26 September 2015
26 September 2015
FX Forecasts and Valuations: Don't throw in the towel
z
G10 FX Valuation Monitor
Figure 4: The dollar is expensive and the euro modestly
cheap Figure 5: The dollar is above fair value now
30 I% Over/undervalued) 130
20 178 142 11 120 84 83 10 110
0 100
•10 .4 3 -7.1 93
-20
-30 -25.0 -25.7 70
-40
CHF NW GBP 1)50 AUD EUR CAD NOK SEK JPY 60
Sant Oteeserare.OSeen 1 —USDTWI
PPP USDTWI 130
120
ite.• \eft- • .....,__,_ - - —20% Rena 110
..•
leiiv
4Aa
--...,.., Nt
90 90 100
•••
70
• 60
73 76 79 82 85 88 91 94 97 00 03 06 09 12 15
Sower DO FX Mown*, Osserent. Aboeiborp Meow
rFigure 6: EUR/USD: The euro has reverted to its fair value !Figure 7: USD/JPY: The yen is about 27% cheap to its fair
!value
1.6
1.4 -
1.2
1.0 -
0.8
0.6 —EURILISD - - - 20% Band
PPP EURAJSD 1.6
1.4
- 1.2
/
- 1.0
......•••••-•-•-[
0.8
0.6
73 77 81 85 89 93 97 01 05 09 13
Jan De ix area Omornsin
Page 12 350 ,
303 i;
250 r
200
150 ,r
103
81 85 89 93 — — — 20% Bend
USDIJPY
PPP USOMPY
7'3 77
Aue DB Paraseete Daterreant 350
380
250
200
150
-11, 100
97 01 06 09 13 50
Deutsche Bank Securities Inc.
CONFIDENTIAL — PURSUANT TO FED. R CRIM. P. 6(e) DB-SDNY-0118610
CONFIDENTIAL SDNY_GM_00264794
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