ssa end of day - july 28 2010

8/9/2019 SSA End Of Day - July 28 2010

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Stone Street Advisors

Closing Notes - July 28, 2010

ChiBondKing [email protected]

HighlightsSwap Spreads: flatter across the

majority of the curve, 7Y wider by

0.3bps, 2Y tighter by 3.6bps

Short end of the curve flatter vs.

mid out to 10y, 2s30 wider by

1.6bps while the most flattening

occurred in 2s5 after today's

auction: flatter by 5.9bps.

Swap Curves mostly wider, SP2s7

and SP2s5 the exception, flatter

by 1 and 3 respectively

Rate Volatility, 10D: 5Y leading

the pack with a jump to 38bps

+11bps today. Long end of the

curve remained relatively

unchanged over the previous 5

sessions. 30D: 30D HV relatively

steady, 5Y gained 2bps to 35bps

while 30Y HV has remained at

17bps.

Indicative Closing Prices

US Treasuries Yield Change HV10 HV30

US2Y 62.6 -2.4 51 46

US5Y 171.1 -8.3 38 35

US7Y 241.4 -7.3 28 27

US10Y 300.5 -4.7 19 21

US30Y 407.9 -0.8 14 17

US2s5 108.5 -5.9 38 38

US2s10 237.9 -2.3 15 20

US2s30 345.3 1.6 11 16

US5s10 129.4 3.6 15 18

US5s30 236.8 7.5 16 17

US10s30 107.4 3.9 18 23

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US Swaps Yield Change HV10 HV30

2Y 14.4 -3.6 137 (+47) 103 (+17)

5Y 15.9 -0.7 73 145

7Y 3.6 0.3 - -

10Y -3.5 -1.3 - -

30Y -31.9 -2.2 - -

2s5 110 -3 26 36

2s10 220 Unch 15 24

2s30 299 3 13 44

5s10 110 3 23 23

5s30 189 6 21 60

10s30 79 3 32 126

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Disclosure/Legal

The material contained in this document is informational only, and is not intended as an offer or a solicitation to buy or

sell any securities. The author is not acting as an advisor or fiduciary in any respect in connection with providing this

information and no information or material contained within this document is to be relied upon for the purpose of

making or communicating investment or other decisions nor construed as either projections or predictions. Investors

must make their own independent decisions regarding any securities, financial instruments or strategies mentioned

herein. Please contact your financial advisor to determine the suitability of the material contained herein to your

investment goals, objectives and risk criteria. The material contained in this document is intended for qualified investors

only. The person or persons involved in the preparation or issuance of the information contained in the material within

this document may deal as principal in any of the securities mentioned, and may have a long or short position in

(including possibly a position that was accumulated on the basis of the material prior to it being disseminated and/or a

position inconsistent with the information within this document), Accordingly, information included in or excluded from

this document is not independent from the proprietary interests of the author, which may conflict with your interests.

Certain transactions, including those involving futures, options, derivatives and high yield securities, give rise to

substantial risk and are not suitable for all investors. Foreign currency denominated securities are subject to fluctuations

in exchange rates that could have an adverse effect on the value or price of or income derived from any investments

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ssa end of day - july 28 2010

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