$,5&21',7,21,1*5()5,*(5$7,213/$176:,7+,&(6725$*(,1+27(/6 ,163$,1$1'32578*$/'(6,*1$1'(&2120,&$1$/&@
12 10 8 6 4 2 0
T6
-2
T7
-4 -6 0
2
4
6
8
7LPH>K@
10
12
14
16
18
20
22
24
)LJ +7)WHPSHUDWXUHV3RLQWVDQG +7)WHPSHUDWXUH>&@
20
P P P
15 10 5
0
2
4
6
8
10
12
14
7LP H>K@
16
18
20
22
24
)LJ +7)PDVVIORZUDWH3RLQWVDQG P P
30 25 20 15 10 5 0 0
2
4
6
8
7LPH>K@
10
12
14
16
18
20
22
24
)LJ +7)PDVVIORZUDWH3RLQWVDQG (&2120,&$1$/K@ 10
12
14 16
18
20 22
24
)LJ +7)WHPSHUDWXUHV3RLQWVDQG 12
+7)WHPSHUDWXUH>&@
25
0
+7)P DVVIORZ UDWH>NJV@
T im e [ h]
30
10
& &RVW
8 6
T5
4
T8
,% &RVW
2 0 -2 -4 -6 0
2
4
6
8
7LPH>K@
10
12
14
16
18
20
22
24
)LJ +7)WHPSHUDWXUHV3RLQWVDQG
&HOHVWLQR5XLYRFUXLYR#XDOJSW
7KH HFRQRPLF DQDO\VLV FRQVLVWV EDVLFDOO\ LQ FRPSDULQJ WZR UHIULJHUDWLRQ SODQWV VROXWLRQV RQH FRQYHQWLRQDO ZLWKRXW DQ LFH EDQN DQG WKH RWKHU ZLWK DQ LFH VWRUDJH V\VWHP 7KH RQO\ H[SORLWDWLRQ FRVWV FRQVLGHUHG ZHUH HOHFWULFDO HQHUJ\ DQG SRZHU FRVWV 2Q WKH RWKHU KDQG WKH LQLWLDO FRVWV ZHUH WKH DFTXLVLWLRQ FRVWV RI WKH LFH VWRUDJH V\VWHP DQG WKH FKLOOHUV 7KH VXESURJUDP ³6LSIULRB$QDB(FRQ´ GRHV WKLV WDVN FRQVLGHULQJ WKH DFWXDOHOHFWULFLW\SULFHVLQ3RUWXJDODQG6SDLQ7KHFRVWV RI DFTXLVLWLRQ RI WKH FKLOOHUV & &RVW DQG RI WKH LFH EDQN ,% &RVW ZHUH HVWLPDWHG E\ WKH IROORZLQJ FRUUHODWLRQV REWDLQHG IURP D SDUWLFXODU FRPPHUFLDO FRPSDQ\ 0D[5HI /RDG ,% 9ROXPH
)LJXUHVKRZVWKHGLIIHUHQFHEHWZHHQWKHRSHUDWLRQDO FRVWV RI WKH FHQWUDO UHIULJHUDWLRQ SODQW ERWK ZLWK DQG ZLWKRXW DQ LFH VWRUDJH V\VWHP LQ ERWK FRXQWULHV )LJXUH VKRZV WKH 3D\EDFN YDOXHV DVVRFLDWHG ZLWK LQYHVWLQJ LQ D UHIULJHUDWLRQ SODQW KDYLQJ DQ LFH EDQN %DVHG RQO\ RQWKHUHVXOWVRIWKHSUHVHQWFDVHVWXG\ZHFDQVD\WKDW WKH LQYHVWPHQW LQ 3RUWXJDO LV PRUH DWWUDFWLYH WKDQ WKH RQH LQ 6SDLQ DQG WKH 3D\EDFN YDOXHV IRXQG DUH UHDVRQDEOH7KHEHVW HFRQRPLFDOVROXWLRQVDUHIRUVPDOO YROXPHVRIWKHVWRUDJHV\VWHP+RZHYHULQWKRVHFDVHV
'LIIHULQRSHUDWLRQDO FRVWV>(XURV@
LWLVPRUHGLIILFXOWWRFRQWUROWKHGLVFKDUJHDQGFKDUJHRI WKHLFHEDQN
3RUWXJDO
6SDLQ
,FHEDQNYROXP H>P @
)LJ 'LIIHUHQFH EHWZHHQ WKH RSHUDWLRQDO FRVWVRIWKHSODQWZLWKDQGZLWKRXWLFHEDQN 3RUWXJDO
3D\EDFN>\HDUV@
6SDLQ
,FHEDQNYROXP H>P @
)LJ 3D\EDFN RI LQYHVWPHQW LQ D SODQW ZLWKDQLFHEDQN &21&/86,216
$ FDVH VWXG\ RI DQ DLUFRQGLWLRQLQJ LQVWDOODWLRQ LQ WZR VLPLODUKRWHOVRQHVLWXDWHGLQ6RXWK6SDLQDQGWKHRWKHU LQ 6RXWK 3RUWXJDO ZDV VROYHG 7KH FHQWUDO UHIULJHUDWLRQ SODQWKDVDQLFHEDQNDVDQHQHUJ\VWRUDJHV\VWHP 7KHWKHUPDOFRROLQJORDGVZHUHVXSSRVHGHTXDOLQERWK KRWHOV DQG ZHUH FDOFXODWHG XVLQJ WKH SURJUDP ³'3&OLPD´ 7KH UHVXOWLQJ FRROLQJ ORDG YDOXHV ZHUH XVHG WR VL]H WKH UHIULJHUDWLRQ SODQW DQG DOVR WR JHW D SUHPRQLWLRQ RI WKH HQHUJ\ FRQVXPSWLRQ LQ WKH FHQWUDO UHIULJHUDWLRQSODQW 3DUWLFXODU FKLOOHU ZRUNLQJ FRQGLWLRQV ZDV VHOHFWHG WR REWDLQDGHTXDWHUHODWLRQVRIWKHSUHOLPLQDU\VL]LQJRIWKH EDQN WKH EHVW VWRUDJH VWUDWHJ\ IRU HDFK PRQWK DQG IRU VHYHUDOYDOXHVRIWKHLFHEDQN7KHVLPXODWLRQXVLQJWKH SURJUDP ³6LSIULR´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
WKH HOHFWULFDO FRPSDQ\ FRQVLGHULQJ WKH WZR SRVVLEOH RSWLRQVDSODQWZLWKRUZLWKRXWD VWRUDJHV\VWHP 7KH DSSOLFDWLRQ RI WKLV WHFKQRORJ\ WR DLU FRQGLWLRQLQJ V\VWHPV SDUWLFXODUO\ LQ KRWHOV LQWHJUDWLQJ IRU H[DPSOH WKH KHDW UHFRYHU\ FRQGHQVHU IRU SUHKHDWLQJ VDQLWDU\ ZDWHU RU WR KHDW DQ LQWHULRU VZLPPLQJ SRRO FDQ JLYH D JRRGFRQWULEXWLRQWR WKHUDWLRQDOXVHRIWKHHQHUJ\
5()(5(1&(6
$6+5$( +DQGERRN )XQGDPHQWDOV 9ROXPH $PHULFDQ 6RFLHW\ RI +HDWLQJ 5HIULJHUDWLQJ DQG $LU FRQGLWLRQLQJ,QF$WODQWD*$ 3DWU\ - 6WRFNDJH SDU &KDOHXU /DWHQWH 3\F eGLWLRQ 5XLYR &HOHVWLQR &RPSRUWDPHQWR 7pUPLFR GH XPD 8QLGDGH 3HUPXWDGRUD$FXPXODGRUD GH &DORU 6HQVtYHO 7HVHGH0HVWUDGR&RLPEUD)&78& 5DPRV -RmR &DUYDOKR 0 *UDoD $FXPXODomR GH &DORU(VWUDWpJLDV GH *HVWmR 5HYLVWD *UDX &HOVLXV SDJ $3,5$& &5,6723,$ (QHUJ\ 6\VWHPV ([SHULPHQWV /LEUDU\ &5,6/,%VRIWZDUH &HOHVWLQR 5RGULJXHV 5XLYR 0RGHODomR 1XPpULFD GRV 6LVWHPDV GH 3URGXomR GH )ULR FRP $FXPXODomR GH (QHUJLD HP %DQFRV GH *HOR &RQJUHVVR ,EpULFR GH $U &RQGLFLRQDGRH5HIULJHUDomR/LVERD '3&OLPD 9HUVLyQ -XQLR 8QLYHUVLGDG 3ROLWpFQLFD GH 9DOHQFLD &DPLQR 9HUD VQ 9DOHQFLD(VSDxD 3LQD]R 2MHU -RVp 0DQXHO 0DQXDO GH &OLPDWL]DFLyQ 7RPR ,, &DUJDV 7pUPLFDV 6HUYLFLR 3XEOLFDFLRQHV 839
120(1&/$785( F S V OLT F S V VRO
FSI
&RQVWDQWSUHVVXUHVSHFLILFKHDW RIWKHOLTXLG SKDVHFKDQJHVXEVWDQFH-NJ& &RQVWDQWSUHVVXUHVSHFLILFKHDW RIWKHVROLG
SKDVHFKDQJHVXEVWDQFH-NJ& &RQVWDQWSUHVVXUH VSHFLILF KHDW RI WKH KHDW
WUDQVIHU IOXLG-NJ& &&RVW &KLOOHUFRVW(XURV ,%&RVW ,FHEDQNFRVW(XURV ,% 9ROXPH,FHEDQN9ROXPHP 0D[5HI/RDG 0D[LPXPFKLOOHUUHIULJORDGN: )XVLRQODWHQWKHDW RIWKHSKDVHFKDQJH T/ VXEVWDQFH-NJ 4 VWRUHG 6WRUHGGLVFKDUJHG HQHUJ\ LQ WKH LFH EDQN RQ HDFKGHVLJQGD\ 4 4 FK GLVFK 0D[LPXP ORDGV LQ WKH LFH EDQN UHVSHFWLYHO\LQFKDUJHDQGGLVFKDUJHPRGHV: 7PD[ 0D[LPXPWHPSHUDWXUHRIWKHV\VWHPDWWKHHQG RIWKHGLVFKDUJHPRGH&
7PLQ
0LQLPXPWHPSHUDWXUHRIWKHV\VWHPDWWKHHQG RIWKHFKDUJHPRGH& 8 FK 8 GLVFK +HDW WUDQVI FRHI EHWZHHQ WKH +7) DQG 3&6 UHVSHFWLYHO\ LQ FKDUJH DQG GLVFKDUJH PRGHV:P& '7OQ FK '7OQ GLVFK 0HDQ ORJDULWKP WHPSHUDWXUH GLIIHUHQFHUHVSHFWLYHO\LQFKDUJHDQGGLVFKDUJH PRGHV&
HI
UV
UI
9ROXPH IUDFWLRQ RI WKH KHDW WUDQVIHU IOXLG YROXPH 'HQVLW\ RI WKH SKDVH FKDQJH VXEVWDQFH 3&6
ZDWHU NJP 'HQVLW\ RI WKH KHDW WUDQVIHU IOXLG +7) HWK\OHQHJO\FRODQGZDWHUVROXWLRQ NJP
5e680e /HVEHVRLQVGHUHIURLGLVVHPHQWGHVK{WHOVFRPPHHQEHDXFRXSG¶DXWUHVFDVVRQWpOHYpHVTXDQGOHSUL[GHO¶pOHFWULFLWp HVWDXVVLSOXVpOHYp /¶LQWpJUDWLRQGHVV\VWqPHVGHVWRFNDJHGHIURLGGDQVOHVLQVWDOODWLRQVGHFOLPDWLVDWLRQSHUPHWVGHSURILWHUGHTXHOTXHV DYDQWDJHVDVVRFLpHVjODH[SORLWDWLRQGHVGLIIpUHQWHVWDULILFDWLRQVGHO¶pOHFWULFLWpHWG¶XQHSXLVVDQFHpOHFWULTXHLQVWDOOpH SOXVEDVVH2QSHXWSURILWHUDXVVLGHVUpJLPHVGHIRQFWLRQQHPHQWGHVJURXSHVIULJRULILTXHVVWDEOHVSURFKHVGHODSOHLQH FKDUJHVDQVOHVGpPDUUDJHVHGHVDUUrWHVSHUPHWWDQWXQHPHLOOHXUHHIILFDFLWppQHUJpWLTXH /H GpSODFHPHQW GH OD FRQVRPPDWLRQ GH pOHFWULFLWp REWHQXH LQWpUHVVH DXVVL DX[ HQWUHSULVHV GH SURGXFWLRQ HW GH GLVWULEXWLRQGHOpQHUJLHpOHFWULTXH 4XDQGRQIDLWOHGLPHQVLRQQHPHQWG¶XQHLQVWDOODWLRQGHFOLPDWLVDWLRQDYHFGHVEDQFjJODFHSDUH[HPSOHGDQVXQK{WHO LO IDXW IDLUH GHX[ HVWLPDWLRQV GH OD FKDUJH WKHUPLTXH GH UHIURLGLVVHPHQW XQH HVW YDODEOH SRXU GLPHQVLRQQHU OHV pTXLSHPHQWVHWO¶DXWUHSRXUIDLUHOHVDQDO\VHVGHFRQVRPPDWLRQG¶pQHUJLHHWpFRQRPLTXH,OHVWVXIILVDQWGHFRQVLGpUHU GHVKLVWRJUDPPHVDYDQWXQHEDVHKRUDLUH 'DQVFHWUDYDLORQSUpVHQWGHVUpVXOWDWVG¶XQHpWXGHFRQVLGpUDQWGHX[K{WHOVLGHQWLTXHVXQDX3RUWXJDOHWO¶DXWUHHQ (VSDJQH/HVFKDUJHVWKHUPLTXHVGHUHIURLGLVVHPHQWDX[GLIIpUHQWHV]RQHVVRQWHVWLPpHVSDUOHORJLFLHO³'3&OLPD´2Q FDOFXOH HQVXLWH OHV EHVRLQV IULJRULILTXHV UpHOOHV GH O¶LQVWDOODWLRQ GH FOLPDWLVDWLRQ DYHF OH ORJLFLHO 6,3)5,2 SRXU SUq GLPHQVLRQQHUO¶LQVWDOODWLRQLPSRVDQWXQHVWUDWpJLHDGpTXDWG¶DFFXPXODWLRQ/DVLPXODWLRQG\QDPLTXHSHUPHWDORUVGH FRQILUPHU HW G¶ RSWLPLVHU OH GLPHQVLRQQHPHQW HW OD VWUDWpJLH G¶DFFXPXODWLRQ /¶DQDO\VH pFRQRPLTXH HVW HQILQ SUpVHQWpH
&HOHVWLQR5XLYRFUXLYR#XDOJSW
&HOHVWLQR5XLYRFUXLYR#XDOJSW