$EVWUDFW 6XUYH\VRQWKHXVHRIDJHQF\FUHGLWUDWLQJVUHYHDOWKDWVRPHLQYHVWRUVEHOLHYHWKDWUDWLQJDJHQFLHVDUHUHODWLYHO\VORZLQDGMXVWLQJWKHLUUDWLQJV$ZHOODFFHSWHGH[SODQDWLRQIRUWKLVSHUFHSWLRQRQWKHWLPHOLQ
Trang 2$EVWUDFW
6XUYH\VRQWKHXVHRIDJHQF\FUHGLWUDWLQJVUHYHDOWKDWVRPHLQYHVWRUVEHOLHYHWKDWUDWLQJDJHQFLHVDUHUHODWLYHO\VORZLQDGMXVWLQJWKHLUUDWLQJV$ZHOODFFHSWHGH[SODQDWLRQIRUWKLVSHUFHSWLRQRQWKHWLPHOLQHVVRIUDWLQJVLVWKH³WKURXJKWKHF\FOH´PHWKRGRORJ\WKDWDJHQFLHVPHDVXUHWKHULVNRIGHIDXOWULVNRYHUORQJLQYHVWPHQWKRUL]RQVDQGEHFDXVHWKH\DUHFKDQJHG
WREHSHUPDQHQW7RYHULI\WKLVH[SODQDWLRQZHTXDQWLI\WKHLPSDFWRIWKHORQJWHUPGHIDXOWKRUL]RQDQGWKHSUXGHQWPLJUDWLRQSROLF\RQUDWLQJVWDELOLW\IURPWKHSHUVSHFWLYHRIDQ
LQYHVWRUZLWKQRGHVLUHIRUUDWLQJVWDELOLW\7KLVLVGRQHE\EHQFKPDUNLQJDJHQF\UDWLQJVZLWKDILQDQFLDOUDWLREDVHGFUHGLWVFRULQJ DJHQF\UDWLQJSUHGLFWLRQPRGHODQGFUHGLWVFRULQJ GHIDXOWSUHGLFWLRQPRGHOVRIYDULRXVWLPHKRUL]RQV:HDOVRH[DPLQHUDWLQJ
PLJUDWLRQSUDFWLFHV)LQDOUHVXOWLVDEHWWHUTXDQWLWDWLYHXQGHUVWDQGLQJRIWKHWKURXJKWKHF\FOHPHWKRGRORJ\
%\YDU\LQJWKHWLPHKRUL]RQLQWKHHVWLPDWLRQRIGHIDXOWSUHGLFWLRQPRGHOVZHVHDUFKIRUD
REMHFWLYHVZHFRQFOXGHWKDWDJHQF\UDWLQJVDUHIRFXVHGRQWKHORQJWHUP,QFRQWUDVWWRRQH
\HDUGHIDXOWSUHGLFWLRQPRGHOVDJHQF\UDWLQJVSODFHOHVVZHLJKWRQVKRUWWHUPLQGLFDWRUVRIFUHGLWTXDOLW\
:HDOVRGHPRQVWUDWHWKDWWKHIRFXVRIDJHQFLHVRQORQJLQYHVWPHQWKRUL]RQVH[SODLQVRQO\SDUWRIWKHUHODWLYHVWDELOLW\RIDJHQF\UDWLQJV7KHRWKHUDVSHFWRIWKURXJKWKHF\FOHUDWLQJPHWKRGRORJ\±DJHQF\UDWLQJPLJUDWLRQSROLF\±LVDQHYHQPRUHLPSRUWDQWIDFWRUXQGHUO\LQJWKHVWDELOLW\RIDJHQF\UDWLQJV:HILQGWKDWUDWLQJPLJUDWLRQVDUHWULJJHUHGZKHQWKH
GLIIHUHQFHEHWZHHQWKHDFWXDODJHQF\UDWLQJDQGWKHPRGHOSUHGLFWHGUDWLQJH[FHHGVDFHUWDLQWKUHVKROGOHYHO:KHQUDWLQJPLJUDWLRQVDUHWULJJHUHGDJHQFLHVDGMXVWWKHLUUDWLQJVRQO\SDUWLDOO\FRQVLVWHQWZLWKWKHNQRZQVHULDOGHSHQGHQF\RIDJHQF\UDWLQJPLJUDWLRQV
Trang 3,,QWURGXFWLRQ
FUHGLWULVNDQGLQWKHGHOLQHDWLRQRILQYHVWPHQWVWUDWHJLHV7KHIXWXUHUROHRIWKHVHDJHQF\UDWLQJVZLOOEHIXUWKHUH[SDQGHGZLWKWKHLPSOHPHQWDWLRQRIWKH%DVOH,,DFFRUGZKLFK
HVWDEOLVKHVUDWLQJFULWHULDIRUWKHFDSLWDODOORFDWLRQVRIEDQNVLQ*LYHQWKHUDWKHUVXGGHQPHOWGRZQLQ$VLDQFRXQWULHVDQGFRUSRUDWLRQVLQDQGWKHODUJHLQFUHDVHLQGHIDXOWVLQWKH
±SHULRGWKHWLPHOLQHVVRIDJHQF\UDWLQJVKDVFRPHXQGHUFORVHUVFUXWLQ\DQGFULWLFLVP
$UHFHQWVXUYH\FRQGXFWHGE\WKH$VVRFLDWLRQIRU)LQDQFLDO3URIHVVLRQDOV UHYHDOVWKDWPRVWSDUWLFLSDQWVEHOLHYHWKDWDJHQF\UDWLQJVDUHVORZLQUHVSRQGLQJWRFKDQJHVLQFRUSRUDWH
7KHVORZQHVVLQUDWLQJDGMXVWPHQWVLVZHOOUHFRJQL]HGE\LQYHVWRUV,QGHHGLWVHHPVWKDWWKH\
(OOLV RILQYHVWRUVEHOLHYHWKDWUDWLQJVVKRXOGUHIOHFWUHFHQWFKDQJHVLQFUHGLWTXDOLW\HYHQLIWKH\DUHOLNHO\WREHUHYHUVHGZLWKLQD\HDU$WWKHVDPHWLPHLQYHVWRUVZDQWWRNHHSWKHLUSRUWIROLRUHEDODQFLQJDVORZDVSRVVLEOHDQGGHVLUHVRPHOHYHORIUDWLQJVWDELOLW\7KH\GRQRWZDQWUDWLQJVWREHFKDQJHGWRUHIOHFWVPDOOFKDQJHVLQILQDQFLDOFRQGLWLRQ2QWKHLVVXHRIWZRFRQIOLFWLQJJRDOV±UDWLQJWLPHOLQHVVDQGUDWLQJVWDELOLW\±LQYHVWRUVDSSHDUWR
UHSHDWHGO\KHDUGWKDWLQYHVWRUVYDOXHWKHFXUUHQWUDWLQJVWDELOLW\OHYHODQGGRQRWZDQWUDWLQJVVLPSO\WRIROORZPDUNHWSULFHVVHH)RQVHWDO
7KHREMHFWLYHRIDJHQFLHVLVWRSURYLGHDQDFFXUDWHUHODWLYHLHRUGLQDO UDQNLQJRIFUHGLWULVNDWHDFKSRLQWLQWLPHZLWKRXWUHIHUHQFHWRDQH[SOLFLWWLPHKRUL]RQVHH&DQWRUDQG0DQQ
,QRUGHUWRDFKLHYHUDWLQJVWDELOLW\DJHQFLHVWDNHDORQJWHUPSHUVSHFWLYHZKLFKORZHUVWKHVHQVLWLYLW\RIDJHQF\UDWLQJVWRVKRUWWHUPIOXFWXDWLRQVLQFUHGLWTXDOLW\,QWKHLU
YDOXHRILWVSURGXFWVLVJUHDWHVWZKHQLWVUDWLQJVIRFXVRQWKHORQJWHUPDQGGRQRWIOXFWXDWH
ORQJWHUP FRPSRQHQWRIFUHGLWTXDOLW\FKDQJHV,QDGGLWLRQDJHQFLHVIROORZDSUXGHQWPLJUDWLRQSROLF\2QO\VLJQLILFDQWFKDQJHVLQFUHGLWTXDOLW\UHVXOWLQUDWLQJPLJUDWLRQVDQGLIWULJJHUHGUDWLQJVDUHSDUWLDOO\DGMXVWHG
Trang 4WKHLPSDFWRIWKHWZRDVSHFWVRIWKHWKURXJKWKHF\FOHPHWKRGRORJ\WRUDWLQJVWDELOLW\IURPDQLQYHVWRU¶VSHUVSHFWLYHZLWKQRGHVLUHIRUUDWLQJVWDELOLW\DQGVHFRQGZHSURYLGHDIXUWKHUXQGHUVWDQGLQJRIWKHWKURXJKWKHF\FOHPHWKRGRORJ\E\PRGHOLQJWKHSUXGHQWPLJUDWLRQSROLF\,QRUGHUWRPHDVXUHUDWLQJVWDELOLW\ZHIRUPXODWHFUHGLWVFRULQJPRGHOVUHIOHFWLQJWKH
UDWLQJG\QDPLFVZLWKFUHGLWPRGHOVFRUHG\QDPLFV7KHFRQFOXVLRQVRIWKLVVWXG\DUHXVHIXOWRIRUPXODWHSROLFLHVWRDFKLHYHDQRSWLPDOEDODQFHEHWZHHQUDWLQJVWDELOLW\DQGUDWLQJ
WLPHOLQHVVWRSURYLGHJXLGHOLQHVKRZWRXVHDJHQF\UDWLQJVLQWKH%DVHO,,IUDPHZRUNDQGWRGHILQHFRQGLWLRQVZKHQLWLVDFFHSWDEOHWRXVHDJHQF\UDWLQJPLJUDWLRQPDWULFHVDVLQSXWWRUDWLQJEDVHGFUHGLWULVNPRGHOV
2IFUXFLDOLPSRUWDQFHWRWKLVEHQFKPDUNVWXG\LVWKHIRUPXODWLRQRIDFUHGLEOHDQGDFFXUDWH
WKLVSXUSRVHFUHGLWVFRULQJGHIDXOWSUHGLFWLRQPRGHOVRIYDULRXVWLPHKRUL]RQVDUHHVWLPDWHG:HDVVXPHLQYHVWRUVWRKDYHDSRLQWLQWLPHSHUVSHFWLYHRQFUHGLWTXDOLW\FRPSDUDEOHWRWKHZHOOGRFXPHQWHGSHUVSHFWLYHRIEDQNV$VRSSRVHGWRWKURXJKWKHF\FOHPHWKRGRORJ\
SRVLWLRQLQWKHFUHGLWTXDOLW\F\FOHVHHWKH%DVHO&RPPLWWHHRQ%DQNLQJ6XSHUYLVLRQUHSRUW
DQG7UHDF\DQG&DUH\ 7KHLUPHDVXUHVRIWKH³SRLQWLQWLPH´FUHGLWTXDOLW\UHIOHFWWKHFXUUHQWSRVVLEO\WUDQVLHQWPDUNHWSHUFHSWLRQRQFUHGLWTXDOLW\$VDFRQVHTXHQFHEDQNVH[DPLQHERWKWKHSHUPDQHQWDQGWUDQVLWRU\FRPSRQHQWVRIFUHGLWTXDOLW\FKDQJHV7KHH[WHQWWRZKLFKSRLQWLQWLPHFUHGLWTXDOLW\PHDVXUHVLQFOXGHWHPSRUDU\IOXFWXDWLRQVLQFUHGLWTXDOLW\GHSHQGVRQWKHGHIDXOWKRUL]RQ$ODUJHQXPEHURIEDQNVDVVHVVWKHFUHGLWTXDOLW\ZLWKDRQH\HDUKRUL]RQEXWQHDUO\DVPDQ\EDQNVDSSO\KRUL]RQVRIWR\HDUVVHH%DVHO
&RPPLWWHHRQ%DQNLQJ6XSHUYLVLRQ
VLJQLILFDQWO\RQWKHDJHQF\UDWLQJOHYHOZKLFKHQDEOHVXVWRPRGHOWKHHQWLUHDJHQF\UDWLQJVFDOHZLWKRQHVLQJOHSDUDPHWHUVHW
,GHQWLI\LQJWKHWLPHKRUL]RQRIWKHDJHQF\UDWLQJSUHGLFWLRQPRGHO
:KLOHWKH'3PRGHOKDVDNQRZQRQH\HDUKRUL]RQE\FRQVWUXFWLRQWKH$5PRGHOKDVQRLPPHGLDWHO\LGHQWLILDEOHWLPHKRUL]RQ,QRUGHUWRPHDVXUHWKHLPSOLFLWWLPHKRUL]RQRIWKH
$5PRGHOZHFRPSDUHWKH$5SDUDPHWHUVZLWKWKRVHRIWKHORQJWHUPGHIDXOWSUHGLFWLRQPRGHOV/'3PRGHOV
$VIRUWKH'3PRGHOWKH/'3PRGHOVDUHHVWLPDWHGZLWKDORJLWUHJUHVVLRQPRGHO7KH
WKHWLPHKRUL]RQ)RUDJLYHQWLPHKRUL]RQ7VXUYLYLQJREVHUYDWLRQVDUHREVHUYDWLRQVRIILUPVVXUYLYLQJEH\RQG7\HDUVDQGGHIDXOWLQJREVHUYDWLRQVDUHREVHUYDWLRQVRIILUPVGHIDXOWLQJZLWKLQ7\HDUV7KH/'3PRGHOUHSUHVHQWVWKHSUREDELOLW\RIGHIDXOWLQWKHFRPLQJ7\HDUV
/'3PRGHOVDUHHVWLPDWHGIRUDIRXU\HDUDQGDVL[\HDUKRUL]RQ7KHSDUDPHWHUVRIWKHVH
LQWKHORJLWUHJUHVVLRQHVWLPDWLRQRI/'3PRGHOVDUHDJHQHUDOL]HGYHUVLRQRIWKH+XEHUDQG:KLWHVWDQGDUGHUURUVWKHDVVXPSWLRQVRQHUURUWHUPGLVWULEXWLRQDQGLQGHSHQGHQF\DPRQJREVHUYDWLRQVRIWKHVDPHILUPFDQEHUHOD[HG7KHVHVWDQGDUGHUURUVDFFRXQWIRUWKH
7KHUHODWLYHZHLJKWVRIWKHPRGHOYDULDEOHVLQWKH$5PRGHO'3PRGHODQG/'3PRGHOVDUHFRPSDUHGXVLQJWKHIROORZLQJIRUPXOD
Trang 11VE
VE
(VSHFLDOO\IRUWKH5(7$0(%/DQG$JHYDULDEOHVDFOHDUVKLIWLQUHODWLYHZHLJKWLV
WKHVL[\HDU/'3PRGHOPDWFKPRVWFORVHO\ZLWKWKH5:YDOXHVRIWKH$5PRGHO1RWVXUSULVLQJO\WKHVKRUWWHUPRULHQWHG'3PRGHOGHSHQGVKHDYLO\RQYDULDEOHVZKLFKIROORZPRVWFORVHO\WKHEXVLQHVVF\FOHOLNH0(%/7KH$5PRGHODQG/'3PRGHOSODFHUHODWLYHO\PRUHZHLJKWRQYDULDEOHVZKLFKDUHOHVVVHQVLWLYHWREXVLQHVVF\FOHVOLNHKLVWRULFDOHDUQLQJVDQG6L]H7KHWUDGLWLRQDOPHDVXUHVRI³IXQGDPHQWDO´ULVNGRPLQDWHLQORQJWHUPPHDVXUHVRIFUHGLWULVN,QWKHVKRUWWHUPKRZHYHULIDILUPLVYDOXHGSRRUO\LQWKHPDUNHWSODFHDQGQHHGVFDVKWRDYRLGGHIDXOWLWZLOOGHIDXOW
)RUVDPSOHSHULRG±WKHSDUDPHWHUHVWLPDWHVRIWKHFUHGLWVFRULQJPRGHOVGLIIHUVLJQLILFDQWO\IURPVDPSOHSHULRG±1RVLJQLILFDQWGLIIHUHQFHVLQSDUDPHWHUHVWLPDWHVDUHREVHUYHGEHWZHHQYDULRXVVXESHULRGVZLWKLQD± VDPSOHSHULRG
%HFDXVHWKH± VDPSOHREVHUYDWLRQVKDYHDUHODWLYHKHDY\ZHLJKWLQWKHHVWLPDWLRQRIWKH'3PRGHOGXHWRWKHODUJHQXPEHURIGHIDXOWVLQDQGZHFKRRVHWRHVWLPDWHWKH'3PRGHOZLWKRQO\WKH±VDPSOHREVHUYDWLRQV,QWKLVFDVHVRD
³UHDOLVWLF´'3PRGHOLVHVWLPDWHGIRUSDUWRIWKHWRWDOVDPSOH7KHUHVXOWVRIWKH
EHQFKPDUNLQJVWXG\GRQRWGLIIHUVLJQLILFDQWO\EHWZHHQD±VDPSOHDQGD±
VDPSOH:HFKRRVHWRLQFOXGHDPD[LPXPQXPEHURIREVHUYDWLRQVLQWKHDQDO\VLV
,QWKHUHPDLQGHURIWKLVSDSHUWKH$5PRGHOZLOOUHIHUWRWKHHVWLPDWHRIWKHDJHQF\UDWLQJVFDOHLQWKHSHULRG±VHH7DEOH,, WKH'3PRGHOZLOOUHIHUWRWKHHVWLPDWHRIWKHRQH\HDUGHIDXOWSUREDELOLW\LQSHULRG±VHH7DEOH,, DQGWKH/'3PRGHOZLOOUHIHUWRWKHHVWLPDWHRIWKHVL[\HDUGHIDXOWSUREDELOLW\LQSHULRG±VHH7DEOH,,,
&0VFRUHVUHIHULQJHQHUDOWR$5VFRUHV/'3VFRUHVDQG'3VFRUHV7KHEHQFKPDUNDQDO\VLVLWVHOIFRYHUVWKHSHULRG
Trang 120DWFKLQJ&0VFRUHVZLWKDJHQF\UDWLQJV
,QRUGHUH[DPLQHWKHFUHGLELOLW\RI$5VFRUHVDQG'3VFRUHVWRVHUYHDVDEHQFKPDUNIRUDJHQF\UDWLQJVWKH&0VFRUHVDUHPDWFKHGZLWKDJHQF\UDWLQJV$YHUDJH$5VFRUHVDQGDYHUDJH'3VFRUHVDUHFRPSXWHGIRUHDFKDJHQF\UDWLQJFODVV1,Q)LJXUH,WKHVHDYHUDJHYDOXHVDUHSORWWHGDJDLQVWDQXPHULFDODJHQF\UDWLQJVFDOH\&&&&&& % %
$$ $$ DQG$$$$$ 7KLVQXPHULFDOUDWLQJVFDOHLVDQDUELWUDU\EXWTXLWHLQWXLWLYHFKRLFHWKDWLVFRPPRQO\IRXQGLQWKHPDSSLQJRIEDQNLQWHUQDOUDWLQJPRGHOVWRDJHQF\UDWLQJV
7KHUHODWLRQVKLSEHWZHHQWKHDYHUDJH'3VFRUHDQGWKHDJHQF\UDWLQJ1LVFORVHWROLQHDU
$SSDUHQWO\WKH'3VFRUHVDUHVXIILFLHQWO\DQGQHDUO\HTXDOO\GLVSHUVHGRYHUWKHHQWLUH
DJHQF\UDWLQJVFDOH2QDPRUHGHWDLOHGOHYHOWZRJURXSVRIUDWLQJFODVVHVZLWKDQDOPRVWSHUIHFWOLQHDUUHODWLRQVKLSFDQEHGLVWLQJXLVKHG'3 10 )RUQRQLQYHVWPHQWUDWLQJFODVVHV±WKHVORSHJ HTXDOV)RULQYHVWPHQWUDWLQJFODVVHV±WKHVORSHJ HTXDOV
YDOXHVRIIRU1 >@DQGIRU1 >@DVWKH$5PRGHOLVDQDJHQF\UDWLQJSUHGLFWLRQPRGHO/HVVREYLRXVLVWKHFORVHWROLQHDUUHODWLRQVKLSEHWZHHQ'3VFRUHVDQGDJHQF\UDWLQJV
LOOXVWUDWHGLQ7DEOH,9)RUERWKWKH'3VFRUHVDQGWKH$5VFRUHVWKHWDEOHSUHVHQWVWKHPHDQVFRUHVIRUWKHSHULRGV± DQG±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
7KHWUDFWDEOHOLQHDUUHODWLRQVKLSEHWZHHQ&0VFRUHVDQGWKHQXPHULFDODJHQF\UDWLQJVFDOHSURYLGHVIXUWKHUVXSSRUWIRUWKHDELOLW\RI&0VFRUHVWREHQFKPDUNWKHHQWLUHDJHQF\UDWLQJVFDOHFRQVLVWHQWO\0RUHRYHUWKHDFFXUDF\RI&0VFRUHVLVFRPSDUDEOHIRUWKHORZHUDQGXSSHUSDUWVRIWKHDJHQF\UDWLQJVFDOH$QLQGLFDWLRQRIWKHDFFXUDF\RIWKH&0VFRUHVUHODWLYHWRWKHDJHQF\UDWLQJVFDOHLVWKHVWDQGDUGGHYLDWLRQLQ&0VFRUHVZLWKLQDSDUWLFXODUUDWLQJFODVV1VHH7DEOH,9 $IWHUFRQWUROOLQJIRUWKHVWDQGDUGGHYLDWLRQLQ&0VFRUHVYDULHVRQO\XSWROHDYLQJDVLGHWKHDJHQF\UDWLQJFODVVHVDQG
'LYLGLQJWKHVWDQGDUGGHYLDWLRQLQ&0VFRUHVE\J JLYHVDQLQGLFDWLRQRIWKHVWDQGDUG
GHYLDWLRQLQ&0VFRUHVLQWHUPVRIQRWFKVWHSV)RUH[DPSOHFUHGLWTXDOLW\DVSUHGLFWHGE\
Trang 13WKH$5PRGHOYDULHVE\DERXWQRWFKVWHSVZLWKLQDSDUWLFXODUUDWLQJFODVV7KHODUJH
YDULDWLRQLQ&0VFRUHVFDQEHDVFULEHGQHLWKHUWRWKHVXSSRVHGQRLV\FKDUDFWHURI&0VFRUHVQRUWRWKHOLPLWHGFUHGLWTXDOLW\LQIRUPDWLRQLQFRUSRUDWHGLQWKHPRGHOYDULDEOHVDVFRPSDUHGWRWKHLQIRUPDWLRQDYDLODEOHWRDJHQFLHV,QWKDWFDVHWKHSHUIRUPDQFHRI&0VFRUHVLQSUHGLFWLQJGHIDXOWHYHQWVLVH[SHFWHGWREHLQIHULRUWRWKDWRIDJHQF\UDWLQJV7KHGHIDXOWSUHGLFWLRQSHUIRUPDQFHRI&0VFRUHVLVDFWXDOO\FRPSDUDEOHWRDJHQF\UDWLQJVVOLJKWO\EHWWHU
HTXDOO\LQIRUPDWLYHRQFUHGLWTXDOLW\7KHFUHGLWTXDOLW\RIILUPVDSSDUHQWO\GLYHUJHV
FRQVLGHUDEO\ZLWKLQDQDJHQF\UDWLQJFODVVDQGRYHUODSVVLJQLILFDQWO\ZLWKQHLJKERULQJDJHQF\UDWLQJFODVVHV
Trang 14,,,%HQFKPDUNDQDO\VLV
%HQFKPDUNUHVHDUFKVHWXS
&UHGLWPRGHOVFRUHV&0VFRUHV DUHSRLQWLQWLPHPHDVXUHVRIVKRUWDQGORQJWHUPGHIDXOWULVNLQWKHVHQVHWKDWWKH\PDNHPD[LPXPXVHRIWKHPRVWUHFHQWGDWDRQWKHPRGHOYDULDEOHVWRPDNHDQRSWLPDOIRUHFDVW$5VFRUHVPHDVXUHWKHSRLQWLQWLPHLPSOLFDWLRQVRIWKHPRGHOYDULDEOHVIRUIXWXUHFUHGLWUDWLQJV)OXFWXDWLRQVLQ$5VFRUHVZRXOGWUDQVODWHGLUHFWO\LQWRUDWLQJPLJUDWLRQVZHUHDJHQFLHVWRUHDFWLPPHGLDWHO\WRDOOIOXFWXDWLRQVLQPRGHOYDULDEOHVDFFRUGLQJWRWKH$5PRGHO:KLOH$5VFRUHVLPPHGLDWHO\ IROORZFKDQJHVLQFUHGLW
IXQGDPHQWDOVWKHPLJUDWLRQSROLFLHVRIDJHQFLHVFDXVHWKRVHFKDQJHVWREHJUDGXDO6KRXOGWKHFKDQJHVLQIXQGDPHQWDOVWXUQRXWWREHWHPSRUDU\LWLVSRVVLEOHWKDWQRFKDQJHLQUDWLQJVZLOODFWXDOO\RFFXU
5HJDUGOHVVRIZKHWKHUFKDQJHVLQPRGHOYDULDEOHVLHFUHGLWIXQGDPHQWDOV KDYHD
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
7HFKQLFDOO\WKHVHQVLWLYLW\RI&0VFRUHVWRWHPSRUDU\IOXFWXDWLRQVYDULHVEHFDXVHRIWKHGLIIHUHQFHVLQZHLJKWIRUUHODWLYHO\VKRUWWHUPRULHQWHG ...
HVWDEOLVKHVUDWLQJFULWHULDIRUWKHFDSLWDODOORFDWLRQVRIEDQNVLQ*LYHQWKHUDWKHUVXGGHQPHOWGRZQLQ$VLDQFRXQWULHVDQGFRUSRUDWLRQVLQDQGWKHODUJHLQFUHDVHLQGHIDXOWVLQWKH
±SHULRGWKHWLPHOLQHVVRIDJHQF\UDWLQJVKDVFRPHXQGHUFORVHUVFUXWLQ\DQGFULWLFLVP