📄 Extracted Text (7,186 words)
USDTRY FX Overview
March 2018
For Key Client Partner Clients or U.S Institutional Investors. Not for
Retail Distribution
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USDTRY overview
Market overview
Economic activity looks set to lose steam; yet it should remain competitive
throughout 2018 due to fiscal support as well as buoyant external demand.
CBT appears to be done with tightening
TRY can rally due to a supportive external environment, high carry,
disinflation (and rising real rates), attractive valuation and light
positioning.
Further, TRY has significantly lagged the recent rally in EM FX over the
past six months, providing attractive opportunities for 'catch up'
appreciation
USDTRY spot history and forecasts
TRY remains one of world's cheapest currency
15
Deutsche Bank sees potential for relief rally in TRY but the lack of current
account adjustment, dependence on foreign portfolio inflows and FX
borrowing, and high inflation cloud the longer-term narrative
TRY remains one of the most undervalued currencies on fundamental models
USDTRY YE Forecasts
Q2 2018
2018
2019
DB
4.00
4.26
4.50
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Carry, volatility and skew dynamics
Although carry remains punitive and near all time highs, volatility and
skew have all moved in favor of USD call buyers:
Carry levels are at multi-year highs
Implied volatilities have sold off, approaching to average levels over last
6 years
Implied volatility skew has decreased in favor of USD call buyers
Implied volatilities have sold-off to average levels
Carry at multi-year high levels
USD calls are becoming cheaper relative to puts
16
Sources: Bloomberg Finance L.P., Deutsche Bank
Due to high interest rate differentials, carry is historically elevated
levels for USDTRY
USDTRY implied volatility has sold off in recent months and levels are now
trading close to their average for past few years
USDTRY skew has become more favorable to a USD-based hedger but still remain
expensive to USD puts
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Supplemental Disclosure for EDeutsche Bank Wealth ManagementigKey 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. Any offering or potential transaction that may be
related to the subject matter of this communication will be made pursuant to
separate and distinct documentation and in such case the information
contained herein will be superseded in its entirety by such documentation in
final form.
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Deutsche Bank Wealth Management ("WM") clients who are able to meet certain
criteria including, without limitation, financial and sophistication
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of the Deutsche Bank Group.
0 2018 Deutsche Bank AG. All rights reserved. 027082 032018
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EFTA01437078
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EFTA01437080
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ℹ️ Document Details
SHA-256
e26b83eedfa6c8806ac739bdf5affb65b7cb0a5c6aa6137fceaeac059eb01664
Bates Number
EFTA01437035
Dataset
DataSet-10
Document Type
document
Pages
116
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