6/30/2014

July Seasonality Global Interest Rates

Changes since End of June
The seasonal bias in July is bullish for our
selection of global 10yr yields. The average
of the 9 rates has declined -5.2 bps by day 16
before closing -4.4 bps by day 20.
The strongest were the AUS 10yr, -12.0 bps
by day 15, and the UK 10yr, -8.9 bps by day
12.
Only the US 10yr closed higher on average,
up 2.8 bps on day 20.

5 Day Holding Periods

Five day holding period analysis suggests positioning early for declines in UK, SPA and AUS 10yr yields.

UK 10yr yield fell after day 4 in 72% of years since 1989. The average change was -6.0 bps.
AUS 10yr yield declined after day 3 in 70% of years since 1984, with an average drop of -6.0 bps.
SPA 10yr yield dropped after day 4 in 67% of years since 1993 by -5.1 bps on average.

ITA and SPA 10yr yields saw another notable bullish period after day 12. ITA 10yr yield fell in 81% of years by an
average of -5.7 bps. SPA 10yr yield fell in 81 % of years by -2.3 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
GER
UK
CAN
AUS
JGB
FRA
ITA
SPA
Average

US
GER
UK
CAN
AUS
JGB
FRA
ITA
SPA
Average

1
0.8
0.1
0.1
0.6
1.4
1.6
0.4
1.3
0.8
0.0

2
0.1
0.4
1.3
2.2
0.2
0.5
0.4
3.1
0.5
0.8

1
52%
44%
48%
52%
33%
54%
54%
48%
57%
49%

3
0.4
1.2
1.9
3.7
2.4
1.4
0.4
3.3
2.3
1.1

2
48%
44%
36%
48%
43%
50%
46%
38%
43%
44%

4
0.3
1.4
2.1
3.9
3.6
0.1
0.3
1.9
5.2
0.8

3
44%
44%
40%
36%
33%
62%
46%
38%
67%
46%

5
0.7
1.7
3.4
2.6
4.9
0.5
0.7
2.6
4.7
1.2

4
48%
48%
32%
32%
33%
50%
50%
52%
57%
45%

6
0.2
2.9
3.7
3.4
4.8
1.0
0.6
2.9
5.1
1.3

5
46%
40%
36%
40%
43%
54%
50%
38%
52%
44%

6
52%
44%
44%
44%
47%
54%
54%
52%
67%
51%

AverageCumulativeChange
8
9
10
11
12
13
14
15 August14,2013
16
17
18
19
1.1 0.6 0.8 1.1 1.7 0.6
0.0
1.7
0.4
1.5
1.8 4.1
6.2 5.6 6.9 5.9 6.7 7.0
5.4
6.3
7.4
6.9 6.8 7.0
7.6 8.1 8.2 8.5 8.9 8.4
7.3
7.0
8.7
7.4 7.1 7.2
4.7 4.7 4.7 3.7 4.2 5.5
5.1
4.3
5.8
5.3 4.3 4.2
8.4 8.3 9.6 10.4 9.3 10.7 10.0 12.0 11.1 10.2 9.0 7.2
0.2 0.8 0.6
0.4
1.1
0.6
0.4
0.8
1.4
1.5 2.5 3.2
3.9 4.0 4.7 4.3 4.9 4.8
4.1
6.3
6.2
5.3 5.3 6.3
4.9 5.5 3.9
0.1
2.4
0.4
0.8
3.9
5.1
3.3 4.2 4.4
0.4 0.1 0.4
2.2
2.7
1.5
0.5
0.7
1.4
0.3
1.2 3.5
4.2 4.2 4.3 3.5 3.3 4.0
3.6
4.4
5.2
4.2 4.3 4.3

%PositiveAverageCumulativeChange
7
8
9
10
11
12
13
14
15
16
17
18
19
48% 46% 50% 50% 52% 48% 56%
52%
50%
56%
60% 58% 60%
40% 40% 36% 28% 36% 28% 32%
32%
32%
32%
32% 28% 24%
32% 28% 28% 36% 40% 32% 28%
24%
32%
36%
36% 32% 32%
44% 40% 36% 36% 40% 48% 44%
40%
36%
44%
40% 44% 48%
37% 30% 27% 23% 23% 23% 21%
28%
17%
31%
24% 28% 34%
69% 54% 46% 42% 42% 42% 38%
42%
46%
46%
46% 50% 42%
46% 46% 46% 46% 33% 33% 25%
33%
42%
42%
33% 29% 29%
43% 38% 33% 43% 48% 43% 33%
33%
29%
24%
24% 24% 29%
52% 57% 48% 48% 43% 43% 43%
38%
38%
38%
33% 29% 33%
46% 42% 39% 39% 40% 38% 36%
36%
36%
39%
36% 36% 37%
7
0.7
4.7
5.7
4.9
5.2
2.0
2.4
2.8
3.6
2.3

20
2.8
6.7
8.0
5.4
7.8
1.8
5.4
4.0
3.4
4.4

20
57%
24%
32%
48%
41%
50%
22%
33%
33%
38%

Average Changes over Following 5 Trading Days

US
GER
UK
CAN
AUS
JGB
FRA
ITA
SPA
Average

US
GER
UK
CAN
AUS
JGB
FRA
ITA
SPA
Average

1
0.5
2.8
3.6
2.8
3.4
0.6
1.0
1.7
4.3
1.3

2
0.9
4.3
4.4
2.8
5.0
1.6
2.0
0.3
4.2
1.5

1
54%
40%
44%
44%
47%
42%
54%
38%
62%
47%

3
0.7
5.0
5.8
1.0
6.0
1.6
3.5
1.6
2.7
3.1

2
38%
40%
40%
36%
47%
54%
46%
43%
52%
44%

4
0.3
4.2
6.0
0.8
4.7
0.9
4.3
3.5
5.1
3.3

3
44%
32%
40%
44%
30%
38%
38%
38%
38%
38%

5
1.5
5.2
4.8
2.1
4.7
1.1
4.0
1.4
5.0
3.1

4
50%
28%
28%
52%
40%
38%
38%
33%
33%
38%

6
1.4
3.0
4.8
0.2
5.6
0.7
3.7
3.1
2.9
2.1

5
42%
32%
32%
48%
33%
50%
42%
52%
48%
42%

6
42%
44%
36%
44%
30%
38%
42%
67%
43%
43%

5DayHoldingPeriodAverageChange
7
8
9
10
11
12
13
14
15
16
17
18
19
20
1.0 0.5
0.6
2.5
1.5
3.2
2.4
4.0
1.5
2.6
0.0 0.2 1.3 0.9
2.0 0.8 0.2
0.7 1.5 0.2 0.3 1.5 0.5 0.6 1.4 1.0 1.7 2.4
3.2 0.7 0.8
1.2 0.2 1.5
1.2
0.1 1.0 0.6 2.9 4.4 4.2 3.7
0.8 0.8 0.4 0.4 2.1 1.1 1.2
0.9 1.1 0.2 2.8 4.7 5.5 5.2
4.1 1.9 1.7 2.3 0.7 0.9 1.7
2.7
4.2
2.8
1.8 1.6 2.9 3.1
1.0 0.4 0.4 1.4 1.8 2.6 1.9 2.8 1.9 1.5 0.8 0.2
1.4
1.1
2.5 0.9 0.1 1.6 1.9 0.5 0.5 2.2 0.2 0.8 4.6 4.0 2.4 4.3
5.3
5.3
4.6
0.0 5.2 5.7 4.6 3.6 0.1 2.8
0.3 0.9 1.5 4.6
1.0 1.9
0.5 0.4 3.6 2.3 2.6 4.0 2.7 4.2 5.4 5.0 1.7 4.7
1.0 0.2
0.5 0.1 1.7 1.0 0.3 0.7 0.2 0.0 1.8 2.4 2.2 3.1

%Positive5DayHoldingPeriodAvgChange
7
8
9
10
11
12
13
14
15
16
17
18
19
20
48% 44% 42% 50% 48% 54% 54% 62% 54% 58% 46% 37% 44% 45%
48% 48% 48% 44% 32% 48% 40% 36% 44% 48% 40% 44% 40% 36%
32% 48% 52% 60% 44% 52% 56% 40% 36% 52% 32% 32% 44% 48%
48% 36% 52% 36% 24% 36% 48% 40% 40% 44% 48% 32% 32% 36%
33% 37% 30% 43% 43% 37% 55% 55% 62% 59% 48% 45% 41% 41%
35% 38% 50% 35% 35% 35% 38% 38% 35% 38% 42% 46% 38% 46%
38% 46% 46% 29% 25% 46% 54% 29% 46% 42% 29% 33% 46% 26%
76% 62% 52% 43% 24% 19% 29% 29% 29% 43% 43% 48% 48% 29%
67% 52% 52% 43% 19% 19% 29% 24% 33% 38% 33% 43% 48% 33%
47% 46% 47% 43% 33% 38% 45% 39% 42% 47% 40% 40% 42% 38%

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.

6/30/2014
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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.