Financial Supervisory Authority Local capital market had positive evolutions based on low volatility, in

trend with European and international markets.

Romanian European economic index increased in January 2017.
Monthly Market Report Capital market correlations decreased in 2017 for Romania related to
Deutschland and UK.
Investment funds industry had a 3.8% growth in 2016 compared to
December 2015 (EUR)
ASF No. 2 / 16.02.2017

Romanian capital markets are attractive compared to the region from a

valuation perspective

Macroeconomic background in Romania

Macroeconomic risk in Romania

Market risk

Contagion risk

Liquidity risk

Valuation risk

Concentration risk

Specific developments

Press releases and publications

 Macroeconomic background in Romania: development of the real sector, inflation and labour market
Indicators 2014 2015 Q4_15 Q1_16 Q2_16 Q3_16 According to the NIS flash estimates, GDP advanced in the fourth quarter of
Real economic growth 3.1 3.8 3.8 4.3 6.0 4.3
Gross domestic product (billion Lei) 668.1 712.8 212.1 146.7 178.9 207.5
2016 to 4.7% (year on year), compared with 4.3% in the previous quarter, leading
Current account balance* -0.5 -1.1 -0.5 -0.3 -1.0 -0.4 to a yearly average increase of 4.8% for 2016, in line with the official forecasts of
Public budget balance (ESA2010)* -0.9 -0.7 -1.2 -0.5 -0.6 -0.1 National Commission for Prognosis (NCP) (4.8%) and European Commission
Non-residents' direct investment* 1.6 1.9 0.4 0.4 0.9 0.6 (4.9%). The accelerating of GDP in the latter part of the year is explained by the
Government debt* 39.4 37.9 37.9 37.2 36.7 36.3 positive effect of industry and services, which offset the severe downturn in
External debt* 63.6 57.4 57.4 55.4 55.2 54.2
construction works.
Annual inflation rate (%, end of period) 0.83 -0.93 -0.93 -2.98 -0.70 -0.57
ILO unemployment rate (%) 6.8 6.8 6.6 6.6 5.9 5.7
Non-residents' direct investments amounted to 4.1 billion euros in 2016 (2.4% of
* % GDP (ratio was calculated taking into account GDPs achieved in the last 4 quarters) GDP), with 17.9% higher than the level of the previous period, and current account
According to NIS available data, private consumption whose volume increased by 9.0% deficit (-2.4% of GDP) and cash budget deficit (-2.4% of GDP) were positioned
in January-September 2016, strengthened disposition as driver of economic growth, within sustainable limits. The ILO unemployment rate decreased to 6,0% during
contributing by 5.6 percentage points to GDP dynamics (+4.8%). the period under review, with high values (21%) for persons aged 15-24 years
The annual growth rate of gross fixed capital formation slowed down to 4.2% (from (22% of the total of unemployed).
7.4% in the first semester) amid the fall in investments in capital repair works and The confidence in economy over the short term remains optimistic, the economic
the deceleration of the new construction works. sentiment indicator (DG ECFIN) registering an increase of 1.2 points in January,
Given the increase in domestic absorption, external sector maintained its negative due to improving perception on industry (+0.2 points) and services (+2.3 points).
contribution to GDP growth to -1.4 percentage points, due to the significantly higher On the medium term, the winter forecast of NCP anticipates an advance of the
increase of imports volume (+10.2%) compared to exports (+7.0%) economy with 5.2% in 2017 and 5.5% in 2018, compared to the EC forecast of 4.4%
The annual inflation rate reached at the end of the year -0,54%, slightly below the and 3.7% for the same period. Also, EC estimated the likely increase of the current
forecasted level (-0,37%), price decreases being recorded to non-food products account deficit and the budget deficit to the level of 2.9% and respectively 3.6%
(-0.87%) and services (-1,83%), due to the effect of reduced VAT for this items in of GDP in 2017, in the context of fiscal easing measures and excess demand. Conversely, the
January 2016. inflationist pressures will augment up to the average of 1.6-2.9% in 2017-2018.
Contribution to change in real GDP (demand side) in 1.I-30.IX 2013-2016 Real GDP development in 2015-2018
2015 Q1_16 Q2_16 Q3_16 Q4_16 2017f 2018f
6.0
4.8 EU - 28 2.1 1.8 1.8 1.9 1.8 1.8 1.8
5.0 Euro area 1.7 1.7 1.6 1.8 1.7 1.6 1.8
3.7
4.0 Romania 3.8 4.1 5.8 4.4 4.8 4.4 3.7
2.8 3.0
3.0 Bulgaria 3.0 3.4 3.6 3.4 3.4 2.9 2.8
Hungary 2.9 1.4 2.3 2.0 1.5 3.5 3.2
2.0
Poland 3.6 2.8 3.2 2.3 3.1 3.2 3.1
1.0 Czech Republic 4.2 3.0 2.6 1.9 1.7 2.6 2.7
0.0 Germany 1.7 1.9 1.8 1.7 1.8 1.6 1.8
-1.0 United Kingdom 2.3 1.8 2.0 2.2 2.2 1.5 1.2
France 1.3 1.2 1.1 0.9 1.1 1.4 1.7
-2.0
Spain 3.2 3.4 3.4 3.2 3.0 2.3 2.1
2013 2014 2015 2016
Italy 0.8 1.0 0.9 1.1 1.1 0.9 1.1
Private consumption Public consumption
Gross fixed capital formation Change in stocks Source: Eurostat - Percentage change compared with the same quarter of the previous year-seasonally
Source: National Institute of Statistics; FSA calculations adjusted data; European Commission, Winter forecast 2017

2
 Macroeconomic background in Romania: development of the real sector, inflation and labor market
Aggregate supply indicators continued their upward trend in December, but with a The economic sentiment index in EU
reduced pace for industry to 3.6% compared with 5.4% in the previous month. The 120.0
mitigation of the annual dynamics was observed in sectors with supportive potential,
among which the manufacture of motor vehicles (+15.6%), hydrocarbon processing 115.0
(+17.0%) and chemical products industry (+10.6%), simultaneously with a restriction 110.0
of activity in the consumer goods industry (food, beverages, tobacco products,
clothing, leather). As for market services provided to enterprises, the turnover 105.0
increased by 9.3%, but with a dynamics slowdown of information technology 100.0
services (+16.1%), transports (+9.8%) and communication (+0.3 %), partly due to the
base effect, compared with December of the previous year. The construction works 95.0
continued the downward trend in December (year on year) up to (-27.7%) influenced 90.0
by the negative contribution of capital repair works (-41.0%) and new construction

Mar.15

Sep.16
Jan.15

May.15

Sep.15

Jan.16

Mar.16

May.16

Jan.17
Nov.15

Nov.16
Jul.15

Jul.16
works (-33.3%). As regards the domestic demand, sales in retail trade rose by 7.2%,
recording a slight deceleration process on account of the sales of food products and EU - 28 Romania Poland Hungary Germany
beverages, which for the first time, were reduced by 0.4% in December. Source: Eurostat
Main sector indicators (annual rate of change, %) Inflation, monthly data (annual rate of change)
20.0
2
10.0 0
0.0 -2
-10.0 -4
-20.0 -6
-30.0 -8
Dec.15 Feb.16 Apr.16 Jun.16 Aug.16 Oct.16 Dec.16 Feb.15 Apr.15 Jun.15 Aug.15 Oct.15 Dec.15 Feb.16 Apr.16 Jun.16 Aug.16 Oct.16 Dec.16
Industrial production Construction works Retail trade Services for enterprises CPI inflation Food goods Non-food goods Services
Source: National Institute of Statistics; FSA calculations
Development of current account by main components (billion euro) Development of external debt by sectors (billion euro)
2000 6 120
1000 4 100
2 80
0
0 60
-1000
-2
40
-2000 -4
20
-3000 -6
0
Q2-14
Q3-13

Q4-13

Q1-14

Q3-14

Q4-14

Q1-15

Q2-15

Q3-15

Q4-15

Q1-16

Q2-16

Q3-16

Q3-14
Q3-13

Q4-13

Q1-14

Q2-14

Q4-14

Q1-15

Q2-15

Q3-15

Q4-15

Q1-16

Q2-16

Q3-16
Secondary income Primary income
Goods and services Current Account (%Q-GDP) Private Sector General Government Central Bank
Source: NBR Source: NBR

3
 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

Romania 5-Year bond yields reached an average value of 2.52% in January (2.51% in December). Germany continues to sell 5Y debt at negative yield last month the
government bond yields remained at a low level (-0.46%).
In January, CDS quotations decreased for all countries, except France. Romanian CDS quotations have dropped by more than 3% mom in January and reached an average
value of 106.78 bp, while France CDS quotations continued to increase in January as compared to the previous month (+4%).

Market risk: evolution of local and international stock indices

International and local stock indices yields
International indices 1W 1M 3M BSE indices 1W 1M 3M Most of the international stock indices decreased in January as
EA (EUROSTOXX) -1.40% -1.06% 5.34% BET 3.39% 6.11% 10.38% compared to the previous month. DAX index (Germany) gained 0.5%
FR (CAC 40) -1.68% -2.33% 5.31% BET-BK 3.60% 6.61% 9.56% mom in January, closing the trading day at 11535.31 points, while the
worst performer was ASE index (Greece), which dropped by 5% mom in
DE (DAX) -0.51% 0.47% 8.16% BET-FI 1.82% 5.50% 9.24%
January.
IT (FTSE MIB) -4.66% -3.35% 8.56% BET-NG 3.91% 9.36% 15.58%
GR (ASE) -5.38% -4.95% 3.49% BET-TR 3.39% 6.11% 10.38% BSE indices increased (1 month). The best performer was BET-NG index
(+9.36%).
IE (ISEQ) -1.83% -1.92% 8.11% BET-XT 3.15% 5.83% 10.43%
ES (IBEX) -0.77% -0.39% 1.88% BET-XT-TR 2.77% 5.44% 10.03%
UK (FTSE 100) -0.72% -0.61% 2.08% BETPlus 3.48% 6.16% 10.10%
US (DJIA) -0.24% 0.51% 9.49% ROTX 2.82% 5.14% 7.39%
Source: Datastream, FSAs calculations

4
 Market risk: Evolution of risk-adjusted returns
Dynamics of risk-adjusted returns: Romania vs. Central and Eastern Europe
0.25
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
-0.25
Nov-14

Jun-15

Nov-15

Jun-16

Nov-16
Nov-16
Dec-14

Dec-15
Dec-15

Dec-16
Oct-14
Oct-14

Jul-15
Jul-15

Oct-15
Oct-15

Jul-16
Jul-16

Oct-16
Sep-14

Feb-15

Apr-15

Sep-15

Feb-16
Feb-16

Apr-16
Apr-16

Sep-16
Sep-16
May-15
May-15

Aug-15

May-16

Aug-16
Jan-15
Jan-15

Mar-15
Mar-15

Jan-16

Mar-16

Jan-17
Jan-17
Czech Rep. Hungary Poland Romania

Dynamics of risk-adjusted returns: Romania vs.Austria and Germany

0.4

0.3

0.2

0.1

-0.1

-0.2

-0.3
Dec-14

Dec-15

Dec-15

Dec-16
Nov-14

Jun-15

Jul-15

Jul-15

Nov-15

Jun-16

Jul-16

Jul-16

Nov-16

Nov-16
Oct-14

Oct-14

Oct-15

Oct-15

Feb-16

Aug-16

Oct-16
Sep-14

Feb-15

Apr-15

Sep-15

Feb-16

Apr-16

Apr-16

May-16

Sep-16

Sep-16
Mar-15

Mar-15

May-15

May-15

Aug-15

Mar-16
Jan-15

Jan-15

Jan-16

Jan-17

Jan-17
Romania Germany Austria
Source: Datastream, FSAs calculations
The graphs above show the dynamics of the Sharpe ratio estimated using a 6 months rolling windows for the period March 2012 - January 2017.
The risk-adjusted returns for Romanian and the main Central and Eastern European markets tend to follow the same trend, with rallies during March August 2015
and shrinkages that culminated with episodes of significant negative returns, especially for Poland. The last month of 2016 witnessed a slide of the risk-adjusted
performances for all the countries in our analysis, reflecting difficulties in the discounting future political trends and brief upward moves at the end of the sample.

5
 Market risk: volatility of Romanian government bond yields and the EURRON currency rate
The term structure of the forward rate for the EURRON exchange rate with maturities between one week and twelve months shows the market expectations. There are
expectations of EUR/RON depreciation for all maturities with respect to the previous month (RON appreciation).
The EUR/RON exchange rate volatility remained low in January 2017 but increased sharply in February as the EUR/RON exchange rate depreciated due to the political
instability generated by a government decree that would have decriminalized misconduct of public officials.
The exchange rate has reached a new equilibrium level above 4.5 EUR/RON (indirect quotation) with a tendency to increase in volatility over the next month up to 4%.

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

7% FIGARCH-BBM model 4.62

4.6
6%

4.58
5%
4.56
4%
4.54

3% 4.52

2% 4.5

4.48
1%
4.46

4.44
1 week 1 month 2 months 3months 6 months 9 months 12 months
Conditional volatility of the EURRON exchange rate (annualized std.dev)
1/31/2017 12/30/2016 1/29/2016
Conditional volatility of the EURRON exchange rate (MA20)

Source: Datastream, FSAs calculations

6
 Market risk: financial markets fragility
Turbulence Index
7

5
The turbulence index for January 2017 keeps a reduced level especially as opposed
4
to the one from June, when it had a huge jump as result of the increase in the
3 volatility of stock market indices post-Brexit referendum. Since July we witness the
2 realm of calmenss as macroeconomic indicators are still perceived as weak proofs
for the unticipated possible negative long-term trend flagged by Brexit opponents.
1

Calmness Turbulence

Stock Market Absorption Ratio

0.83

0.81 The absorption ratio is computed based on stock market index data for the EU 28,
0.79 for the time interval that covers December 2014 to January 2017. We notice a
general upward trend with the tendency to poise at the highest levels in the last
0.77
two months. We use the absorption ratio for the EU 27 (without Romania) to
0.75
measure the contribution of the Romanian stock market and we depict its relevance
0.73 by comparison with the index for EU 28. The former indicator hovers above the EU
0.71 28 indicator for the whole period, which supports the view that, when included in
the index, the Romanian stock market contributes to the abatement of the level of
0.69
systemic risk spawn in the European stock markets and it provides diversification
0.67
benefits.
0.65

Absorption Ratio for EU Absorption Ratio for UE w/o Romania

Source: Datastream, FSAs calculations

7
 Market risk: financial markets fragility
Changes in Stock Market Absorption Ratios
2.5 3
2
1.5
2 We notice a reduction of this difference in the last three months, as the effects of
1
the Brexit referendum unraveled. The chart exhibits the dynamics of the shocks that
1
caused the trends of these indicators, i.e. the standardized changes of the two
0.5
indicators. The chart reflects the fact that the increase in the AR for EU28 is steady
0 0
starting with April 2016. A rebound followed the reduction of the change at the end

Dec-16
May-15

May-16
Jun-15

Nov-15
Dec-15

Jun-16

Nov-16
Sep-15
Jul-15

Oct-15

Jul-16

Oct-16
Feb-15

Apr-15

Feb-16

Apr-16

Sep-16
Aug-15

Aug-16
Jan-15

Mar-15

Jan-16

Mar-16

Jan-17
-0.5
-1
of May. We can interpret the evolution of the differences for the EU 27 as proof of
-1
increase in the diversification opportunities that our market provides for
-1.5
-2 international investors for the intervals February May 2016 and December 2016
-2 January 2017.
-2.5 -3

Changes in the Differences between Absorption Ratios with and w/o Romania
Changes in Absorption Ratio for EU

Source: Datastream, FSAs calculations

Contagion risk
Spillover Indices
80 70
The Spillover index measures the marginal contribution of the external capital
75 60
markets on the Romanian stock exchange. On average the Romanian market
70 50
receives 40% spillover in returns from the European capital market mainly from
Austria, Poland and Germany. There is a strong link between the spillover effect 65 40
and the companies returns, since the increase in the spillover tends to diminish 60 30
the returns of the companies listed on Bucharest Stock Exchange. The spillover 55 20
index had remained low in January mainly due to the forward guidance of FED
50 10
which had a positive impact on the financial markets. Higher oil price boosted
45 0
the US economy and led to a decrease in financial contagion across financial
markets as commodity prices remained subdued.

Spillover index
Trend Spillover index (Hodrick-Prescott filter)
Crude Oil-WTI Spot Cushing U$/BBL
Source: Datastream, FSAs calculations

8
 0
0.1
0.2
0.3
0.5
0.6
0.7

0.4

0.55
0.65
0.75
0.85
0.95

0.45
Jan-12 Jan-12

Mar-12 Mar-12

May-12 May-12

Jul-12 Jul-12

Sep-12 Sep-12

Nov-12 Nov-12

Jan-13 Jan-13

Mar-13 Mar-13

May-13 May-13

Jul-13 Jul-13

Sep-13 Sep-13

Germany - France
Nov-13 Nov-13
Germany - Romania

Jan-14 Jan-14

Mar-14 Mar-14

May-14 May-14

Jul-14
Jul-14

Sep-14
Sep-14
Romania - France

Germany - The Netherlands

Contagion risk

Nov-14
Nov-14

Source: Datastream, FSAs calculations

Jan-15
Jan-15

Mar-15
Mar-15

May-15
Stock Market Correlations for Romania, Germany and UK

May-15

Jul-15
Stock Market Correlations for Germany, France, Netherlands and UK

Jul-15

Sep-15
Sep-15
Germany - United Kingdom
Romania - United Kingdom

Nov-15
Nov-15

Jan-16
Jan-16

Mar-16
Mar-16

May-16
May-16

Jul-16
Jul-16

Sep-16
Sep-16

Nov-16
Nov-16

Jan-17
Jan-17
9
 Liquidity risk on Romanian stock exchanges
The BSE Trading Activity (All the Segments) during January 2017 The SIBEX Trading Activity during January 2017
No. of Value No. of Value
Week/month Volume Week/month Volume
transactions EUR % transactions EUR %
3-6 January 2017 14,697 181,574,275 32,032,921 20.11% 3-6 January 2017 68 296 467,313 23.39%
9-13 January 2017 18,618 222,836,545 45,264,074 28.42% 9-13 January 2017 72 245 682,130 34.14%
16-20 January 2017 15,922 106,968,054 28,013,842 17.59% 16-20 January 2017 44 226 209,969 10.51%
23-27 January 2017 16,131 175,698,540 39,232,919 24.64% 23-27 January 2017 65 209 547,301 27.39%
30-31 January 2017 6,672 26,203,041 14,711,649 9.24% 30-31 January 2017 25 87 91,194 4.56%
Total January 2017 72,040 713,280,455 159,255,405 100.00% Total January 2017 274 1,063 1,997,907 100.00%

Source: BSE, FSAs calculations; BNR - monthly average exchange rate for IAN.2017=4.5016 Source: Sibex data, FSAs calculations

The BSEs Most Traded Companies during January 2017 (Only the Main Segment) Top of intermediaries during January 2017
Main market Deal Total Traded Value % from Total
Symbol
Value (EUR) % Value (EUR) % Value (EUR) % Rank Intermediary name (month level) Value (month
TLV 23,386,992 17.59% 8,399,696 33.92% 31,786,688 20.15% EUR level)
FP 27,661,817 20.80% 2,333,976 9.42% 29,995,793 19.01% 1 WOOD & COMPANY FINANCIAL SERVICES, a.s. PRAGA 78,560,894 24.87%

SNP 20,061,973 15.09% 2,218,027 8.96% 22,279,999 14.12% 2 RAIFFEISEN BANK 47,792,147 15.13%

SNG 14,633,897 11.00% 756,530 3.05% 15,390,427 9.76% 3 SWISS CAPITAL S.A. 33,453,978 10.59%

BRD 10,186,081 7.66% 2,183,369 8.82% 12,369,451 7.84% 4 IEBA TRUST 32,349,886 10.24%

TGN 8,854,906 6.66% 454,880 1.84% 9,309,787 5.90% 5 BANCA COMERCIALA ROMANA 24,773,351 7.84%

EL 7,999,163 6.01% 901,635 3.64% 8,900,798 5.64% 6 BT CAPITAL PARTNERS 24,197,512 7.66%

M 4,154,320 3.12% 4,077,951 16.47% 8,232,270 5.22% 7 CONCORDE SECURITIES LTD 12,606,197 3.99%

TEL 1,834,443 1.38% 1,338,569 5.41% 3,173,011 2.01% 8 TRADEVILLE 12,583,570 3.98%

MCAB 2,591,383 1.95% 0 0.00% 2,591,383 1.64% 9 SSIF BRK FINANCIAL GROUP S.A. 6,561,719 2.08%

SIF1 340,463 0.26% 1,633,219 6.60% 1,973,682 1.25% 10 BRD Groupe Socit Gnrale 5,053,413 1.60%

SNN 1,597,726 1.20% 0 0.00% 1,597,726 1.01% 11 PRIME TRANSACTION 5,045,609 1.60%

SIF2 1,558,026 1.17% 0 0.00% 1,558,026 0.99% 12 IFB FINWEST 4,927,958 1.56%

COTE 1,301,610 0.98% 0 0.00% 1,301,610 0.83% 13 INTERCAPITAL INVEST 4,148,877 1.31%

SIF3 1,023,066 0.77% 0 0.00% 1,023,066 0.65% 14 RAIFFEISEN CENTROBANK AG 3,974,966 1.26%

Top 15 Total 96,03% 15 ALPHA FINANCE ROMANIA 3,642,079 1.15%

Top 15 Total 95,61%
Source: BSE, FSAs calculations Source: BSE, FSAs calculations

10
 Liquidity risk on Romanian stock exchanges
The Market Capitalization on BSE during January 2017 - Only Main segment
34,400
34,200
34,000
33,800
Millions EUR

33,600
33,400
33,200 Market Capitalization EUR
33,000
32,800
32,600
32,400

Source: BSE, ASF calculations

The analysis of liquidity at the Bucharest Stock Exchange relies on data with daily frequency for the 25 financial assets that compose the BET-XT, extracted from the
Bloomberg platform for the period January 2012 - January 2017. The data employed for this analysis accounts for the difference between Bid and Ask prices, the volume
of transactions and last daily prices. Based on these data four instruments for measuring liquidity were built: the difference Bid-Ask percentage volume of transactions,
the gauge of illiquidity according to Amihud (2002) and the rate of liquidity as computed by Hui, Heubel (1984). These indicators were calculated for each of the 25
financial assets and based on these values composite indices were estimated by means of the weights of each asset in the BET-XT.
We notice an increase of liquidity at the beginning of 2014 and generally an abatement ever since with a tendency towards a rise acknowledged lately. The noteworthy
moments are in September and October 2015, a rebound in December followed by a general downward trend. The last four months featured an increase, driving the
liquidity index to the highest levels from more than one year.
PCA-Liquidity Index all period PCA-Liquidity Index last month
100 100
90 90
80 80
70 70
60 60
50 50
40 40
30 30
20 20
10 10
0 0

Source: Bloomberg, FSAs computations

11
 Liquidity criteria according to FTSE
Turnover velocity
20% Turnover velocity is a liquidity indicator used by FTSE to classify countries in
18% the categories of frontier, emerging or advanced markets. The analysis of the
16% indicator during the period January 2010-January 2016 shows a significant
14% increase of the liquidity starting with 2011 (Fondul Proprietatea was listed on
BVB) and a gradual decline from January 2012 as the positive effects
12%
dissipate. At the end of the year 2013, the ascending tendency was resumed
10%
but more slowly.
8%
In accordance with the FTSE methodology, Romania must reach the threshold
6%
of 15% in order to be updated in the category of emerging markets (for the
4% time being, the indicator is about 7%).
2% In September 2016, FTSE included Romania on the Watch List to possible
0% classify to Emerging Market status but mentioned that the country still fails
to meet the Turnover Velocity criterion.

Last 12 months (Average) Last 12 months (Absolute)

Source: BVB, FSA data, FSAs calculations

Average daily turnover Average Daily Volume

60,000

Thousands
2,500 BRD

2,124 TLV 50,000 46,461

2,000 EL 52,143
43,496
SNG 40,000

1,500 SNP
1,319
30,000
Thousands USD

TGN
32,083
1,000 SNN 26,680
20,000
TEL
485 500
437
500 COTE 10,000
309
194
BVB
30 53 10
0 0
BRD TLV EL SNG SNP TGN SNN TEL COTE BVB 2013 2014 2015 2016 Jan-17

Source: FSA data, FSAs calculations Source: BSE, FSAs calculations

12
 MSCI: Quantitative Indicators for Emerging Market Status
EM MSCI 1st Criterion: Market cap > 1.26 bn. USD

6
Billions USD

5
4
3
2
1
0
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

BRD EL SNG SNP TLV MSCI Criterion

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

2.0
Billions USD

1.5
1.0
0.5
0.0
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

BRD EL SNG SNP TLV MSCI Criterion

EM MSCI 3rd Criterion: ATVR > 15%

80%

60%

40%

20%

0%
Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

BRD EL SNG SNP TLV MSCI Criterion

Source: ASF Calculations January31, 2017

13
 MSCI: Quantitative Indicators for Emerging Market Status
BRD - Indicators' variation to MSCI criterion EL - Indicators' variation to MSCI criterion
1,000,000,000 25% - 60%
800,000,000 20% (50,000,000) 50%
600,000,000 15% (100,000,000) 40%
400,000,000 10% (150,000,000) 30%
200,000,000 5% (200,000,000) 20%
- 0% (250,000,000) 10%
(200,000,000) -5% (300,000,000) 0%
(400,000,000) -10% (350,000,000) -10%
Dec-14

Dec-15

Dec-16

Dec-14

Dec-15

Dec-16
Jun-15
Jul-15

Nov-15

Jun-16
Jul-16

Nov-16

Jun-15
Jul-15

Nov-15

Jun-16
Jul-16

Nov-16
Oct-15

Oct-16

Oct-15

Oct-16
Feb-15

Apr-15

Sep-15

Feb-16

Apr-16

Sep-16

Feb-15

Apr-15

Sep-15

Feb-16

Apr-16

Sep-16
Mar-15

Mar-16

Mar-15
May-15

Aug-15

May-16

Aug-16

May-15

Aug-15

Mar-16

May-16

Aug-16
Jan-15

Jan-16

Jan-17

Jan-15

Jan-16

Jan-17
Market Cap USD Free float Cap USD ATVR % Market Cap USD Free float Cap USD ATVR %

SNG - Indicators' variation to MSCI criterion SNP - Indicators' variation to MSCI criterion
3,000,000,000 50% 6,000,000,000 4%
2,500,000,000 40% 5,000,000,000 2%
2,000,000,000 30% 4,000,000,000 0%
1,500,000,000 3,000,000,000 -2%
20%
1,000,000,000 2,000,000,000 -4%
500,000,000 10% 1,000,000,000 -6%
- 0% - -8%
(500,000,000) -10% (1,000,000,000) -10%
Dec-14

Dec-15

Dec-16

Dec-14

Dec-15

Dec-16
Jun-15
Jul-15

Nov-15

Jun-16
Jul-16

Nov-16

Jun-15
Jul-15

Nov-15

Jun-16
Jul-16

Nov-16
Mar-15

Oct-15

Mar-16

Oct-16

Mar-15

Oct-15

Mar-16
Apr-16

Oct-16
Feb-15

Apr-15

Sep-15

Feb-16

Apr-16

Sep-16

Feb-15

Apr-15

Sep-15

Feb-16

May-16

Sep-16
Jan-15

May-15

Aug-15

May-16

Aug-16

May-15

Aug-15

Aug-16
Jan-16

Jan-17

Jan-15

Jan-16

Jan-17
Market Cap USD Free float Cap USD ATVR % Market Cap USD Free float Cap USD ATVR %

TLV - Indicators' variation to MSCI criterion

1,000,000,000 15% Starting with August 2015, a company fulfills simultaneously the three quantitative
800,000,000 10% MSCI criteria: TLV
600,000,000 5%
In addition, there are four companies that have the potential to meet the MSCI
400,000,000 0% criteria:
200,000,000 -5%
Three companies meet two out of three criteria: BRD, SNG, SNP;
- -10%
Dec-14

Oct-15

Dec-15

Oct-16
Jun-15

Nov-15

Jun-16

Nov-16
Dec-16
Jul-15

Jul-16
Feb-15

Sep-15

Feb-16

Sep-16
Apr-15

Aug-15

Apr-16

Aug-16
Jan-15

Mar-15

May-15

Jan-16

Mar-16

May-16

Jan-17

One company meets one out of three criteria: EL.

The data series for EL, SNG and SNP were modified in order to count the GDR
Market Cap USD Free float Cap USD ATVR % transactions.
Source: ASF Calculations, January 31, 2017

14
 Risk assessment and the benefit of diversification
The degree of over or under-evaluation of Bucharest Stock Exchange The average correlation coefficient for the 25 most liquid companies
compared with the region traded on BSE
0.80
1.20
0.70
1.10
0.60
1.00
0.50
relativeP/E

0.90
0.40
0.80
0.30
0.70

0.60 0.20

0.50 0.10
Jun-16

Nov-16

Dec-16
Apr-16

Jul-16

Oct-16
Feb-16

Sep-16
May-16

Aug-16

Jan-17
Jan-16

Mar-16

0.00

Romania/Hungary Romania/Czech Romania/Poland

Romania/Germany Romania/Austria perc.75% perc.25% Corelaia medie
Average correlation

Source: Datastream, FSAs calculations Source: Bloomberg, ASF

P/E forward ratio is calculated by dividing the share price to the net earnings per share and indicates how much investors pay for earnings forecasted 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 another market.
This convergence in the indicator (relative P/E forward ratio) can be understood in relation with the search for yield across different markets.
In January 2017 the ratio was lower than 1 thus indicating that the Romanian capital market was more attractive in comparison with the analyzed countries. This
convergence in the indicator (relative P/E forward ratio) can be understood in relation with the search for yield across different markets.
During the first weeks of 2017 the correlations among the constituents of BET-XT Index increased gradually, which could be a sign of increasing contagion on the local
market, but until now the overall level of correlations is still low.

15
 Risk assessment and the benefit of diversification
Since the long-term treasury yields include inflationary expectations, there is a dependency between the growth of market returns (P/E forward ratio) and the inflation dynamic
adjusted for volatile goods (CORE 2 adjusted). The P/E forward ratio increased over the last two years for the Romanian capital market due to the widespread trend of
decreasing treasury yields. The increase is relevant to the search for yield environment. On the medium term speculative bubbles might burst if the market returns
increase over the equilibrium level without being sustained by fundamentals. On the other hand, given that the search for yield environment is a global trend, the capital
markets are more prone to contagion effects from neighboring markets and developed ones as well.
Romanian market index versus inflation (CORE2 adjusted)
Romanian market index and long-term treasury yields (10 years)
14 14
12 12

P/E forward 12 M
P/E forward 12 M
10 10
8 8
6 6
4 4
2 2
0 0
14 12 10 8 6 4 2 0 10 8 6 4 2 0 -2 -4 -6
Long-term treasury yields (10 years) CORE2 adjusted
2008-2009 2015-2016 2010-2014 2008-2009 2015-2016 2010-2014

Source: Datastream, FSAs calculations Source: Datastream, FSAs calculations

The estimates of the equilibrium level (particle filter estimates)

180
140
135 170
130
160
125
120 150
115
140
110
105 130
100
120
1/31/2016 4/30/2016 7/31/2016 10/31/2016 1/31/2017
1/31/2016 4/30/2016 7/31/2016 10/31/2016 1/31/2017

Romanian Capital Market Index (2011=100) Equilibrium level (particle filter estimate) STOXX600 (2011=100) Equilibrium level (particle filter estimate)
Source: Datastream, FSAs calculations Source: Datastream, FSAs calculations

The estimates of the equilibrium level (particle filter estimates) indicate that in January the Romanian capital market increased much over the equilibrium level partly
due to growing market liquidity. Although in the last quarter it was near the equilibrium level, the STOXX600 index is slightly increasing while being around the equilibrium
level. The empirical analysis shows that the financial markets are currently not perturbed by external events nor manifest unsustainable endogenous price growth (asset
bubbles).
16
 Concentration risk
Concentration risk of non-life insurance undertakings Concentration risk of life insurance undertakings
(by value of GWP at 30 September 2016) (by value of GWP at 30 September 2016)
100% 0.1200 90% 0.2200
0.1170
90% 0.1150 80% 0.2100
0.2069
80% 0.1100 0.2000
70%
70% 0.1017 0.1900
0.1050 60%
60% 0.1756
0.1000 0.1800
50% 50%
0.0950 0.1700
40% 40%
0.0900 0.1600
30% 30%
0.1500
20% 0.0850
62.27%

77.93%

69.17%

86.32%
42.19%

44.83%
20% 0.1400
0.0800

62.39%

73.83%

83.03%

60.32%

74.01%

84.27%
10%
10% 0.1300
0% 0.0750
9/30/2015 9/30/2016 0% 0.1200
9/30/2015 9/30/2016
CR3 CR5 CR7 HHI
CR3 CR5 CR7 HHI

Source: FSA Source: FSA

Concentration risk of investment funds in Romania Concentration risk of intermediaries on the BSE (by value of transactions during
(by net assets 30 December 2016) January 2016 Main segment & ATS, all spot instruments )
100% 0.1400
100% 0.3000
90% 0.2590 90%
0.1178 0.1200
0.2500 80%
80%
70% 70% 0.1000
0.2000
60% 60%
0.1454 0.0800
50% 0.1500
50%
40% 0.0600
0.1000 40%
30%
30%
80.28%

96.27%

99.22%

54.01%

74.92%

89.15%

20% 0.0400
0.0500
10% 20%

48.70%

67.31%

79.58%
0.0200
0% - 10%
Open-end funds Closed-end funds
0% -
CR3 CR5 CR7 HHI Jan-17

Source: FSA Source: FSA

17
 Concentration risk
Concentration risk of private pension funds (by net assets at 1/30/2017)
100% 0.2250
90%
0.2218 0.2214 According to the main indicators used by the Competition Council, the concentration
80% 0.2200
risk in the non-life insurance market is medium to high level and ranked a moderate
70% growth over the last year.
60% 0.2150
Moreover, the life insurance market concentration degree is high but steady in the
50%
last year. The situation is similar in the case of private pension funds market (Pillar II
40% 0.2100 and Pillar both III), but explainable by objective reasons related to their operating
30% mechanism and the current state of the market.
100.00%

20% 0.2050 Also on the capital market, both for OEIFs (although the number of investment funds
72.46%

90.33%

69.23%

85.65%

94.93%
10% is high) and intermediaries on the BSE, the concentration degree is medium to high
0% 0.2000 due to the fact that top market participants sum up a significant share of the total
Pillar II Pillar III assets.
CR3 CR5 CR7 HHI

Solvency risk in insurance

Evolution of admitted liquid assets vs. Short term obligations. Liquidity coefficient evolution
Non-life insurance Life insurance
1,400 3.00 1,200.00 5.60

Millions EUR
Millions EUR

2.71 5.44 5.40

1,200 2.50 1,000.00
5.20
1,000
2.07 2.00 800.00 5.07
1.99
5.01 5.00
800
1.50 600.00 4.80
600
4.60
1.00 400.00
400
4.40

200 0.50 200.00

4.20

0 0.00 - 4.00
Dec-15 Jun-16 Dec-16 Dec-15 Jun-16 Dec-16

Total admitted liquid assets Short term obligations Liquidity coefficient Total admitted liquid assets Short term obligations Liquidity coefficient

Source: FSA Source: FSA

18
 Specific developments in the private pension funds sector: Mandatory pension funds (2nd Pillar)
Total assets (EUR), number of participants and return rates Evolution of total assets and net value of an individual account
Annualized 24
Mandatory pension Total Assets Participants (persons)
months return rate 8,000 1,200

Mil. EUR

EUR
fund 10 Feb 2017 (EUR) Jan 2017
Jan 2017
7,000
ARIPI* 609,929,497 676,867 2.4699% 1,000
AZT VIITORUL TAU 1,569,505,203 1,503,662 2.8218% 6,000
BCR 456,806,990 572,709 3.5804% 800
5,000
BRD 238,492,839 352,992 1.8248% 4,000 600
METROPOLITAN LIFE 1,020,408,185 954,793 2.9696%
NN 2,625,258,351 1,926,855 3.3419% 3,000
400
VITAL 674,851,157 843,970 3.0626% 2,000
Total 7,195,252,223 6,831,848 n/a 200
1,000

*Minimum return rate for high risk pension funds: -1.2801% - -

Minimum return rate for medium risk pension funds: -0.2801%
Weighted average return rate for all pension funds: 3.7338%

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

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

Source: FSA Source: FSA

Evolution of gross contributions New participants in 2nd Pillar Age and sex structure of participants at 31 January, 2017

120 30 40,000
Mil. EUR

< 19 years (59,931) 71,397

115 29 35,000
20 - 24 years (321,711) 383,054
30,000 25 - 29 years (563,134) 635,466
110 28
25,000 30 - 34 years (557,520) 631,406
105 27
20,000 35 - 39 years (591,168) 657,723
100 26
15,000 40 - 44 years (519,275) 546,537
95 25
10,000 45 -49 years (465,126) 445,005
90 24
5,000 50 - 54 years (194,521) 188,874
85 23 55 - 59 years
0 -
Jun-16

Nov-16
Dec-16
Jul-16

Oct-16
Feb-16

Apr-16
May-16

Sep-16
Aug-16
Jan-16

Mar-16

Jan-17
60 - 64 years -

> 65 years -
New participants (persons)
Gross contributions (Mil. EUR) Men Women
Source: FSA

19
 Specific developments in the private pension funds sector: Mandatory pension funds (2 nd Pillar)
Mandatory pension funds portfolio at January 31, 2017 (EUR). Assets structure
Assets Category Assets Value (EUR) % Total Assets
Government Bonds 4,598,435,158 64.37%
Equity 1,403,301,170 19.64%
Bank Deposits 508,683,562 7.12%
Investment Funds 268,549,809 3.76%
Corporate Bonds 245,370,354 3.43%
Municipal Bonds 84,473,882 1.18%
Supranational Bonds 78,943,850 1.11%
ETC 9,568,602 0.13%
Hedging 1,074,842 0.02%
Other assets (54,733,616) -0.77%
Total 7,143,667,613 100.00%
Source: FSA

Country exposure Currency exposure and risk hedging

Currency Exposure value (EUR) % Total assets % Hedging
RON 6,371,629,661 89.05% -
EUR 674,434,999 9.77% 62.25%
USD 51,214,702 0.57% 17.15%
PLN 18,366,628 0.24% -
RO Other CZK 9,696,480 0.14% -
92.72% countries,
TRY 6,005,349 0.09% -
7.28%
HUF 5,361,337 0.06% -
GBP 5,210,205 0.05% -
CHF 1,483,827 0.02% -
RO DE DKK 264,425 0.00% -
FR IE
AT GB
RU PL
LU NL
US IT
TR NO
CZ HU
JE CH
ES SI
DK AU
Source: FSA Source: FSA

20
 Specific developments in the private pension funds sector: Optional pension funds (3 rd Pillar)
Total assets (EUR), number of participants and return rates Evolution of total assets and net value of an individual account
Participants Annualized 24 400 840
Total assets (EUR),

Mil. EUR

EUR
Fond (persons) months return rate
10 Feb 2016 820
Jan 2017 Jan 2017 350
AEGON ESENTIAL 1,428,250 3,823 n/a
800
AVIVA PENSIA MEA 12,518,650 10,001 1.1220% 300
AZT MODERATO 42,731,336 37,864 2.9508% 780
250
AZT VIVACE* 17,112,355 20,388 3.6027%
760
BCR PLUS 60,301,390 124,335 2.2956%
200
BRD MEDIO 18,313,328 22,282 0.4659% 740
GENERALI STABIL 3,453,938 5,130 1.2236% 150
NN ACTIV* 38,315,470 39,806 3.1628% 720
NN OPTIM 134,975,488 144,130 2.1637% 100
700
RAIFFEISEN ACUMULARE 14,835,268 10,766 3.1276%
Total 343,985,472 418,525 n/a 50 680

- 660
*Minimum return rate for high risk pension funds: -0.6961%
Minimum return rate for medium risk pension funds: -1.7965%
*Weighted average return rate for high risk pension funds: 3.3038%
Weighted average return rate for medium risk pension funds: 2.2034% Total assets Pillar III (Mil. EUR, left axis)

Source: FSA Source: FSA

Evolution of gross contributions New participants in 3rd Pillar Age and sex structure of participants at January 31, 2017
Persons
Mil. EUR

7,000 16 < 19 years (45) 97

9,000 20 - 24 years
6,000 14 (2,515) 2,613
8,000 25 - 29 years (12,702) 12,688
12
5,000
7,000 30 - 34 years (24,962) 23,028
10
4,000 6,000
8 35 - 39 years (31,548) 30,863
3,000 5,000 40 - 44 years
6 (34,693) 32,454
2,000 4,000 45 -49 years (47,820) 42,420
4
3,000 50 - 54 years (27,959) 25,232
1,000 2
2,000 55 - 59 years (25,594) 24,043
0 0
1,000 60 - 64 years (4,817) 10,607
- > 65 years (432) 1,393
Gross contributions (thousands EUR) Men Women
Average contribution per participant (EUR)

Source: FSA

21
 Specific developments in the private pension funds sector: Mandatory pension funds (3rd Pillar)
Optional pension funds portfolio at January 31, 2017 (EUR)
Asset class Asset value % of Total Assets
Government Bonds 208,912,098 61.18%
Equity 75,403,418 22.08%
Bank Deposits 17,696,183 5.18%
Corporate Bonds 14,607,176 4.28%
Investment Funds 12,037,003 3.53%
Municipal Bonds 7,737,092 2.27%
Supranational Bonds 5,478,354 1.60%
Metal funds 1,084,663 0.32%
Hedging 70,720 0.02%
Other assets (1,567,053) -0.46%
Total Assets 341,459,654 100.00%
Source: FSA Source: FSA

Country exposure of optional funds assets Currency exposure and risk hedging (EUR)
%
Currency Exposure value (EUR) % Total assets
Hedging
Supranational RON 295,467,352 86.53% -
bonds , 0.22% EUR 42,965,380 12.58% 60.50%
USD 1,611,404 0.47% -
PLN 692,980 0.20% -
Other CZK 582,442 0.17% -
RO , 91.87% countries, 7.91% GBP 139,996 0.04% -
TRY 97 0.00% -
HUF 3 0.00% -

RO DE RU GB

IT IE AT FR

Supranational bonds CZ LU PL

NL TR US UK

NO SI

Source: FSA Source: FSA

22
 Specific developments in the investment funds sector
Total assets by categories of undertakings (EUR billion) 12/30/2016 Strategic allocation of portfolios (EUR billion)
5 4.82 5
3.99 3.80 9/30/2016
4 4 3.40
3.42
12/30/2016
3 2.53 3

1.64 2 1.32
2 1.24
1 0.37
1 0.19 0.34 0.35
0.13 -
0 Shares Bonds Government Deposits and UCITS/OCIU units
Open-end funds Closed-end funds SIFs FP securities available funds
Source: FSA Source: FSA
Investment portfolios by categories of undertakings and classes of assets (EUR million) Type of investors

Natural persons Legal persons

TOTAL ASSETS: 12/30/2016 Open Closed SIFs FP TOTAL 316,004
400,000
Shares 119 92 1,380 2,209 3,800
300,000
Bonds 3,369 13 19 - 3,402
200,000 88,910
Government securities 106 - 23 244 373 10,676 288
100,000
Deposits and available funds 1,088 22 62 69 1,240
UCITS/OCIU units 220 2 133 - 355 0
Open-end funds Closed-end funds
Other (79) 3 26 5 (44)
Source: FSA Source: FSA
Open-end funds market share according to investment Closed-end funds market share according to
Assets structure by investment policy (risk category, EUR) policy and net asset investment policy and net asset
NET ASSET NET ASSET Money Other Equity Balanced
Open-end funds 9/30/2016 12/30/2016 market funds , funds, funds ,
Equity funds 76,968,466 76,167,869 funds , 3.72% 2.27% Bond funds ,
1.58%
Balanced funds 110,392,632 109,476,428 0.50% 0.50% Other
Bond funds 4,530,559,363 4,427,959,844 funds ,
Money market funds 22,986,487 24,051,075 14.68%
Other funds 188,811,004 179,419,453
TOTAL 4,929,717,952 4,817,074,669
Equity
funds,
NET ASSET NET ASSET 49.63%
Closed-end funds 9/30/2016 12/30/2016 Balanced
Equity funds 66,064,537 65,689,021 funds ,
Balanced funds 46,783,903 46,571,510 35.19%
Bond funds
Bond funds 817,123 661,995 , 91.92%
Money market funds - -
Other funds 19,576,700 19,434,419
TOTAL 133,242,264 132,356,945
Source: FSA Source: FSA
23
 Specific developments in the investment funds sector
Dynamics of open-end composite bond index: a term structure view
1.4
ARDL model (4,0,0,0)
1.2

0.8

0.6
Returns (%)

0.4

0.2

-0.2

-0.4
R-squared 41%

-0.6

Open-end bond composite index Fitted model (Short and long term yields, 3 months interbank offered rate, term structure slope)

Source: Datastream, FSA calculation

The composite bond index increased in the third quarter of 2016 due to the expectations of low interest rates in the short-run and to the improvement of economic
conditions.
The open-end bond composite index is an equal-weighted returns index of the open-end bond funds returns. The dispersion of index performance increased at
the end of second quarter experiencing a sharp drawdown but turned out positive in the third quarter.
The empirical analysis shows that the term-structure model which includes more information from the term structure of Treasury yields tends to explain better
the dynamics of the open-end bond funds returns than a macrofinancial model which explains the bond index returns in terms of equity market liquidity, expected
inflation and slope of the interest rates.
The slope is the difference between short term Treasury yields (6 months) and long-term ones (10 years). When the slope is negative it means that the yields tend
to increase as the maturity increase and describe a normal economy, while an inverted yield curve is described by a positive slope. The slope of interest rates
explains around 11% from the dynamics of the open-end (bond) funds returns, while the four lags of composite index explains most of its dynamics.

24
 Specific developments in the insurance market in Romania
Evolution of insurance market (9/30/2016)
Gross written premiums (total) MTPL gross written premiums
1,700 300
Millions EUR

Millions EUR
1,400 1,292 1,273 250 240
1,217 224
1,139 1,121 1,130 215
1,100 204
1,055
1,100 200 184
168
800 144
150

500
281 292 307 292 280 295 100
271 261
200
50

(100) Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16

0
Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016
Non-life insurance Life insurance

Source: FSA Source: FSA

Share of main insurance classes by GWP Gross claims paid

Non-life insurance Life insurance 1,000 928

Millions EUR
900 836
Other
Other A2, classes, 800 748 733 710
classes, 4.31% 0.85% 672 648
700
11.02% 588
600

A3, 500
24.31% C3, 400
27.22%
300

A8, 200 118 119 119 121 128 141 137

C1, 112
13.29% 100
A10, 67.61%
51.39% 0
Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16

Non-life insurance Life insurance

Source: FSA Source: FSA

25
 Specific developments in the insurance market in Romania
Total eligible own funds to cover the Solvency Capital Requirement (SCR) Solvency Capital Requirement (SCR) and Minimum Capital Requirement (MCR)
1,200 700
Millions EUR

Millions EUR
1,042 613
600 575
1,000
879
500
800
400
600
300 245 262
400
200
200
100

0 -
Day 1 9/30/2016 Day 1 9/30/2016
SCR MCR
Source: FSA Source: FSA

DAY 1 Q3 2016
Structure of eligible own funds Day 1 Structure of eligible own funds - 9/30/2016

Tier 1 Restricted,
1%

Tier 2, 5% Tier 1 Tier 2, 9%

Tier 1 Unrestricted, Other, 7% Other, 10%
Unrestricted, 90%
93%

Tier 3, 1%
Tier 3, 1%

Source: FSA
On 1 January 2016 eligible own funds to cover SCR were in amount of 0.88 billion EUR. Eligible own funds to meet the SCR were mainly composed of unrestricted
Tier 1 (93.11%) and Tier 2 items (4.77%).
Eligible own funds had an upward trend, reaching 1.04 billion EUR. In terms of own fund items, there were no significant changes, unrestricted Tier 1 items still having
the largest share (90%) at the end of September 2016.
26
 Press releases and publications of European and international financial institutions in December
EUROPEAN UNION 20 January: Public Consultation on the Capital Markets Union Mid-tern review.

ESMA 11 January: Follow-up report on best execution requirements.

18 January: Joint Report ESMA/EBA on the functioning of the Capital Requirements Regulation.

FSB 12 January: FSB publishes policy recommendations to address structural vulnerabilities from asset management activities.
25 January: FSB publishes reports on the re-hypothecation of client assets and collateral re-use.

IMF January: World Economic Outlook Update.

WORLD BANK January: 2017 Global Economic Prospects Report.

27
 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 FSAs 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
office@asfromania.ro
www.asfromania.ro
28