monthly market report - asfromania.ro

Financial Supervisory Authority

Strategy and Financial Stability Department

Monthly Market Report

December 2015

2

Macroeconomic risk in Romania: development of the real sector, inflation and labour market

Indicators 2013 2014 Q4_14 Q1_15 Q2_15 Q3_15

Real economic growth 3.5 2.8 2.7 4.3 3.4 3.6

Gross domestic product (billion lei) 637.5 666.6 197.1 140.2 162.5 195.8

Current account balance* -1.1 -0.5 0.3 0.4 -0.3 -0.5

Public budget balance (Net

lending/borrowing)* -2.2 -1.4 -1.5 0.4 0.0 0.3**

Non-residents' direct investment* 1.9 1.6 0.3 0.5 0.4 0.7

Government debt* 38.0 39.8 39.9 38.4 38.0 37.3

External debt* 69.0 63.7 63.7 60.2 59.4 56,7

Annual inflation rate (%, end of

period) 1.55 0.83 0.83 0.79 -1.55 -1.73

ILO unemployment rate (%) 7.1 6.8 6.7 7.4 6.7 6.5

* % GDP (GDP ratio was calculated taking into account GDPs achieved in the last 4 quarters)

**ASF estimates; ***calculated based on the general consolidated budget balance (cash)

The current period is characterized by a tendency to reduce macroeconomic

risk. According to NIS data for the first 9 months, Romania is characterized by a

positive development of economic activity, improvement of the labour market

conditions as well as the maintenance of external debt and the current account

deficit at low levels. Also, the public budget balance (ESA) remained positive for

the first 3 quarters of 2015.

The European economic growth is increasing slowly, but stable in this period,

following an upward trend (+ 1.7% in Q1, respectively + 1.9% in Q2 and Q3),

under the influence of several factors. The ECB's expanded asset purchase

programme favoured the improvement of lending conditions and euro

depreciation, with a positive impact on investments and exports.

Considering the annual growth level of GDP in Q3 2015 (+3,6%), Romania and

Slovakia occupied the sixth place in the European Union, after Ireland (+7,3% in Q2),

Malta (+5,6%), Czech Republic (+4,5%), Sweden (+3,9%) and Poland (+3,7%),

followed by Spain (+3,4%) and Latvia (+3,3%), with a GDP dynamic of more than 3%.

According to the European Commission's autumn 2015 forecast, the EU

economy will continue its moderate recovery in the next three years, being

resistant to the new global challenges (the slowdown of world economic

growth, persistent geopolitical tensions).

In September 2015, the annual rate of growth for the main macroeconomic

indicators slowed down compared with the previous period, particularly the

construction works (+4.4%), the turnover of the market services for

enterprises (+4.5%) and the industrial production (+3.9%). Starting with June,

the volume of the retail trade maintained its accelerated growth trend

(+12.0%).

Main sector indicators (annual rate of change, %) Real GDP development in 2015-2017

GDP growth rates in 2015 GDP growth forecast in EU

Q1 Q2 Q3 2015 2016 2017

EU - 28 1.7 1.9 1.9 1.9 2.0 2.1

Euro area 1.3 1.6 1.6 1.6 1.8 1.9

Romania 3.8 3.8 3.6 3.5 4.1 3.6

Bulgaria 2.6 2.6 2.9 1.7 1.5 2.0

Hungary 3.1 2.4 2.3 2.9 2.2 2.5

Poland 3.6 3.5 3.7 3.5 3.5 3.5

Czech Republic 4.1 4.6 4.5 4.3 2.2 2.7

Germany 1.1 1.6 1.7 1.7 1.9 1.9

United Kingdom 2.7 2.4 2.3 2.5 2.4 2.2

France 0.9 1.1 1.2 1.1 1.4 1.7

Spain 2.7 3.2 3.4 3.1 2.7 2.4

Italy 0.1 0.6 0.8 0.9 1.5 1.4

Source: National Institute of Statistics; FSA calculations Source: Eurostat - Percentage change compared with the same quarter of the previous year; European

Commission, Autumn forecast 2015

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

Sep.14 Nov.14 Jan.15 Mar.15 May.15 Jul.15 Sep.15

Industrial production Construction works

Retail trade Services for enterprises

3

Macroeconomic risk in Romania: the development of the real sector, inflation and labour market

Contribution to change in real GDP (demand side) in the first 9 months of 2015 Inflation, monthly data (annual rate of change)

Source: National Institute of Statistics; FSA calculations Source: National Institute of Statistics; FSA calculations

On the demand side, economic growth in the first 9 months of 2015 (+3.7%) was mainly supported by private consumption, whose volume increased by 5.6%,

with a contribution of 3.5 percentage points to GDP growth, respectively by gross fixed capital formation, with a contribution of 1.5 percentage points, a

consequence of the growth in volume by 6.8% in recovery, after a decline recorded during the last two years.

Development of current account by main components (billion euro) Development of external debt by sectors (billion euro)

Source: NBR Source: NBR

0.6

2.62.8

3.7

-2.5

-1.5

-0.5

0.5

1.5

2.5

3.5

2012 2013 2014 2015

Private consumption Public consumption

Gross fixed capital formation Change in stocks

Net exports Gross domestic product

-8

-6

-4

-2

0

2

4

Oct.14 Dec.14 Feb.15 Apr.15 Jun.15 Aug.15 Oct.15

CPI inflation Food goods Non-food goods Services

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

-2500

-2000

-1500

-1000

-500

0

500

1000

1500

Q4

-12

Q1

-13

Q2

-13

Q3

-13

Q4

-13

Q1

-14

Q2

-14

Q3

-14

Q4

-14

Q1

-15

Q2

-15

Q3

-15

Secondary income Primary income

Goods and services Current Account (%Q-GDP)

0.0

20.0

40.0

60.0

80.0

100.0

120.0

Q1

-13

Q2

-13

Q3

-13

Q4

-13

Q1

-14

Q2

-14

Q3

-14

Q4

-14

Q1

-15

Q2

-15

Q3

-15

Private Sector General Government Central Bank

4

Macroeconomic risk in Romania: external position and market perception of sovereign risk

Government bond yields (5Y, LC) Evolution of Credit Default Swaps quotations (5Y, USD)

Source: Datastream Source: Datastream

Romanian government bonds with 5 years maturity reached low values, situating in November at an average of approximately 2.36%. The government bond

yields of Romania reached in the last week of the month the lowest level since April (2,306%). Germany continues to sell 5Y debt at negative yield amid

expectations with regards to a potential expansion of the monetary easing by the ECB.

In November, CDS quotations slightly decreased for most of the countries, but mostly for Hungary and France.

Government bond yields spread of Romania –Germany (5Y, EUR)

The decreasing difference between bond yields (bottom left) issued by

Romania and Germany in recent months shows slight deterioration of

investor sentiment on Romania's country risk. This view is confirmed by the

CDS quotations evolution (top right).

However, during the last period, both CDS quotations and government bond

yields spreads for Romania compared to German BUNDs have decreased

slightly.

Source: Datastream, FSA’s calculations

5

Market risk: evolution of local and international stock indices

International and local stock indices yields Volatility indices

International indices 1 W 1 M 3 M

EA (EUROSTOXX) 1.04% 3.53% 6.58%

FR (CAC 40) 0.39% 1.71% 5.84%

DE (DAX) 1.56% 5.63% 9.48%

IT (FTSE MIB) 1.96% 0.92% 1.68%

GR (ASE) -1.37% -10.67% 3.63%

IE (ISEQ) 1.25% 6.41% 7.37%

ES (IBEX) 0.20% -0.11% 0.20%

UK (FTSE 100) 0.64% 0.16% 2.96%

US (DJIA) -0.14% 1.23% 6.87%

BSE indices 1 W 1 M 3 M

BET -2.94% -0.71% -0.91%

BET-BK -1.60% 0.48% 0.33%

BET-FI -1.02% 0.12% 0.15%

BET-NG 0.15% -0.77% -6.75%

BET-TR -2.94% -0.71% -1.00%

BET-XT -2.67% -0.53% -0.83%

BET-XT-TR -2.67% -0.53% -0.87%

BET Plus -2.72% -0.50% -0.72%

ROTX -2.73% 0.30% 0.65%

Sources: Bloomberg and Thomson Reuters Datastream, FSA’s calculations

International stock indices have shown predominantly positive developments on the short term (1 month) in contrast to the BSE indices. BET index has recorded

a 0.71% decrease, while BET-NG (composed of the companies traded on BSE which have the main business activity located in the energy sector and the related

utilities) has recorded a higher decrease (-0.77%).

6

Market risk: volatility of Romanian government bond yields and the EURRON currency rate

Volatility of Romanian government bond yields (LC)

The volatility for the zero yield gaps was computed at the end of the year and

on December 4th it indicates a reduced volatility of 3.9% for the 6-month

maturities, while for the other maturities of 2 to 5 years the volatility ranges

between 4.1% and 5.5%. The most reduced volatility was recorded for the 1

year maturity (3.3%). For comparability reasons, the yields were computed

according to the Fama-Bliss methodology.

The EURRON currency rate volatility maintained low a low level during this

month, with slight variations that ranged from wider fluctuations in the first

two weeks and a reduction in the last two weeks, which revealed a

depreciation trend of the EURRON rate.

The term structure of the forward rate for the EURRON currency with

maturities between one week and twelve months reveals the market

expectations with respect to the currency rate changes. The expectations

indicate a slow depreciation of the currency rate with respect to the previous

month.


Conditional volatility of the EURRON currency rate (annualized standard deviation) Term structure of EUR/RON forward rate

Source: Datastream, FSA’s calculations Source: Datastream, FSA’s calculations

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

6 months 1 year 2 years 3 years 4 years 5 years

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

FIGARCH-BBM methodology

4.4

4.5

4.6

1 week 1 month 2 months 3 months 6 months

11/4/2015 12/4/2015

7

Contagion risk

Volatility Heatmap Contagion Indices

Source: Datastream, FSA’s calculations Source: Datastream, FSA’s calculations

The contagion phenomenon in the returns for the Romanian stock exchange

and other representative European markets is significantly lower. On the long

run the transmission structure is constant.

In the last month the contagion index reduced to the level in August, which

also determined a smoothening of the short term trend and a possible

closure of the financial cycle according to the Christiano-Fitzgerald

asymmetric filter methodology.

Contagion trend in the long run (HP filter)


-8

-6

-4

-2

0

2

4

6

8

40

45

50

55

60

65

70

75

80

Contagion Index

Short term trend (HP filter)

Financial cycle - long term trend (Christiano-Fitzgerald asymmetric filter)

50

55

60

65

70

75

80

8

Liquidity risk on Romanian exchanges

The BSE Trading Activity (All the Segments) during November 2015 The SIBEX Trading Activity during November 2015

Week/month No. of transactions Volume Value

lei %

2-6 November 19,543 193,491,631 260,693,956.99 21.80%

9-13 November 27,139 373,448,144 618,442,426.82 51.72%

16-20 November 14,330 105,672,745 155,771,567.43 13.03%

23-27 November 14,131 90,163,583.00 160,936,134.88 13.46%

Total November 2015 75,143 762,776,103 1,195,844,086.12 100.00%

Week/month No. of

transactions Volume

Value

lei %

2-6 November 54 108 1,554,950 21.49%

9-13 November 55 165 2,624,552 36.27%

16-20 November 60 135 2,090,642 28.89%

23-27 November 49 76 966,754 13.36%

Total November 2015 218 484 7,236,898 100.00%

Source: BSE, FSA’s calculations Source: Sibex data, FSA’s calculations

The BSE’s Most Traded Companies during November 2015 (Only the Main Segment) Top of intermediaries during November 2015

Symbol Main market Deal Total

Value (lei) % Value (lei) % Value (lei) %

TLV 157,068,836.29 27.02% 34,596,383.74 22.16% 408,565,220.03 42.81%

FP 137,894,773.22 23.72% 30,500,000.00 19.54% 168,394,773.22 17.64%

SNG 67,340,373.00 11.58% 12,771,250.00 8.18% 80,111,623.00 8.39%

BRD 69,289,002.64 11.92% 5,675,572.44 3.64% 74,964,575.08 7.85%

EL 37,683,095.52 6.48% 19,098,364.28 12.23% 56,830,559.80 5.95%

SIF1 5,705,863.44 0.98% 36,745,835.00 23.54% 42,451,698.44 4.45%

TEL 22,195,084.90 3.82% 0.00% 22,195,084.90 2.33%

TGN 16,725,532.00 2.88% 5,022,540.00 3.22% 21,748,072.00 2.28%

SNP 16,324,017.86 2.81% 4,818,950.00 3.09% 21,142,967.86 2.22%

SIF2 11,299,943.54 1.94% 2,062,500.00 1.32% 13,362,443.54 1.40%

SIF5 4,411,162.22 0.76% 4,025,000.00 2.58% 8,436,162.22 0.88%

SIF3 6,958,183.00 1.20% 0.00% 6,958,183.00 0.73%

EBS 5,327,752.00 0.92% 0.00% 5,327,752.00 0.56%

SIF4 3,265,199.16 0.56% 0.00% 3,265,199.16 0.34%

MCAB 2,373,678.43 0.41% 554,400.00 0.36% 2,928,078.43 0.31%

Top 15 Total 98,14%

Rank Intermediary name Traded Value

(month level)

% from Total

Value

1 WOOD & COMPANY FINANCIAL SERVICES, a.s. PRAGA 814,398,148.54 42.66

2 SWISS CAPITAL S.A. 315,402,727.14 16.52

3 RAIFFEISEN BANK 226,281,204.15 11.85

4 IEBA TRUST 76,616,503.87 4.01

5 BT SECURITIES 67,281,708.68 3.52

6 KBC Securities N.V. 62,258,445.96 3.26

7 BANCA COMERCIALA ROMANA 53,453,199.28 2.8

8 TRADEVILLE 36,501,912.31 1.91

9 S.S.I.F. BROKER 31,424,038.44 1.65

10 CONCORDE SECURITIES LTD 30,045,558.55 1.57

11 ALPHA FINANCE ROMANIA 25,154,279.97 1.32

12 IFB FINWEST 23,726,026.80 1.24

13 BRD Groupe Societe Generale 23,474,386.90 1.23

14 INTERCAPITAL INVEST 13,364,935.67 0.7

15 S.S.I.F. BLUE ROCK FINANCIAL SERVICES S.A 13,052,013.07 0.68

Top 15 Total 94.92%

Source: BSE, FSA’s calculations Source: BSE, FSA’s calculations

The Market Capitalization on BSE during 2015 - Only Main segment

Source: BSE, ASF calculations

100

110

120

130

140

150

160

Billio

ns

lei

9

MSCI: Quantitative Indicators for Emerging Market Status

EM MSCI 1st Criterion: Market cap > 1.26 bn. USD

EM MSCI 2nd Criterion: Free float cap > 0.63 mld USD

EM MSCI 3rd Criterion: ATVR > 15%

Source: FSA’s calculations

0

2

4

6

8

Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15

Bil

lio

ns

US

D

BRD EL SNG SNP TLV MSCI Criterion

0.0

0.5

1.0

1.5


Bil

lio

ns

US

D


0%

10%

20%

30%

40%

50%



10

Risk assessment and the benefit of diversification

The degree of over or under-evaluation of Bucharest Stock Exchange compared with

the region The average correlation coefficient for the 25 most liquid companies traded on BSE

Absorption Rate

P/E forward ratio is calculated by dividing the share price to the net income

per share and indicates how much investors pay for earnings forecast for next

year. The risk of re-evaluation is calculated by dividing the P/E forward ratios

for different markets and indicates how much investors pay for the

anticipated next year in comparison with other another market. The ratio is

greater than one relative to Hungary and sub unitary with respect to the

Czech Republic, Poland, Germany and Austria, indicating that the capital

market in Romania is attractive from this point except Hungary.

The absorption rate is an early warning indicator of turbulence episodes. The

Absorption rate figure shows that the absorption rate based on the returns of

the 28 EU member states stock market indices had been raising prior to the

Asian equity market crash in August. In November, this indicator has

remained stable below long-term average at levels recorded during the

previous month. The absorption rate computed from the returns of sector

indices of the Romanian equity market displays a similar behaviour.


0.5

0.6

0.7

0.8

0.9

1

1.1

1.2

P/E forward

Romania/Hungary Romania/Czech Rep. Romania/Poland

Romania/Germany Romania/Austria

0.45

0.5

0.55

0.6

0.65

0.7

0.75

0.8

0.85

De

c-1

1

Fe

b-1

2

Ap

r-1

2

Jun

-12

Au

g-1

2

Oct

-12

De

c-1

2

Fe

b-1

3

Ap

r-1

3

Jun

-13

Au

g-1

3

Oct

-13

De

c-1

3

Fe

b-1

4

Ap

r-1

4

Jun

-14

Au

g-1

4

Oct

-14

De

c-1

4

Fe

b-1

5

Ap

r-1

5

Jun

-15

Au

g-1

5

Oct

-15

AR (Romania) AR (EU28)

11

Concentration risk

Concentration risk of non-life insurance undertakings

(by value of GWP in October 2015)

Concentration risk of life insurance undertakings

(by value of GWP in October 2015)

Source: FSA Romania Source: FSA Romania

Concentration risk of investment funds in Romania

(by net assets at 30.09.2015)

Concentration risk of intermediaries on the BSE

(by value of transactions during November 2015)


38

.97

%

42

.27

%

56

.89

%

63

.48

%

71

.33

%

80

.97

%

0.0908

0.1055

0.0800

0.0850

0.0900

0.0950

0.1000

0.1050

0.1100

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

October 2014 October 2015

CR3 CR5 CR7 HHI

67

.04

%

61

.62

%

78

.77

%

76

.82

%

87

.64

%

85

.06

%

0.2159

0.1592

0.0000

0.0500

0.1000

0.1500

0.2000

0.2500

0.00%

10.00%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

90.00%

100.00%

October 2014 October 2015

CR3 CR5 CR7 HHI

83

.37

%

62

.27

%

95

.77

%

75

.73

%

98

.51

%

86

.51

%

0.2806

0.2020

0.0930

0.1130

0.1330

0.1530

0.1730

0.1930

0.2130

0.2330

0.2530

0.2730

0.2930

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

120.00%

FDI FÎI

CR3 CR5 CR7 HHI

71

.03

%

78

.57

%

84

.63

%

0.2297

0.0930

0.1130

0.1330

0.1530

0.1730

0.1930

0.2130

0.2330

0.2530

60.00%

65.00%

70.00%

75.00%

80.00%

85.00%

90.00%

November 2015

CR3 CR5 CR7 HHI

12

Concentration risk of private pension funds

(by total assets at 04.12.2015)

According to the main indicators used by the Competition Council, the

concentration risk in the non-life insurance market is medium to high level

and ranked a moderate growth over the last year.

Moreover, the life insurance market concentration degree is high but steady

in the last year. The situation is similar in the case of private pension funds

market (Pillar II and Pillar both III), but explainable by objective reasons

related to their operating mechanism and the current state of the market.

Also on the capital market, both for OEIFs (although the number of

investment funds is high) and intermediaries on the BSE, the concentration

degree is medium to high due to the fact that top market participants sum up

a significant share of the total assets.

Profitability risk

Profitability risk of Financial Investment Services Companies Profitability risk of insurance undertakings


73

.14

%

68

.53

%

90

.71

%

85

.22

%

10

0.0

0%

94

.88

%

0.2256 0.2135

0.0930

0.1130

0.1330

0.1530

0.1730

0.1930

0.2130

0.2330

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

120.00%

Pilon II Pilon III

CR3 CR5 CR7 HHI

13

Solvency risk

Evolution of admitted liquid assets vs. Short term obligations. Liquidity coefficient evolution

Non-life insurance Life insurance


*Starting with July, Astra is not included in the liquidity coefficient calculus *Starting with July, Astra is not included in the liquidity coefficient calculus

Evolution of solvency ratio of insurance undertakings


The available solvency margin of the total insurance market at the end of the H1 2015 was 1.755 billion lei:

In the case of life insurance undertakings, the available solvency margin amounted 1,101,963,065 lei. The solvency ratio, calculated as the ratio between

the available solvency margin and the maximum between the minimum solvency margin and the safety fund was 2.55;

In the case of non-life insurance undertakings, the available solvency margin amounted 653,167,356 lei. The solvency ratio, calculated as the ratio

between the available solvency margin and the maximum between the minimum solvency margin and the safety fund was 0.54.

1.59 1.621.58 1.58

1.551.51

1.95 1.94 1.97 1.96

1.00

1.20

1.40

1.60

1.80

2.00

2.20

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000

Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15

Mil

lio

ns

lei

Total admitted liquid assets Short term obligations Liquidity coefficient

5.08

5.16

5.10

5.20

5.13 5.15

5.34

5.40

5.70

5.44

5.00

5.10

5.20

5.30

5.40

5.50

5.60

5.70

5.80

0

1,000

2,000

3,000

4,000

5,000

6,000


Mil

lio

ns

lei

Total admitted liquid assets Short term obligations Liquidity coefficient

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

30.06.2015 30.06.2014

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

30.06.2015 30.06.2014

14

Specific developments in the private pension funds sector: Mandatory pension funds (2nd Pillar)

Total assets, number of participants and return rates Evolution of total assets and net value of an individual account

Mandatory

Pension Fund

Total Assets (RON)

Dec. 4, 2015

Participants

(persons)

Nov. 2015

Annualized 24

months years

return rate

Nov. 2015

ALICO 3,426,733,327 909,056 7.4529%

ARIPI* 2,036,329,281 630,525 6.9613%

AZT VIITORUL TAU 5,318,466,980 1,457,978 4.5444%

BCR 1,489,267,624 537,199 7.7880%

BRD 758,906,465 303,201 7.5344%

NN 8,960,600,448 1,873,395 6.9494%

VITAL 2,217,549,794 797,764 7.7310%

Total 24,207,853,920 6,509,118 n/a

*Minimum return rate for high risk pension funds: 1.4885%

Minimum return rate for medium risk pension funds: 2.4885%

Weighted average return rate for all pension funds: 6.4299%

Source: FSA Source: FSA

Evolution of gross contributions New participants in 2nd

Pillar Age and sex structure of participants at

Nov. 30, 2015

Source: FSA

-

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

-

5,000

10,000

15,000

20,000

25,000

30,000

RO

N

Mil

lio

ns

RO

N

Total assets Pillar II (Mil. RON, left axis)

Average net value of an individual account (RON, right axis)

0

20

40

60

80

100

120

0

50

100

150

200

250

300

350

400

450

500

RO

N

Mil

lio

ns

RO

N

Gross contributions (Mil. RON)

Average contribution per participant with contributions (RON)

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

New participants (persons)

-

-

-

133,626

413,829

492,140

652,738

612,833

658,865

380,144

43,847

-

-

-

137,413

429,913

479,956

592,010

542,184

585,393

317,702

36,525

> 65 years

60 - 64 years

55 - 59 years

50 - 54 years

45 -49 years

40 - 44 years

35 - 39 years

30 - 34 years

25 - 29 years

20 - 24 years

< 19 years

Men Women

15


Mandatory pension fund’s portfolio at Nov. 30, 2015. Assets structure

Assets categories Assets value

Government bonds 16,251,499,666

Government bonds RO 16,173,301,659

Government bonds EU 78,198,006

Equity 4,588,118,315

Equity RO 4,097,572,290

Equity EU 490,546,025

Bank deposits RO 1,045,154,413

Corporate bonds 941,652,979

Corporate bonds RO 507,218,838

Corporate bonds EU 434,434,142

Investment funds 886,166,378

Investment funds RO 275,740,690

Investment funds EU 604,385,827

Commodities funds EU 6,039,860

Municipal bonds RO 362,830,025

Supranational bonds 257,834,740

Hedging RO 2,952,740

Other assets (28,393,774)

Total assets 24,307,815,481


Country exposure Currency exposure and risk hedging

Currency Exposure value (RON) % Total assets % Hedging

RON 21,174,463,745 87.11% -

EUR 2,785,577,190 11.46% 55.41%

USD 161,170,035 0.66% 5.21%

TRY 99,153,198 0.41% 79.69%

PLN 50,948,058 0.21% -

CZK 13,465,628 0.06% -

HUF 11,873,162 0.05% -

CHF 6,689,810 0.03% -

GBP 2,631,804 0.01% -

DKK 1,842,851 0.01% -


66.86%

18.88%

4.30%3.87%

3.65%1.49% 1.06%0.01%

-0.12%-1%

19%

39%

59%

79%

99%

Government bonds Equity Bank Deposits

Corporate bonds Investment funds Municipal bonds

Supranational bonds Hedging Other assets

Romania

92.42%

Supranational

bonds, other

assets

0.88%

Other countries

6.70%

Romania Deutschland France Ireland Austria UK

Luxemburg Turkey USA Poland Norway Italy

Slovenia Netherlands Russia Czech Rep. Hungary Switzerland

Spain Denmark Australia

16

Specific developments in the private pension funds sector: Optional pension funds (3rd Pillar)

Total assets, number of participants and return rates Evolution of total assets and net value of an individual account

Optional Pension Fund

Total Assets

(RON)

Dec. 4, 2015

Participants

(persons)

Nov. 2015

Annualized 24

months years

return rate

Nov. 2015

AEGON ESENTIAL 5,664,617 109 n/a

AVIVA PENSIA MEA 44,701,275 10,103 5.3421%

AZT MODERATO 165,498,680 36,779 4.2670%

AZT VIVACE* 66,113,241 20,480 4.8223%

BCR PLUS 210,471,438 111,655 7.0364%

BRD MEDIO 62,051,595 18,706 6.2277%

EUREKO CONFORT - 3,716 6.9526%

GENERALI STABIL 12,694,004 5,096 5.9896%

NN ACTIV* 139,416,163 37,525 5.7350%

NN OPTIM 467,806,873 124,155 5.3279%

RAIFFEISEN ACUMULARE 56,890,320 10,046 6.5967%

Total 1,231,308,206 378,370 n/a

*Minimum return rate for high risk pension funds: 1.4262%

Minimum return rate for medium risk pension funds: 1.6346%

*Weighted average return rate for high risk pension funds: 5.4262%

Weighted average return rate for medium risk pension funds: 5.6346%


Evolution of gross contributions New participants in 3rd

Pillar Age and sex structure of participants at

Nov. 30, 2015

Source: FSA

2,850

2,900

2,950

3,000

3,050

3,100

3,150

3,200

3,250

3,300

900

950

1,000

1,050

1,100

1,150

1,200

1,250

RO

N

Mil

. R

ON

Total assets Pillar III (Mil. RON, left axis)

Average net value of an individual account (RON, right axis)

0

10

20

30

40

50

60

70

0

5,000

10,000

15,000

20,000

25,000

RO

N

Mil

. R

ON

Gross contributions (thousands RON)

Average contribution per participant (RON)

-

1,000

2,000

3,000

4,000

5,000

6,000

Persons

952

8,296

22,410

23,388

37,691

29,441

28,468

21,687

12,855

2,384

100

290

3,062

22,377

26,065

41,562

31,994

27,904

22,870

12,508

2,008

58

> 65 years

60 - 64 years

55 - 59 years

50 - 54 years

45 -49 years

40 - 44 years

35 - 39 years

30 - 34 years

25 - 29 years

20 - 24 years

< 19 years

Men Women

17


Optional pension fund’s portfolio at Nov. 30, 2015. Assets structure

Assets categories Assets value (RON)

Government bonds 795,967,787

Government bonds RO 794,022,788

Government bonds EU 1,944,999

Equity 252,531,360

Equity RO 244,756,360

Equity EU 7,775,000

Corporate bonds 56,825,417

Corporate bonds RO 30,432,037

Corporate bonds EU 26,393,380

Bank deposits RO 47,890,893

Investment funds 34,405,066

Investment funds RO 1,956,535

Investment funds EU 32,448,531

Municipal bonds RO 31,563,147

Supranational bonds 18,004,203

Private equity funds EU 555,789

Hedging RO 510,066

Other assets (3,622,638)

Total Assets 1,234,631,090


Country exposure Currency exposure and risk hedging

Currency Exposure value (RON) % Total assets %

Hedging

RON 1,042,755,865.24 84.46% -

EUR 181,139,834.83 14.67% 69.07%

USD 5,223,552.50 0.42% 0.00%

TRY 3,613,962.94 0.29% 73.55%

PLN 1,897,859.07 0.15% -

HUF 14.86 0.00% -

CZK 0.13 0.00% -


64.47%

20.45%

4.60%3.88%

2.79%2.56%

1.46%0.04%

-0.29%-1%

9%

19%

29%

39%

49%

59%

69%

79%

89%

99%

Government bonds Equity Corporate bonds

Bank deposits Investment funds Municipal bonds

Supranational bonds Private Equity Hedging

Other assets

Romania

93.24%

Supranational

bonds, other

assets

1.16%

Other countries

5.60%

Romania Deutschland UK Austria Ireland

France Turkey Italy Poland USA

Norway Slovenia Luxemburg Spain Netherlands

18

Specific developments in the investment funds sector

Total assets by categories of UCI (RON bn.) 09/30/2015 Strategic allocation of UCI portfolios (RON bn.)


Investment portfolios by categories of UCI and classes of assets (RON mn.) Investment structure of Open-end funds and Closed-end funds by type of investors

TOTAL ASSETS: 09/30/2015 OEF CEF SIFs FP TOTAL

Shares 484.78 408.02 6,378.66 12,081.63 19,353.09

Bonds 13,124.87 207.45 125.80 - 13,458.12

Government securities 220.77 - - 130.94 351.71

Deposits and available funds 4,633.83 205.77 277.92 143.29 5,260.81

UCITS/OCIU units 914.72 122.68 584.79 - 1,622.19

Others 263.03 24.30 112.39 69.66 469.38


Assets structure by categories of Open-end funds and

Closed-end funds (RON)

Open-end funds market share according to investment

policy and net asset

Closed-end funds market share according to investment

policy and net asset

OEF according to

investitional policy

NET ASSET

08/30/2015

NET ASSET

09/30/2015

Equity funds 316,040,339.18 312,847,066.37

Diversified funds 427,508,186.10 425,083,231.24

Bond funds 17,855,053,819.33 17,873,421,587.31

Monetary funds 116,641,026.76 126,308,683.27

Other funds 890,807,359.74 904,335,801.21

T O T A L 19,606,050,731.10 19,641,996,369.40

CEF according to

investitional policy

NET ASSET

08/30/2015

NET ASSET

09/30/2015

Equity funds 296,090,923.77 277,110,246.34

Diversified funds 206,840,632.70 213,237,969.86

Bond funds 382,151,158.87 384,253,316.92

Monetary funds - -

Other funds 93,841,879.20 93,615,789.80

TOTAL 978,924,594.54 968,217,322.92

Source: FSA Source: FSA Source: FSA

19.64

0.97

7.48

12.43

0

3

6

9

12

15

18

21

Open-end funds Closed-end funds SIFs FP

19.42

13.16

0.37

5.40

1.64

19.35

13.46

0.35

5.26 1.62

-

5

10

15

20

25

Shares Bonds Government

securities

Deposits and

available funds

UCITS/OCIU units

8/30/2015

9/30/2015

0

100,000

200,000

300,000

400,000

Open-end funds Closed-end funds

308,168

91,23711,305

373

Natural persons

Legal persons

Equity funds,

1.59%

Diversified

funds , 2.16%

Bond funds ,

91.00%

Monetary

funds , 0.64%

Other funds ,

4.60%

Equity

funds,

28.62%

Diversified

funds ,

22.02%

Bond funds

, 39.69%

Other

funds ,

9.67%

19

Specific developments in the insurance market in Romania

Monthly evolution of gross written premiums and gross claims paid



*Starting with July, Astra’s GWP and GCP are not included *Starting with July, Astra’s GWP and GCP are not included

Non-life: Share of main insurance classes in total GWP in October 2015 Life: Share of main insurance classes in total GWP in October 2015


713

504

598548 568 552 544

463

528570

365313

367308

340 326 305269 284 300

0

100

200

300

400

500

600

700

800


Mil

lio

ns

lei

Gross written premiums Gross claims paid

133 135142 144

136148

162 160 158

180

15 14 14 14 14 14 15 13 11 14

0

20

40

60

80

100

120

140

160

180

200


Mil

lio

ns

lei

Gross written premiums Gross claims paid

Class III

25.07%

Class VIII

12.39%

Class X

51.91%

Class XIII

3.33%

Other classes

7.29%

Class AI

52%

Class AIII

46%

Other

classes

2%

20

Specific developments in the insurance market in Romania

Gross written premiums (GWP) for home insurance Gross claims paid (GCP) for home insurance


Evolution of gross written premiums for MTPL and MTPL share in total non-life

insurance GWP (Astra is not included for the last 3 months of Q3 2015) Evolution of combined ratio

Source: FSA Romania, author’s calculus

16.16 25.17

97.15 99.91

457.12474.88

267.32 259.26

0

50

100

150

200

250

300

350

400

450

500

Q3 2012 Q3 2013 Q3 2014 Q3 2015

Mil

lio

ns

lei

GWP - Mandatory household insurance GWP - Voluntary household insurance

0.22 0.13 1.35 3.37

62.61

46.67

38.81

45.66

0

10

20

30

40

50

60

70

Q3 2012 Q3 2013 Q3 2014 Q3 2015

Mil

lio

ns

lei

GCP - Mandatory household insurance GCP - Voluntary household insurance

1,565

2,204

0

500

1,000

1,500

2,000

2,500

Q2 2015 Q3 2015

Mil

lio

ns

lei

43.93

%

56.07

%

Q3 2015

MTPL Other insurance clases

0%

50%

100%

150%

200%

250%

Q3 2015 Q3 2014

21

Press releases and publications of European and international financial institutions in November

EUROPEAN UNION

5 November: EU Autumn 2015 Economic Forecast: Moderate recovery despite challenges

16 November: Council adopts transparency rules on securities financing transactions

25 November: Agreement between the European Parliament and the Council on a Regulation of financial benchmarks.

26 November: The start of the 2016 European Semester

ECB

11 November: Speech by Mario Draghi- Cross-border markets and common governance

20 November: Speech by Mario Draghi- Monetary policy: past, present and future

25 November: Financial Stability Review

25 November: Spillovers from the ECB`s non-standard monetary policies on non-euro area EU countries

ESAs 11 November: Joint Consultation Paper on PRIIPs Key Information Documents

11 November: Implementing Technical Standards on credit assessments by External Credit Assessment Institutions.

ESMA

5 November: Consultation paper on indirect clearing under EMIR and MiFIR

10 November: Regulatory Technical Standards on central clearing of Interest Rate Swaps

13 November: Review of the Regulatory and Implementing Technical Standards on reporting under Article 9 of EMIR

17 November: EU database on suspensions and removals from trading

17 November: Discussion Paper on the validation and review of Credit Rating Agencies methodologies

EIOPA

2 November: Consultation paper on the Guidelines on product oversight & governance arrangements by insurance undertakings and

insurance distributors

16 November: Online industry survey on the attractiveness of a Pan-European Personal Pension Product

19 November: Call for Evidence on the treatment of infrastructures corporates under Solvency II.

IOSCO 10 November: Final Report on Standards for the Custody of CIS Assets

24 November: CPMI-IOSCO consultative paper Guidance on cyber resilience for financial market infrastructures

IAIS 25 November: Public Consultations on Assessment Methodology for Global Systemically Important Insurers, Non-Traditional Non-Insurance

Activities

IMF 15 November: Central, Eastern and Southeastern Europe reconciling Fiscal Consolidation and Growth

FSB 2 November: Updated list of global systemically important insurers (G-SIIs)

9 November: Report on Implementation and Effects of the G20 Financial Regulatory Reforms

http://europa.eu/rapid/press-release_IP-15-5996_en.htm?locale=en

http://www.consilium.europa.eu/en/press/press-releases/2015/11/16-shadow-banking-rules-securities-financing-transactions/

http://europa.eu/rapid/press-release_STATEMENT-15-6169_en.htm?locale=en

http://europa.eu/rapid/press-release_MEMO-15-6070_en.htm?locale=en

https://www.ecb.europa.eu/press/key/date/2015/html/sp151111.en.html

https://www.ecb.europa.eu/press/key/date/2015/html/sp151120.en.html

https://www.ecb.europa.eu/pub/pdf/other/financialstabilityreview201511.en.pdf?5c1f4fa2c0b5b86fff9bade1613be48c

https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1869.en.pdf?e537966259dd1344b3de8635d9591b64

https://www.esma.europa.eu/news/ESAs-consults-PRIIPs-Key-Information-Documents?t=326&o=home

http://www.eba.europa.eu/-/esas-define-risk-weights-for-credit-ratings-in-the-eu

https://www.esma.europa.eu/news/ESMA-consults-indirect-clearing-arrangements?t=326&o=home

https://www.esma.europa.eu/news/ESMA-proposes-central-clearing-Norwegian-Polish-and-Swedish-interest-rate-swaps?t=326&o=home

https://www.esma.europa.eu/news/ESMA-updates-EMIR-standards-data-reporting?t=326&o=home

https://www.esma.europa.eu/news/MiFID-ESMA-makes-available-pan-EU-data-suspensions-and-removals-trading-0?t=326&o=home

https://www.esma.europa.eu/news/ESMA-consults-validation-and-review-CRAs%E2%80%99-methodologies?t=326&o=home

https://eiopa.europa.eu/Pages/Consultations/EIOPA-CP-15-008-Consultation-Paper-on-POG-Guidelines-for-insurance-undertakings-and-insurance-distributors-.aspx

https://eiopa.europa.eu/Pages/Consultations/EIOPA-CP-15-008-Consultation-Paper-on-POG-Guidelines-for-insurance-undertakings-and-insurance-distributors-.aspx

https://eiopa.europa.eu/consumer-protection/online-industry-survey-on-the-attractiveness-of-a-pan-european-personal-pension-product

https://eiopa.europa.eu/Pages/News/EIOPA-seeks-evidence-on-the-treatment-of-infrastructure-corporates.aspx

https://www.iosco.org/news/pdf/IOSCONEWS405.pdf

https://www.iosco.org/news/pdf/IOSCONEWS406.pdf

http://iaisweb.org/index.cfm?event=getPage&nodeId=25295

http://iaisweb.org/index.cfm?event=getPage&nodeId=25295

http://www.imf.org/external/pubs/ft/reo/2015/eur/eng/pdf/rei1115.pdf

http://www.financialstabilityboard.org/2015/11/fsb-publishes-the-2015-update-of-the-g-sii-list/

http://www.financialstabilityboard.org/wp-content/uploads/Report-on-implementation-and-effects-of-reforms-final.pdf

22

Conducted by:

Strategy and Financial Stability Department

Market Analysis and Statistics Unit

Disclaimer

This report is a monthly bulletin of information and analysis on key events and developments on the markets regulated and

supervised by Romanian FSA.

This report is built based on the latest information available at the time of writing, but some statistical data are provisional and

shall be reviewed in the FSA’s subsequent publications. Due to the rounding, the totals may not match exactly the amount of components, or small differences may occur by reference to the percentage changes indicated in charts or tables.

All rights reserved.

Reproduction of the information for non-commercial and educational purposes is only allowed with acknowledgement of the

source.

Financial Supervisory Authority

15 Spaiul Independentei Street, 5th District,

Postal code 050092, Bucharest

[email protected]

www.asfromania.ro