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.
Source: Datastream, FSA’s calculations
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)
Source: Datastream, FSA’s calculations
-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
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%
10%
20%
30%
40%
50%
Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15
BRD EL SNG SNP TLV MSCI Criterion
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.
Source: Datastream, FSA’s calculations
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)
Source: FSA Romania Source: FSA Romania
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
Source: FSA Romania Source: FSA Romania
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
Source: FSA Romania Source: FSA Romania
*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
Non-life insurance Life insurance
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
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
-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
Specific developments in the private pension funds sector: Mandatory pension funds (2nd Pillar)
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
Source: FSA Source: FSA
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% -
Source: FSA Source: FSA
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%
Source: FSA Source: FSA
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
Specific developments in the private pension funds sector: Mandatory pension funds (2nd Pillar)
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
Source: FSA Source: FSA
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% -
Source: FSA Source: FSA
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.)
Source: FSA Source: FSA
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
Source: FSA Source: FSA
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
Non-life insurance Life insurance
Source: FSA Romania Source: FSA Romania
*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
Source: FSA Romania Source: FSA Romania
713
504
598548 568 552 544
463
528570
365313
367308
340 326 305269 284 300
0
100
200
300
400
500
600
700
800
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15
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
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15
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
Source: FSA Romania Source: FSA Romania
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
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
www.asfromania.ro