SABR Submission - Final Draft 2016 › ...2!
18
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` ,2.?*8%+ $%-R2M Z0<*+:*+M C.?2%:(M F(+(0(M 5AU /U# / D-*.( a+-R2%)-:1M #4`@@ V( U-%(0(M FC b@A4bc L()*+&=-.)*+d?-*.(&208 4 3%2-+2% CN2+;-2) \+;&c N%2-+2%d:2.8)7.(+2:&+2:
Transcript of SABR Submission - Final Draft 2016 › ...2!
-
! ! "!#!
!
!"#$%&'($)*+$,#-./0$10$2#31#4$$5.106$7189"$:;-081
-
! ! "!/!
!
-"#.(/01',%2#345#6,&7#.(%89%&,(%1:#;&1&,?&,+?#562!78%7*)2!*9!:6-)!)2;:-*+!-)!:*!7%*R-02!2R-02+;2!()!:*!:62!R(.-0-:1!*9!GJH!(+0!6*=!-:!%(:-*+(..1!
;*
-
! ! "!4!
!
&'()*+,-.,,/0123045,06,!"#$,78,2'49:,93;55'6'9;4'05,4:+,*;&1&,?&,+?#J+2!*9!:62!?2+29-:)!*9!GJH!-)!:6(:!-:!*992%)!(!+8
-
! ! "![!
!
GJHC!(+0!ZECM!j\HM!BEM!(+0!,E!9*%!/@#4&[!!J+2!%2()*+!9*%!:62!.*=!;*%%2.(:-*+!-)!:6(:!GJHC!-)!E)##1-&
"*A161*A1*#&!!j*%!2O(
-
! ! "!Q!
!
!
&'()*+,X.,,#*020*4'0+*,4:+,7;5+5.,
5*!?2N-+M!j-N8%2![!)6*=)!:62!7%*7*%:-*+!*9!D()2)!?1!N%*87)!*9!GJHg&!!,62+!=2!.**e!(:!6*
562!)(V**e-+N!(:!:62!0(:(!0-992%2+:.1M!=2!;(+!>8(+:-91!:62!%2.(:-*+)6-7!?2:=22+!GJHg!(+0!D()2)&!!
j-N8%2!Q!)6*=)!(!?*O7.*:!9*%!2(;6!+8
-
! ! "!A!
!
!
&'()*+,A.,,/0123045,06,!"#$,78,/;5+5.,,F:+,Z'+54,2*020*4'0
-
! ! "!]!
!
E"#HI0:(',%2#&79#-J!K#;91?(%#6,&7#345#562!7%-:2;6+->82)!282):-*+)&!!Z(;6!;*+)-):)!*9!8(.-:1!7-:;62)!9%*
• 5*7!:2+!>8(.-:1!7-:;62)!?1!7-:;6!:172!6(R2!(.)*!?22+!;(.;8.(:20!(+0!(%2!(R(-.(?.2!
F;73+,Y.-7.,,NB-A,#'49:+*5,*;
-
! ! "!`!
!
E"-#.1%#345#)1&1#0'(O9+HPD#,%#-J!QN##L7,+7#;82+:!)2()*+&!!\+!C772+0-O!/M!=2!7%*R-02!9-R2!12(%)P!=*%:6!*9!%2:%*0-;:-*+!0(:(!9%*
:*!)6*=!:6(:!`Q&Qq!*9!7-:;62%)!=-:6!ZECtQ!(+0!GJHCtQ!6(0!:62-%!ZEC!0%*7!:62!9*..*=-+N!12(%M!
-
! ! "!b!
!
!
F;73+,Y.N,7,,#'49:+*5,>'4:,!"#%WX,;
-
! ! "!#@!
!
E"S#L7,+7#;'4:,*)
-
! ! "!##!
!
E"Q#.1%#0,&+7#M*1%&,C,+1&,(%#A9#*?9)#&(#M*1%&,CB#A1&&9'?N#$?#&79'9#1#+(''9:1&,(%#A9&699%#345#1%)#A1&&,%2#189'129#AB#0,&+7#&B09N#
!F;73+,Y.\.,,F02,NB,7;44+*5,6*0?,NB-A,78,7;44''4:,!"#%,06,2'49:+5,:'4.,,K02;#O,'5,4:+,;G+*;(+,06,4:+,!"#$,60*,0
>8(+:-9-;(:-*+!;*8.0!?2!(+!-
-
! ! "!#/!
!
!
F;73+,Y.a;.,,!"#%,60*,4:*++,:'(:,2*06'3+,2'49:+*5,>:0,:;G+,)
-
! ! "!#4!
!
!
F;73+,Y.a7.,,!"#%,60*,4:*++,:'(:,2*06'3+,2'49:+*5,;64+*,F0??8,b0:
-
! ! "!#[!
!
D009%),I#!U#G(6#345#,?#.1:+*:1&9)#562!9*%'8!&F&!.G-"71&H&!IGE-1)BJ6,"*#&H&!KG91-#JE-1)B&H&!LG%,-"MJE-1)B&H&!NG:,$)#",*&H&!OGP!>&
=62%2!
#& *'5+Y!:62!+8
-
! ! "!#Q!
!
:6-)!-)!(!^2%*!-+:2%;27:!
-
! ! "!#A!
!
!
&'()*+,%N.-,M9;44+*2304,06,=H%,6*0?,NB-N,>'4:,NB-Y.,,_04+,4:;4,=H%`[NB,'5,
-
! ! "!#]!
!
F;73+,%N.-.,,H+4*0@'94''4:,;
-
! ! "!#`!
!
D.(e2!,**0! Q! Q&@]! @[#! @! @&/[Q! ``#! Q#! 4&]Q! @&/@Q! @@A! @&/#`! #/#`!
F6(0!G8(..)! Q&/Q! Q&Q]! @AQ! @&@AA! @&/A[! #@`]! Q! 4&Q#! @[#! @&@AQ! @&/4b! #/4]!
F6%-)!'(e8?(8)e()! Q&/A! /]! @! @! @&Q! #/! Qb! Q&]/! @Q]! @&@``! @&/`#! #/b]!
j2.-72!H(8.-+*! QQ! Q#! @&/@/! @#/! @&/4#! #A#[! [&]`! [#! @&//[! @&@b! @&/4/! /[#@!
v1.2!V*6)2! Q&@#! A&QQ! @/Q! @&@`#! @&/bb! #]@[! Q&@4! 4&4b! @[4! @&@Q[! @&/4! 4@44!
l-;e!D.(;e?8%+! Q&/`! Q&[/! @&@b`! @&@Q`! @&/`! //]Q! Q&4`! [&[b! @#4! @&@`#! @&/]4! /[[Q!
B(+01!E*)(%-*! Q&/b! Q[! @! @&@`4! @&]Q! [#! [&Q]! /&[Q! @##! @##! @&/]`! AQ!
51)*+!E*))! Q&@Q! Q&[b! @`b! @#`! @&/4#! ]@A! Q&/[! /&]Q! @AA! @&@b! @&//`! Q4`!
,(.0-)!'*(>8-+! Q&[Q! b&A[! @&@][! @&/Qb! @&///! #4Q! Q&b/! [&/A! @##! @##! @&///! #@#!
!
F;73+,%N.Y.,,=1;?23+,06,2'49:'
