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The Terms of Trade shock is not priced in EMFX: The DXY ceiling keeps ToT termites at bayStrengthening US terms of trade(ToT) have coincided with stronger EM ToT over the 20 April 2026 The EM Quant StrategistEEMEAGEMS FI/FX Strategy & Economics past year, allowing EM to sustain a long period of overvaluation–a regime threatenedby rising oil prices. This ToT shock is kept at bay from passing through to EMFX by aweak DXY, with the DXY/US ToT ratio close to its post-shale revolution lows. This, alongwith bullish EMFX momentum, and cleaner positioning shrinks the bear case for EMFX,in our view. Raghav AdlakhaEM Quant/Sovereign StrategistMLI (UK)+44 20 7995 9019raghav.adlakha@bofa.com Strongestsignals: Long BRL, CNY; Short TWD David Hauner, CFA>>Global EM FI/FX StrategistMLI (UK)+44 20 7996 1241david.hauner@bofa.com EM Local: The best EM port in this storm Our valuation model suggests the risk premium in the median EM yield curve is still nearall-time highs, despite the sharp rally over the past month. Underlying cross-EM payingtrends remain, but sharp moves lower have forced trend-followers to exit payers.Nevertheless, with cross-sectional trend dispersion now near all-time lows, the risk-reward for receiving high-carry EM rates has grown more compelling, in our view.Strongest signals: ReceiveCOP 2y vs BRL 2y, Receive KRW 2y vs THB 2y EMEXD: HY overbought vs US, prefer AsEM HY spreads are35 bps too rich to US HY spreads. Higher oil prices, offset by a persistently weak DXY lead us to prefer As over BB/BBBs, while remaining neutral on Bs.KSA, ISRAEL, COLOM cheapest to rating, PARGUY, OMAN, SOAF, NGERIA richestStrongest signal:Buy HYG vs TURKEY, COLOM, DOMREP, EGYPT, BRAZIL Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for allinvestors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules.Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuerscovered in its research reports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 12 to 14. Analyst Certification on page 11.12960603 EMFX: Oil Tests Post-2010 Regime Summary: Since 2010, medium-term EMFX valuations have been dominated bymovements in US terms of trade (ToT) (see:GEMs Viewpoint: A fresh round of BEER:more fun for EMFX 03 October 2024). This regime has been challenged by the EMFXrally since Jun-25, which was belied by stronger US ToT. While partially offset by EM ToTuncharacteristically rising alongside US ToT, the recent oil shock has broken thisconcurrence. In this context, EMFX looks overvalued at current levels, but remainsbuoyed by clean post-Iran War positioning and accelerating bullish momentum. Rising oil breaks the 16-month co-movement of EM and US terms-of-trade…EMFX’s positive correlation with US term-of-trade was a feature of the pre-Americanshale-era but has receded sharply post 2014. The correlation turned sharply negativeafter US energy exports took off sharply post-COVID (see Exhibit 2). However, sinceNovember 2024, US terms of trade have moved in lockstep with EM terms-of-trade,enabling EMFX to rally alongside American ToT, an anomaly over the past 15 years. The Iran War has brought this concurrence to an end, as EM terms of trade have turnedconsiderably lower since February, while US terms of trade have continued marchinghigher. …creating ugly short and medium valuations… This has led to EMFX appearing nearly 10% overvalued on our medium-term fair valuemodel (see Exhibit 3). On a shorter-time horizon, only Asian currencies (and CLP) appearto be pricing in a risk-premium relative to their time-varying beta to global macrofactors (DXY, oil, US10Y, metals and gold, see Exhibit 4), while betas to oil are nowbelow their 63d median across nearly all EEMEA and LatAm currencies, suggesting thatthe salience of the Iran War has reduced in these markets, masking the real effect ofhigher oil prices on FX valuations (see Exhibit 5). …. but long-term fundamentals, momentum and positioning cushion the oil blowHowever, our Fund Manager Survey (see Exhibit 7) suggests positioning remains lighterthan February, and EMFX vol dispersion is no longer at levels primed for a vol shock onour EMFX vol model (see Exhibit 9 andGEMs Viewpoint: Disconnected: The EMFX VolSpike Has Further to Go 19 March 2026), suggesting that future turbulence in the Straitof Hormuz will likely be less bum