From yahoogroups:

Improve performance
 
We can increase site speed and efficiency for you by copying your user information (which may include sensitive data) to one of our servers in another country . Please note that privacy protections provided by another country may be different from those provided by your country. For more information about how Yahoo! treats your information, check out our privacy policies.
 
[Create a copy] Click this button to optimise performance. By doing so, you permit Yahoo! to process and duplicate your personal information on servers located in another country .
 
[Don't create a copy] Click this button if you do not wish to have your personal information copied to servers located in another country . You can still use our service, though the site may not perform optimally.

At no point does it explain which other country, and when following the ‘privacy policies’ link, it merely goes to a generic help page. So I guess I’ll just click one of the buttons and take full responsibility for my actions without actually having been given any useful information.

I don’t really like yahoo.