European Duration Survey, 22 Apr 2010

European Duration Survey, 22 Apr 2010

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• Special question: Investor exposure to peripherals vs. core in an EMU portfolio is broadly balanced, in line with the last time we ran the peripherals survey (Feb 4, 2010) with 46% of investors currently underweight peripherals, 38% overweight and 13% neutral. This suggests that positioning is broadly balanced, with few significant long or short positions (see Chart). Anecdotally, investors are generally more positive on Italy and negative on Greece and other peripherals.

• In terms of duration, there is a marked dichotomy between international and domestic investors, with domestic investors underweight vs. their benchmark and international investors roughly neutral.

• Euro area domestic investors decreased their duration exposure slightly to -0.15 years vs. benchmark.

• Euro area international investors increased their bullish positioning quite markedly. Net, investors are now broadly neutral at -0.01 years vs. benchmark.

• Multicurrency US investors are increasingly short, whereas US domestic investors are turning increasingly neutral.

• Multi-currency investors’ duration exposure to JGBs fell by 0.01 years to -0.04 years vs. benchmark, remaining within its range of the last few months.

• Domestic UK investors turned more bearish, adding -0.06 years to their shorts, reaching -0.17 years vs. their benchmark.

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ENDS

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