Banco Santander -- Market Monitor Hong Kong: Paul KAN +852 2101-2160 Direct +852 9165-7640 mobile

using available BB API Data from: 07 Feb 2023 09:00 AM paul.kan@gruposantander.com

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 01/25/24 4.553 gb1 4.842 0.94 0.90 -- -2.6 10.8 17.2 17.0 23.7 0.0
ct2 T 4 1/8 01/31/25 99-133 0-02+ -0-111 -0-142 -- 0-00 -0-222 gt2 4.437 1.88 1.87 -40 -3.9 18.5 23.9 22.3 39.1 0.0
ct3 T 3 7/8 01/15/26 99-116 0-033 -0-163 -0-172 -- 0-00 -1-04+ gt3 4.107 2.74 2.73 -33 -3.7 18.7 19.7 16.3 41.3 -6.1
ct5 T 3 1/2 01/31/28 98-20+ 0-037 -0-242 -0-236 -- 0-00 -1-17 gt5 3.804 4.52 4.46 -30 -2.5 16.9 16.6 12.9 39.0 -8.5
ct10 T 4 1/8 11/15/32 104-02 0-042 -0-312 -0-28 -0-232 0-252 -2-10 gt10 3.628 7.96 8.36 -18 -1.5 11.7 10.4 8.3 27.0 -9.8
ct30 T 4 11/15/52 105-29 0-022 -1-04+ -0-136 0-07+ 3-00+ -2-192 gt30 3.674 17.54 18.73 5 -0.2 6.1 2.3 -1.3 13.7 -16.4
gt5 - gt2 -63 1 -2 -7 -9 0 -13
gt10 - gt5 -18 1 -5 -6 -5 0 -12
gt10 - gt2 -81 2 -7 -14 -14 0 -20
US Swaps / Swaption & Cap Vol Current gt30 - gt10 5 1 -6 -8 -10 0 -14
Spread Close Change Closing Spread Change (bps) from:
(bps) (bps) fr Close 1D 1W 30D Min Max Agency Debenture Spreads Current
USSP2 26.4 26.0 0.4 -1.4 -1.8 -3.9 1.9 -3.9 Spread Close Change Closing Spread Change (bps) from:
USSP3 15.5 15.4 0.1 -0.8 0.5 4.0 5.7 -0.8 (bps) (bps) fr Close 1D 1W 30D Min Max
USSP5 6.1 6.2 -0.1 -1.2 0.0 5.6 6.1 -1.4 FNMGVN2 82.2 82.2 0.0 0.0 0.0 9.5 40.6 0.0
USSP10 -2.0 -2.1 0.1 -1.9 -0.4 3.8 4.1 -1.9 FNMGVN3 72.5 69.1 3.4 2.4 4.7 16.6 21.6 -3.4
USSP30 -37.4 -37.3 -0.1 -1.3 0.1 8.8 12.0 -2.4 FNMGVN5 28.8 26.3 2.5 1.6 1.8 2.2 5.3 -2.5
FNMGVN10 17.3 15.8 1.5 3.9 4.0 1.4 8.9 -3.0
(Vol) (Vol) FNMGVN30 -- -- -- -- -- -- -- --
USSV012 38.9 38.2 0.7 -1.6 -4.7 -4.9 0.0 -8.7
USSV0110 34.8 35.0 -0.2 5.6 4.4 1.3 5.6 -3.9 FHMGVN2 1.5 -2.4 3.9 0.9 -1.0 -3.8 1.3 -4.9
USCV1 28.9 14.4 14.5 0.5 0.4 -5.9 0.9 -15.2 FHMGVN3 14.0 10.3 3.7 -0.1 0.1 2.3 2.9 -3.7
USCV2 13.4 26.2 -12.8 0.6 9.4 -3.9 12.8 -10.8 FHMGVN5 41.1 -- -- -- -- -- -- --
USCV5 23.5 34.0 -10.5 -0.7 -2.0 -6.8 10.5 -10.2 FHMGVN10 24.1 22.7 1.4 0.1 -0.3 -0.7 1.9 -2.7
USCV10 23.1 31.8 -8.7 -0.4 -0.9 -5.1 8.7 -7.4 FHMGVN30 20.2 19.9 0.3 5.5 7.4 7.4 14.7 -0.3

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 4 2/13 95-26 95-23+ 0-02+ 0-012 -0-28 -0-16+ 0-066 1-13 -1-196 96 0.90 3 FNCI 4 2/16 98-29 98-22+ 0-06+ 0-02+ -0-192 -0-132 0-032 0-316 -1-032 45 0.79 9
FNCL 4.5 2/13 98-01+ 97-29 0-04+ 0-01+ -0-256 -0-162 -0-002 1-036 -1-146 114 0.82 4 FNCI 4.5 2/16 100-06+ 100-00+ 0-06 0-026 -0-19 -0-19 -0-06 0-16 -1-03 60 0.78 12
FNCL 5 2/13 99-19 99-16+ 0-02+ 0-00+ -0-21 -0-186 -0-112 0-186 -1-07 135 0.67 5 FNCI 5 2/16 101-05 100-25 0-12 0-04 -0-16+ -0-15+ -0-052 0-13+ -0-28+ 73 0.68 14
FNCL 5.5 2/13 100-29 100-24+ 0-04+ 0-006 -0-156 -0-15+ -0-132 0-126 -0-286 148 0.50 6 FNCI 5.5 2/16 102-10 101-27+ 0-14+ 0-052 -0-136 -0-146 0-00 0-14+ -0-242 74 0.57 13
FNCL 6 2/13 102-09 101-25+ 0-15+ 0-03+ -0-09+ -0-116 -0-022 0-172 -0-24 128 0.30 8 FNCI 6 2/16 103-10+ 103-01+ 0-09 0-05 -0-02 -0-08 -0-002 0-206 -0-142 -- 0.08 #N/A N/A

FGLMC 4 2/13 95-27 95-26 0-01 0-00+ -0-25+ -0-13+ 0-09 1-20 -1-16+ 102 0.82 8 FGCI 4 2/16 -- -- -- -- -- -- -- -- -- -- -- --
FGLMC 4.5 2/13 98-01+ 97-31+ 0-02 0-00+ -0-24 -0-14+ 0-016 1-09+ -1-13 116 0.77 11 FGCI 4.5 2/16 -- -- -- -- -- -- -- -- -- -- -- --
FGLMC 5 2/13 99-20 99-17 0-03 0-00+ -0-19+ -0-15 -0-09 0-24+ -1-06 137 0.62 11 FGCI 5 2/16 -- -- -- -- -- -- -- -- -- -- -- --
FGLMC 5.5 2/13 100-29 100-25 0-04 0-00+ -0-136 -0-14 -0-12+ 0-136 -0-29+ 139 0.44 7 FGCI 5.5 2/16 102-07 102-01 0-06 0-002 -0-126 -0-14+ -0-10 0-07+ -0-232 -- 0.53 34
FGLMC 6 2/13 102-06 101-30+ 0-07+ 0-00+ -0-08 -0-09 -0-02 0-18+ -0-236 155 0.26 8 FGCI 6 2/16 103-07 103-00+ 0-06+ 0-002 -0-01 -0-062 0-036 0-172 -0-116 -- 0.04 30

GNSF 4 2/21 96-17+ 96-15+ 0-02 0-00+ -0-21 -0-08 0-12 1-24 -1-11+ 91 0.67 7 GNJO 4 2/16 -- -- -- -- -- -- -- -- -- -- -- --
GNSF 4.5 2/21 98-21+ 98-20 0-01+ 0-002 -0-18+ -0-062 0-08+ 1-16 -1-05 102 0.59 8 GNJO 4.5 2/16 -- -- -- -- -- -- -- -- -- -- -- --
GNSF 5 2/21 100-01 99-30+ 0-02+ 0-002 -0-132 -0-096 -0-01+ 0-292 -1-002 124 0.42 8 GNJO 5 2/16 -- -- -- -- -- -- -- -- -- -- -- --
GNSF 5.5 2/21 101-03 100-31 0-04 0-002 -0-082 -0-08+ -0-046 0-18+ -0-246 141 0.26 8 GNJO 5.5 2/16 -- -- -- -- -- -- -- -- -- -- -- --
GNSF 6 2/21 102-01+ 101-29 0-04+ 0-002 -0-01 -0-08 -0-012 0-176 -0-182 165 0.03 8 GNJO 6 2/16 -- -- -- -- -- -- -- -- -- -- -- --

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 4 0-01 -0-00 0-02 0-02 0-02 0-07+ -0-01 FGCI 4 -- -- -- -- -- -- --
FGLMC 4.5 0-00 -0-01 0-02+ 0-03 0-02+ 0-06+ 0-00 FGCI 4.5 -- -- -- -- -- -- --
FGLMC 5 0-01 -0-00 0-02+ 0-03 0-02+ 0-07 0-00 FGCI 5 -- -- -- -- -- -- --
FGLMC 5.5 0-00 -0-01 0-016 0-016 0-02 0-056 0-00 FGCI 5.5 -0-03 -0-05 0-01 0-002 -0-10 0-04+ -0-10
FGLMC 6 -0-03 -0-04 0-01+ 0-036 0-022 0-066 -0-00+ FGCI 6 -0-03+ -0-046 0-01 0-016 0-04 0-07 -0-06

GNSF 4 0-23+ -0-13 0-06+ 0-06+ 0-08 0-14 -0-05 GNJO 4 -- -- -- -- -- -- --

GNSF 4.5 0-20 -0-06 0-06 0-06+ 0-04+ 0-09 -0-03+ GNJO 4.5 -- -- -- -- -- -- --
GNSF 5 0-14 -0-09+ 0-07 0-08+ 0-05+ 0-10+ -0-00+ GNJO 5 -- -- -- -- -- -- --
GNSF 5.5 0-06 -0-152 0-072 0-10 0-086 0-16+ 0-00 GNJO 5.5 -- -- -- -- -- -- --
GNSF 6 -0-07+ -0-216 0-076 0-09 0-096 0-152 0-00 GNJO 6 -- -- -- -- -- -- --

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 33,891 33,891 0 0.0% -0.1% 0.5% 0.8% 2.9% -1.2% EURUSD 1.07 1.07 0.001 0.1% -0.6% -1.2% 0.8% 1.9% -2.4%
SPX 4,111 4,111 0 0.0% -0.6% 2.3% 5.5% 8.0% -1.6% GBPUSD 1.20 1.20 0.002 0.1% -0.3% -2.7% -0.6% 0.9% -3.1%
CCMP 11,887 11,887 0 0.0% -1.0% 4.3% 12.5% 15.4% -2.6% USDJPY 132.54 132.66 -0.120 -0.1% 1.1% 1.7% 0.4% 3.7% -0.6%
BE500 297 297 0 0.0% -0.8% 0.6% 2.8% 5.3% -0.8% USDCNY 6.80 6.80 0.000 0.0% 0.0% 0.7% -0.5% 1.4% -1.7%
UKX 7,837 7,837 0 0.0% -0.8% 0.7% 1.8% 3.7% -0.8% USDHKD 7.85 7.85 0.001 0.0% 0.0% 0.1% 0.5% 0.5% 0.0%
DAX 15,346 15,346 0 0.0% -0.8% 1.5% 5.0% 8.2% -1.1% USDTWD 30.04 29.99 0.046 0.2% 0.9% -0.3% -2.4% 0.9% -2.4%
NKY 27,761 27,694 68 0.2% 0.7% 0.9% 6.6% 7.7% -0.2% USDSGD 1.33 1.33 -0.001 -0.1% 0.3% 1.0% -0.9% 1.6% -1.3%
HSI 21,222 21,222 0 0.0% -2.0% -3.8% 1.1% 5.3% -6.5% USDTHB 33.69 33.79 -0.106 -0.3% 1.1% 3.1% 0.2% 3.4% -1.7%
SHCOMP 3,239 3,239 0 0.0% -0.8% -0.9% 2.6% 3.9% -1.4% USDKRW 1,256 1,253 2.700 0.2% 2.0% 2.1% -1.2% 2.7% -1.5%
TWSE 15,393 15,393 0 0.0% -1.3% -0.7% 7.1% 8.4% -1.3%

GT10 FNCL 5
4.300
102.00
4.100
101.00
3.900
3.700 100.00

3.500 99.00
3.300
98.00
3.100
97.00
2.900
2.700 96.00

2.500 95.00
08/11/22 09/22/22 11/03/22 12/15/22 01/26/23 08/11/22 09/21/22 11/01/22 12/13/22 01/25/23

GT10 - GT2 FN5 - GT7 (calculated at current BB Median Speeds)

0
08/11/22 09/22/22 11/03/22 12/15/22 01/26/23 175
-10
-20
165
-30
-40 155
-50
-60 145

-70
135
-80
-90 125
08/11/22 09/22/22 11/03/22 12/15/22 01/26/23
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