EFTA01449221.pdf

30 July 2013 Exchange Rate Perspectives: FX and the Financial Transaction Tax FX Behavioral and Fundamental Equilibrium Exchange Rates (BEER and FEERr Figure I: USD.croas BEER and FEER valuations 40 29 at BEER 30 24j 24 23 FEER 21 22 19 20 20 ..1 17 14 16 1110 11 10 8 J 7 ut f 0 i l wir l .; A ; I 1 C 1 4 : I -4 1. 11112 4 4 .T1 4 40 -5 4 1 i -10 4 -11 -11 -11 42312 -1343 -14 -20 -15 -21 -30 -213 -28 PI 5 . - 1 8 2,ec -... 6 eg QCC 40 O V V J o z ... eg 3 ZS Rs el 2 Savoie teIXResearch [Figure 2: EUR/USD is a bit expensive vs. BEER FV [Figure 3: USD/JPY is now above fair value vs. BEER FV 1.8 EUR 300.0 PY BEER Fair Value —Spot BEER Fair Value —Spot 1.6 250.0 • 1.4 200.0 1.2 150.0 1.0 100.0 0.8 50.0 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 8082848688909294969800020406081012 Snow 08 ACReam. sans D8a Mast. 'Figure 4: GBP/USD Is very undervalued vs BEER IV (Figure 5: USD BIS TWI is fair value vs. BEER FV 140.0 BEER Fair Value Spot BEER Fair Value 130.0 2.0 120.0 110.0 100.0 1.5 -• 90.0 80.0 1.0 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 Sara as PX1tasperA ken 00/ixftwant, j 1 'Sources: BIS, Bloomberg, Deutsche Bank Notes: For details on model, see Exchange Rate Perspectives, Jan-13. BEER model as relative PPP adjusted for terms-of-trade and productivity effects. Relative FEER model is based on current account surplusesideficits relative to longterm (structural) surpluses/deficits. Over/undervaluation calculated off TWIs and converted to USD-crosses using matrix algebra. EM graphs available upon request Deutsche Bank Securities Inc. Page 21 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0104534 CONFIDENTIAL SONY GM_00250718 EFTA01449221