met in D.C. and decided to fire up the printing presses. Led by "Helicopter Ben" Bernanke, they pledged to buy new Treasury securities whenever old Treasuries or mortgage securities matured over or were paid off. That means instead of shrinking its $2.05 trillion portfolio, the Fed will maintain it by pu

means instead of shrinking its $2.05 trillion portfolio, the Fed will maintain it by purchasing an estimated $10 billion to $20 billion per month in Treasuries. It's focusing on securities with maturities between two years and ten years. The stock market was impressed by the move — but only for a couple of

uries 0 2011 2012 2013 2014 2015 Source Mom McCarthy itnedeol Anonnt 15M/VV. t Wean Mem, W Damian Sant Portfolio managers under-allocation in Treasuries (6) m (e) (10) (11) (12) Percent 2012 2013 2019 2015 2011 -Allocation vs. berldiMark: Treasuries Son MreAffIvRossivol Amman MS( Ifl'

benchmark is the smallest in two years and nearly two percentage points lower compared to a year ago. The SMRA surveyed response of allocations to Treasuries also corroborates our excess returns model. Portfolio managers became very underweight in Treasuries in the second quarter of last year but gradual

ield curve than steepen it. About 56% foreign official holdings of Treasuries are under three years in maturity 60% Distribution of Maturities in Treasuries Held by Foreign Investors 50% 40% 30% 20% 10% Sarce ire Deuttlie flank 3.5v ■0fficial institutions a Private Investors S :Cy too Dealer

r dated maturities so any FX intervention is anyway more likely to flatten the yield curve than steepen it. About 56% foreign official holdings of Treasuries are under three years in maturity 60% Distribution of Maturities in Treasuries Held by Foreign Investors 50% 40% 30% 20% 10% Sarce ire Deu

ries likely to spark runs? In this vision, demand deposits, fixed-value money-market funds, or overnight debt must be backed entirely by short-term Treasuries. Investors who want higher returns must bear price risk. Intermediaries must raise the vast bulk of their funds for risky investments from run-proof

fixed values and first-come first-served redemption. "Prime" funds invest in illiquid or low-grade paper to generate higher yields than available in Treasuries. The Reserve Fund, heavily invested in Lehman Brothers debt, "broke the buck" in 2008. Subsequently, the Treasury guaranteed money market fund debt

suries 0 2011 2012 2013 2014 2015 Source Mom McCarthy itnedeol Anonnt 15M/VV. 6.ean Mem, W Damian Sant Portfolio managers under-allocation in Treasuries (6) m (e) (10) (11) (12) Percent 2012 2013 2019 2015 2011 -Allocation vs. berldiMark: Treasuries Son MreAffIvRossivol Amman MS( Ifl'

benchmark is the smallest in two years and nearly two percentage points lower compared to a year ago. The SMRA surveyed response of allocations to Treasuries also corroborates our excess returns model. Portfolio managers became very underweight in Treasuries in the second quarter of last year but gradual

olicited what appears to have been significant FX intervention, judging by the move in front end swap spreads and dealer inventory of shorter dated Treasuries. The main point however is that it is not a change in FX regime per se that drives the loss of liquidity but that that change emanates from a tight

ncial LLC AAPL 250,000 shares 12 months 1mL+ 75bps Quarterly Termination: Applicable, 3 days (two-way) $0.03 per share, in and out 35% (Cash, Treasuries, or Munis) We will call you before the open on Monday to confirm. Thank you, Vahe From: Jeffrey E. (mailto Sent: Friday, January 08, 2016 3:14 P

find a copy of the term sheet sent to you on December 12 (see Exhibit A). Please note the first and second source of repayment. The first being the Treasuries with the loan only made if the Treasuries were in an acceptable form to WinTel and our bridge provider. This would only be executed if the Treasuri

from London to Paris in Q3 Foreign direct investment in China grew 7.9% in September = the slowest pace in 3 months China reduced its holdings of Treasuries in August by the most in - a decade (cut position by 3.1%) SocGen's Hong Kong based economist Yao Wei says China may refrain from cutting rates th

ore 2011 Sitcom's Is also uncorrelated to Treasury securities or the VIX Lastly, we test the correlation of bitcoin to other liquid markets such as Treasuries and the VIX and our own BofA Merrill Lynch GFSIIU. Once more, the correlation between bitcoin and both near-term and long-term Treasury bonds and b

l of other major central banks. Today's disappointing US employment report may put that shift on ice, removing what had been a building headwind for Treasuries. Equities • Global equities are down on the week due to weaker than expected US activity indicators. The MSCI AC World index is down almost 3% fro

that both encourage further downside to risk assets. There is more uncertainty around bond yields. Potential FX intervention might imply selling of Treasuries, especially the front end where most reserves are held. But if higher short rates from either those sales or Fed tightening, undermine equities, bo

position. - We should put on a 10yr swap spread widener (buy 10yr treasuries and pay fixed in swaps). If the Fed commits to buying more treasuries, Treasuries should become more expensive relative to swaps. We would need to do around $20MM to make it worthwhile. We should set up a line of credit for this t

l losses are unlimited. However, more pragmatically, financing spreads offer some support against dramatic spread tightening. 'Dealer positions in Treasuries maturing in 2 years or less 30.0 25.0 4 20.0 15.0 0 10.0 5.0 0.0 -5.0 -10.0 "41' b to St% Sb 4' 4' es, 44, oc- t o ge: « wo• # c

buy them and be more worried about risk assets than anything else. This flies in the face of recent concerns that China's potential liquidation of Treasuries for FX intervention is a Treasury negative and should drive real yields higher. It is possible that if risk assets do very well then maybe the corr

another 10bps. I think we should buy some protection on the 30y swap position. If Korea disintegrates further we will see more safe haven buying of Treasuries and the USD which will keep long term rates low. Goldman is indicating opening around $134.50 - down $2 from yesterday's close. The other safe have

not occurred since 1998. It was evident that dollar buying foreign exchange operations coincided with a decline in dealer positions in short dated Treasuries, but the effects were not overwhelming. On a related note, there has been an uptick in PBoC's OMO net injections of funds recently, in the order o

3.16 in July, above the average of 3.29. The auction stopped on the screws for the second straight month. Dealer positioning in two- to three-year Treasuries increased by $1.6 billion from the last auction to $1billion as of August 26. I3-year note auction statistics Size (Slur) Primary Deelore Dire

es with the average 2.36. The last auction tailed by 2.2bp, the most in the last five refunding auctions. Dealer net longs in more than eleven-year Treasuries increased by $1.1 billion to S12.6 billion over the week ended on August 26 I30-year bond auction statistics Size ($bn) Primary Dealers Direct

e wiecIonagel) thieved:I Levered 21 Levered 31 Current Screed 600 600 600 rutde Spread 900 800 KO Current 1 reedlereS 15% 13% 15% rulde Treasuries 15% 1 5% 15% Portion 5 5 5 Current Prins 85 95 IX Fulde Price 70 70 70 1 Yen Peke Reim .18% -35% .53% 1 Yee Yidd 8% 13% 18% T