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March

Seasonality Global Interest Rates


Changes since the Close of the Prior Month
March has a modest bearish bias for our
selection of nine global interest rates.
Yields rose steadily, closing higher in 58%
of years by an average of 5.3 bps.
The weakest were the CAN 10yr, higher in
67% of years by 10.2 bps and the ITA
10yr, where yields rose in 60% of years
by an average of 6.0 bps.
The JGB 10yr was the most resilient, with
yields rising only 1 bp on average.

5 Day Holding Periods


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.
The bearish bias peaks at Day 15, with yields rising in the next 5 days in 64% of years by 2.9 bps on
average. The ITA 10yr saw yields rise after Day 16 in 85% of years, up 5.3 bps on average. UK 10yr
yields rose in 68% of years after Day 15, up 5.1 bps on average.
AUS 10yr yields managed to fall in the period after Day 4 in 63% of years, dropping 3.0 bps on average.


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.

Average Changes from Previous Monthly Close



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

1
0.1
1.4
0.0
0.8
0.7
1.1
0.6
0.6
0.1
0.4

2
0.1
2.5
0.8
2.2
0.0
2.0
1.8
1.8
2.9
1.5

3
1.2
4.8
4.5
3.3
1.5
2.0
4.3
3.8
4.7
3.3

4
1.5
3.2
1.8
4.0
4.3
0.7
3.3
4.0
4.0
3.0

5
0.5
1.2
0.7
3.9
3.6
0.7
1.7
0.5
1.0
1.4

6
0.4
1.8
0.4
4.6
1.9
0.2
1.5
2.3
0.4
1.5

Average Cumulative Change


7
8
9
10
11
0.5
1.4 2.3
2.1
2.2
2.8
2.5 3.1
2.3
2.6
2.3
2.3 3.9
2.7
2.7
6.2
6.6 7.7
8.2
8.9
4.5
2.0 1.3
1.1 0.3
0.8 0.4 0.2 1.0 0.7
2.2
2.2 2.8
1.4
1.3
2.4
3.8 4.9
3.5
3.9
2.7
2.0 2.8
2.2
4.2
2.7
2.5 3.2
2.5
2.8

12
0.8
2.2
1.8
7.1
0.5
0.7
0.6
3.0
3.5
2.0

13
0.6
3.8
4.4
7.4
0.7
2.1
2.7
4.0
4.1
2.7

14
0.8
3.6
4.8
6.3
1.7
0.1
2.6
3.1
3.1
2.9

15
2.2
3.2
5.3
7.7
2.2
0.5
2.0
2.4
4.1
3.3

16
3.2
2.6
6.5
6.8
2.9
0.8
2.2
3.3
4.2
3.6

August14,2013
17
18 19
20
2.6 3.5 5.2
5.5
3.7 3.6 4.0
2.8
6.9 7.8 9.4
9.1
6.0 6.3 8.2 10.2
2.6 2.5 3.0
3.9
0.4 0.1 0.3
1.0
2.7 2.8 3.9
2.8
5.4 4.3 5.9
6.0
4.5 4.6 7.1
6.8
3.8 4.0 5.2
5.3



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

1
44%
56%
48%
50%
47%
58%
50%
40%
33%
47%

2
52%
56%
44%
42%
40%
65%
63%
45%
48%
50%

3
60%
68%
64%
58%
53%
62%
71%
65%
67%
63%

4
54%
56%
48%
63%
70%
54%
58%
50%
57%
57%

5
56%
44%
44%
46%
60%
58%
46%
40%
48%
49%

% Positive Average Cumulative Change


6
7
8
9
10
11
12
13
50% 60% 54% 54% 52% 52% 52% 50%
48% 60% 56% 68% 60% 52% 48% 52%
48% 60% 52% 56% 52% 52% 44% 48%
54% 67% 63% 58% 54% 63% 63% 63%
57% 57% 53% 50% 53% 57% 57% 47%
54% 50% 50% 50% 46% 42% 46% 42%
50% 54% 58% 54% 54% 38% 46% 46%
45% 50% 50% 60% 50% 40% 40% 35%
38% 52% 48% 57% 57% 52% 48% 43%
49% 57% 54% 56% 53% 50% 49% 47%

14
50%
52%
48%
67%
52%
42%
42%
40%
48%
49%

15
52%
56%
48%
63%
48%
46%
50%
40%
52%
51%

16
56%
44%
52%
63%
57%
38%
42%
40%
48%
49%

17
54%
56%
48%
58%
54%
38%
50%
55%
57%
52%

18
58%
52%
48%
58%
57%
46%
50%
55%
52%
53%

19
63%
60%
60%
67%
57%
46%
50%
55%
62%
58%

20
61%
58%
50%
67%
61%
54%
52%
60%
55%
58%

16 17
2.4 2.3
1.9 0.2
3.5 1.4
4.8 5.5
0.6 0.1
2.5 0.8
2.8 0.2
5.3 0.1
2.5 1.1
2.4 1.2

18
1.2
0.4
0.4
6.1
0.5
1.2
0.8
0.9
0.6
0.6

19
0.8
0.6
1.1
6.3
0.7
1.4
1.8
1.4
2.3
0.2

20
0.5
1.8
2.9
2.3
1.3
3.2
3.0
3.6
2.0
1.7

18
54%
56%
48%
58%
54%
54%
54%
60%
62%
56%

19
47%
48%
48%
63%
46%
54%
50%
55%
57%
52%

20
51%
38%
42%
54%
46%
50%
30%
45%
40%
44%

Average Changes over Following 5 Trading Days



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

1
0.5
0.4
0.4
3.8
2.5
1.3
0.9
1.7
0.6
1.1

2
0.7
0.3
1.5
4.1
4.5
1.2
0.4
0.6
0.2
1.2

3
0.2
2.2
2.2
3.3
0.5
2.5
2.1
0.0
2.7
0.9

4
0.8
0.1
2.1
3.7
3.0
0.5
0.6
0.9
1.2
0.2

5
1.6
1.1
3.4
4.4
2.5
1.7
0.3
3.0
1.2
1.1

5 Day Holding Period Average Change


6
7
8
9
10
11
12
1.8 0.3 0.8 1.5 0.2 1.0 1.8
0.8 0.7 1.3 0.5 0.9 0.1 1.5
2.3 0.5 2.1 0.9 2.5 3.8 5.1
4.3 0.9 0.7 1.4 0.6 2.1 1.2
2.2 5.0 2.7 2.6 2.0 1.1 0.7
0.5 1.5 1.6 0.0 1.5 1.5 0.3
0.2 1.7 0.5 0.1 0.6 1.0 2.1
1.6 0.6 0.3 1.8 1.2 0.6 2.4
3.8 0.8 2.2 0.3 1.9 0.0 1.0
1.3 0.7 0.2 0.6 0.4 0.6 1.5

13
2.9
0.2
3.4
1.1
1.2
2.2
0.1
0.3
0.5
1.0

14
3.7
0.4
4.6
1.9
2.7
0.1
1.3
2.8
3.9
2.4

15
2.7
1.4
5.3
2.6
2.9
0.6
2.7
3.7
4.0
2.9



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

1
46%
44%
48%
63%
57%
42%
46%
30%
33%
45%

2
44%
44%
60%
58%
53%
50%
54%
40%
48%
50%

3
54%
40%
40%
58%
47%
35%
38%
35%
43%
43%

4
56%
56%
68%
50%
37%
35%
46%
50%
43%
49%

5
54%
60%
60%
54%
50%
38%
54%
55%
57%
54%

% Positive 5 Day Holding Period Avg Change


6
7
8
9
10
11
12
13
50% 46% 42% 38% 46% 44% 56% 52%
44% 48% 44% 48% 52% 48% 56% 44%
52% 36% 52% 48% 52% 52% 72% 52%
50% 46% 42% 38% 42% 42% 50% 42%
50% 37% 37% 30% 33% 50% 53% 53%
31% 38% 35% 46% 54% 46% 46% 54%
38% 46% 42% 42% 46% 50% 58% 58%
40% 40% 40% 35% 40% 30% 55% 55%
57% 48% 57% 52% 48% 38% 52% 43%
46% 43% 43% 42% 46% 44% 55% 50%

14
63%
56%
48%
63%
55%
42%
58%
50%
62%
55%

15
62%
60%
68%
75%
55%
42%
71%
70%
71%
64%

16
60%
64%
72%
58%
57%
38%
71%
85%
71%
64%

17
56%
48%
60%
58%
57%
58%
54%
65%
57%
57%

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.

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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.

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