European Duration Survey, 9 Apr 2010

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• Multicurrency investors have added to their short positions while domestic investors have reduced their short positons since the last survey.

• Euro area domestic investors further reduced their short exposure by 0.07 years, a relatively large cut in their positioning.

• Multicurrency investors in the Euro area marginally increased their short duration positions by 0.01 years,
the most bearish since mid-2007.

• Multicurrency investors in US Treasuries decreased their duration exposure by 0.07 years and are now
again short duration.

• Multi-currency investors’ duration exposure to JGBs decreased marginally by 0.01years and now is at -0.03
years vs. benchmark. Positioning is once again roughly neutral.

• On average domestic UK investors reduced risk, but are still short on aggregate basis by -0.11 years.

ENDS