8/14/2014

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.

Bullish 5Day Period for Global Rates

August leans bullish for nearly all of the 10yr yields in our sample of global rates. Our analysis looks at changes in
yields over the following 5 trading days beginning with each trading day of the month. This week has been
highlighted as a particularly bullish period for a number of global rates.
The period after trading day 10 is the focus of the bullish bias for several markets. Thursday, August 14 is the 10
th

trading day of August this year. The table below shows the average change over the following 5 days, and the
percent of 5 day changes which were negative, or the percent of years where yields declined.
Issue Avg 5 Day change % Negative 5 Day Change
US 10yr 5.9 bps 65%
AUS 10yr 5.8 bps 69%
SPA 10yr 5.2 bps 67%
UK 10yr 2.9 bps 64%
See reports for each issue on the following pages.
Month to Date Changes for Global Rates in August

0 2 4 6 8 10 12 14 16 18 20 22
Trade Day
-18
-16
-14
-12
-10
-8
-6
-4
-2
0
2
4
M
T
D

C
h
a
n
g
e

(
b
p
s
)
CAN
UK
GER
FRA
AUS
US
ITA
SPA
J GB
Average MTD Change (bps) in Aug
AUS
CAN
FRA
GER
ITA
J GB
SPA
UK
US
8/14/2014
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.

Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-5
0
5
A
v
g

C
h
a
n
g
e


N
e
x
t

5
D
a
y
s

(
b
p
s
)
40%
50%
%

P
o
s
i
t
i
v
e

5

N
e
x
t

5
.
.
-0.5
-3.8
-0.8
-1.8
-4.7
-0.3
-0.6
-2.6
-0.6
-1.4
-5.1
-6.1
1.5 1.3
1.6
0.4 0.4
3.1
2.1
-5.7
33%
46% 46%
44% 44% 44% 44%
58% 58%
48%
48%
42% 42%
56%
50%
37%
40% 40%
54%
38%
US 10yr in Aug- Avg Change Over Next 5 Days
1960 1970 1980 1990 2000 2010
Year
-100
-50
0
5
D
-
C
h
g
US 10yr in Aug - 5 Day Changes After Day 10 by Year
Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-5
0
A
v
g

M
T
D

C
h
a
n
g
e

(
b
p
s
)
40%
50%
60%
%

P
o
s
i
t
v
e

M
T
D

C
h
a
n
.
.
-5.5
-0.8
-3.8
-4.9
-1.7
-4.3
-2.3
-2.7
-2.3
-1.4
-3.4
-3.2
0.5
1.3 1.3
0.7 0.7
1.0
0.4
2.1
60%
48%
48%
48%
46% 46%
46%
38%
50%
50% 50%
56% 56%
44% 44%
40%
54%
42% 42% 42%
US 10yr in Aug - Avg Month to Date Change
Issuer
US
Month
Aug
Year
1962 to 2014
-6.084 3.148
Avg. 5D-Chg
17.00 30.00
5D-Chg-Pos
Trade Day
10
-5.462 2.077
Avg. M-run
38% 60%
Avg. M-run-Pos
8/14/2014
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.

Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-5
0
5
A
v
g

C
h
a
n
g
e


N
e
x
t

5
D
a
y
s

(
b
p
s
)
30%
40%
50%
%

P
o
s
i
t
i
v
e

5

N
e
x
t

5
.
.
-5.5
-3.8 -3.9
-3.3
-1.3
-1.0
-5.0
-3.0
-3.4
-3.1 -3.1
-2.1 -2.1
2.9
1.3
2.6
2.0
4.2
2.1
-5.8
31%
57%
41%
41%
41%
40%
45%
45% 45%
45%
45%
52%
38%
38%
33%
50%
37%
34% 34%
48%
AUS 10yr in Aug- Avg Change Over Next 5 Days
1985 1990 1995 2000 2005 2010 2015
Year
-20
0
20
5
D
-
C
h
g
AUS 10yr in Aug - 5 Day Changes After Day 10 by Year
Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-10
-5
0
A
v
g

M
T
D

C
h
a
n
g
e

(
b
p
s
)
35%
40%
45%
%

P
o
s
i
t
v
e

M
T
D

C
h
a
n
.
.
-10.6
-4.5
-5.5
-6.5
-4.5
-4.9
-3.8
-2.3
-5.3
-7.3
-6.7
-2.6
-3.2
-4.2
-8.2 -8.2
-6.2
-1.1
-6.1 -6.1
31%
47%
47%
38% 38% 38%
38%
38%
40%
37%
41% 41% 41%
41%
41%
45%
33%
34% 34% 34%
AUS 10yr in Aug - Avg Month to Date Change
Issuer
AUS
Month
Aug
Year
1962 to 2014
-5.797 4.193
Avg. 5D-Chg
9.000 17.000
5D-Chg-Pos
Trade Day
10
-10.552 -1.067
Avg. M-run
31% 47%
Avg. M-run-Pos
8/14/2014
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.

Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-10
-5
0
5
A
v
g

C
h
a
n
g
e


N
e
x
t

.
.
30%
40%
50%
%

P
o
s
i
t
i
v
e

5

N
e
x
t

5
.
.
-5.8
-9.7
-7.3
-0.7
-6.6 -6.6
-3.6
-4.6
-5.6
-3.6
-9.0
-4.4 -4.2 -4.1
-2.1
-0.1
1.7
3.4
2.2
-5.2
33%
38% 38% 38%
38% 38%
43%
57%
57% 57%
24%
33%
33%
33%
33%
48%
52% 52%
29% 29%
SPA 10yr in Aug- Avg Change Over Next 5 Days
1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014
Year
-50
0
50
5
D
-
C
h
g
SPA 10yr in Aug - 5 Day Changes After Day 10 by Year
Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-20
-15
-10
-5
0
A
v
g

M
T
D

C
h
a
n
g
e

(
b
p
s
)
20%
30%
40%
%

P
o
s
i
t
v
e

M
T
D

C
h
a
n
.
.
-10.8
-14.9
-16.9
-10.7
-10.3
-13.3
-15.7
-17.0
-11.4
-16.4
-17.4
-13.1
-15.1
-3.8
-8.9
-1.6
-5.0
-2.2
-3.2
-9.1
29% 29% 29%
24%
24%
33% 33% 33%
43% 43%
43%
14% 14%
14%
19%
19% 19%
19%
38%
SPA 10yr in Aug - Avg Month to Date Change
Issuer
SPA
Month
Aug
Year
1962 to 2014
-9.74 3.38
Avg. 5D-Chg
5.000 12.000
5D-Chg-Pos
Trade Day
10
-17.43 -1.62
Avg. M-run
14% 43%
Avg. M-run-Pos
8/14/2014
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.

Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-4
-2
0
A
v
g

C
h
a
n
g
e


N
e
x
t

5
D
a
y
s

(
b
p
s
)
40%
50%
%

P
o
s
i
t
i
v
e

5

N
e
x
t

5
.
.
-1.5 -1.5
-2.8
-0.8
-1.9 -1.9
-3.9
-4.3
-2.3
-1.3 -1.3 -1.3
-2.6
-4.0
-1.0
-2.0
-3.2
-2.1
-3.1
-2.9
36%
52%
32% 32%
40%
40% 40% 40%
40%
44% 44%
44%
44%
44%
44%
48% 48% 48%
36% 36%
UK 10yr in Aug- Avg Change Over Next 5 Days
1990 1995 2000 2005 2010 2015
Year
-20
0
20
5
D
-
C
h
g
UK 10yr in Aug - 5 Day Changes After Day 10 by Year
Trade Day
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
-10
-5
0
A
v
g

M
T
D

C
h
a
n
g
e

(
b
p
s
)
30%
40%
50%
%

P
o
s
i
t
v
e

M
T
D

C
h
a
n
.
.
-3.5
-7.8
-0.3
-2.3
-5.7
-6.7 -6.6
-3.6
-2.0
-4.0
-1.4
-4.4
-6.4
-7.4
-6.4
-9.4
-3.2
-4.2
-5.2
-6.1
52%
36%
36%
36%
36%
36%
36%
28%
44%
40%
40% 40%
40% 40%
32% 32%
32%
32% 32% 32%
UK 10yr in Aug - Avg Month to Date Change
Issuer
UK
Month
Aug
Year
1962 to 2014
-4.312 -0.816
Avg. 5D-Chg
8.000 13.000
5D-Chg-Pos
Trade Day
10
-9.360 -0.280
Avg. M-run
28% 52%
Avg. M-run-Pos