AgendaFOREIGNHOLDINGSOFUSTREASURIESANDTREASURYYIELDSXxxNovember2012STRICTLYPRIVATEANDCONFIDENTIALTerryBeltonACACIndicatescertifyinganalyst.
Seelastpageforanalystcertificationandimportantdisclosures.
RYYIELDSTermpremiumestimatesfromarbitrage-freepricingmodelshavesignificantmeasurementerrors;theytendtoattributemostofthevariabilityininterestratestochangesintermpremium5YforwardOISvs.
Kim-Wrightexpected5Yforwardspot;%5YforwardOISvs.
Kim-Wrightexpected5Yforwardspot;%FOREIGNHOLDINGSOFUSTREASURIESANDTREASUR1RYYIELDSFOMCrateguidancehashadalargeimpactonforwardsbutlittleimpactonshortrateexpectationsderivedfromarbitrage-freepricingmodelsKim-Wrightexpectedshortratevs.
forwardOISaroundFOMCrateguidanceKim-Wrightexpectedshortratevs.
forwardOISaroundFOMCrateguidance5-yearTreasuryyieldsvs.
Kim-Wrightestimateof5-yeartermpremium;%5-yearTreasuryyieldsvs.
Kim-Wrightestimateof5-yeartermpremium;%FOREIGNHOLDINGSOFUSTREASURIESANDTREASURBusinessdaysaroundFOMCmeetingswhererateguidancewasextended**includes8/9/11,1/25/12,9/13/12WouldadvisecautionininterpretingtermpremiumestimatestooliterallyEconometricmodelsoftermpremiummayneedtocontrolforgrowth/inflationexpectationsandotherfactorsthatpredominantlyinfluenceshortrateexpectationsFailuretoproperlyaccountfordecliningshortrateexpectationssince2009haspushedmodelbasedtermpremiumestimatessignificantlynegative2RYYIELDSEstimatesofyieldimpactofforeignbuyingaresmallerthantheyappearAveragemonthlyforeignpurchasesofUSTversusmonthlyTreasurysupplyAveragemonthlyforeignpurchasesofUSTversusmonthlyTreasurysupplyEstimatedimpactofFedLSAPEstimatedimpactofFedLSAP406080100120TsysupplyForeignpurchasesStudyDateyieldimpactHamiltonandWu201120KrishnamurthyandVissing-Jorgensen201120D'AmicoandKing(QE1)201135FOREIGNHOLDINGSOFUSTREASURIESANDTREASUR$100bninmonthlypurchasesismorethan5timesmonthlysupplyofTreasuriesduringperiodstudiedEstimatesimplyanincreaseofforeignpurchasesduring2002-2007equaltototalsupplywouldhaveloweredyieldsonly9bpTheseestimatesarewellunderonehalftheestimatedimpactfromQE;Fedbuyinghasrangedfrom50%ofmonthlysupplyinQE1toalmost100%ofmonthlysupplyinQE2020402002-20072007-20123RYYIELDSDisclaimerConflictofInterest:Thisresearchcontainstheviews,opinionsandrecommendationsofJ.
P.
Morganresearchanalysts.
J.
P.
Morganhasadoptedresearchconflictofinterestpolicies,includingprohibitionsonnon-researchpersonnelinfluencingthecontentofresearch.
ResearchanalystsstillmayspeaktoJ.
P.
Morgantradingdeskpersonnelinformulatingviews,opinionsandrecommendations.
Tradingdesksmaytrade,orhavetraded,asprincipalonthebasisoftheresearchanalysts'viewsandresearch.
Therefore,thisresearchmaynotbeindependentfromtheproprietaryinterestsofJ.
P.
Morgantradingdeskswhichmayconflictwithyourinterests.
Asageneralmatter,J.
P.
Morganand/oritsaffiliatestradeasprincipalinconnectionwithmakingmarketsinfixedincomesecuritiesdiscussedinresearchreports.
AnalystCertification:Theresearchanalyst(s)denotedbyan"AC"onthecoverofthisreportcertifies(or,wheremultipleresearchanalystsareprimarilyresponsibleforthisreport,theresearchanalystdenotedbyan"AC"onthecoverorwithinthedocumentindividuallycertifies,withrespecttoeachsecurityorissuerthattheresearchanalystcoversinthisresearch)that:(1)alloftheviewsexpressedinthisreportaccuratelyreflecthisorherpersonalviewsaboutanyandallofthesubjectsecuritiesorissuers;and(2)nopartofanyoftheresearchanalyst'scompensationwas,is,orwillbedirectlyorindirectlyrelatedtothespecificrecommendationsorviewsexpressedbytheresearchanalyst(s)inthisreport.
Valuation&Methodology:InJ.
P.
Morgan'screditresearch,weassignaratingtoeachissuer(Overweight,UnderweightorNeutral)basedonourcreditviewoftheissuerandtherelativevalueofitssecurities,takingintoaccounttheratingsassignedtotheissuerbycreditratingagenciesandthemarketpricesfortheissuer'ssecurities.
Ourcreditviewofanissuerisbaseduponouropinionastowhethertheissuerwillbeableserviceitsdebtobligationswhentheybecomedueandpayable.
Weassessthisbyanalyzing,amongotherthings,theissuer'screditpositionusingstandardcreditratiossuchascashflowtodebtandfixedchargecoverage(includingandexcludingcapitalinvestment).
Wealsoanalyzetheissuer'sabilitytogeneratecashflowbyreviewingstandardoperationalmeasuresforcomparablecompaniesinthesector,suchasrevenueandearningsgrowthrates,margins,andthecompositionoftheissuer'sbalancesheetrelativetotheoperationalleverageinitsbusiness.
Analysts'Compensation:Theresearchanalystsresponsibleforthepreparationofthisreportreceivecompensationbaseduponvariousfactors,includingthequalityandaccuracyofresearch,clientfeedback,andoverallfirmrevenues.
RatingsSystem:J.
P.
Morganusesthefollowingsector/issuerportfolioweightings:Overweight(overthenextthreemonths,therecommendedriskpositionisexpectedtooutperformtherelevantindex,sector,orbenchmark),Neutral(overthenextthreemonths,therecommendedriskpositionisexpectedtoperforminlinewiththerelevantindex,sector,orbenchmark),andUnderweight(overthenextthreemonths,therecommendedriskpositionisexpectedtounderperformtherelevantindex,sector,orbenchmark).
J.
P.
Morgan'sEmergingMarketresearchusesaratingofMarketweight,whichisequivalenttoaNeutralrating.
J.
P.
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J.
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investmentbankingbusinessesandEMEAcashequitiesandequityresearchbusinessesofJPMorganChase&Co.
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Optionsrelatedresearch:Iftheinformationcontainedhereinregardsoptionsrelatedresearch,suchinformationisavailableonlytopersonswhohavereceivedtheproperoptionriskdisclosuredocuments.
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pdfFOREIGNHOLDINGSOFUSTREASURIESANDTREASURClearingCorporation'sCharacteristicsandRisksofStandardizedOptions,pleasecontactyourJ.
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MorganRepresentativeorvisittheOCC'swebsiteathttp://www.
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pdfLegalEntitiesDisclosuresU.
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JPMorganChaseBank,N.
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RegisteredinEngland&WalesNo.
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Australia:J.
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Taiwan:J.
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India:J.
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MorganIndiaPrivateLimited,havingitsregisteredofficeatJ.
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Road,Kalina,SantacruzEast,Mumbai-400098,isamemberoftheNationalStockExchangeofIndiaLimited(SEBIRegistrationNumber-INB230675231/INF230675231/INE230675231)andBombayStockExchangeLimited(SEBIRegistrationNumber-INB010675237/INF010675237)andisregulatedbySecuritiesandExchangeBoardofIndia.
Thailand:JPMorganSecurities(Thailand)LimitedisamemberoftheStockExchangeofThailandandisregulatedbytheMinistryofFinanceandtheSecuritiesandExchangeCommission.
Indonesia:PTJ.
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MorganSecuritiesIndonesiaisamemberoftheIndonesiaStockExchangeandisregulatedbytheBAPEPAMLK.
Philippines:J.
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isamemberofthePhilippineStockExchangeandisregulatedbytheSecuritiesandExchangeCommission.
Brazil:BancoJ.
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MorganS.
A.
isregulatedbytheComissaodeValoresMobiliarios(CVM)andbytheCentralBankofBrazil.
Mexico:J.
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MorganCasadeBolsa,S.
A.
deC.
V.
,J.
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MorganGrupoFinancieroisamemberoftheMexicanStockExchangeandauthorizedtoactasabrokerdealerbytheNationalBankingandSecuritiesExchangeCommission.
Singapore:ThismaterialisissuedanddistributedinSingaporebyJ.
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MorganSecuritiesSingaporePrivateLimited(JPMSS)[MICA(P)088/04/2012andCo.
Reg.
No.
:199405335R]whichisamemberoftheSingaporeExchangeSecuritiesTradingLimitedandisregulatedbytheMonetaryAuthorityofSingapore(MAS)and/orJPMorganChaseBank,N.
A.
,Singaporebranch(JPMCBSingapore)whichisregulatedbytheMAS.
Malaysia:ThismaterialisissuedanddistributedinMalaysiabyJPMorganSecurities(Malaysia)SdnBhd(18146-X)whichisaParticipatingOrganizationofBursaMalaysiaBerhadandaholderofCapitalMarketsServicesLicenseissuedbytheSecuritiesCommissioninMalaysia.
Pakistan:J.
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MorganPakistanBroking(Pvt.
)LtdisamemberoftheKarachiStockExchangeandregulatedbytheSecuritiesandExchangeCommissionofPakistan.
SaudiArabia:J.
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MorganSaudiArabiaLtd.
isauthorizedbytheCapitalMarketAuthorityoftheKingdomofSaudiArabia(CMA)tocarryoutdealingasanagent,arranging,advisingandcustody,withrespecttosecuritiesbusinessunderlicencenumber35-07079anditsregisteredaddressisat8thFloor,Al-FaisaliyahTower,KingFahadRoad,P.
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Box51907,Riyadh11553,KingdomofSaudiArabia.
Dubai:JPMorganChaseBank,N.
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,DubaiBranchisregulatedbytheDubaiFinancialServicesAuthority(DFSA)anditsregisteredaddressisDubaiInternationalFinancialCentre-Building3,Level7,POBox506551,Dubai,UAE.
14RYYIELDSDisclaimerCountryandRegionSpecificDisclosuresU.
K.
andEuropeanEconomicArea(EEA):Unlessspecifiedtothecontrary,issuedandapprovedfordistributionintheU.
K.
andtheEEAbyJPMSplc.
InvestmentresearchissuedbyJPMSplchasbeenpreparedinaccordancewithJPMSplc'spoliciesformanagingconflictsofinterestarisingasaresultofpublicationanddistributionofinvestmentresearch.
ManyEuropeanregulatorsrequireafirmtoestablish,implementandmaintainsuchapolicy.
ThisreporthasbeenissuedintheU.
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onlytopersonsofakinddescribedinArticle19(5),38,47and49oftheFinancialServicesandMarketsAct2000(FinancialPromotion)Order2005(allsuchpersonsbeingreferredtoas"relevantpersons").
Thisdocumentmustnotbeactedonorreliedonbypersonswhoarenotrelevantpersons.
Anyinvestmentorinvestmentactivitytowhichthisdocumentrelatesisonlyavailabletorelevantpersonsandwillbeengagedinonlywithrelevantpersons.
InotherEEAcountries,thereporthasbeenissuedtopersonsregardedasprofessionalinvestors(orequivalent)intheirhomejurisdiction.
Australia:ThismaterialisissuedanddistributedbyJPMSALinAustraliato"wholesaleclients"only.
JPMSALdoesnotissueordistributethismaterialto"retailclients".
TherecipientofthismaterialmustnotdistributeittoanythirdpartyoroutsideAustraliawithoutthepriorwrittenconsentofJPMSAL.
Forthepurposesofthisparagraphtheterms"wholesaleclient"and"retailclient"havethemeaningsgiventotheminsection761GoftheCorporationsAct2001.
Germany:ThismaterialisdistributedinGermanybyJ.
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MorganSecuritiesplc,FrankfurtBranchandJ.
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MorganChaseBank,N.
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,FrankfurtBranchwhichareregulatedbytheBundesanstaltfürFinanzdienstleistungsaufsicht.
HongKong:The1%ownershipdisclosureasofthepreviousmonthendsatisfiestherequirementsunderParagraph16.
5(a)oftheHongKongCodeofConductforPersonsLicensedbyorRegisteredwiththeSecuritiesandFuturesCommission.
(Forresearchpublishedwithinthefirsttendaysofthemonth,thedisclosuremaybebasedonthemonthenddatafromtwomonthsprior.
)J.
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MorganBroking(HongKong)Limitedistheliquidityprovider/marketmakerforderivativewarrants,callablebullbearcontractsandstockoptionslistedontheStockExchangeofHongKongLimited.
AnupdatedlistcanbefoundonHKExwebsite:http://www.
hkex.
com.
hk.
Japan:Thereisariskthatalossmayoccurduetoachangeinthepriceofthesharesinthecaseofsharetrading,andthatalossmayoccurduetotheexchangerateinthecaseofforeignsharetrading.
Inthecaseofsharetrading,JPMorganSecuritiesJapanCo.
,Ltd.
,willbereceivingabrokeragefeeandconsumptiontax(shouhizei)calculatedbymultiplyingtheexecutedpricebythecommissionratewhichwasindividuallyagreedbetweenJPMorganSecuritiesJapanCo.
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FinancialInstrumentsFirms:JPMorganSecuritiesJapanCo.
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Korea:ThisreportmayhavebeeneditedorcontributedtofromtimetotimebyaffiliatesofJ.
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MorganSecurities(FarEast)Ltd,SeoulBranch.
Singapore:JPMSSand/oritsaffiliatesmayhaveaholdinginanyofthesecuritiesdiscussedinthisreport;forsecuritieswheretheholdingis1%orgreater,thespecificholdingisdisclosedintheImportantDisclosuressectionabove.
India:Forprivatecirculationonly,notforsale.
Pakistan:Forprivatecirculationonly,notforsale.
NewZealand:ThismaterialisissuedanddistributedbyJPMSALinNewZealandonlytopersonswhoseprincipalbusinessistheinvestmentofmoneyorwho,inthecourseofandforthepurposesoftheirbusiness,habituallyinvestmoney.
JPMSALdoesnotissueordistributethismaterialtomembersof"thepublic"asdeterminedinaccordancewithsection3oftheSecuritiesAct1978.
TherecipientofthismaterialmustnotdistributeittoanythirdFOREIGNHOLDINGSOFUSTREASURIESANDTREASURJPMSALdoesnotissueordistributethismaterialtomembersof"thepublic"asdeterminedinaccordancewithsection3oftheSecuritiesAct1978.
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Canada:Theinformationcontainedhereinisnot,andundernocircumstancesistobeconstruedas,aprospectus,anadvertisement,apublicoffering,anoffertosellsecuritiesdescribedherein,orsolicitationofanoffertobuysecuritiesdescribedherein,inCanadaoranyprovinceorterritorythereof.
AnyofferorsaleofthesecuritiesdescribedhereininCanadawillbemadeonlyunderanexemptionfromtherequirementstofileaprospectuswiththerelevantCanadiansecuritiesregulatorsandonlybyadealerproperlyregisteredunderapplicablesecuritieslawsor,alternatively,pursuanttoanexemptionfromthedealerregistrationrequirementintherelevantprovinceorterritoryofCanadainwhichsuchofferorsaleismade.
TheinformationcontainedhereinisundernocircumstancestobeconstruedasinvestmentadviceinanyprovinceorterritoryofCanadaandisnottailoredtotheneedsoftherecipient.
Totheextentthattheinformationcontainedhereinreferencessecuritiesofanissuerincorporated,formedorcreatedunderthelawsofCanadaoraprovinceorterritoryofCanada,anytradesinsuchsecuritiesmustbeconductedthroughadealerregisteredinCanada.
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15
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