Seasonal Effects in Pond Liquidity.

Over the last three cycles we have observed a persistent correlation of 0.71 between the Duck Index and the surface temperature of the pond.

We initially treated this as noise. We now treat it as a factor.

The mechanism, as far as we can determine, is migratory. Each autumn a meaningful share of liquidity departs south in a recognisable V-formation and does not return until spring. This explains the Q4 drawdown more convincingly than anything our macro desk has proposed, and our macro desk has proposed a great deal.

Practical implications for the book:

• Basis positions are reduced when water temperature falls below 9°C.
• Staking is paused during moulting season, when the counterparty is visibly distracted.
• We no longer schedule rebalancing on days with heavy rain. The rationale is classified, but the ducks seem happier.

We recognise that this framework is unconventional. So, at one point, was the concept of a pond.

Distribution: principals only. Forwarding this letter to a goose is a breach of the memorandum.