宏观风险摘要：美元的结构性压力

Structural strains for USD 16 April 2025 Key themes for corporates1) Higher US risk premium.USD depreciation has been fast and furious, but it’s the Rates and Currencies ResearchGlobal “under the hood”correlation with asset prices that has caught most attention. Thesynchronized sell-off in US equities, US Treasury bonds and the US dollar issymptomatic of structural US risk premium, driven by related factors–stagflationconcerns, peak US exceptionalism, fiscal deficits, policy uncertainty, among others. Thiscould precipitate USD selling from central banks, asset managers and corporates,leading to further and sustained USD depreciation (see Top of Mind section). Top of Mind: structural strains for USD2Spotlight: Tariffs Hokey Cokey4The month that was5Market monitor6Macro forecasts8Research Analysts Outlook:Corporates should further hedge USD exposure, potentially using put spreadsinstead of outright options, given the sharp moves in volatility and skew. 2) EM can benefit from weak USD, VIX permitting:EM central banks are well-placed to respond to slower global growth with deeper cutting cycles, especially if EMFX can benefit a weaker DXY. However, April showed this is unlikely in a heavy risk-offepisode even if driven by US-specific concerns. We identify VIX at 40 as a key thresholdbeyond which EM FX tends to buckle (EMFX: Where the DXY Link Breaks 07 April 2025). Adarsh SinhaFX and Rates StrategistMerrill Lynch (Hong Kong)+852 3508 7155adarsh.sinha@bofa.com Outlook:Lighten EM FX hedges if VIX sustains below 40. The exception is CNY where amanaged depreciation is likely, at least in trade-weighted terms. Ralph AxelRates StrategistBofASralph.axel@bofa.com 3) Fed on hold, rest of the world cuts.We maintain an out-of-consensus view thatthe Fed will be on hold this year on inflation concerns. Outside the US, the prospects ofweaker global growth on tariffs, sustained elevated macro uncertainty, and less directinflation impact from US tariffs support the case for monetary easing. In Europe, wesee the balance of risks for the ECB as skewed to cutting the deposit facility rate belowour already sub-consensus call of 1.50%, and for the BoE skewed to cutting morefrequently (see Spotlight section). Ronald ManRates StrategistMLI (UK)ronald.man@bofa.com Kamal SharmaFX StrategistMLI (UK)ksharma32@bofa.com John ShinFX StrategistBofASjoong.s.shin@bofa.comSee Team Page for List of Analysts Outlook:Further rate divergence vs the US could raise the attractiveness of netinvestment hedging for US corporates. 4) Lower oil price forecast.A large negative shock to global trade and fuel demand islikely coming. We project oil consumption growth for the balance of the year to average~200k b/d. With OPEC+ upping production above expectations and Iran talks limiting therisk of crude supply disruptions, we expect a surplus of 800k b/d in 2H25 and the oilmarket flipping into contango. Outlook:We revise lower our balance of the year Brent oil price forecast to $62/bblfrom $68.5/bbl ($65/bbl average for 2025). Timestamp: 16 April 2025 03:36AM EDT Top of Mind: structural strains for USD Adarsh SinhaMerrill Lynch (Hong Kong) USD depreciation has been fast and furious, but it’s the“under the hood”correlationwith asset prices that has caught most attention. The synchronized sell-off in USequities, US Treasury bonds and the US dollar is symptomatic of structural US riskpremium, driven by related factors–stagflation concerns, peak US exceptionalism, fiscaldeficits, policy uncertainty, among others. Positive correlation between USD, USTs and US equities… This correlation mix (positive USD correlation to S&P500, and negative correlation ofUSD/S&P 500 to UST 10y yields) has not been seen on a sustained basis in the 21stcentury.Exhibit 1shows we have to go back to the 1970-90s for comparison: •Late 70s: inflation shock + USD share of FX reserves fell over this period (weakerUSD).•Late 80s: Plaza Accord to weaken USD + 1987 stock crash (weaker USD).•Mid-to-late 90s: Surge in capital inflows to the US leading to the dot-com bubble(stronger USD). The recent correlation shift has been evident for just a few months (Liquid Insight 08April 2025) but the risks of a sustained inflection are clear. This is especially giventoday’s parallels to the period outlined above: inflation fears driven by tariffs, thepossibility of de-dollarisation, a potential Mar-a-Lago accord and a reversal of US equityinflows, especially into the technology sector. Sustained positive correlation between USD, USTs and US equities has not been seen since the 1990s … reinforcing the risk of structural USD selling If these correlation shifts persist, there is risk of structural flows that can amplify USDdepreciation. •FX reserve diversification.Central banks have been diversifying away from USDfor many years, from c.66% in early 2015, to less than 58% as of 3Q24 (Exhibit 2).However, the glacial pace has left a relatively small footprint in FX markets. Thiscould