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

using available Bloomberg API Data from: 28 Dec 2018 12:47 PM Tammy CHU +852 3757-9672 Direct +852 5335-4098 mobile
3/F Pacific Place Three, One Queens Road East, Wan Chai, HONG KONG

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 12/05/19 2.495 gb1 2.583 0.92 0.90 -- 0.0 -2.6 -5.1 -8.8 0.0 -11.8
ct2 T 2 1/2 12/31/20 99-271 -0-01 0-033 -- -- 0-033 -0-003 gt2 2.580 1.94 1.94 0 1.6 -5.3 -10.8 -26.8 0.0 -27.0
ct3 T 2 5/8 12/15/21 100-052 -0-005 0-043 0-082 -- 0-196 -0-00+ gt3 2.568 2.82 2.83 -1 0.8 -4.8 -9.1 -29.7 0.5 -30.2
ct5 T 2 5/8 12/31/23 100-002 -0-007 0-085 -- -- 0-085 0-00 gt5 2.624 4.66 4.66 6 0.7 -3.2 -5.2 -26.9 3.7 -27.4
ct10 T 3 1/8 11/15/28 103-00 -0-022 0-11+ 0-11 2-15 2-16+ -0-076 gt10 2.776 8.44 8.73 15 0.8 -4.1 -3.9 -28.6 2.8 -29.2
ct30 T 3 3/8 11/15/48 106-06 -0-00+ 0-056 -0-05 5-002 5-212 -1-17+ gt30 3.059 19.03 20.28 28 0.2 -0.9 0.8 -25.5 7.6 -28.9
gt5 - gt2 4 -1 2 6 0 8 0
gt10 - gt5 15 0 -1 1 -2 2 -4
gt10 - gt2 20 -1 1 7 -2 10 -5
US Swaps / Swaption & Cap Vol Current gt30 - gt10 28 -1 3 5 3 6 -1
Spread Close Change Closing Spread Change (bps) from:
(bps) (bps) fr Close 1D 1W 30D Min Max Agency Debenture Spreads Current
USSP2 14.0 13.8 0.3 0.6 -1.9 -4.0 1.4 -4.8 Spread Close Change Closing Spread Change (bps) from:
USSP3 10.8 9.7 1.1 0.9 -3.3 -7.2 1.0 -7.5 (bps) (bps) fr Close 1D 1W 30D Min Max
USSP5 5.1 4.8 0.4 -1.5 -4.5 -9.5 0.0 -9.9 FNMGVN2 1.7 2.9 -1.2 0.7 2.5 3.3 3.4 0.0
USSP10 2.1 2.1 0.0 0.6 -1.8 -3.9 0.6 -4.8 FNMGVN3 4.6 5.6 -1.0 -0.6 -1.1 2.9 3.2 -1.5
USSP30 -16.4 -16.7 0.3 -1.2 -4.9 -5.3 0.0 -5.7 FNMGVN5 5.5 6.0 -0.5 -1.6 -1.6 -0.8 0.5 -2.0
FNMGVN10 18.7 19.4 -0.7 -1.1 0.7 4.9 5.9 -1.1
(Vol) (Vol) FNMGVN30 21.8 -- -- -- -- -- -- --
USSV012 25.4 25.6 -0.2 -1.3 0.6 1.6 3.9 -1.3
USSV0110 23.5 24.0 -0.5 -0.4 0.1 2.0 2.8 -0.4 FHMGVN2 1.6 3.1 -1.5 1.2 1.8 5.1 5.2 0.0
USCV1 11.1 16.4 -5.2 5.3 5.5 6.1 6.2 0.0 FHMGVN3 4.3 5.1 -0.8 -0.4 -2.1 1.1 1.9 -2.7
USCV2 19.1 22.0 -2.9 1.0 3.5 5.0 5.1 0.0 FHMGVN5 7.6 8.2 -0.6 -2.0 -1.8 -2.4 0.6 -3.2
USCV5 26.7 29.5 -2.8 -0.5 3.2 6.1 6.3 -0.5 FHMGVN10 38.5 39.6 -1.1 0.1 1.6 7.2 7.7 -0.5
USCV10 29.2 28.4 0.8 -0.1 -0.5 3.2 3.3 -0.8 FHMGVN30 15.7 15.9 -0.2 -2.9 -2.6 3.1 6.5 -4.0

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 1/14 97-04 97-01 0-03 0-00+ 0-11 0-10 2-09 2-09 -0-01 62 0.96 4 FNCI 3 1/17 99-15 99-11 0-04 0-00+ 0-00 0-07 1-04 1-04 0-00 46 0.00 7
FNCL 3.5 1/14 99-19 99-16 0-03 0-00+ 0-09 0-09 2-00 2-00 0-00 80 0.78 4 FNCI 3.5 1/17 100-31 100-28 0-03 0-00+ 0-00 0-05 0-31 0-31 0-00 63 0.00 8
FNCL 4 1/14 101-20 101-17 0-03 0-00+ 0-06 0-06 1-15 1-16 0-00 101 0.52 5 FNCI 4 1/17 102-06 102-02 0-04 0-00+ 0-00 0-05 0-17 0-17 0-00 38 0.00 13
FNCL 4.5 1/14 103-11 103-07 0-04 0-00+ 0-04 0-04 0-30 0-30 -0-02 114 0.35 8 FNCI 4.5 1/17 101-21 101-20 0-01 0-00+ 0-00 0-00 -0-05 0-02 -0-10 86 0.00 15
FNCL 5 1/14 104-21 104-16 0-05 0-00+ 0-02 0-01 0-15 0-15 -0-06 129 0.17 10 FNCI 5 1/17 101-23 101-20 0-03 0-00+ 0-01 0-08 -0-05 0-08 -0-08 92 0.12 18

FGLMC 3 1/14 97-03 97-01 0-02 0-00+ 0-02 0-09 2-10 2-10 0-00 63 0.17 4 FGCI 3 1/17 99-10 99-07 0-03 0-00+ -0-02 0-03 1-05 1-06 -0-02 51 -0.23 7
FGLMC 3.5 1/14 99-18 99-15 0-03 0-00+ 0-01 0-09 2-01 2-01 0-00 82 0.09 4 FGCI 3.5 1/17 100-31 100-28 0-03 0-00+ 0-00 0-03 1-01 1-02 0-00 65 0.00 8
FGLMC 4 1/14 101-20 101-16 0-04 0-00+ 0-00 0-07 1-18 1-18 0-00 103 0.00 5 FGCI 4 1/17 102-05 102-00 0-05 0-00+ 0-00 0-04 0-18 0-18 0-00 40 0.00 14
FGLMC 4.5 1/14 103-10 103-06 0-04 0-00+ -0-01 0-04 0-31 0-31 -0-01 117 -0.09 7 FGCI 4.5 1/17 101-21 101-18 0-03 0-00+ 0-00 0-00 -0-01 0-02 -0-06 91 0.00 16
FGLMC 5 1/14 104-19 104-14 0-05 0-00+ -0-01 0-01 0-14 0-14 -0-06 133 -0.09 10 FGCI 5 1/17 101-23 101-20 0-03 0-00+ 0-01 0-02 0-01 0-07 -0-09 93 0.12 19

GNSF 3 1/23 98-05 98-01 0-04 0-00+ 0-01 0-04 2-19 2-19 0-00 61 0.09 12 GNJO 3 1/17 99-15 99-05 0-10 0-00+ 0-00 0-07 1-09 1-09 0-00 61 0.00 11
GNSF 3.5 1/23 100-11 100-07 0-04 0-00+ 0-02 0-04 2-12 2-12 0-00 77 0.17 14 GNJO 3.5 1/17 100-31 100-21 0-10 0-00+ 0-00 0-05 1-05 1-05 0-00 51 0.00 12
GNSF 4 1/23 102-05 102-01 0-04 0-00+ 0-01 0-02 1-17 1-20 0-00 84 0.09 13 GNJO 4 1/17 102-06 101-28 0-10 0-00+ 0-00 0-05 0-21 0-21 0-00 40 0.00 12
GNSF 4.5 1/23 103-10 103-06 0-04 0-00+ 0-00 0-01 1-00 1-00 -0-04 92 0.00 13 GNJO 4.5 1/17 101-21 101-15 0-06 0-00+ 0-00 0-01 0-00 0-03 -0-05 107 0.00 12
GNSF 5 1/23 103-23 103-18 0-05 0-00+ -0-01 -0-02 0-20 0-20 -0-13 144 -0.09 14 GNJO 5 1/17 101-23 101-17 0-06 0-00+ 0-01 0-02 -0-02 0-02 -0-05 136 0.12 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 -0-01 0-00 -0-09 -0-01 0-01 0-04 -0-10 FGCI 3 -0-05 0-00 -0-02 -0-04 0-01 0-06 -0-04
FGLMC 3.5 -0-01 0-00 -0-08 0-00 0-01 0-01 -0-08 FGCI 3.5 0-00 0-00 0-00 -0-02 0-02 0-07 -0-02
FGLMC 4 0-00 0-00 -0-06 0-01 0-03 0-03 -0-07 FGCI 4 -0-01 0-00 0-00 -0-01 0-01 0-04 -0-01
FGLMC 4.5 -0-01 0-00 -0-05 0-00 0-01 0-02 -0-05 FGCI 4.5 0-00 0-00 0-00 0-00 0-04 0-08 -0-04
FGLMC 5 -0-02 0-00 -0-03 0-00 -0-01 0-02 -0-03 FGCI 5 0-00 0-00 0-00 -0-06 0-06 0-07 -0-06

GNSF 3 1-01 -0-00 -0-10 -0-06 0-10 0-15 -0-10 GNJO 3 0-00 0-00 0-00 0-00 0-05 0-15 -0-02
GNSF 3.5 0-24 -0-00 -0-07 -0-05 0-12 0-12 -0-07 GNJO 3.5 0-00 0-00 0-00 0-00 0-06 0-16 -0-01
GNSF 4 0-17 -0-00 -0-05 -0-04 0-02 0-07 -0-08 GNJO 4 0-00 0-00 0-00 0-00 0-04 0-13 -0-01
GNSF 4.5 -0-01 0-00 -0-04 -0-03 0-02 0-03 -0-13 GNJO 4.5 0-00 0-00 0-00 0-01 0-05 0-06 -0-03
GNSF 5 -0-30 0-00 -0-03 -0-03 0-05 0-10 -0-15 GNJO 5 0-00 0-00 0-00 -0-06 0-03 0-03 -0-06

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 23,139 23,139 0 0.0% 1.1% 1.2% -6.1% 6.2% -10.4% EURUSD 1.15 1.14 0.003 0.2% 0.7% -0.1% 0.9% 1.2% -0.2%
SPX 2,489 2,489 0 0.0% 0.9% 0.9% -6.9% 5.9% -10.8% GBPUSD 1.27 1.26 0.002 0.2% 0.1% -0.1% -1.4% 1.3% -1.4%
CCMP 6,579 6,579 0 0.0% 0.4% 0.8% -7.1% 6.2% -11.6% USDJPY 110.61 111.01 -0.400 -0.4% -0.3% -0.2% -2.3% 0.6% -2.4%
BE500 221 221 0 0.0% -1.6% -2.2% -8.0% 0.0% -8.8% USDCNY 6.86 6.87 -0.011 -0.2% -0.3% -0.3% -1.1% 0.4% -1.4%
UKX 6,585 6,585 0 0.0% -1.5% -1.9% -6.4% 0.0% -6.8% USDHKD 7.83 7.83 0.003 0.0% 0.0% 0.0% 0.1% 0.3% 0.0%
DAX 10,382 10,382 0 0.0% -2.4% -2.2% -8.6% 0.0% -9.5% USDTWD 30.69 30.80 -0.108 -0.4% -0.1% 0.0% -0.3% 0.4% -0.4%
NKY 19,990 20,078 -88 -0.4% 3.9% -1.5% -8.0% 4.8% -11.1% USDSGD 1.37 1.37 -0.003 -0.2% -0.1% 0.0% -0.3% 0.4% -0.5%
HSI 25,503 25,479 24 0.1% -0.7% -0.6% -3.4% 0.0% -6.5% USDTHB 32.39 32.53 -0.135 -0.4% -0.2% -0.3% -1.5% 0.4% -1.6%
SHCOMP 2,487 2,483 4 0.2% -0.6% -2.1% -3.6% 0.0% -6.9% USDKRW 1,118 1,120 -2.750 -0.2% -0.4% -0.7% -0.8% 1.3% -1.0%
TWSE 9,684 9,642 42 0.4% 1.7% -0.3% -1.3% 1.7% -4.9%

GT10 FNCL 4
3.300
102.00
3.200
101.50
3.100
101.00
3.000

100.50
2.900

2.800 100.00

2.700 99.50
07/02/18 08/13/18 09/24/18 11/05/18 12/17/18 07/02/18 08/10/18 09/20/18 10/31/18 12/13/18

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

40
110

105
30
100

95

20 90

85

10 80
07/02/18 08/13/18 09/24/18 11/05/18 12/17/18 07/02/18 08/13/18 09/24/18 11/05/18 12/17/18