J.P.Morgan: European Client Survey: Further Dip In EMU Tightening Exp.

J.P.Morgan’s latest European client survey notes that “multi-currency European real money investors increased their short duration exposure while single currency investors noticeably increased their long duration exposure over the past two weeks. Investors a) considerably decreased their intra-EMU tightening exposure since our last survey, b) decreased their short duration exposure in gilts, and c) slightly increased their short duration exposure in USD.”

• “Multi-currency European real money investors in EGBs increased their short duration exposure (from -0.03 to -0.06 years). Their current short exposure is considerably below 2021 average long exposure of +0.13 years and is at the lowest level since February 2019.”
• “Single-currency European real money investors in EGBs noticeably increased their long duration exposure (from +0.31 to +0.36 years), a +0.13 years move from lows reached on 8 Dec.”
• “Investors considerably decreased their intra-EMU tightening exposure (from 24% to 14% net long). They are now around 18% of the most bullish OW since mid-2015 and the least bullish since June 2019.”
• “European multi-currency investors slightly increased their short duration exposure in USD (from -0.20 to -0.23 years), while U.S. domestic investors marginally increased their short exposure over the past two weeks (from 35% to 38% net short).”
• “In the UK, single-currency investors in GBP decreased their short duration exposure (from -0.18 to -0.16 years). Their current exposure is around 0.24 years higher than the peak shorts (-0.4 years) seen around September 2021.”
• N.B. The “years” metric represents duration deviation from the respective benchmarks in year.