EFTA01458317.pdf

14 - 3.0 13 - 2.5 12 - 2.0 11 - 1.5 10 - 1.0 9- - 0.5 8- 0.0 7 - tvtii -a5 6- -1.0 i 2010 2011 2012 2013 2014 2015 —USDZAR Spot, Ihs — 'Stretch' (Standardized residual of spot vs 200dma), rhs USDRUB price action is also stretched, but we are still far below the `stretch' levels we have seen in the recent past. 70 - 12.5 65 - - 10.0 60- 55 - 7.5 50 - 5.D 45 40 wi 2.5 35 - - 0.0 30 - Y \ 25 - /- -2.5 2010 2011 2012 2013 2014 2015 - USDRUB Spot, Ihs — 'Stretch' (Standardized residual of spot vs 200dma), rhs 2) Financial fair value (based on a regression of spot on S&P, VIX, Crude, CRB, US 10y, DXY, carry): According to our short term 'financial fair value' metric, EM FX is cheap almost across the board, with ZAR being the the most undervalued currency. TRY is also cheap, while RUB less so. However, these results should be taken with a pinch of salt, as the short-term valuation metric CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0118185 CONFIDENTIAL SDNY GM_00284389 EFTA01458317