EFTA Document EFTA01394933

For Key Client Partner Clients or U.S. Institutional Investors. Not for Retail Distribution Deutsche Bank Corporate & Investment Banking USDTRY FX Overview March 2018 a EFTA01394933 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 DB 02 2018 2018 2019 4.00 4.26 4.50 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 TRY remains one of world's cheapest currency Most expense. CNY CHF KRW ILS CZK SGD — Deter — FEER — PPP awereg e JPY TRYPEN coP MXN HUF SIX GBP TWD TH8 EUR INA PLN AUD COA NOK USD NZD BR L 2AR DR PHPCLP RUBRIYR world's cheapest ocorenCY Mare eopenslee fewer d4rance from centre equivalent to a cheaper currency USDTRY spot history and forecasts 5.00 4.50 4.00 3.50 3.00 2.50 - 2.00 - Low — DB — Median — Spot 8 Forward t50 2011 2012 2013 2014 2015 2018 2017 2018 2019 Deutsche Bank Corporate & Investment Banking 15 EFTA01394934 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 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 Carry at multi-year high levels 8 9.0% 7.0% 5.0% - 3.0% • 2012 2013 2014 2015 2016 2017 2018 Implied volatilities have sold-off to average levels iy4 6% • 2012 2013 2014 2015 2016 2017 2018 USD calls are becoming cheaper relative to puts 8.0% 2.0% • 2012 2013 2014 2015 2016 2017 2018 Deutsche Bank Corporate & Investment Banking Sources: Bloomberg Finance L.P., Deutsche Bank 16 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). 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