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JPM analysts John Barry and........>

US TSYS/RESEARCH
US TSYS/RESEARCH: JPM analysts John Barry and Jason Hunter noted the US Treasury
yields on Wed "declined 1-3bp with intermediates outperforming along the curve,
amid a broader rally in DM government bond markets. Curve flattening has
accelerated over the past month, leaving some investors to question whether LDI
(LIability-Driven Investment) demand has been responsible for this move."
- But the JPM analysts noted that "however, the latest Monthly Statement of the
Public Debt shows a $2.8bn decrease in P-STRIPS outstanding in November, the
largest monthly decline since June 2012. The bulk of the reconstitution activity
occurred in the 18-24 year sector of the curve. Meanwhile, stripping at the very
long end slowed from its pace over the prior six months."
- They add that "this suggests LDI demand slowed as yields declined in November.
However, we think demand for STRIPS will remain robust over the coming year and
project $35bn in stripping activity in 2018."

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