provides a better picture when currencies are trading within relatively tight ranges, rather than
trending strongly and breaking new ground (as is the case currently for many EM currencies) due
to domestic factors/factors not captured by the model.
Financial fair value (USD crosses):
5-
EM FX Cheap
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As the charts below show, the extent of undervaluation (Le. the magnitude of the model residual)
is at ly extremes for TRY and ZAR, but not for RUB.
USDTRY:
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0118209
CONFIDENTIAL SDNY GM_00284393
EFTA01458335