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    64 views3 pages

    SSA End of Day - July 28 2010

    Uploaded by

    chibondking

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
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    of 3

    Stone Street Advisors

    Closing Notes - July 28, 2010


    ChiBondKing – laszlochi@gmail.com
    Highlights Indicative Closing Prices
    Swap Spreads: flatter across the US Treasuries Yield Change HV10 HV30
    majority of the curve, 7Y wider by
    0.3bps, 2Y tighter by 3.6bps US2Y 62.6 -2.4 51 46
    Short end of the curve flatter vs. US5Y 171.1 -8.3 38 35
    mid out to 10y, 2s30 wider by
    1.6bps while the most flattening US7Y 241.4 -7.3 28 27
    occurred in 2s5 after today's
    auction: flatter by 5.9bps. US10Y 300.5 -4.7 19 21

    Swap Curves mostly wider, SP2s7 US30Y 407.9 -0.8 14 17


    and SP2s5 the exception, flatter
    by 1 and 3 respectively US2s5 108.5 -5.9 38 38

    Rate Volatility, 10D: 5Y leading US2s10 237.9 -2.3 15 20


    the pack with a jump to 38bps
    +11bps today. Long end of the US2s30 345.3 1.6 11 16
    curve remained relatively
    US5s10 129.4 3.6 15 18
    unchanged over the previous 5
    sessions. 30D: 30D HV relatively US5s30 236.8 7.5 16 17
    steady, 5Y gained 2bps to 35bps
    while 30Y HV has remained at US10s30 107.4 3.9 18 23
    17bps.

    Page 1 | Refer to Disclosure/Legal Information on page 3


    Stone Street Advisors
    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

    Page 2 | Refer to Disclosure/Legal Information on page 3


    Stone Street Advisors
    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
    discussed herein. Unless otherwise specifically stated, all statements contained within this document (including any
    views, opinions or forecasts) are solely those of the individual(s) making the statement, as of the date indicated only,
    and are subject to change without notice. Changes to assumptions made in the preparation of such materials may have
    a material impact on returns. The author or authors does not undertake a duty to update these materials or to notify
    you when or whether the analysis has changed. While the information contained within this document is believed to be
    reliable, no representation or warranty, whether express or implied, is made and no liability or responsibility is accepted
    by the author or affiliated parties as to the accuracy or completeness thereof.

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