5/30/2014

June Seasonality Global Interest Rates

Changes since the Close of the Prior Month
Seasonals have a bearish skew in June for our
selection of global interest rates. Yields have
tended to drift higher to close up 2.2 bps on
average.
The weakest performers were the SPA 10yr, up 7.6
bps by day 12, JGB 10yr, up 7.3 bps by day 14, and
FRA 10yr, up 6.2 bps by day 14.
The US 10yr rallied midmonth with yields
dropping 16.9 bps on average by day 12. The ITA
10yr saw a brief surge early in the month with the
yield dropping 4.4 bps on average by day 3.

5 Day Holding Periods

The 5 day holding period shows some notable swings. The AUS 10yr has rallied after day 8 in 70% of years, down
3.5 bps on average. The rally then reverses, with yields rising after day 11 in 63% of years by an average of 6.9 bps.
The FRA 10yr has also seen large swings. Yields have risen in the period after day 2 in 67% of years with an
average change of 3.9 bps. The FRA 10yr has then seen rallies after day 14 in 75% of years with an average change
of 3.9 bps.
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


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

1
1.5
0.0
0.1
1.1
1.7
1.1
0.6
0.7
0.6
0.1

2
3.1
1.8
2.3
2.5
0.5
2.2
0.8
3.4
2.0
1.5

1
31%
52%
44%
33%
53%
50%
54%
48%
48%
46%

3
4.0
1.8
2.6
1.4
0.0
2.6
0.3
4.4
3.0
1.6

2
35%
40%
40%
42%
50%
54%
46%
33%
38%
42%

4
3.0
0.6
0.7
1.7
0.7
2.2
1.3
2.3
1.4
0.8

3
33%
48%
40%
38%
53%
54%
42%
24%
38%
41%

5
3.0
0.4
1.2
0.4
0.6
3.9
3.1
0.9
0.6
0.3

4
31%
60%
48%
38%
40%
46%
58%
48%
48%
46%

6
3.0
0.4
0.6
0.7
1.6
3.9
2.9
0.1
0.8
0.6

5
37%
56%
52%
46%
43%
58%
63%
43%
52%
50%

6
37%
48%
48%
42%
47%
54%
58%
43%
48%
47%

Average Cumulative Change

8
9
10
11
12
13
14
15 August14,2013
16
17
18
19
20
1.8 4.4 5.8 6.7 6.9 4.8 1.9 1.7 1.9 2.1 1.5 1.8 1.7
1.2
0.7
0.6
0.0 0.2 1.4
2.5
2.1
1.9
1.4
0.4
0.5
1.6
1.9
1.6
1.5
1.4
2.7
2.4
4.5
4.9
2.5
3.0
2.8
0.5
1.2
3.9
0.9
0.0
1.0
1.0
2.0
3.7
4.6
3.2
3.2
3.5
2.6
3.2
2.4
1.4 1.2 2.8 0.9 1.1 0.5
3.8
4.1
1.5
0.4
2.6
0.7
4.2
5.4
4.9
4.9
4.9
5.9
7.3
7.1
6.7
5.6
4.7
5.0
4.8
3.5
3.8
2.6
2.4
3.2
4.2
6.2
5.6
5.4
4.8
2.5
2.3
3.1
1.8
3.6
2.4
1.2
3.6
3.0
2.6
0.8
1.1
2.2
2.0
2.2
2.6
2.2
1.7
4.1
4.8
7.6
6.3
6.1
4.1
2.4
3.2
2.7
4.8
4.0
2.1
1.6
1.0
0.7
1.7
2.1
3.5
3.5
2.8
2.5
1.9
2.1
2.2














% Positive Average Cumulative Change
7
8
9
10
11
12
13
14
15
16
17
18
19
20
40% 40% 35% 37% 35% 37% 35% 44% 40% 38% 42% 44% 40% 43%
52% 48% 52% 52% 52% 52% 56% 52% 56% 56% 48% 48% 52% 50%
48% 44% 48% 52% 48% 56% 56% 60% 64% 52% 56% 48% 52% 60%
54% 54% 46% 50% 46% 50% 54% 58% 54% 54% 50% 50% 46% 46%
53% 47% 50% 50% 50% 57% 53% 47% 53% 53% 50% 47% 43% 46%
58% 54% 54% 58% 62% 58% 50% 62% 65% 62% 54% 54% 50% 44%
54% 46% 58% 58% 54% 54% 54% 58% 58% 58% 54% 54% 58% 54%
43% 43% 48% 48% 52% 48% 48% 48% 48% 48% 52% 52% 57% 57%
52% 52% 48% 52% 52% 52% 57% 52% 48% 43% 48% 52% 57% 57%
51% 48% 49% 51% 50% 51% 51% 53% 54% 52% 50% 50% 51% 51%
7
2.0
0.5
1.6
1.5
2.2
4.7
3.1
1.1
0.7
1.4

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

5 Day Holding Period Average Change

7
8
9
10
11
12
13
4.8 3.0 2.6 4.2 4.8 4.7 3.3
0.3 0.2 1.9 1.5 1.9 1.6 1.0
1.1 0.5 2.9 3.4 1.0 0.3 0.4
0.5 1.9 2.8 4.5 2.2 2.2 1.5
3.1 3.5 1.0 5.1 6.9 2.4 1.5
0.2 1.7 1.9 2.2 1.8 0.7 1.2
0.1 0.8 2.4 2.9 3.0 1.6 1.7
2.5 1.1 1.0 1.7 0.1 1.4 1.0
6.9 4.0 4.4 0.1 2.4 4.4 3.5
0.3 0.0 1.9 2.4 2.1 0.8 0.2













% Positive 5 Day Holding Period Avg Change
1
2
3
4
5
6
7
8
9
10
11
12
13
54% 52% 48% 37% 37% 37% 38% 44% 52% 46% 60% 46% 50%
52% 56% 56% 48% 52% 44% 44% 44% 48% 48% 48% 40% 32%
56% 60% 48% 56% 60% 60% 56% 52% 64% 56% 52% 44% 36%
67% 63% 63% 58% 54% 42% 46% 50% 46% 46% 54% 46% 46%
47% 50% 60% 60% 53% 40% 43% 30% 27% 60% 63% 47% 40%
54% 54% 46% 65% 50% 46% 42% 42% 46% 58% 58% 50% 46%
58% 67% 58% 58% 50% 50% 50% 50% 58% 58% 58% 42% 29%
48% 57% 57% 52% 62% 48% 48% 43% 48% 48% 43% 38% 38%
52% 57% 52% 48% 57% 48% 57% 52% 48% 43% 48% 29% 38%
54% 57% 54% 54% 53% 46% 47% 45% 48% 51% 54% 42% 39%
1
1.5
0.4
0.7
1.8
0.1
2.7
2.3
0.8
1.4
0.6

2
1.1
1.3
3.9
4.0
1.7
2.5
3.9
4.5
2.7
2.8

3
2.1
2.9
4.5
5.3
2.5
1.6
3.7
6.2
5.2
3.8

4
1.4
1.3
2.3
2.6
2.1
3.2
2.5
5.9
3.1
2.4

5
2.8
0.2
0.3
0.4
0.6
1.0
0.5
3.3
4.7
0.7

6
3.8
0.3
0.9
0.3
4.4
1.0
0.5
1.1
5.5
0.1

14
0.0
2.0
4.0
1.1
2.2
2.4
3.9
0.4
1.3
1.4

15
0.1
0.5
3.7
1.4
3.5
1.9
2.5
1.8
0.0
1.3

14
52%
36%
36%
50%
47%
35%
25%
38%
33%
39%

16
0.1
0.8
0.5
0.5
3.3
1.0
1.9
2.0
1.3
1.0

15
52%
40%
36%
42%
37%
23%
42%
43%
48%
40%

17
0.2
0.2
1.1
1.2
0.2
0.8
1.6
2.7
3.0
1.0

16
50%
52%
36%
42%
40%
46%
42%
57%
52%
46%

18
0.2
1.7
0.0
2.9
1.0
2.6
1.7
2.2
0.1
0.2

17
44%
36%
36%
38%
40%
46%
33%
33%
48%
39%

19
0.3
1.2
0.3
3.0
3.5
1.4
0.7
4.2
3.3
1.2

18
48%
52%
44%
33%
37%
50%
54%
48%
62%
48%

20
1.4
0.5
0.4
2.4
1.9
1.0
1.5
4.3
0.8
0.5

19
52%
52%
44%
29%
33%
54%
50%
43%
48%
45%

20
61%
46%
52%
46%
36%
60%
54%
43%
48%
49%

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.


5/30/2014

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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.