J.P.Morgan Survey: European Investors Increase Outright EGB & Gilt Duration Exposure

J.P.Morgan have released their latest survey covering European real-money fixed income investors, with the following key takeaways outlined:

• “Single and multi-currency European investors increased their duration exposure since the last survey. Investors a) reduced their net short intra-EMU widening exposure, b) strongly increased their long duration exposure in gilts, and c) slightly decreased their long duration exposure in USD (multi-currencies).”
• “European real money investors in EGBs increased their duration exposure, turning long (from -0.01 to +0.04 years). This level is the highest since November 2021 (+0.12 years on the 24th Nov 2021).
• Single-currency European real money investors in EGBs increased their long duration (from +0.24 to +0.29 years). This represents the highest level observed since early October 2022 (+0.25 years on 5th Oct 2022).
• “Investors reduced their intra-EMU widening exposure since the last survey (from 8% to 3% net short) vs. average of 19% net long since the 6th Jan 2021.”
• “European multi-currency investors slightly decreased their duration exposure in USD (from +0.09 to +0.07 years).”
• “In the UK, single-currency investors in GBP strongly increased their long duration exposure (from +0.25 to +0.34 years). This level is just 0.05 years below the historical maximum recorded by our survey for this category (+0.39 years on the 28th Oct 2020).”
• Note that all duration deviations are relative to the relevant benchmark and given in years.