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Relative-Value-Model

Introduction into the user interface

http://research.hsbc.de

HSBC Trinkaus & Burkhardt

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Navigation

The Relative-Value Model offers the possibility to select covered bonds

according to your preferences and to compare them with other covered

bonds

The use of the Relative Value Model requires a current browser

Open the Internet Explorer and select the following address:

http://research.hsbc.de

Alternatively serve via HSBC research:

http://www.hsbcnet.com/hsbc/home/research_web_site

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Access via www.HSBCnet.com

Register at

HSBCnet.

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Choose: Research /

Global FI Strategy /

Analytics / Covered

Bonds

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… or directly with the URL

First you need to define the

search criteria. Select one of

the following characters of the

demanded bond:

•Issuer

•Issuer-Type

•Bond Type

•Country in combination with

BIS Risk Weighting

Thereby the selection button

has to be used.

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Selection of the search criteria

In addition it is possible to define a

minimum and a maximum for the

coupon, the issue size, the years to

maturity, and the price.

The range for the coupon and the

issue size are predetermined

dynamically. Whereas the years to

maturity and prices are provided by

HSBC with a fixed interval.

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Selection of the search criteria

The third search criteria filter the

bonds according to collateralization

(mortgage, non mortgage) and the

structure type (plain vanilla, club

structure or structured covered

bond).

After the insertion of all criteria you

obtain the results by clicking on the

submit button.

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The user interface of the Relative-Value-Model

After you have defined and confirmed the criteria all relevant bonds will

be displayed in a new browser window

The bond name is composed as follows:

e.g. AAB3.25 1/13 (Bloomberg ticker, coupon, month/year of maturity)

You can sort the list as desired. Therefore you need to click on the

requested list name

A click on the German securities code (WKN) opens a window with its

fundamental data and spreads

If the mouse pointer rests over an information field for a short time

additional details will be displayed as a tooltip (e.g. the full issuer

name)

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The results will be listed…

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Features inside the list

Sorting data by clicking the list name

A click on the individual WKN displays an overview of the fundamental data and the spreads

With a mouse click on a bond’s spread value a corresponding line diagram will be opened in the foreground. The default setting is a range of one year and can be changed between one month and 3 years

To compare two bonds they have to be loaded into the fields “Bond 1” (buy) and “Bond 2” (sell). Therefore you need to click on the bond’s name (first column). A click on the field Switch- / Comparison Analysis opens the relevant graphs and data tables of both bonds.

6 different spread analyses are available which can be displayed over 6 time intervals

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Sorting and details of bonds

Descending or

ascending sorting

of the parameters

with a click on the

column.

Tooltip shows the

issuer name.

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The bond‘s fundamental data, yield and spread information

Question marks show

the availability of

additional explanations.

A click on the WKN

displays an overview of

the fundamental data

and the spreads in a

new window.

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Spread charts

A click on the spread

data opens the

corresponding graph.

The type of spread

graphs can be

changed with a pull

down menu.

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Explanations are available

The Reoffer-

Swapspread in BP

refers to the value at

issuance.

Additional information

concerning the structure of

the guarantor or the

participating debtor are

available.

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The Switch - / Comparison Analysis

With a click on the bond name two bonds can be inserted successively into the selection field.

A click on the field “Switch - / Comparison Analysis” opens the relevant graphs and data tables of both bonds.

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Function of the Switch- / Comparison Analysis

Selection of the time

range which shall be

displayed. The

maximum is

predetermined by the

date of issuance.

With a click on the

graph it will be

displayed enlarged in

a new window.

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Spread data

Mid-yields and

spreads for both

bonds are given in

the left side table.

With a click on the

field „back“ the last

function will be

revoked and/or the

current window will

be closed.

The order of the

chosen bonds can be

changed with the field

“Switch”.

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Display of the yields of two comparative values

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Yield Spread

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Asset Swap Spread of both bonds

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Yield decomposition with the swap curve

The grey line explains

the steepness of the

swap curve between

both bond maturities.

The blue line is the swap

spread differential

between the “buy” and

“sell” bond.

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Bund curve spreads

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Total Returns in %

The data include fully

reinvested coupons.

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Data exchange with other applications

For processing all data can be copied and inserted into other

applications. All data rest preserved in Excel.

Lists can be printed with the web browser: we recommend horizontal

format.

Graphs can be saved in PNG format with a click on the right mouse

button and save as.

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Contact

HSBC Trinkaus & Burkhardt AG Königsallee 21/23, D-40212 Düsseldorf Tel: +49 211 910 2157 Fax: +49 211 910 92037

E-mail: frank.will@hsbc.de

Frank Will

Head of Covered Bond Research Treasury Research

Sebastian von Koss

Covered Bond Research Treasury Research

HSBC Trinkaus & Burkhardt AG Königsallee 21/23, D-40212 Düsseldorf Tel: +49 211 910 3391 Fax: +49 211 910 92037

E-mail: sebastian.von.koss@hsbc.de

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Disclaimer

This document has been issued by HSBC Trinkaus & Burkhardt AG (”HSBC”) for the information of its

customers only. It is not and should not be construed as an offer to sell or the solicitation of an offer to

purchase or subscribe for any investment.

This document does not constitute a sales prospectus or an offering memorandum and is not binding

with regard to the structure of the Transaction.

HSBC has based this document on information obtained from sources it believes to be reliable but

which it has not independently verified; HSBC makes no guarantee, representation or warranty and

accepts no responsibility or liability as to the accuracy or completeness of any information contained

herein.

This document may not be reproduced or further distributed in whole or in part for any purpose.