European Duration Survey, 20 May 2010

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• Multi-currency and single-currency investors continued to increase their longs and reduce their shorts, respectively.
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• Euro area domestic investors reduced their shorts by 0.04 years vs benchmark. They now only hold a marginal short duration exposure at -0.06 years vs. benchmark, the least bearish since January of this year.

• Multicurrency investors in the Euro area increased their longs to +0.09 years vs. benchmark, the most bullish since September 2009.

• Multicurrency investors in US Treasuries are still broadly neutral after a marginal increase in duration exposure of 0.02 years. US domestic investors increased longs once again and are now neutral from short in our last update.

• Multi-currency investors’ duration exposure to JGBs increased an additional 0.02 years; investors are slowly turning more bullish on JPY duration.

• Domestic UK investors’ exposure continues to flatline: Overall exposure is still in line with the 6M average at -0.17 years vs. benchmark.

ENDS