download full version

2,6KSRW\XND_5<D*RORYFKDND_$3.RYDOVNL\DE 93DPXNFKLHYDF_(6NRUGHYDF_DQG'$UVRYDF

D_{,QVWLWXWHRI0DWHULDOV6FLHQWLILF5HVHDUFK&RPSDQ\³&DUDW´6WU\MVND6WU} /YLY8NUDLQH

E_{1DWLRQDO8QLYHUVLW\³/YLY3RO\WHFKQLFV´%DQGHUDVWU/YLY8NUDLQH} F_{,QVWLWXWHRI6ROLG6WDWH3K\VLFVRIWKH%XOJDULDQ$FDGHP\RI6FLHQFHV7]DULJUDGVNR} &KDXVVHH6RILD%XOJDULD

5HFHLYHG

$IWHUUHYLVLRQ

$EVWUDFW

$FRRUGLQDWLRQGHIHFWVIRUPDWLRQPRGHOEDVHGRQWKHFRQFHSWRIFRYDOHQWFKHPLFDOERQG VZLWFKLQJZDVGHYHORSHGIRUWKHPLFURVWUXFWXUDOH[SODQDWLRQRIgLQGXFHGRSWLFDOHIIHFWVLQ $V6*H6FKDOFRJHQLGHJODVVHV7KHZKROHYDULHW\RISRVVLEOHGHVWUXFWLRQSRO\PHUL]DWLRQ WUDQVIRUPDWLRQVZDVFRQVLGHUHGVHSDUDWHO\IRUWKH³SXUH´YLWUHRXVY$V6DQGY*H6DV ZHOO DV IRU WKH PL[HG Y$V6*H6 FRPSRVLWLRQV 7KH WRSRORJLFDO VFKHPHV RI WKH FRRUGLQDWLRQGHIHFWIRUPDWLRQZHUHSURSRVHGWDNLQJLQWRDFFRXQWUHVXOWVREWDLQHGE\WKH,5 )RXULHUVSHFWURVFRS\PHWKRGRIDGGLWLRQDOUHIOHFWLYLW\LQFP_UDQJH

.H\ZRUGVRSWLFDOWUDQVPLWWDQFHFKDOFRJHQLGHYLWUHRXVVHPLFRQGXFWRUV JDPPDLUUDGLDWLRQ

3$&6/\

,QWURGXFWLRQ

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

7KH SKRWRLQGXFHG HIIHFWV SURGXFHG E\ DEVRUEHGOLJKWH[SRVXUHDUHW\SLFDODVDUXOHIRU WKLQ ILOPV RI &K9& REWDLQHG E\ YDFXXP

FRQFHSW RI FRYDOHQW FKHPLFDO ERQG VZLWFKLQJ ZDV GHYHORSHG WR H[SODLQ WKH PHFKDQLVP RI WKHVH HIIHFWV LQ YLWUHRXV Y$V6 ± D W\SLFDO JODVVIRUPLQJ FRPSRXQG ZLWK D UHODWLYHO\ KLJK UDGLDWLRQVHQVLWLYLW\>@8QIRUWXQDWHO\VXFK DPRGHOKDVQRWEHHQDSSOLHGSUHYLRXVO\QHLWKHU IRU Y*H6 QRU IRU PRUH VWUXFWXUDOO\ FRPSOLFDWHG FURVVOLQNHG &K9& V\VWHPV ZKLFK FRQWDLQ WZR WKUHH DQG IRXUIROG FRRUGLQDWHG DWRPVVLPXOWDQHRXVO\

,QWKHSUHVHQWSDSHUZHVKDOOWU\WRGHYHORS IRU WKH ILUVW WLPH WKH &' PRGHO IRU UDGLDWLRQ VWUXFWXUDO WUDQVIRUPDWLRQV LQ WKH WHUQDU\ $V*H6 &K9& V\VWHP UHVWULFWHG RQO\ E\ VLPSOHELQDU\$V6DQG*H6FRPSRQHQWV

([SHULPHQWDOSURFHGXUH

(LJKW YLWUHRXV VDPSOHV RI WKH SVHXGRELQDU\ $V6[*H6[ V\VWHP ZLWK D SDUDPHWHU [ YDULDWLRQ IURP WR ZHUH VHOHFWHG IRU RXU LQYHVWLJDWLRQV 7KHVH &K9& VDPSOHV ZHUH SUHSDUHG E\ D PHOWTXHQFKLQJ PHWKRG >@ XVLQJDPL[WXUHRIKLJKSXULW\*H $V DQG 6 VHDOHG LQ TXDUW] DPSRXOHV _3D DQGKHDWHGJUDGXDOO\XSWR.7KHIXUQDFH ZDV URFNHG IRU KRXUV WR REWDLQ WKH PRVW KRPRJHQHRXV PHOW 7KHQ WKH REWDLQHG LQJRWV ZHUH DLUTXHQFKHG DW DQ DPELHQW WHPSHUDWXUH $OO DPSRXOHV ZHUH DQQHDOHG DGGLWLRQDOO\ DW WHPSHUDWXUHVRI.EHORZVRIWHQLQJSRLQW 7J WR UHPRYH WKH DSSHDUHG WKHUPRPHFKDQLFDO VWUDLQV7KHDPRUSKRXVVWDWHRIWKHJODVVHVZDV URXWLQHO\ FRQWUROOHG E\ D YLVLEOH FKDUDFWHU FRQFKOLNH IUDFWXUH GDWD RI ;UD\ GLIIUDFWLRQ DQDO\VLVDQGWUDQVPLVVLRQ,5PLFURVFRS\$WWKH ILQDOWHFKQRORJLFDOVWDJH DOO LQJRWV ZHUH VOLFHG LQWR PP SDUDOOHOVLGHG SODWHV DQG SROLVKHG FDUHIXOO\IRUSUHFLVHRSWLFDOPHDVXUHPHQWV

7KH &K9& VDPSOHV ZHUH LUUDGLDWHG E\ gTXDQWD DW QRUPDO FRQGLWLRQV RI D VWDWLRQDU\ UDGLDWLRQ ILHOG FUHDWHG LQ D FORVHG F\OLQGULFDO FDYLW\ RZLQJ WR D QXPEHU RI FRQFHQWULFDOO\ HVWDEOLVKHG _{&R ( 0H9 VRXUFHV 1R} VSHFLDO SURFHGXUHV ZHUH XVHG WR SUHYHQW WKH XQFRQWUROOHGWKHUPDODQQHDOLQJRIWKHLUUDGLDWHG

VDPSOHV EXW WKH PD[LPXP WHPSHUDWXUH LQ WKH LUUDGLDWLQJ FKDPEHU DW WKH GRVH SRZHU RI a *\V GLG QRW H[FHHG . GXULQJ WKH ZKROH SHULRG RI LUUDGLDWLRQ 7KH DFFXPXODWHG GRVH RI µ _{*\ ZDV FKRVHQ WDNLQJ LQWR} DFFRXQW WKH SUHYLRXV UDGLDWLRQ H[SHULPHQWV RQ Y$V6>@

7KH ,5 )RXULHU UHIOHFWLRQ VSHFWUD ZHUH YDFXXPPHDVXUHGEHIRUHDQGWKUHHPRQWKVDIWHU gLUUDGLDWLRQ LQ FP _{UHJLRQ ZLWK D} /$)6 VSHFWURPHWHU ,W KDV EHHQ HVWD EOLVKHGWKDWWKHUHWHQWLRQLQWHUYDORIPRQWKV DWWKHDPELHQWFRQGLWLRQVDOORZVXVWRREWDLQD IXOO\ VWDEOH SRVWLUUDGLDWLRQ HIIHFW LQ WKH LQYHVWLJDWHG$V*H6&K9&>@

7KH GLIIHUHQFHV EHWZHHQ ,5 UHIOHFWLRQ VSHFWUD EHIRUH DQG DIWHU LUUDGLDWLRQ VRFDOOHG DGGLWLRQDO gLQGXFHG UHIOHFWLYLW\DUn VLJQDO ZHUH XVHG LQ RUGHU WR LGHQWLI\ WKH FKHPLFDO ERQGVZLWFKLQJ UHDFWLRQV DVVRFLDWHG ZLWK WKH REVHUYHG UDGLDWLRQLQGXFHG &' IRUPDWLRQ SURFHVVHV 7KH SRVLWLYH YDOXHV RIDU ! ZHUH DWWULEXWHGWRVWUXFWXUDOFRPSOH[HVFRYDOHQWFKH PLFDO ERQGV DSSHDULQJ XQGHU LUUDGLDWLRQ DQG WKRVH RIDU WKH QHJDWLYH RQHV ZHUH DVVR FLDWHGZLWKGLVDSSHDULQJVWUXFWXUDOXQLWV>@

5HVXOWVDQGGLVFXVVLRQ

GHVWUXFWLRQSRO\PHUL]DWLRQ WUDQVIRUPDWLRQV '37 NHHSLQJ DQ DYHUDJH FRYDOHQW ERQGLQJ DQG DQ HOHFWULF QHXWUDOLW\ RI D JODVV\OLNH QHWZRUN ,W ZDV DVVXPHG >@ WKDW WKHVH SURFHVVHVLQWKHWHUQDU\&K9&DUHTXLWHVLPLODU WR WKRVH ZHOO VWXGLHG LQ Y$V6 SUHYLRXVO\ >@ EXW WKH FRUUHVSRQGHQW &' IRUPDWLRQ PRGHOKDVQRWEHHQGHYHORSHGXSWRQRZ

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

,Q RUGHU WR H[SODLQ WKH PLFURVWUXFWXUDO QDWXUH RI gLQGXFHG RSWLFDO HIIHFWV LQ WKH LQYHVWLJDWHG $V*H6 &K9& OHW XV FRQVLGHU VXEVHTXHQWO\ WKH SRVVLEOH ERQGVZLWFKLQJ SURFHVVHVLQWKH³SXUH´$V6*H6DQGPL[HG $V6[*H6[ 7KH IROORZLQJ UXOHV DQG GHVLJQDWLRQVZHUHFRQGLWLRQDOO\DFFHSWHGIRUWKH

FRQYHQLHQFHRIVXFKDFRQVLGHUDWLRQ

7KH UDGLDWLRQLQGXFHG FKHPLFDO ERQG VZLWFKLQJ RU GHVWUXFWLRQSRO\PHUL]DWLRQ WUDQV IRUPDWLRQLVGHQRWHGE\WKHIROORZLQJVFKHPH

GHVWUXFWHGERQG‰FUHDWHGERQG 2QO\ RQHERQG VZLWFKLQJ DW D WLPH LV DGRSWHGDVDQLQLWLDWHGDFWRIWKHH[SHULPHQWDOO\ REVHUYHGgLQGXFHGFKDQJHV

7KH OHIWVLGH FRPSRQHQW RI WKH DERYH ERQGVZLWFKLQJ UHDFWLRQ GHVWUXFWHG ERQG DWWULEXWHG ZLWK YLEUDWLRQDO EDQGV RI QHJDWLYH LQWHQVLWLHVDUn LQ WKH REWDLQHG ,5 )RXULHU VSHFWUDRIDGGLWLRQDOgLQGXFHGUHIOHFWLYLW\DQG YLFH YHUVD WKH ULJKWVLGH FRPSRQHQW RI WKH DERYH ERQGVZLWFKLQJ UHDFWLRQ FUHDWHG ERQG DWWULEXWHG ZLWK EDQGV RI SRVLWLYH LQWHQVLWLHV DUn!

6LQFH KLJKHQHUJHWLF gLUUDGLDWLRQ LQWURGXFHVDQDGGLWLRQDOGLVRUGHULQDJODVV\OLNH QHWZRUNDVVRFLDWHGZLWKVRPHGHYLDWLRQVLQWKH H[LVWLQJ WKHUPDOO\HVWDEOLVKHG GLVWULEXWLRQ RI FRYDOHQW FKHPLFDO ERQGV LW FDQ EH FRQFOXGHG WKDW WKH ZHDNHU ERQGV DSSHDU LQVWHDG RI WKH VWURQJHU RQHV DV D UHVXOW RI UDGLDWLRQVWUXFWXUDO GLVWXUEDQFHV7KLVPHDQVWKDWRQO\VXFKUDGLDWL RQLQGXFHGERQGVZLWFKLQJSURFHVVHVVKRXOGEH FRQVLGHUHG ZKLFK DUH DFFRPSDQLHG E\ D QH JDWLYHGLIIHUHQFHD(LQGLVVRFLDWLRQHQHUJLHVIRU WKHFUHDWHG(FDQGGHVWUXFWHG(GFRYDOHQWERQGV

D( (F(G

7KLVFRQGLWLRQGHWHUPLQHVLQWXUQWKHORZ HQHUJ\ VKLIW RI WKH IXQGDPHQWDO RSWLFDO DEVRUSWLRQ HGJH LQ gLUUDGLDWHG &K9& DV D GHFUHDVHLQWKHFKDUDFWHUHQHUJLHVRIPDLQJODVV IRUPLQJXQLWVOHDGVWRDQDUURZLQJLQWKHEDQG JDS RI WKH FRUUHVSRQGHQW JODVVHV >@ 7KH JUHDWHUD( LV WKH PRUH HVVHQWLDO VKRXOG EH WKH HQHUJHWLFEDUULHUEHWZHHQWKHLQLWLDODQGWKHILQDO PHWDVWDEOH VWDWHV LQ WKH VWUXFWXUDOFRQILJXUDWLR QDO GLDJUDP RI WKH LQYHVWLJDWHG JODVV\ V\VWHP DQG FRQVHTXHQWO\ WKH PRUH VWDEOH WKH FUHDWHG &'SDLUZLOOEH

VWUXFWXUDO FKDQJHV DW WKH VKRUW DQG PHGLXP UDQJH RUGHULQJ OHYHOV LQ VWURQJ GHSHQGHQFH RQ &K9& FRPSDFWQHVV ,I RQH KDV D FORVHSDFNHG JODVVQHWZRUNZLWKDKLJKDWRPLFFRPSDFWQHVV RQO\ ERQGVZLWFKLQJ SURFHVVHV ZLWK D ODUJH ”D(”RFFXU+RZHYHUWKLVUXOHLVHYLGHQWO\QRW IXOILOOHG LQ &K9& RI ORZ DWRPLF FRPSDFWQHVV RZLQJ WR D KLJK FRQWHQW RI LQWULQVLF QDWLYH PLFURYRLGV ZKLFK SUHYHQW WKH EDFNZDUG DQQLKLODWLRQRIWKHFUHDWHG&'

5DGLDWLRQLQGXFHG FKHPLFDO ERQG VZLWFKLQJLQY$V6

7ZR VFKHPHV RI UDGLDWLRQLQGXFHG ERQGV VZLW FKLQJZLWKQHJDWLYHGLIIHUHQFHVLQERQGHQHUJLHV EHIRUH DQG DIWHUgLUUDGLDWLRQD( ZHUH H[SH ULPHQWDOO\LGHQWLILHGLQY$V6ZLWK,5)RXULHU VSHFWURVFRS\PHDVXUHPHQWVVHH)LJ>@

$V6‰$V$V

66‰$V6

7KHILUVWVFKHPHJLYHVD( ±H9DQG WKHVHFRQGRQH±D( ±H9WKHGLVVRFLDWLRQ HQHUJLHV IRU GLIIHUHQW FRYDOHQW FKHPLFDO ERQGV LQ&K9&DUHWDNHQIURP>@

7KH VSHFWUD RI DGGLWLRQDO ,5 UHIOHFWLYLW\ LQGXFHGE\gLUUDGLDWLRQLQWKHY$V6UHYHDOHG

DVKDUSLQFUHDVHRIDQGFP

YLEUDWLRQDO EDQGV FRUUHVSRQGHG WR $V$V KRPRSRODU FKHPLFDO ERQGV $W WKH VDPH WLPH WKHEDQGLQWHQVLWLHVRIKRPRSRODU66DQG FP _{DQG KHWHURSRODU $V6 a FP} ERQGV GHFUHDVHG 7KH DERYH PHQWLRQHG

YLEUDWLRQDO EDQGV ZHUH LGHQWLILHG EDVHG RQ WKH ZHOONQRZQ H[SHULPHQWDO GDWD >@ DQG WKHRUHWLFDOJURXSDQDO\VLV>@

7KH SDLUV RI RYHUFRRUGLQDWHG $V DQG XQGHUFRRUGLQDWHG 6 &' ZHUH SURYHG WR EH IRUPHGDVWKHUHVXOWVRIWKHDERYHVFKHPHV DQG >@ 7KH VXSHUVFULSW LQ WKH GHIHFW VLJQDWXUH PHDQV WKH HOHFWULFDO FKDUJH RI WKH DWRP DQG WKH VXEVFULSW ± WKH QXPEHU RI WKH QHDUHVW FRYDOHQWERQGHG DWRPV ,W LV TXLWH XQGHUVWDQGDEOH WKDW VWDWLVWLFDO ZHLJKW RI WKH VFKHPH LV DFFHSWHG WR EH VLJQLILFDQWO\ OHVV WKDQ WKRVH RI WKH VFKHPH EHFDXVH RI WKH QHJOLJLEOH 66 ERQG FRQFHQWUDWLRQ LQ WKH LQYHVWLJDWHG EXON &K9& VDPSOHV RI VWRLFKLRPHWULF$V6FRPSRVLWLRQ

6SHFLILF IHDWXUHV RI UDGLDWLRQLQGXFHG &'IRUPDWLRQLQY*H6

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

)LJ([SHULPHQWDOO\SURYHG WRSRORJLFDO YDULDQWV RI gLQGXFHG GHVWUXFWLRQ

PDWHULDOV GRHV QRW H[FHHG IRXU WKH *H &' VKRXOGEHLJQRUHGLQVXFKFRQVLGHUDWLRQ

7KH GHWDLOHG DQDO\VLV DFFRUGLQJ WR WKH UXOHV WHVWLILHV WKDW RQO\ RQH WRSRORJLFDO YDULDQW RI UDGLDWLRQLQGXFHG GHVWUXFWLRQ SRO\PHUL]DWLRQ WUDQVIRUPDWLRQ VKRZQ LQ )LJ LV SRVVLEOH LQ Y*H6 ,W LV FRQQHFWHG ZLWK WKH IRUPDWLRQ RI KHWHURDWRPLF *H 6 &' SDLU RZLQJ WR WKH ERQGVZLWFKLQJ VFKHPH JLYHQ EHORZ

*H6‰66

7KLVVFKHPHLVGHVFULEHGE\DQHJDWLYHD( YDOXHFORVHWRH9

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

7RSRORJLFDOYDULDQWVRIFKHPLFDOERQG VZLWFKLQJLQPL[HGY$V6*H6

7KHDERYHFRQVLGHUDWLRQVOHDGWRWKHFRQFOXVLRQ WKDW KHWHURSRODU $V6 DQGá*H6 VWUXFWXUDO IUDJPHQWV DUH UHVSRQVLEOH IRU WKH REVHUYHG UD GLDWLRQLQGXFHG HIIHFWV LQ ELQDU\ Y$V6 DQG Y*H6 UHVSHFWLYHO\ WR WKH ERQGVZLWFKLQJ UH DFWLRQVDQG+RZHYHUGXHWRWKHFKHPL FDOO\RUGHUHGERQGQHWZRUNPRGHO>@WKHUHDO VWUXFWXUH RI PL[HG $V6[*H6[ LV SUH IHUHQWLDOO\FRPSRVHGRIQHLJKERULQJ $V6DQG á*H6 IUDJPHQWV 6R WKH &' IRUPDWLRQ SUR FHVVHVRFFXUULQJLQWKLV&K9&V\VWHPHPEUDFH WKHVHWZRIUDJPHQWVVLPXOWDQHRXVO\7KHFRUUHV SRQGHQW WRSRORJLFDO YDULDQWV RI FKHPLFDO ERQG VZLWFKLQJV FDQ EH VLPXODWHG DV LQ WKH FDVH RI ELQDU\ &K9& UHSODFLQJ RQH RI WKH $V6 RU á*H6 FRPSOH[HV E\ DQRWKHU DQG WDNLQJ LQWR DFFRXQWWKHLPSRVVLELOLW\RI*H&'IRUPDWLRQ $V D UHVXOW WKH IROORZLQJ ERQGVZLWFKLQJ VFKHPHV FDQ EH GLVWLQJXLVKHG DFFRUGLQJ WR WKH DERYHLQWURGXFHGUXOHVVHH)LJ

*H6‰66

*H6‰$V6

*H6‰*H$V

7KHD(YDOXHVDUHQHJDWLYHLQHDFKRIWKHVH VFKHPHV±±DQG±H9UHVSHFWLYHO\ %HVLGHV $V 6± DQG *H± 6 &' SDLUV SURSHU WR WKH ERXQGDU\ $V6 DQG *H6 FRPSRVLWLRQV UHVSHFWLYHO\ WKH DGGLWLRQDO KHWHURDWRPLF *H± $V &' SDLU FDQ EH IRUPHGRZLQJWRWKHERQGVZLWFKLQJVFKHPH LQPL[HG$V6[*H6[&K9&)LJ

7KXV WKH RYHUDOO YDULHW\ RI WKH SRVVLEOH '37 LQ WKH LQYHVWLJDWHG &K9& LV UHVWULFWHG E\ WKH DERYHFRQVLGHUHG ERQGVZLWFKLQJ WRSRORJL FDOVFKHPHV7KHSUREDELOLW\RIWKHVFKHPH LVVPDOOEHFDXVHRIWKHORZFRQFHQWUDWLRQRIWKH LQLWLDOZURQJ66ERQGVDFFRUGLQJWRWKHFKH PLFDOO\ RUGHUHG ERQG QHWZRUN PRGHO >@ LQ $V6[*H6[ JODVVHV %XW WKLV VFKHPH LV VXSSRVHG WR EH D ORJLFDO FRQWLQXDWLRQ RI WKH SURFHVVHVVKRZQLQ)LJVFKHPHDQG)LJD VFKHPH EHFDXVH WKHLU ILQDO SURGXFWV

)LJ 3RVVLEOH WRSRORJLFDO YDULDQW RIgLQGX

FHG GHVWUXFWLRQSRO\PHUL]DWLRQ WUDQVIRUPD

KRPRSRODU 66 ERQGV FDQ EH WKH LQLWLDO RQHV IRU WKH VFKHPH ,Q VXFK D ZD\ WKH XQLTXH URZ RI '37 LQ $V6[*H6[ &K9& VKRXOG EH VXSSOHPHQWHG ZLWK WKH ERQGVZLWFKLQJ VFKHPHV VHH )LJ EHLQJ WKH DGGLWLRQDOVRXUFHIRU*H$V&'SDLUV

([SHULPHQWDOUHVXOWV

7KH ,5 )RXULHU VSHFWUD RI DGGLWLRQDOgLQGXFHG UHIOHFWLYLW\ DUn IRU WZR LQYHVWLJDWHG JODVV FRPSRVLWLRQVZLWKPRVW*H6DQG$V6FRQWHQW [ DQG[ UHVSHFWLYHO\DUHSUHVHQWHGLQ )LJ 6LPLODU VSHFWUD ZLWK LQWHUPHGLDWHDUn EDQG LQWHQVLWLHV ZHUH REWDLQHG IRU DOO WKH RWKHU VDPSOHV $SDUW IURP WKH FRQVLGHUHG YLEUDWLRQDO EDQGV SURSHU WR $VEDVHG VWUXFWXUDO IUDJPHQWV FRQWDLQLQJ $V6 FP _{$V$V DQG} FP_{DQG66FPFRYDOHQWFKHPLFDO} ERQGV >@ WKH RWKHU YLEUDWLRQDO EDQGV DVVRFLDWHG ZLWK *HEDVHG *H6 FP_>@ DQG*H$VERQGVFP_{>@DUHREVHUYDEOH} LQWKHVHVSHFWUD

,W LV FOHDUO\ VHHQ WKDW WKH VWURQJHVW g LQGXFHG FKDQJHV LQ WKH UHIOHFWLRQ YLEUDWLRQDO EDQGVDUHGXHWRWKHKHWHURSRODU$V6FKHPLFDO ERQGV FP _{RI $V6}

S\UDPLGV DQG *H6 ERQGVFP_RI*H6

WHWUDKHGUDZKLOHWKH RWKHUVUHYHDOWKHPVHOYHVDVVOLJKWIHDWXUHVRQWKH EDFNJURXQG RI WKHVH EDQGV 7KLV IDFW LV QRW VXUSULVLQJ VLQFH $V6 DQG *H6 KHWHURSRODU FKHPLFDOERQGVDUHSUHGRPLQDQWLQWKHLQYHVWL JDWHG &K9& REWDLQHG E\ PHOWTXHQFKLQJ >@

7KHTXDOLWDWLYHGLVWULEXWLRQRISRVLWLYHDQG QHJDWLYH SHDN LQWHQVLWLHV LQ WKH REWDLQHG ,5 )RXULHU VSHFWUD RI DGGLWLRQDO gLQGXFHG UHIOHFWLYLW\DUnDVZHOODVWKHLUUHODWLRQVKLSWR WKH GLVFXVVHG '37 SUHVHQWHG LQ VHFWLRQV DQGDUHJLYHQLQ7DEOH

7KH VWURQJ QHJDWLYH EDQG DW FP FRUUHVSRQGV WR *H6 ERQGV GLVDSSHDULQJ XQGHU WKHLQIOXHQFHRIgLUUDGLDWLRQ'XHWRWKHDERYH WRSRORJLFDO DQDO\VLV WKLV IHDWXUH LV FDXVHG E\

)LJ 3RVVLEOH WRSRORJLFDO YDULDQWV RI gLQGXFHG GHVWUXFWLRQSRO\PHUL]DWLRQ

WUDQVIRUPDWLRQVLQY$V6DGDQGY*H6HZLWKRXWFKDQJHVLQERQGW\SHRZLQJWR

WKHERQGVZLWFKLQJVFKHPHVDQG 7KH KHWHURSRODU *H6 FKHPLFDO ERQGV DUH WKH LQLWLDORQHVIRUDOORIWKHVHWRSRORJLFDOUHDFWLRQV EXWWKHLUUHVXOWVDUHRIGLIIHUHQWQDWXUHFRPSDUH )LJDQG)LJ7KHILUVWWZRVFKHPHVOHDGWR WKH DSSHDUDQFH RI KRPRSRODU 66 FKHPLFDO

ERQGVDQGWKHQH[WWZR±WR WKH DSSHDUDQFH RI KHWHURSRODU $V6 DQG *H$V FKHPLFDO ERQGV UHVSHFWLYHO\

7KHLQFUHDVHLQWKHDPRXQWRI66FKHPLFDO ERQGV FDXVHG E\ WKH VFKHPHV DQG VKRXOG UHVXOW LQ WKH LQWHQVLILFDWLRQ RI WKH

)LJ 3RVVLEOH WRSRORJLFDO YDULDQWV RI gLQGXFHG GHVWUXFWLRQSRO\PHUL]DWLRQ

WUDQVIRUPDWLRQVLQPL[HG$V6[*H6[&K9&ZLWKFKDQJHVLQERQGW\SH

)LJ7KHXQLTXHURZRIgLQGXFHG'37LQ$V6[*H6[&K9&LQFOXGLQJVXEVHTXHQW

FP_{YLEUDWLRQDOEDQGLQDUn VSHFWUD VHH} 7DEOH+RZHYHUWKLVSRVLWLYHEDQGLVRIORZ LQWHQVLW\ YHU\ ZHDN EHFDXVH WKH FUHDWHG 66 FKHPLFDOERQGVFDQEHHIIHFWLYHO\VZLWFKHGLQWR $V6 ERQGV GXH WR VFKHPH 7KH FRUUHVSRQGHQW XQLTXH ERQGV VZLWFKLQJ VFKHPH LV VKRZQ LQ )LJ 7KH ILQDO SURGXFWV RI WKLV VFKHPHDUHWKHKHWHURSRODU$V6FKHPLFDOERQGV VHH7DEOHUHVXOWLQJIURPWKHLQWHQVLILFDWLRQ RIWKHFRUUHVSRQGHQWYLEUDWLRQDOEDQGDWFP _{LQDUn VSHFWUD )LJ %HVLGHV WKXV LW WKH} GHFUHDVLQJ RI WKH *H6 ERQG FRQFHQWUDWLRQ DFFRUGLQJ WR WKH VZLWFKLQJ VFKHPH VHH 7DEOHOHDGVWRWKHVDPHWHQGHQF\LQWKHDUn VSHFWUD$YHU\VWURQJSRVLWLYHYLEUDWLRQDOEDQG

DWFP_{)LJZKLFKLVDVVRFLDWHGZLWK$V} 6FKHPLFDOERQGVFRQILUPVVXFKFRQVLGHUDWLRQ

7KH SRVLWLYH EDQG RI PHGLXP LQWHQVLW\ DW FP _{UHYHDOV LWVHOI DV D VKRXOGHU LQ WKH} YLFLQLW\ RI WKH FP _{EDQG VHH )LJ DQG} FRUUHVSRQGV WR WKH LQFUHDVLQJ RI *H$V ERQG FRQFHQWUDWLRQ SUHGLFWHG E\ ERQGVZLWFKLQJ VFKHPH

6LQFHWKHKHWHURSRODU*H6FKHPLFDOERQGV DUHWKHLQLWLDORQHVIRUDOORIWKHDERYHGLVFXVVHG ERQGVZLWFKLQJ VFKHPHV ZH H[SHFW WKH LQWHQVLILFDWLRQRIWKHUHODWHGSURFHVVHVZLWK*H FRQWHQW LQ WKH LQYHVWLJDWHG &K9& ,Q RWKHU ZRUGVZKHQWKHLQFUHDVHRI*H6FRQWHQWWDNHV SODFH WKH VWDWLVWLFDO ZHLJKW RI WKH WRSRORJLFDO

D

D

UD

X

nFP

E

D

U

DX

nFP

)LJ ,5 )RXULHU VSHFWUD RI DGGLWLRQDOgLQGXFHG UHIOHFWLYLW\ LQ Y$V6[*H6[ IRU

VFKHPHV LQFUHDVHV GUDVWLFDOO\ LQ DFFRUGDQFH ZLWK WKH REWDLQHG H[SHULPHQWDO UHVXOWVFRPSDUH)LJDDQG)LJE

,Q FRQWUDVW WKH UROH RI WKHVH WRSRORJLFDO ERQGVZLWFKLQJ VFKHPHV LQ $V6HQULFKHG &K9& LV RI OHVV LPSRUWDQFH +RZHYHU WKH VWDWLVWLFDOZHLJKWRIWKHVFKHPHLQFUHDVHVLQ WKHVH LV JODVVHV EHLQJ WKH VRXUFH IRU DGGLWLRQDO UHGXFWLRQ RI $V6 ERQGV $V D UHVXOW WKH EDQG LQWHQVLWLHV RI ERWK $V6 FP _{DQG *H6} FP _{FKHPLFDO ERQGV LQDUn VSHFWUXP} GHFUHDVHZLWK$V6FRQWHQW

7KH DSSHDUDQFH RI KRPRSRODU $V$V ERQGV SUHGLFWHG E\ WKH ERQGVZLWFKLQJ VFKHPHLVGLIILFXOWWRYHULI\H[SHULPHQWDOO\ VLQFH WKH FRUUHVSRQGHQW VWUHWFKLQJ YLEUDWLRQDO EDQG FP _{LV RYHUODSSHG ZLWK DQ LQWHQVH} EURDG EDQG RI *H6 ERQGV FP _{2Q WKH} RWKHU KDQG WKH EHQGLQJ PRGH RI $V$V YLEUDWLRQVREVHUYHGDW FP _{LV RI UHODWLYHO\} VPDOO VHQVLWLYLW\ WR WKH GHVFULEHG '37 LQ FRPSDULVRQZLWKWKHILUVWRQHFP_>@

&RQFOXVLRQ

7KH FRYDOHQW FKHPLFDO ERQGVZLWFKLQJ SURFHV VHV LQ Y$V6 Y*H6 DQG PL[HG $V6[*H6[FRPSRVLWLRQVZHUHFRQVLGHUHG VHSDUDWHO\LQRUGHUWRH[SODLQWKHPLFURVWUXFWXUDO PHFKDQLVP RIgLQGXFHG RSWLFDO HIIHFWV LQ WKH WHUQDU\$V*H6&K9&7KHSK\VLFDOO\SRVVLEOH VFKHPHVRI'37ZHUHDGRSWHGDVPRGHORQHVLQ

DFFRUGDQFH ZLWK WKH H[SHULPHQWDO UHVXOWV REWDLQHG E\ WKH ,5 )RXULHU VSHFWURVFRS\ WHFKQLTXH 7KH KHWHURDWRPLF *H 6 *H $VDQG$V6&'SDLUVDUHVKRZQWREH UHVSRQVLEOHIRUWKHREVHUYHGUDGLDWLRQHIIHFWV,Q FRQWUDVWWRWKHPWKHKRPRDWRPLF66DQG $V $V &' SDLUV DUH VXSSRVHG WR EH D UHDVRQIRUWKHG\QDPLFSRVWLUUDGLDWLRQFKDQJHV LQWKHVHJODVVHV

5HIHUHQFHV

6KLPDNDZD . .RORERY $ (OOLRWW 65

$GYLQ3K\VLFV

7DQDND.&XUUHQW2SLQLRQLQ6ROLG6WDWH 0DWHULDOV6FLHQFH

6KSRW\XN 2, 0DWNRYVNLL $2 .RYDOVN\ $39DNLY005DG(IIHFWVDQG'HIHFWV

LQ6ROLGV

(OOLRWW65-1RQ&U\VW6ROLGV /\XELQ 9 .RORERY $9 <DVXGD 7

.OHEDQRY0%RHKP/7DQDND.-1RQ

&U\VW6ROLGV

6KSRW\XN2,%DOLWVND923K\V6WDW6RO

$

9DWHYD ( 6NRUGHYD ( $UVRYD '

3KLO0DJ%

.RQRURYD /) =KGDQRYLFK 16 )L] L WHFKQ SROXSURYRGQ LQ UXV

%DOLWVND 92 6KSRW\XN 2, -1RQ&U\VW

6ROLGV

7DEOH

9LEUDWLRQDO EDQGV LQ ,5 )RXULHU VSHFWUD RI DGGLWLRQDOgLQGXFHG UHIOHFWLYLW\DUn DQG WKHLU

UHODWLRQVKLSZLWKWKHSURSRVHGERQGVZLWFKLQJVFKHPHV

%RQGVZLWFKLQJVFKHPHUHVSRQVLEOHIRU %DQG SRVLWLRQ

FP %DQG_LQWHQVLW\ SHDNW\SH

SRVLWLYH FRQWULEX WLRQLQDUn

QHJDWLYH FRQWULEX WLRQLQDUn

7\SH RI DVVRFLDWHG FRYDOHQW FKHPLFDO ERQG

YVQHJDWLYH *H6

YVSRVLWLYH $V6

PSRVLWLYH *H$V

YZSRVLWLYH 66

ZSRVLWLYH $V$V

6KSRW\XN 2, 3K\V 6WDW 6RO$

6KSRW\XN2, YDOVNL\ 36NRUGHYD 9DWHYD ( $UVRYD ' *RORYFKDN 5<D 9DNLY 00 3K\VLFD % &RQGHQVHG 0DWWHU

0RWW 1) DQG 'DYLV ($ (OHFWURQLF 3URFHVVHV LQ 1RQ&U\VWDOOLQH 0DWHULDOV &ODUHQGRQ3UHVV2[IRUGS 0RWW 1) 'DYLV ($ 6WUHHW 5$ 3KLO

0DJ

)UXPDU 0 )LUWK $3 2ZHQ $( - 1RQ &U\VW6ROLGV

)ULW]VFKH+3KLO0DJ%

7DQDND .H - RI 2SWRHOHFWURQLFV DQG

$GYDQFHG0DWWHU

.DVWQHU03K\V5HY%

7LFK\/7LFKD+-1RQ&U\VW6ROLGV

6WURP80DUWLQ736ROLG6WDWH&RPPXQ

6FRWW':0F&XOORXJK-3.UXVH)+-0ROHF6SHFWURVFRS\

/XFRYVN\ * .HH]HU 5& 6L[ +$ DQG *HLOV 5+ 3URF RI WKH 6L[WK ,QWHUQ &RQI RQ $PRUSKRXV DQG /LTXLG 6HPLFRQGXFWRUV /HQLQJUDG1DXNDS

/XFRYVN\ * *DOHHQHU )/ .HH]HU 5& 6L[ +$ DQG *HLOV 5+ 3K\V 5HY%

0RUL70DWVXLVKL.$UDL7-1RQ&U\VW

6ROLGV

)HOW]$$PRUSKRXVDQGYLWUHRXVLQRUJDQLF VROLGV0RVFRZ0LUSLQ5XV $UVRYD ' - 3K\V &KHP 6ROLGV