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.
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Ourcreditviewofanissuerisbaseduponouropinionastowhethertheissuerwillbeableserviceitsdebtobligationswhentheybecomedueandpayable.
Weassessthisbyanalyzing,amongotherthings,theissuer'screditpositionusingstandardcreditratiossuchascashflowtodebtandfixedchargecoverage(includingandexcludingcapitalinvestment).
Wealsoanalyzetheissuer'sabilitytogeneratecashflowbyreviewingstandardoperationalmeasuresforcomparablecompaniesinthesector,suchasrevenueandearningsgrowthrates,margins,andthecompositionoftheissuer'sbalancesheetrelativetotheoperationalleverageinitsbusiness.
Analysts'Compensation:Theresearchanalystsresponsibleforthepreparationofthisreportreceivecompensationbaseduponvariousfactors,includingthequalityandaccuracyofresearch,clientfeedback,andoverallfirmrevenues.
RatingsSystem:J.
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J.
P.
Morgan'sEmergingMarketresearchusesaratingofMarketweight,whichisequivalenttoaNeutralrating.
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Thailand:JPMorganSecurities(Thailand)LimitedisamemberoftheStockExchangeofThailandandisregulatedbytheMinistryofFinanceandtheSecuritiesandExchangeCommission.
Indonesia:PTJ.
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Philippines:J.
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isamemberofthePhilippineStockExchangeandisregulatedbytheSecuritiesandExchangeCommission.
Brazil:BancoJ.
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A.
isregulatedbytheComissaodeValoresMobiliarios(CVM)andbytheCentralBankofBrazil.
Mexico:J.
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deC.
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,J.
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Singapore:ThismaterialisissuedanddistributedinSingaporebyJ.
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MorganSecuritiesSingaporePrivateLimited(JPMSS)[MICA(P)088/04/2012andCo.
Reg.
No.
:199405335R]whichisamemberoftheSingaporeExchangeSecuritiesTradingLimitedandisregulatedbytheMonetaryAuthorityofSingapore(MAS)and/orJPMorganChaseBank,N.
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,Singaporebranch(JPMCBSingapore)whichisregulatedbytheMAS.
Malaysia:ThismaterialisissuedanddistributedinMalaysiabyJPMorganSecurities(Malaysia)SdnBhd(18146-X)whichisaParticipatingOrganizationofBursaMalaysiaBerhadandaholderofCapitalMarketsServicesLicenseissuedbytheSecuritiesCommissioninMalaysia.
Pakistan:J.
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)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.
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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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InotherEEAcountries,thereporthasbeenissuedtopersonsregardedasprofessionalinvestors(orequivalent)intheirhomejurisdiction.
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JPMSALdoesnotissueordistributethismaterialto"retailclients".
TherecipientofthismaterialmustnotdistributeittoanythirdpartyoroutsideAustraliawithoutthepriorwrittenconsentofJPMSAL.
Forthepurposesofthisparagraphtheterms"wholesaleclient"and"retailclient"havethemeaningsgiventotheminsection761GoftheCorporationsAct2001.
Germany:ThismaterialisdistributedinGermanybyJ.
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MorganChaseBank,N.
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,FrankfurtBranchwhichareregulatedbytheBundesanstaltfürFinanzdienstleistungsaufsicht.
HongKong:The1%ownershipdisclosureasofthepreviousmonthendsatisfiestherequirementsunderParagraph16.
5(a)oftheHongKongCodeofConductforPersonsLicensedbyorRegisteredwiththeSecuritiesandFuturesCommission.
(Forresearchpublishedwithinthefirsttendaysofthemonth,thedisclosuremaybebasedonthemonthenddatafromtwomonthsprior.
)J.
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AnupdatedlistcanbefoundonHKExwebsite:http://www.
hkex.
com.
hk.
Japan:Thereisariskthatalossmayoccurduetoachangeinthepriceofthesharesinthecaseofsharetrading,andthatalossmayoccurduetotheexchangerateinthecaseofforeignsharetrading.
Inthecaseofsharetrading,JPMorganSecuritiesJapanCo.
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FinancialInstrumentsFirms:JPMorganSecuritiesJapanCo.
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Singapore:JPMSSand/oritsaffiliatesmayhaveaholdinginanyofthesecuritiesdiscussedinthisreport;forsecuritieswheretheholdingis1%orgreater,thespecificholdingisdisclosedintheImportantDisclosuressectionabove.
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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.
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15
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