GEMs FI & FX Strategy Watch: Asset Manager Tracker – Underweights cut further, including China

Research evidence excerpt

GEMs FI & FX Strategy Watch: Asset Manager Tracker – Underweights cut further, including China

Executive Summary

Asia

EM Asia’s benchmark weight (includes China, India, Indonesia, Malaysia and Thailand) fell

in May to 46.4%. In absolute terms, exposure to bond holdings and FX reduced

marginally. In relative terms, tracked funds’ underweight positions in Asian bonds

remained fairly stable and Asia FX reduced (Exhibit 2).

Exhibit 2: Asia benchmark weights, bond, and FX exposure Exhibit 3: China: Funds’ exposure to Chinese bonds and FX

Funds’ underweight positions in both Asian bonds and Asia FX fell slightly in Absolute exposure to China bonds increased while exposure to CNY

May-26 decreased in May-26

60 % Benchmark Weight Bond Holdings 14 % Benchmark weight Bond Holdings

FX exposure FX exposure

30 8

0 2

May-25 Jun-25 Jul-25 Aug-25 Sep-25 Oct-25 Nov-25 Dec-25 Jan-26 Feb-26 Mar-26 Apr-26 May-26

Source: BofA Global Research, Fund factsheets Source: BofA Global Research, Fund factsheets

Note: Asia region includes the countries – China, India, Indonesia, Malaysia, and Thailand BofA GLOBAL RESEARCH

BofA GLOBAL RESEARCH

• China: Benchmark weight continued to be at 10% in May. Funds we track increased

their absolute exposure to Chinese bonds but reduced their exposure to CNY. In

relative terms, underweight positions in bonds fell to 2.59% while increased to

1.98% in FX when compared to the benchmark (Exhibit 3).

• India: Benchmark weight continued to be at 10% in May. Funds we track reduced

their absolute exposure to Indian bonds but increased their exposure to INR. In

relative terms, underweight positions in both bonds increased to 3.85% but

decreased in FX to 1.2% respectively (Exhibit 6).

• Indonesia: Benchmark weight further decreased to 9% in May. Funds we track