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

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 pension Investment) demand has been responsible for this

move." 

- But JPM analysts noted "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."