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

using available Bloomberg API Data from: 09 Feb 2021 10:27 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 01/27/22 0.058 gb1 0.066 0.96 0.96 -- -0.2 0.8 -0.9 -3.1 0.8 -3.9
ct2 T 0 1/8 01/31/23 100-007 0-001 -0-005 -0-001 -- 0-005 -0-005 gt2 0.112 1.97 1.97 5 0.0 0.8 0.1 -2.4 0.8 -3.5
ct3 T 0 1/8 01/15/24 99-262 0-001 -0-007 -0-012 -- 0-047 -0-01+ gt3 0.188 2.92 2.92 8 0.0 1.0 1.4 -3.3 1.7 -4.6
ct5 T 0 3/8 01/31/26 99-162 0-005 -0-02+ -0-08+ -- 0-00 -0-10+ gt5 0.476 4.92 4.89 29 -0.3 1.6 5.4 -0.5 10.2 -2.8
ct10 T 0 7/8 11/15/30 97-11 0-022 -0-016 -0-262 -0-152 0-00 -1-30+ gt10 1.165 9.30 9.07 69 -0.6 0.6 9.0 5.4 21.4 0.0
ct30 T 1 5/8 11/15/50 92-24+ 0-052 0-12+ -2-04+ -1-22+ 0-12+ -5-14 gt30 1.947 23.11 21.52 78 -0.7 -1.8 9.8 7.9 24.5 -1.8
gt5 - gt2 36 0 1 5 2 8 0
gt10 - gt5 69 0 -1 4 6 9 -1
gt10 - gt2 105 -1 0 9 8 16 0
US Swaps / Swaption & Cap Vol Current gt30 - gt10 78 0 -2 1 3 5 -2
Spread Close Change Closing Spread Change (bps) from:
(bps) (bps) fr Close 1D 1W 30D Min Max Agency Debenture Spreads Current
USSP2 9.3 9.2 0.1 -0.3 1.5 1.3 2.4 -0.3 Spread Close Change Closing Spread Change (bps) from:
USSP3 10.3 10.2 0.1 -0.1 1.9 3.0 4.1 -0.1 (bps) (bps) fr Close 1D 1W 30D Min Max
USSP5 12.0 12.0 0.0 -0.1 1.3 4.6 6.3 -0.1 FNMGVN2 -2.8 -2.8 0.0 -1.6 -4.2 -1.1 0.0 -4.6
USSP10 7.9 7.9 0.0 0.4 3.1 7.0 9.1 0.0 FNMGVN3 -8.0 -8.0 0.0 0.2 -1.2 0.8 1.0 -2.5
USSP30 -19.8 -19.8 0.0 1.1 4.5 6.2 7.9 0.0 FNMGVN5 -15.9 -16.3 0.4 -1.7 -6.1 -0.3 1.2 -7.6
FNMGVN10 -4.5 -5.2 0.7 -0.4 -1.4 -1.9 0.0 -5.2
(Vol) (Vol) FNMGVN30 -16.9 -17.6 0.7 0.3 2.5 -0.3 2.5 -5.8
USSV012 75.5 75.2 0.3 -2.2 -8.0 16.4 16.4 -8.0
USSV0110 45.4 45.2 0.1 0.1 -3.0 -1.0 0.1 -9.6 FHMGVN2 1.9 1.9 0.0 -0.2 0.0 2.6 3.7 -0.6
USCV1 121.1 121.3 -0.2 0.3 -5.7 7.5 12.1 -5.7 FHMGVN3 1.6 1.6 0.0 0.1 0.0 -0.9 0.3 -1.8
USCV2 103.8 103.8 -0.1 -2.7 -11.4 8.7 27.7 -11.5 FHMGVN5 0.4 0.1 0.3 -0.5 -0.6 -0.5 0.0 -2.6
USCV5 65.1 64.8 0.3 -1.5 -8.1 0.5 2.6 -23.3 FHMGVN10 15.6 14.9 0.7 -0.4 -0.6 -1.2 0.0 -4.8
USCV10 43.9 43.6 0.3 -0.3 -5.2 -5.3 0.0 -15.0 FHMGVN30 -58.3 -59.0 0.7 2.2 -2.0 -4.5 2.2 -7.7

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 2/11 105-06+ 105-09 -0-02+ 0-002 -0-002 -0-006 0-086 0-096 -0-012 64 0.14 55 FNCI 3 2/16 105-26 105-25 0-01 0-00+ -0-002 0-006 0-24 0-26 -0-016 68 0.10 47
FNCL 3.5 2/11 106-17 106-11 0-06 0-00+ 0-00 0-06 0-22 0-22 0-00 11 0.00 57 FNCI 3.5 2/16 106-22 106-22 0-00 0-00+ -0-006 0-026 0-17 0-19 -0-01+ 37 0.30 46
FNCL 4 2/11 107-13 107-16 -0-03 0-006 -0-006 0-03+ 0-116 0-146 -0-006 49 0.43 56 FNCI 4 2/16 106-19 106-18+ 0-00+ 0-00+ 0-00 0-056 0-10 0-12 -0-016 -28 0.00 22
FNCL 4.5 2/11 108-26+ 108-29 -0-02+ 0-006 0-012 0-036 0-082 0-102 0-00 52 -0.71 52 FNCI 4.5 2/16 105-03 105-02 0-01 0-00+ -0-006 0-00 0-06 0-07 -0-006 72 0.30 22
FNCL 5 2/11 110-26 110-27 -0-01 0-012 0-002 0-02+ 0-062 0-082 0-00 58 -0.14 45 FNCI 5 2/16 104-22+ 104-21 0-01+ 0-00+ 0-00 0-00 -0-01+ 0-01+ -0-03+ 26 0.00 23

FGLMC 3 2/11 105-07 105-09 -0-02 0-00+ 0-00 -0-006 0-09 0-176 -0-006 1 0.00 60 FGCI 3 2/16 105-26 105-15+ 0-10+ 0-002 -0-01+ 0-00 0-242 0-262 -0-016 51 0.60 34
FGLMC 3.5 2/11 106-17 106-11 0-06 0-00+ -0-01 0-05+ 0-23 0-23 -0-01 10 0.57 56 FGCI 3.5 2/16 106-21+ 106-10 0-11+ 0-002 -0-006 0-012 0-136 0-156 -0-02+ -53 0.30 44
FGLMC 4 2/11 107-13+ 107-17 -0-03+ 0-00+ -0-00+ 0-04 0-15+ 1-01+ -0-00+ 26 0.29 58 FGCI 4 2/16 106-13 106-04+ 0-08+ 0-002 0-00 0-00+ 0-032 0-052 -0-076 -40 0.00 22
FGLMC 4.5 2/11 108-27 108-30 -0-03 0-00+ 0-00 0-04+ 0-11 1-15 0-00 72 0.00 53 FGCI 4.5 2/16 104-29+ 104-20+ 0-09 0-00+ 0-00 -0-03 0-00+ 0-01+ -0-066 69 0.00 22
FGLMC 5 2/11 110-24+ 110-28 -0-03+ 0-006 0-00 0-026 0-032 0-072 -0-016 41 0.00 41 FGCI 5 2/16 104-10 103-27 0-15 0-00+ 0-00 0-00 -0-02 0-01 -0-04 53 0.00 25

GNSF 3 2/18 104-06+ 104-10 -0-03+ 0-00+ 0-00+ -0-056 0-00+ 0-01+ -0-18+ 122 -0.29 42 GNJO 3 2/16 105-21+ 105-13 0-08+ 0-002 0-00+ 0-00+ 0-216 0-236 0-00 27 -0.20 19
GNSF 3.5 2/18 104-29 104-31+ -0-02+ 0-00+ 0-04 -0-056 0-06 0-102 -0-09+ 163 -2.29 52 GNJO 3.5 2/16 106-19 106-13 0-06 0-00+ -0-01 0-02 0-24 0-26 -0-01 10 0.40 20
GNSF 4 2/18 106-23 106-24 -0-01 0-002 -0-026 0-09 0-072 0-14+ -0-05 118 1.57 42 GNJO 4 2/16 106-15 106-12+ 0-02+ 0-002 0-08+ 0-06+ 0-082 0-116 0-00 10 -3.40 18
GNSF 4.5 2/18 110-18+ 110-19+ -0-01 0-00+ -0-002 0-10 0-16+ 0-22+ -0-002 89 0.14 29 GNJO 4.5 2/16 105-05 104-31+ 0-05+ 0-002 0-076 0-06+ 0-172 0-182 -0-012 99 -3.10 19
GNSF 5 2/18 111-00 110-28+ 0-03+ 0-00+ -0-06 0-02+ 1-01 1-11 -0-302 166 3.43 24 GNJO 5 2/16 104-21+ 104-19+ 0-02 0-002 0-14 0-05+ -0-002 0-14 -0-022 112 -5.60 16

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 0-00+ 0-00 0-00+ 0-00 0-00+ 0-15 -0-01 FGCI 3 0-00 0-00 0-00 0-00 0-00 0-01 -0-00+
FGLMC 3.5 0-00 0-00 -0-01 -0-00+ 0-01 0-01 -0-01+ FGCI 3.5 -0-00+ -0-00 0-00 -0-01+ -0-03+ 0-00+ -0-03+
FGLMC 4 0-00+ 0-00 0-00 0-00 0-03+ 0-30+ -0-00 FGCI 4 -0-06 -0-002 0-00 -0-052 -0-066 0-00 -0-086
FGLMC 4.5 0-00+ -0-002 -0-012 0-006 0-026 1-07 -0-012 FGCI 4.5 -0-05+ 0-00 0-006 -0-03 -0-05+ 0-006 -0-066
FGLMC 5 -0-01+ -0-00+ -0-002 0-002 -0-03 0-002 -0-03 FGCI 5 -0-12+ -0-00 0-00 0-00 -0-00+ 0-00 -0-00+

GNSF 3 -1-00 0-00 0-01 -0-04+ -0-08 0-01 -0-24 GNJO 3 -0-04+ -0-00 0-02 0-00+ -0-02+ 0-04+ -0-02+
GNSF 3.5 -1-20 0-00 0-04 -0-11+ -0-16 0-05+ -0-28 GNJO 3.5 -0-03 0-00 0-00 -0-00+ 0-07 0-07 -0-00+
GNSF 4 -0-22 0-00 -0-02+ 0-05 -0-05 0-05 -0-13 GNJO 4 -0-04 -0-002 0-08+ 0-006 -0-016 0-08+ -0-04
GNSF 4.5 1-24 -0-002 -0-01+ 0-062 0-082 0-152 -0-01+ GNJO 4.5 0-02 -0-002 0-08+ 0-06+ 0-112 0-112 -0-016
GNSF 5 0-06 -0-006 -0-062 0-00 0-266 1-036 -1-02+ GNJO 5 -0-01 -0-002 0-14 0-05+ 0-012 0-14 -0-012

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 31,386 31,386 0 0.0% 0.8% 3.9% 0.9% 4.7% 0.0% EURUSD 1.21 1.21 0.003 0.2% 0.0% -0.1% -1.4% 0.7% -2.2%
SPX 3,916 3,916 0 0.0% 0.7% 3.8% 2.4% 5.4% 0.0% GBPUSD 1.38 1.37 0.003 0.2% 0.0% 0.6% 1.3% 1.6% -0.2%
CCMP 13,988 13,988 0 0.0% 0.9% 4.4% 6.0% 9.8% 0.0% USDJPY 105.03 105.23 -0.200 -0.2% -0.2% 0.3% 1.2% 2.4% -0.3%
BE500 273 273 0 0.0% 0.3% 2.7% 0.0% 3.9% -0.1% USDCNY 6.45 6.45 0.002 0.0% -0.3% -0.3% -0.4% 0.3% -0.7%
UKX 6,524 6,524 0 0.0% 0.5% 0.9% -5.1% 1.8% -5.1% USDHKD 7.75 7.75 0.000 0.0% 0.0% 0.0% -0.1% 0.0% -0.1%
DAX 14,060 14,060 0 0.0% 0.0% 3.2% 0.1% 4.7% 0.0% USDTWD 27.99 27.99 0.001 0.0% 0.0% 0.0% 0.0% 0.2% -0.2%
NKY 29,502 29,389 114 0.4% 2.1% 4.6% 4.4% 8.6% -0.4% USDSGD 1.33 1.33 -0.002 -0.2% -0.1% 0.0% 0.5% 1.1% -0.4%
HSI 29,382 29,319 63 0.2% 0.1% 1.5% 5.2% 6.4% -2.8% USDTHB 29.97 29.98 -0.012 0.0% -0.2% 0.0% -0.5% 0.2% -0.6%
SHCOMP 3,552 3,532 20 0.6% 1.0% 0.8% -1.1% 1.4% -2.5% USDKRW 1,115 1,120 -4.440 -0.4% -0.4% 0.3% 2.7% 3.1% -0.4%
TWSE 15,802 15,802 0 0.0% 0.0% 2.5% 2.2% 5.5% -2.2%

GT10 FNCL 4
1.200 107.50

1.100
107.25
1.000

0.900 107.00

0.800
106.75
0.700

0.600 106.50
08/13/20 09/24/20 11/05/20 12/17/20 01/28/21 08/13/20 09/23/20 11/03/20 12/15/20 01/27/21

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

110 70
105
100 60
95
90 50
85
80
40
75
70
65 30
60
55 20
50
45 10
08/13/20 09/24/20 11/05/20 12/17/20 01/28/21 08/13/20 09/24/20 11/05/20 12/17/20 01/28/21