVLPXODWRUVXFKDV(3$1(7LV WKHFRPSXWDWLRQDOVSHHGRIWKH$11)RUWKH+DLID$QHWZRUNHDFKRSWLPL]DWLRQVWHS WDNHVDERXWPLQXWHVZLWKWKH$11DQGDERXWWLPHVVORZHUZLWK(3$1(7,W PLJKWEHSRVVLEOHWRXVHDQ(3$1(7PRGHODQGQRWDQ$11E\

x

8VLQJDPXFKIDVWHUFRPSXWHURURWKHUZLVHVSHHGLQJXSWKHFDOFXODWLRQVHJ SDUDOOHOL]DWLRQ

x

2SWLPL]LQJWKH(3$1(7VROYHUIRUPDNLQJPDQ\VLPLODUUXQV

x

6NHOHWRQL]LQJ WKH V\VWHP LQWR D VPDOOHU PRGHO VWLOO VXLWDEOH IRU WKH RSWLPL]DWLRQ

(58)

5HIHUHQFHV

$6&(7DVN&RPPLWWHHRQ$SSOFDWLRQRI$UWLILFLDO1HXUDO1HWZRUNVLQ+\GURORJ\ $UWLILFLDO 1HXUDO 1HWZRUNV LQ +\GURORJ\ , 3UHOLPLQDU\ &RQFHSWV-RXUQDORI+\GURORJLF(QJLQHHULQJ$6&(

$6&(7DVN&RPPLWWHHRQ$SSOFDWLRQRI$UWLILFLDO1HXUDO1HWZRUNVLQ+\GURORJ\ $UWLILFLDO 1HXUDO 1HWZRUNV LQ +\GURORJ\ ,, +\GURORJLF $SSOLFDWLRQV-RXUQDORI+\GURORJLF(QJLQHHULQJ$6&(

%KDWWDFKDU\D%/REEUHFKW$+DQG6RORPDQLWH'31HXUDO1HWRZNUV DQG 5HLQIRUFHPHQW /HDUQLQJ LQ &RQWURO RI :DWHU 6\VWHPV -RXUQDO RI :DWHU5HVRXUFHV3ODQQLQJDQG0DQDJHPHQW$6&(

(3$1(78VHUV0DQXDO

+DJDQ07+%'HPXWKDQG0+%HDOH1HXUDO1HWZRUN'HVLJQ %RVWRQ0$3:63XEOLVKLQJ

5LHGPLOOHU0DQG+%UDXQ$GLUHFWDGDSWLYHPHWKRGIRUIDVWHU

References

Related documents

In this thesis, we analyze the impact of (a) sharing data and work across concurrent queries, and (b) adaptive NUMA-aware task scheduling and data placement on the performance of

With- out weight compression and using 16-bit parameters, the DRNN achieved an effective throughput of 1.2 TOp/s and MAC computa- tion efficiency of 623.96% with negligible

TOC PID namespaces cgroups Mounting cgroups user namespaces UTS namespace Network Namespace Mount

Chapter 3 this chapter includes two-loop PID controller design for Inverted Pendulum along with Simulation and Experimental results.. Chapter 4 this chapter includes

By using email archives of source code change history and problem reports we quantify aspects of developer participation, core team size, code ownership, productivity, defect

Since Games 2 and 3 are identical in the attacker’s view (the public parameters, responses to private key queries, the challenge ciphertext, and abort conditions) the

It is not sufficient for a claimant to make a blanket allegation of negligence against a defendant on a claim of negligence without giving full particulars of

• Complaints tend to involve multiple, overlapping issues, such as damage resulting in an insurance claim or the dispute over the cost results in the mover holding the goods