EFTA01394933.pdf

For Key Client Partner Clients or U.S. Institutional Investors. Not for Retail Distribution Deutsche Bank Corporate & Investment Banking a USDTRY FX Overview March 2018 EFTA01394933  USDTRY overview Deutsche Bank sees Market overview USDTRY spot history and forecasts potential for relief rally in — Economic activity looks set to lose steam; yet it should 5.00 TRY but the lack of remain competitive throughout 2018 due to fiscal support current account as well as buoyant external demand. CBT appears to be Low adjustment, dependence done with tightening — DB on foreign portfolio inflows — TRY can rally due to a supportive external environment, 4.50 — Median and FX borrowing, and high carry, disinflation (and rising real rates), attractive high inflation cloud the valuation and light positioning. — Spot 8 Forward longer-term narrative — Further, TRY has significantly lagged the recent rally in 4.00 EM FX over the past six months, providing attractive TRY remains one of the opportunities for 'catch up' appreciation most undervalued 3.50 currencies on fundamental models TRY remains one of world's cheapest currency 3.00 Most USDTRY YE Forecasts expense. world's cheapest JPY ocorenCY 02 2018 2018 2019 TRY PEN CNY coP CHF MXN 2.50 - DB 4.00 4.26 4.50 KRW HUF ILS SIX Mare CZK GBP eopenslee 2.00 - SGD TWD TH8 EUR INA PLN AUD COA t50 NOK USD fewer d4rance 2011 2012 2013 2014 2015 2018 2017 2018 2019 — Deter NZD BR L from centre 2AR DR equivalent to a — FEER PHPCLP RUBRIYR cheaper currency — PPP awereg e Deutsche Bank 15 Corporate & Investment Banking EFTA01394934  Carry, volatility and skew dynamics Due to high interest rate — Although carry remains punitive and near all time highs, Implied volatilities have sold-off to average levels differentials, carry is volatility and skew have all moved in favor of USD call historically elevated levels buyers: for USDTRY iy4 — Carry levels are at multi-year highs USDTRY implied volatility — Implied volatilities have sold off, approaching to has sold off in recent average levels over last 6 years months and levels are now trading close to their — Implied volatility skew has decreased in favor of USD call buyers average for past few years 6% • 2012 2013 2014 2015 2016 2017 2018 USDTRY skew has become more favorable to Carry at multi-year high levels USD calls are becoming cheaper relative to puts a USD-based hedger but still remain expensive to 8.0% USD puts 8 9.0% 7.0% 5.0% - 3.0% • 2.0% • 2012 2013 2014 2015 2016 2017 2018 2012 2013 2014 2015 2016 2017 2018 Deutsche Bank 16 Corporate & Investment Banking Sources: Bloomberg Finance L.P., Deutsche Bank EFTA01394935  Supplemental Disclosure for Deutsche Bank Wealth Management Key Client Partners (KCP) THIS MATERIAL IS INTENDED FOR INSTITUTIONAL CUSTOMERS ONLY AS DEFINED BY FINRA 4512 (c). The trading and investment ideas discussed herein are general and do not take into account an institutional client's particular circumstances (including tax situation), investment guidelines, investment goals, restrictions or needs. Deutsche Bank ("DB") is not acting as a legal, financial, tax or accounting adviser or in any other fiduciary capacity with respect to any proposed transaction(s) mentioned herein. This document does not constitute the provision of investment advice and is not intended to do so, but is only intended to be general information. This material is for our clients' informational purposes and is a general solicitation of derivatives business for the purposes of, and to the extent it is subject to, §§ 1.71 and 23.605 of the U.S. Commodity Exchange Act. This is not an offer, advice, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. 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