4/30/2014

May Seasonality Global Interest Rates

Changes since the Close of the Prior Month
Seasonals are mixed and widely dispersed for our
selection of global interest rates in May. The average
of the nine 10yr yields dropped 2.8 bps by Day 14
before rising to close the month nearly unchanged.
Strong performers were the ITA 10yr, 7.8 bps by
day 8, the CAN 10yr, 6.3 bps by day 14, and the UK
10yr, 6.2 bps by day 13.
Weaker performers included the US 10yr, +3.5 bps
by day 8, the SPA 10yr, + 5.6 bps by day 20 and the
GER 10yr, +2.0 bps by day 20.

5 Day Holding Periods

The CAN 10yr saw the strongest 5 day period following day 10 with yields falling in 79% of years since 1989 by an
average of 2.9 bps. JGB 10yrs rallied following day 8 in 69% of years since 1987, with an average drop of 2.7 bps.
The SPA 10yr, ITA 10yr and AUS 10yr all saw weakness materialize after day 18. The ITA 10yr yield rose in 80% of
years since 1994 by an average of 9.4 bps. The SPA 10yr yield rose in 71% of years since 1983 by an average of 7.3
bps. The AUS 10yr sold off during that period in 69% of years since 1984 by 4.9 bps on average.
The charts (below) highlight the average change and instance of positive changes for the five days after each
trading day. See the tables on the bottom of page 2 for details.

Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.

Average Changes from Previous Monthly Close

US 10yr
GER 10yr
UK 10yr
CAN 10yr
AUS 10yr
JGB 10yr
FRA10yr
ITA10yr
SPA10yr
Average

1
0.6
0.6
0.9
0.6
0.3
1.2
0.0
1.2
0.7
0.4

US 10yr
GER 10yr
UK 10yr
CAN 10yr
AUS 10yr
JGB 10yr
FRA10yr
ITA10yr
SPA10yr
Average

2
1.0
1.9
1.3
0.4
1.1
1.0
1.5
1.0
0.7
0.3

1
50%
40%
24%
29%
50%
23%
46%
35%
43%
38%

3
1.1
1.8
0.3
0.3
1.3
0.7
1.6
1.5
1.5
0.6

2
50%
56%
44%
42%
40%
27%
58%
45%
52%
46%

4
0.7
0.3
0.8
1.6
0.6
1.0
0.5
1.1
2.3
0.3

3
56%
56%
56%
54%
40%
31%
50%
45%
48%
48%

5
0.5
1.3
0.1
0.5
2.0
1.1
0.2
2.3
1.9
0.2

4
56%
60%
48%
42%
37%
31%
54%
45%
52%
47%

6
1.5
0.8
1.0
1.0
1.6
0.7
0.9
4.2
1.9
0.8

5
54%
60%
48%
54%
33%
27%
54%
50%
57%
49%

6
56%
56%
52%
54%
47%
35%
50%
45%
57%
50%

Average Cumulative Change

8
9
10
11
12
13
14
15 August14,2013
16
17
18
19
20
3.5
2.7
1.3
2.2
1.1
2.8
0.9
1.7
1.4 0.2 0.3 0.8
1.8
0.4 0.5
1.4
0.8
0.1
0.6
0.7
1.2
1.1
0.3 0.2 0.9
2.0
1.8 3.4 2.1 2.9 4.9 6.2 6.2 5.6 5.9 5.6 5.4 3.1 1.6
1.1 1.0 0.5 1.9 5.0 4.6 6.3 3.4 4.2 5.0 4.8 4.3 4.8
3.5 2.2 0.9 2.9 2.7 4.9 3.8 3.6 3.6 2.8 2.9 1.0 0.6
0.1 0.5 0.7 1.6 1.9 2.7 2.7 3.2 3.0 2.9 3.7 5.1 3.8
1.8 0.4 0.3 0.3 2.3 0.5 1.5 0.0
0.1 0.4 1.0 0.3
1.4
7.8 6.9 3.7 4.0 5.6 5.5 5.1 3.8 4.2 2.4 3.1 0.7 2.5
1.4 2.2 0.9
0.0 0.7 0.2 1.0 1.1 2.3 0.3
0.6
1.7
5.6
1.6 1.5 0.5 1.2 2.4 2.3 2.8 2.0 2.3 2.1 2.3 1.2 0.4














% Positive Average Cumulative Change
7
8
9
10
11
12
13
14
15
16
17
18
19
20
60% 60% 56% 54% 58% 54% 52% 54% 56% 56% 56% 54% 58% 60%
52% 52% 52% 60% 56% 60% 60% 56% 60% 54% 54% 54% 50% 50%
44% 52% 52% 52% 52% 40% 44% 48% 56% 48% 52% 52% 52% 54%
58% 54% 63% 50% 46% 42% 50% 46% 46% 50% 42% 46% 46% 38%
37% 43% 40% 43% 43% 50% 47% 50% 50% 53% 50% 52% 52% 52%
35% 46% 38% 46% 35% 38% 31% 35% 35% 38% 42% 38% 33% 41%
54% 50% 50% 58% 58% 54% 54% 50% 58% 54% 54% 54% 57% 50%
45% 50% 40% 65% 65% 65% 55% 65% 65% 60% 60% 60% 60% 60%
52% 57% 57% 67% 67% 67% 71% 67% 67% 62% 62% 62% 67% 65%
49% 52% 50% 55% 53% 52% 52% 52% 55% 53% 52% 52% 53% 52%
7
1.9
0.8
3.2
1.1
3.3
1.0
1.8
6.8
1.2
1.9

Average Changes over Following 5 Trading Days

US 10yr
GER 10yr
UK 10yr
CAN 10yr
AUS 10yr
JGB 10yr
FRA10yr
ITA10yr
SPA10yr
Average


US 10yr
GER 10yr
UK 10yr
CAN 10yr
AUS 10yr
JGB 10yr
FRA10yr
ITA10yr
SPA10yr
Average

1
0.9
0.2
0.2
1.6
1.3
0.5
0.9
3.0
1.3
0.4

2
0.9
2.7
4.4
0.7
2.2
0.0
3.3
5.8
1.9
2.2

1
54%
60%
64%
58%
50%
50%
58%
50%
57%
56%

3
2.4
2.3
2.1
0.7
4.7
0.8
3.4
6.4
3.0
2.2

2
54%
44%
48%
63%
47%
42%
46%
45%
57%
49%

4
3.4
0.1
2.6
0.5
1.6
0.6
0.9
5.8
4.5
1.2

3
54%
36%
44%
50%
40%
50%
38%
35%
38%
43%

5
0.8
0.0
2.2
0.0
1.0
0.4
0.5
1.4
1.0
0.3

4
58%
52%
48%
50%
43%
50%
42%
50%
48%
49%

5
52%
48%
48%
50%
53%
54%
38%
60%
52%
51%

5 Day Holding Period Average Change

7
8
9
10
11
12
13
14
15
0.9 0.7 1.9 0.4 0.8 1.3 3.1 0.0
0.2
0.9
1.0
0.3 0.2 0.6
0.4 0.6 0.1 0.8
1.7 4.4 2.8 3.5 3.0 0.7 0.8
3.1
4.0
3.9 3.5 5.3 2.9 2.4 0.0 0.2 2.0 1.4
0.6 1.4 1.6 2.7 0.7 0.1 1.7
2.7
4.2
0.9 2.7 2.2 2.5 1.4 1.0 1.0 0.7 0.1
0.5 1.3 1.1 0.2
0.3
1.9 0.5 0.8
1.4
1.2
2.3
1.8 0.1 0.2 3.2
2.4
4.4
6.3
0.5
1.6
1.2 1.9 2.4 1.0
0.5
2.7
5.6
0.5 0.7 1.3 1.5 1.1 0.4
0.0
1.7
2.3










% Positive 5 Day Holding Period Avg Change
6
7
8
9
10
11
12
13
14
15
48% 46% 50% 52% 50% 52% 44% 46% 52% 52%
44% 48% 52% 52% 44% 48% 44% 40% 48% 52%
44% 56% 40% 52% 40% 36% 48% 40% 52% 64%
38% 38% 50% 29% 21% 33% 46% 46% 46% 33%
40% 50% 33% 47% 47% 43% 40% 43% 53% 57%
38% 35% 31% 35% 35% 42% 46% 42% 35% 50%
46% 50% 67% 50% 58% 46% 67% 46% 63% 50%
55% 50% 55% 55% 50% 60% 65% 55% 55% 60%
52% 57% 71% 52% 48% 38% 48% 48% 57% 62%
45% 48% 50% 47% 44% 44% 50% 45% 51% 53%
6
0.7
0.0
1.9
2.9
1.3
0.9
0.7
0.2
2.0
0.4

16
0.3
1.0
4.1
1.3
2.8
0.3
2.1
8.6
7.2
2.8

17
1.2
1.2
1.3
0.3
2.7
0.1
3.7
7.3
5.9
2.6

16
48%
58%
60%
38%
63%
54%
58%
70%
62%
57%

18
1.1
1.2
0.2
1.3
4.9
1.2
2.9
9.4
7.3
2.7

17
44%
58%
60%
46%
60%
50%
63%
65%
62%
56%

19
4.0
0.5
2.3
4.0
1.5
0.4
0.5
4.3
4.1
0.0

18
44%
63%
60%
50%
69%
54%
63%
80%
71%
61%

20
5.0
2.0
3.0
4.3
0.7
2.1
0.2
0.6
1.6
1.3

19
35%
46%
40%
42%
59%
46%
48%
55%
57%
47%

20
33%
45%
38%
33%
55%
59%
55%
50%
55%
47%

Copyright 2013 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.


4/30/2014

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Copyright 2014 Arbor Research & Trading, Inc. All rights reserved. This material is for your private information, and we are not soliciting any action based
upon it. This material should not be redistributed or replicated in any form without the prior consent of Arbor. The material is based upon information that
we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such.