3/28/2014

April Seasonality Global Interest Rates

Changes since the Close of the Prior Month
Seasonal trends are quite mixed for our selection of
nine global interest rates in April. The average of the
nine yields leans bearish, closing the month 2.4 bps
higher.
Strong performers include the AUS 10yr, down 6.8
bps by day 17, and the ITA 10yr, down 4.8 bps by
day 20.
The CAN 10yr was the weakest, up 10 bps on
average on day 20. Also weak were the US 10yr, up
7.5 bps and the UK 10yr, up 7.9 bps by Day 18.

5 Day Holding Periods

The strongest 5 day period for the AUS 10yr begins after day 3. AUS 10yr yields have fallen in 63% of years by an
average of 4.5 bps. For the ITA 10yr, the period after day 2 has seen yields fall in 60% of years by 4.3 bps on
average.
The UK 10yr owns the weakest 5 day holding period of the group. After day 13, yields rose in 80% of years by an
average of 6.1 bps. The US 10yr also sold off after day 13, with yields higher in 69% of years and rising 5.4 bps. The
weakest period for CAN 10yr begins after day 10y, with yields rising in 60% of years by 4.4 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
0.4
0.6
1.5
3.0
0.4
1.2
0.3
0.7
1.3
0.7

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

2
2.0
1.5
1.4
2.9
1.8
2.3
2.1
0.1
0.6
1.1

1
44%
56%
68%
58%
37%
50%
46%
50%
57%
52%

3
0.9
1.1
1.3
2.4
2.3
0.2
1.4
0.2
0.3
1.1

2
48%
60%
48%
58%
53%
54%
54%
55%
52%
54%

4
1.2
0.4
0.7
2.6
0.4
0.3
0.5
0.6
1.0
0.7

3
46%
52%
56%
58%
57%
58%
54%
50%
48%
53%

5
0.6
0.2
0.5
3.2
1.0
0.8
0.9
3.4
1.8
0.2

4
50%
44%
52%
63%
50%
69%
50%
50%
52%
53%

6
0.5
1.0
0.8
2.3
1.4
0.3
0.0
3.0
1.2
0.3

5
46%
44%
44%
58%
47%
62%
50%
40%
48%
49%

6
44%
40%
40%
54%
43%
58%
46%
45%
48%
46%

Average Cumulative Change

8
9
10
11
12
13
14
15 August14,2013
16
17
18
19
20
0.4 0.5 0.7 2.4 1.1 0.0
0.9
1.9
2.7
4.3
5.4
5.0
7.5
1.5
2.1
2.1
2.0
2.3
2.2
2.6
4.0
3.2
4.3
4.1
4.5
4.4
1.0 0.1 0.6
0.4
1.5
1.8
3.2
4.8
4.5
5.4
7.9
7.9
6.7
2.6
2.5
1.5
3.6
5.2
5.9
6.6
5.9
5.4
5.7
8.1
7.6 10.0
2.1 2.7 2.6 4.4 5.2 3.9 3.9 4.8 5.7 6.8 3.4 3.0 5.5
0.9 0.3 0.2 1.4 2.3 1.1 1.7 1.6 2.2 2.4 1.9 0.9 0.5
0.7 0.0
0.8
0.1
1.1
2.4
3.5
2.2
2.7
2.4
2.2
1.3
1.9
3.9 3.1 2.0 2.6 0.7 0.2 0.0 1.1 2.6 4.0 4.2 2.4 4.8
2.3 1.0 0.6
1.5
1.8
1.8
2.7
3.1
2.2
0.2
1.4
2.9
2.0
0.8 0.2 0.0 0.3 0.3
1.0
1.6
1.6
1.1
1.0
2.2
2.5
2.4














% Positive Average Cumulative Change
7
8
9
10
11
12
13
14
15
16
17
18
19
20
48% 50% 48% 50% 48% 48% 48% 52% 54% 58% 60% 56% 58% 60%
44% 48% 56% 52% 52% 44% 40% 44% 40% 52% 48% 48% 54% 52%
48% 52% 52% 60% 60% 60% 60% 56% 56% 60% 60% 64% 71% 65%
46% 50% 54% 54% 50% 46% 50% 58% 58% 63% 54% 63% 71% 70%
53% 40% 40% 37% 43% 43% 40% 47% 40% 38% 38% 39% 41% 38%
54% 65% 58% 58% 50% 42% 50% 50% 50% 50% 46% 46% 54% 50%
54% 46% 54% 58% 50% 50% 50% 50% 54% 54% 54% 54% 58% 59%
45% 50% 35% 40% 40% 50% 50% 50% 50% 55% 55% 55% 58% 53%
48% 48% 48% 57% 62% 62% 62% 57% 62% 62% 57% 62% 65% 63%
49% 50% 49% 52% 51% 49% 50% 52% 52% 55% 52% 54% 59% 57%
7
0.7
1.4
0.9
1.8
1.4
0.5
0.1
4.5
1.3
0.4

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

1
0.9
0.4
0.7
0.7
1.0
0.8
0.3
3.7
2.5
1.0

2
2.7
0.0
0.6
1.1
3.2
2.8
2.0
4.3
1.9
1.5

1
42%
48%
48%
42%
47%
58%
50%
40%
48%
47%

3
1.4
0.4
2.3
0.3
4.5
0.6
2.1
4.0
2.6
1.9

2
38%
48%
44%
42%
33%
65%
54%
40%
43%
45%

4
0.7
1.7
0.8
0.1
3.1
0.6
0.5
2.5
1.9
0.8

3
54%
56%
52%
46%
37%
58%
46%
45%
48%
49%

5
1.3
2.3
0.1
1.7
3.6
0.5
1.7
1.4
2.4
0.2

4
50%
68%
64%
42%
37%
42%
46%
45%
48%
49%

5
48%
56%
52%
38%
47%
46%
58%
55%
52%
50%

5 Day Holding Period Average Change

7
8
9
10
11
12
13
14
15
0.4 0.5
0.4
2.6
5.1
5.4
5.4
4.1
5.6
0.8
0.7
0.5
1.9
1.2
2.0
1.9
1.2
0.2
0.7
2.7
3.3
4.1
4.0
3.9
6.1
4.1
3.2
3.4
3.2
4.1
4.4
1.7
0.6
2.2
1.0
2.6
3.8 1.8 1.2 2.2 2.3 2.6 1.5 1.5 1.6
2.8 0.2 2.0 1.4 0.8 0.1 0.8 0.8
1.1
1.1
3.2
3.6
1.4
2.6
1.3 0.2 2.2 0.3
3.8
3.6
3.1
1.0
0.0 3.3 3.9 4.4 3.8
3.1
4.1
3.7
2.5
0.6 1.6 0.3 2.0 3.5
0.7
1.8
1.7
1.6
1.4
0.6
1.0
0.1
0.4










% Positive 5 Day Holding Period Avg Change
6
7
8
9
10
11
12
13
14
15
46% 46% 52% 44% 60% 60% 65% 69% 63% 67%
48% 56% 60% 48% 48% 52% 56% 64% 60% 56%
56% 56% 60% 60% 64% 60% 72% 80% 56% 60%
54% 63% 58% 50% 63% 63% 58% 63% 54% 63%
50% 47% 47% 47% 57% 37% 33% 43% 40% 43%
38% 35% 50% 42% 38% 35% 35% 35% 46% 42%
46% 54% 67% 63% 54% 58% 58% 58% 42% 46%
40% 65% 55% 50% 55% 60% 50% 65% 50% 50%
48% 62% 62% 57% 62% 43% 48% 52% 48% 43%
47% 54% 57% 51% 56% 52% 53% 59% 51% 52%
6
1.9
1.0
0.4
1.3
3.0
1.0
0.1
0.4
2.7
0.1

16
5.0
0.8
2.1
2.9
1.6
1.7
1.5
4.7
3.2
0.5

17
2.7
0.3
0.4
0.5
2.3
1.0
1.3
4.3
1.6
0.0

16
62%
56%
40%
42%
55%
38%
38%
40%
43%
46%

18
1.8
0.7
2.1
2.3
0.2
0.4
0.2
4.1
3.3
1.1

17
60%
36%
40%
33%
59%
54%
29%
25%
38%
42%

19
3.0
2.1
0.0
3.8
1.7
1.0
0.1
2.8
1.0
0.4

18
52%
52%
32%
33%
46%
42%
42%
30%
38%
41%

20
1.1
1.5
4.5
4.0
1.7
1.1
1.7
5.4
0.4
2.0

19
56%
67%
42%
33%
37%
31%
50%
37%
60%
46%

20
48%
48%
39%
35%
46%
27%
41%
24%
37%
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.