国际清算银行-2025年4月美元下跌_外汇对冲的作用（英）-2025.6_8页_502kb

BIS Bulletin Summary: US Dollar's Slide in April 2025 – The Role of FX Hedging

Core Content

This BIS Bulletin examines the role of foreign exchange (FX) hedging in the depreciation of the US dollar during April and May 2025. It challenges the initial narrative of a broad loss of confidence in dollar assets, suggesting instead that the slide was largely driven by non-US investors' ex post hedging activities to mitigate currency risk on their dollar holdings.

Main Points

• Non-US investors' FX hedging contributed to the dollar's slide: Institutional investors outside the US, particularly those holding dollar-denominated assets, increased their hedging activity to protect against further depreciation, leading to downward pressure on the dollar.
• Dollar strength and high interest rates discouraged hedging: Elevated short-term dollar interest rates, especially since 2022, increased hedging costs, making it less attractive for non-US investors to hedge their dollar exposures. This trend was more pronounced for Asian and European currencies.
• Asian investors played a key role: The largest declines in the dollar occurred during Asian trading hours, indicating that Asian investors significantly increased their hedging activity, which had a notable impact on the exchange rate.
• Hedging activity is more common in fixed income than equities: Non-US investors typically hedge more of their bond holdings than equities due to the higher currency risk associated with bonds and the regulatory requirements for asset-liability management.
• Hedging costs rose: The annualised hedging cost for non-US investors increased since 2022, making it more expensive to hedge dollar assets. This was reflected in the cross-currency basis, which became more negative during April and May 2025.
• Ex post hedging impacts the spot rate: When investors increase their hedge ratio after a depreciation, they sell USD in the spot market and take on forward USD liabilities, which can further weaken the dollar.
• Speculative positioning and disinvestment were not the main drivers: While there was a decline in long dollar positions in futures markets, the pace and magnitude were not exceptional compared to previous periods. Similarly, bond sales were short-lived and not historically significant.
• Future implications of hedging: The role of hedging in influencing the dollar's exchange rate may diminish over time as the US economic outlook becomes more prominent. However, monitoring FX hedge ratios remains crucial due to the risks of maturity mismatches and rollover stress in dollar funding markets.

Key Information

• Non-US investors hold a large share of dollar bonds: As of March 2025, non-US investors held $13.6 trillion in US bonds, compared to $17.6 trillion in US equities. They held a larger share of US bonds than equities, with 33% of US Treasuries and 21% of agency and corporate bonds.
• Asian and European investors are major holders: Asian and European investors hold the largest share of dollar-denominated bonds, with indirect holdings through European custodians and Caribbean financial centres increasing the scale of Asian holdings.
• Hedging is more regulated for pension funds and life insurers: These institutions are subject to strict rules on currency exposure due to their liability structures, while asset managers and hedge funds have more flexibility.
• Hedging costs are a critical factor: Hedging costs are influenced by the spread between short-term dollar and foreign interest rates. A steeper US yield curve encourages hedging, while a flatter local currency yield curve discourages it.
• Ex post hedging amplified dollar depreciation: The increased demand for hedging in April and May 2025 led to higher demand for FX swaps, which in turn increased the cost of hedging. This created a feedback loop that contributed to the dollar's weakening.
• Central bank intervention may be necessary: FX swap markets are over-the-counter and involve a diverse set of participants, making it difficult to monitor and manage risks. During past crises, such as the GFC and the Covid-19 pandemic, these markets required central bank support to function smoothly.

Conclusion

The depreciation of the US dollar in April 2025 was not solely due to a loss of confidence in dollar assets but was significantly influenced by the ex post hedging activities of non-US investors, particularly Asian ones. While speculative and disinvestment factors were present, they played a less dominant role compared to hedging. As the US economic outlook evolves, the relative importance of hedging in shaping the dollar's exchange rate may decrease, but its continued monitoring is essential to avoid potential vulnerabilities in dollar funding markets.