European Duration Survey, 18 Mar 2010

European Duration Survey, 18 Mar 2010

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• Investor exposure is broadly unchanged since our last update. The largest changes were Euro area investors who cut back on their shorts and UK investors that added to short duration exposure.

• Euro area domestic investors reduced duration exposure by 0.10 years, a relatively large cut in their positioning. They remain significantly short however, at -0.20 years vs. their benchmark.

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

• Multicurrency investors in US Treasuries increased their duration exposure by +0.05 years and are now neutral duration. Their positioning is consistent with that of domestic US investors, who are also broadly neutral.

• Multi-currency investors’ duration exposure to JGBs remained unchanged at -0.02 years vs. benchmark. Positioning is roughly neutral.

• Domestic UK investors added to their shorts and are now at -0.12 vs. benchmark.

ENDS

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