European Duration Survey, 4 March 2010

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• Investors tempered their bearish positions in most markets, except domestic Euro area investors, who continued to add to short exposure positions.

• Euro area domestic investors further reduced duration exposure by -0.02 years, leaving them at their most bearish since early 2006. 60% of investors are now short vs. 15% which are long.

• Multicurrency investors in the Euro area maintained their short duration positions unchanged, at -0.07. This is the most bearish since mid-2007.

• Multicurrency investors in US Treasuries are still net short, but marginally less so than in our last update. Duration exposure was increased by 0.02 years to -0.05 years vs. benchmark. Domestic US investors have kept their positions stable since our last update, and are still marginally bearish, in line with their international counterparts.

• Multi-currency investors’ duration exposure to JGBs increased marginally to -0.02 years vs. benchmark. Positioning is once again roughly neutral.

• Domestic UK investors continued to temper their shorts and have now retraced the significant shortening witnessed last 2-3 months.

ENDS