After some research, I decided to open a short position on Turkish Lira (TRY), and I'm also looking to short TRY-denominated debt.
To short the TRY-denominated debt, I'd need to short-sell a TRY-denominated bond.
The entry threshold to buy/sell government or corporate bonds is around $200K, what is above what I am willing to risk.
Is there another way to do it?
Short, but not an indefinite, answer to your question for short-selling TRY bonds is I don't think it is possible, for retail investors, even in Turkey, perhaps unless one has very significant funds.
As a Turkish person who does occasionally trade various Turkish financial assets, I have never heard local banks or brokers lending local bonds for short selling to retail investors. A retail investor can make a reverse repurchase agreement (reverse repo) backed by local bonds with a local bank but s/he can not actually get hold of the bonds and sell them somewhere else.
A local retailer can short local shares or, of course, local currency, by borrowing either and then selling it through either Borsa Istanbul or over-the-counter (OTC) markets as appropriate.
Borsa Istanbul has a bond market mainly for government or privately issued TRY bonds but one can not officially sell bonds short in that market.
There is also a futures market in Borsa Istanbul but it is mainly for certain local equity indices, certain local stocks (single stock futures), local currency vs USD or EUR, and certain precious metals. Options on certain stocks, equity indices, and currencies are also available through Borsa Istanbul but they are illiquid and expensive.
From what I know, some of the institutional investors insure their Turkish bond holdings, or bet against them, using Turkish credit default swaps (CDS). However, Turkish CDS's are only available for Turkish government-issued eurobonds which are issued either only in USD or EUR. In addition, CDS's can not be bought in small quantities and they are only available through OTC markets.
Update
Should you ever need one, Turkish Capital Markets Association has a book in English called Handbook of the Turkish Capital Markets, available free of charge in pdf.
One major U.S. broker's international trading doesn't offer Turkey.
Then to open an account in a foreign country, without being a resident, usually requires forming a company in that country and having a registered agent in that country. Some websites recommend Northern Cyprus for access to the Turkish financial system.
Or in a home country account, consider buying the USD/TRY currency pair while selling the USD/RUB currency pair.
