Amherst Pierpont International -- Market Monitor Hong Kong: Paul KAN +852 3757-9671 Direct +852 9842-1723 mobile

using available Bloomberg API Data from: 30 Oct 2019 10:10 AM Tammy CHU +852 3757-9672 Direct +852 5335-4098 mobile
Ji Hyung LEE +852 3798-2511 Direct +852 9528-8348 mobile
Wendy WANG +852 3798 2556 Direct +852 9260-5917 mobile

US Treasury (Prices) Current US Treasury (Yields / Spreads) Current

Change Closing Price Change (ticks) from: Curve Change Closing Yield Change (bps) from:
Security Px fr Close 1D 1W 30D Min Max Yld ModDur DV01 Spread fr Close 1D 1W 30D Min Max
cb1 B 10/08/20 1.525 gb1 1.588 0.93 0.92 -- 0.1 -1.1 0.7 -17.5 1.5 -22.6
ct2 T 1 1/2 10/31/21 99-233 0-003 0-001 -0-037 -- 0-001 -0-041 gt2 1.639 1.96 1.96 5 -0.6 0.0 4.9 1.2 25.4 -3.6
ct3 T 1 3/8 10/15/22 99-07+ 0-01 -0-003 -0-063 -- 0-00 -0-252 gt3 1.644 2.88 2.86 1 -0.8 0.4 7.1 7.7 30.5 0.0
ct5 T 1 1/2 10/31/24 99-086 0-015 0-00 -- -- 0-00 -0-12 gt5 1.653 4.80 4.76 1 -1.0 0.0 7.6 10.0 31.5 0.0
ct10 T 1 5/8 08/15/29 98-06+ 0-036 0-01 -0-216 -1-12+ 0-01 -2-25 gt10 1.827 8.97 8.84 17 -1.2 -0.4 7.7 15.6 30.9 -0.4
ct30 T 2 1/4 08/15/49 98-15+ 0-10 -0-002 -1-24+ -4-152 0-00 -7-016 gt30 2.322 21.44 21.21 49 -1.3 0.0 8.2 20.5 31.9 0.0
gt5 - gt2 1 0 0 3 9 10 0
gt10 - gt5 17 0 0 0 6 5 -1
gt10 - gt2 19 -1 0 3 14 15 0
US Swaps / Swaption & Cap Vol Current gt30 - gt10 49 0 0 0 5 5 0
Spread Close Change Closing Spread Change (bps) from:
(bps) (bps) fr Close 1D 1W 30D Min Max Agency Debenture Spreads Current
USSP2 2.7 2.5 0.2 -0.2 0.8 1.5 3.9 -3.0 Spread Close Change Closing Spread Change (bps) from:
USSP3 -1.5 -1.7 0.2 -0.5 -1.1 -0.4 1.6 -3.6 (bps) (bps) fr Close 1D 1W 30D Min Max
USSP5 -3.4 -3.5 0.1 -0.4 -1.9 1.4 3.6 -3.3 FNMGVN2 10.8 10.2 0.6 0.2 -5.0 -15.0 0.2 -30.8
USSP10 -8.2 -8.5 0.3 -0.3 -1.6 2.5 4.6 -2.0 FNMGVN3 6.2 5.5 0.7 -0.7 -2.8 -7.6 0.0 -8.1
USSP30 -38.3 -38.8 0.5 -0.5 -2.1 2.3 4.9 -2.4 FNMGVN5 3.2 2.2 1.0 0.8 -0.1 -2.4 0.8 -3.8
FNMGVN10 0.5 -0.9 1.4 0.6 0.0 -1.7 1.7 -2.8
(Vol) (Vol) FNMGVN30 #N/A N/A -- -- -- -- -- -- --
USSV012 42.6 42.2 0.4 -0.2 -5.0 -6.0 0.0 -19.3
USSV0110 38.0 37.6 0.4 0.1 -2.5 -7.1 0.1 -12.1 FHMGVN2 7.1 6.6 0.5 -0.1 -0.6 -7.3 0.0 -7.5
USCV1 34.4 34.5 -0.1 0.3 -0.9 -2.0 0.5 -12.7 FHMGVN3 4.4 3.8 0.6 -0.4 -0.7 -5.6 0.0 -6.5
USCV2 46.7 46.6 0.1 0.2 -1.9 -3.8 0.3 -10.2 FHMGVN5 2.6 1.7 0.9 0.5 -0.4 -2.4 0.5 -3.9
USCV5 47.3 47.0 0.2 0.2 -1.8 -7.3 0.5 -13.0 FHMGVN10 22.2 20.9 1.3 -0.1 -0.4 3.0 3.0 -1.3
USCV10 39.3 39.0 0.3 0.2 -1.9 -6.3 0.2 -12.9 FHMGVN30 -16.8 -18.1 1.3 -0.3 -0.5 -4.9 0.7 -5.1

Mortgages / 30yr Current 1D Mortgages / 15yr Current 1D

Change Closing Price Change from: WAL ct10 3m Change Closing Price Change from: WAL ct5 3m
Settle Px Fwd Px Drop fr Close 1D 1W 30D Min Max I-Sprd HR CPR Settle Px Fwd Px Drop fr Close 1D 1W 30D Min Max I-Sprd HR CPR
FNCL 3 11/13 101-00 100-28 0-04 0-00+ 0-02 0-01 -0-11 0-03 -0-29 110 2.00 6 FNCI 3 11/18 102-03 102-01 0-02 0-00+ -0-01 0-00 -0-01 0-04 -0-15 80 -- 36
FNCL 3.5 11/13 102-12 102-11 0-01 0-00+ 0-01 0-02 -0-05 0-03 -0-14 109 1.00 47 FNCI 3.5 11/18 103-15 103-15 0-00 0-00+ -0-01 0-03 0-01 0-04 -0-09 73 -- 38
FNCL 4 11/13 103-20 103-21 -0-01 0-00+ 0-02 0-01 -0-05 0-02 -0-11 103 2.00 51 FNCI 4 11/18 104-06 104-03 0-03 0-00+ 0-00 0-01 0-04 0-05 -0-03 21 -- 15
FNCL 4.5 11/13 105-02 105-04 -0-02 0-00+ 0-01 0-01 -0-11 0-01 -0-13 84 1.00 51 FNCI 4.5 11/18 103-06 103-05 0-01 0-00+ 0-03 0-09 -0-04 0-26 -0-04 85 -- 16
FNCL 5 11/13 106-28 106-30 -0-02 0-00+ 0-00 0-01 -0-10 0-02 -0-11 67 0.00 44 FNCI 5 11/18 103-06 103-04 0-02 0-00+ 0-00 0-09 0-04 0-27 0-00 69 -- 19

FGLMC 3 11/13 101-02 100-30 0-04 0-00+ 0-02 0-01 -0-10 0-03 -0-29 110 2.00 14 FGCI 3 11/18 102-06 102-04 0-02 0-00+ 0-00 0-00 0-07 0-13 -0-14 83 -- 21
FGLMC 3.5 11/13 102-14 102-13 0-01 0-00+ 0-00 0-02 -0-05 0-03 -0-15 113 0.00 46 FGCI 3.5 11/18 103-17 103-16 0-01 0-00+ -0-01 0-02 0-12 0-14 -0-09 80 -- 39
FGLMC 4 11/13 103-22 103-23 -0-01 0-00+ 0-02 0-00 0-06 0-09 -0-12 117 2.00 55 FGCI 4 11/18 104-07 104-06 0-01 0-00+ -0-01 0-01 0-09 0-15 -0-04 17 -- 15
FGLMC 4.5 11/13 105-04 105-07 -0-03 0-00+ 0-01 0-00 -0-01 0-01 -0-14 113 1.00 52 FGCI 4.5 11/18 103-08 103-03 0-05 0-00+ 0-04 0-09 0-04 0-26 0-00 80 -- 17
FGLMC 5 11/13 106-30 107-00 -0-02 0-00+ 0-00 0-01 -0-02 0-01 -0-12 118 0.00 43 FGCI 5 11/18 103-08 103-03 0-05 0-00+ 0-02 0-11 0-14 0-29 0-00 59 -- 20

GNSF 3 11/20 102-10 102-07 0-03 0-00+ 0-02 0-00 -0-04 0-04 -0-27 85 2.00 17 GNJO 3 11/18 102-03 101-25 0-10 0-00+ 0-00 0-01 0-04 0-10 -0-14 47 -- 14
GNSF 3.5 11/20 103-26 103-24 0-02 0-00+ -0-01 0-04 0-05 0-14 -0-09 90 -1.00 23 GNJO 3.5 11/18 103-15 103-06 0-09 0-00+ -0-01 0-04 0-09 0-12 -0-06 31 -- 13
GNSF 4 11/20 104-21 104-19 0-02 0-00+ 0-28 0-04 0-07 0-28 -0-06 48 #### 17 GNJO 4 11/18 104-06 103-29 0-09 0-00+ 0-00 0-03 0-10 0-16 -0-03 26 -- 13
GNSF 4.5 11/20 105-29 105-28 0-01 0-00+ -0-08 0-02 -0-06 0-13 -0-25 77 -8.00 17 GNJO 4.5 11/18 103-04 102-30 0-06 0-00+ 0-01 0-07 -0-01 1-23 -0-20 114 -- 14
GNSF 5 11/20 105-16 105-15 0-01 0-00+ -1-27 0-00 0-02 0-03 -1-29 178 #### 17 GNJO 5 11/18 103-15 103-09 0-06 0-00+ 0-09 0-18 0-18 1-04 -0-19 114 -- 15

Change Closing PxSpread/FN Change from: Change Closing PxSpread/FN Change from:
TBA Swap to FNMA /FN fr Close 1D 1W 30D Min Max TBA Swap to FNMA /FN fr Close 1D 1W 30D Min Max
FGLMC 3 0-02 0-00 0-00 0-00 0-01 0-09 -0-01 FGCI 3 0-03 -0-00 0-01 0-00 0-08 0-14 -0-01
FGLMC 3.5 0-02 0-00 -0-01 0-00 0-00 0-01 -0-01 FGCI 3.5 0-02 0-00 0-00 -0-01 0-11 0-13 -0-02
FGLMC 4 0-02 0-00 0-00 -0-01 0-11 0-11 -0-02 FGCI 4 0-01 -0-00 -0-01 0-00 0-05 0-10 -0-02
FGLMC 4.5 0-02 0-00 0-00 -0-01 0-10 0-10 -0-01 FGCI 4.5 0-02 0-00 0-01 0-00 0-08 0-09 -0-01
FGLMC 5 0-02 0-00 0-00 0-00 0-08 0-08 -0-01 FGCI 5 0-02 0-00 0-02 0-02 0-10 0-10 -0-01

GNSF 3 1-10 0-00 0-00 -0-01 0-07 0-07 -0-02 GNJO 3 0-00 0-00 0-01 0-01 0-05 0-11 -0-02
GNSF 3.5 1-14 0-00 -0-02 0-02 0-10 0-13 -0-02 GNJO 3.5 0-00 0-00 0-00 0-01 0-08 0-11 -0-03
GNSF 4 1-01 -0-00 0-26 0-03 0-12 0-26 -0-05 GNJO 4 0-00 0-00 0-00 0-02 0-06 0-11 -0-02
GNSF 4.5 0-27 -0-00 -0-09 0-01 0-05 0-23 -0-19 GNJO 4.5 -0-02 0-00 -0-02 -0-02 0-03 1-12 -0-29
GNSF 5 -1-12 0-00 -1-27 -0-01 0-12 0-13 -1-27 GNJO 5 0-09 -0-00 0-09 0-09 0-14 0-14 -0-24

Equities Currencies
Change Change Closing Index Change (percent) from: Exch Current Change Closing Rate Change (percent) from:
Index Close fr Close fr Close 1D 1W 30D Min Max Rate Close Change fr Close 1D 1W 30D Min Max
INDU 27,071 27,071 0 0.0% -0.1% 1.1% 0.9% 3.8% -0.1% EURUSD 1.11 1.11 0.000 0.0% 0.1% -0.1% 1.6% 2.0% -0.5%
SPX 3,037 3,037 0 0.0% -0.1% 1.4% 2.5% 5.2% -0.1% GBPUSD 1.29 1.29 0.000 0.0% 0.0% -0.1% 4.6% 5.4% -0.9%
CCMP 8,277 8,277 0 0.0% -0.6% 2.1% 4.2% 6.3% -0.6% USDJPY 108.86 108.89 -0.030 0.0% -0.1% 0.4% 0.9% 1.8% -0.1%
BE500 265 265 0 0.0% -0.2% 0.7% 1.2% 5.0% -0.2% USDCNY 7.07 7.07 0.001 0.0% 0.0% -0.2% -0.8% 0.0% -1.2%
UKX 7,306 7,306 0 0.0% -0.3% 1.3% -1.6% 3.2% -1.6% USDHKD 7.84 7.84 0.001 0.0% 0.0% 0.0% 0.0% 0.0% -0.1%
DAX 12,940 12,940 0 0.0% 0.0% 1.4% 4.5% 8.5% 0.0% USDTWD 30.50 30.52 -0.023 -0.1% -0.1% -0.2% -1.7% 0.1% -1.7%
NKY 22,888 22,974 -86 -0.4% 0.5% 1.9% 5.0% 7.6% 0.0% USDSGD 1.36 1.36 0.000 0.0% 0.0% 0.0% -1.4% 0.1% -1.6%
HSI 26,655 26,787 -131 -0.5% -0.4% 0.0% 3.2% 4.3% -0.4% USDTHB 30.23 30.25 -0.027 -0.1% 0.1% -0.2% -1.3% 0.3% -1.3%
SHCOMP 2,939 2,954 -15 -0.5% -0.9% 0.0% 0.8% 1.7% -1.8% USDKRW 1,169 1,163 5.380 0.5% -0.6% -0.6% -3.1% 0.0% -3.5%
TWSE 11,320 11,334 -14 -0.1% 0.2% 0.6% 4.7% 4.7% 0.0%

GT10 FNCL 4
104.00
2.500
2.400
2.300
2.200
103.50
2.100
2.000
1.900
1.800 103.00
1.700
1.600
1.500
1.400 102.50
05/03/19 06/14/19 07/26/19 09/06/19 10/18/19 05/03/19 06/13/19 07/24/19 09/03/19 10/11/19

GT10 - GT2 FN4 - GT5 (calculated at current BB Median Speeds)

30
125
25 120
115
20 110
105
15
100
10 95
90
5 85
80
0
05/03/19 06/14/19 07/26/19 09/06/19 10/18/19 75
-5 70
05/03/19 06/14/19 07/26/19 09/06/19 10/18/19