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Headquarter Treasury Sales
Tania Fantana
+4021 30758 17
Alexandru Tibuleac
+4021 30758 17
Alina Vrabioiu
+4021 30758 17
Regional Treasury Sales
Cezar Trandafirescu - lasi
+40755 000 246
Szilamer Kozma - Cluj
+40755 000 400
Weekly Report
Romania
25 Aug 2014
WEEKLY REPORT – ROMANIA
10.
2
More arguments for further easing Macroeconomics: GDP’s growth outlook in 2014 put to the test (Page 3- 5)
Q2 GDP figures took the market by surprise, with a fall of 1% QoQ against market
consensus of 0.5% QoQ advance. On an annual basis, GDP rose 1.2% YoY (gross) in
Q2 and 2.4% YoY (gross) in H1 2014. Business cycle indicators were indeed weak,
with only industry expected to bring a positive contribution. For the moment this data
suggests that not only investments fell, but households’ consumption may have been
weaker too. The lack of public investments has hit the economy in the past 4 quarters.
The cash budget showed that they were even below the plan in H1 2014. Exports extra
EU slowed down visibly in May – June, falling on an annual basis, due to a drop down in
the category of machinery and transport equipment (-2.6% YoY in Q2). In the EU
however, these items grew by 12.9% YoY in Q2. Inflation stood at 1% YoY in July, up
from 0.7% YoY in June. NBR expects inflation to be at 2.2% YoY in December 2014,
driven up significantly by bread and bakery products and vegetables category, as the
favourable base effects wear off.
FX market: Look to the fundamentals (Page 6)
The leu progressively gained some strength against the euro last week and the
EUR/RON pair fell 0.6%. This evolution went hand in hand with an improved risk
perception to RON assets after the weekend talks held between the foreign ministers of
of Russia, Ukraine, Germany and France, who gathered to win a fighting chance to end
the geopolitical tension. Simultaneously, the euro has continued to take more hits as the
market assesses a higher probability of ECB going into QE. The macroeconomic
fundamentals indicate that the leu is posed to depreciate rather than appreciate as the
current account deficit continues to widen and as NBR could ease further the monetary
policy after it had operated a drastic reduction in its inflation rate forecast for December
(of 1.1 pp). Net portfolio flows have been positive in the first and second quarter but
have eased significantly in the past 12M.
Fixed income markets: Yields fell temporarily (Page 7 - 8)
Bond yieds slipped lower by 8 -14 bps in last week. The Treasury successfully sold the
planned RON 600 mn in 7Y and 2Y bonds at an yield of 4.14% and 2.61%,
respectively.However, despite the easing seen in the secondary market, these yields
were still 26-29 bps higher compared to previous similar auctions held in mid and end
July. Also, in the last auction of the week, interest was much lower than in mid July
even if the yield was higher by 29 bps. Bid to cover ratio stood at 2.7 compared to 3.9
at the previous auction. With inflation expected at 2% in September compared to only
1% YoY in July we expect yields to shoot up.
Money markets: Weak GDP, a possible catalyzer (Page 9)
The negative GDP surprise that shows that Romanian GDP actually fell 2 consecutive
quarters along with the depressing GDP figures in the euro-zone may encourage NBR
to take another step in continuing the base rate cut cycle, especially since inflation
expectations are modest in 2015 as well, with Core 2 adjusted inflation quarterly
average at 1.5% (NBR forecast). If detailed data will show that households consumption
fell in the negative territory in Q2, even despite the favourable context in which real
wage increases were significant (with the private sector advancing faster than public
sector) and lower interest rates made debt repayment easier, then a weak consumption
figure could raise a question mark.
Chief Economist
Gergely Tardos +36 1 374 7273 [email protected]
Macro Analysts
Gábor Dunai +36 1 374 7272 [email protected]
Győző Eppich +36 1 374 7274 [email protected] Szilárd Kondora +36 1 374 7275 [email protected] Bálint Szaniszló +36 1 374 7271 [email protected] Mihaela Neagu +4021 307 58 64 [email protected] Rodion Lomivorotov +7 495 783-5400 (2761) [email protected]
Sector Analyst
Piroska Szabó +36 1 374 7276 [email protected]
Technical Analyst
András Salamon +36 1 374 7225 [email protected]
3
WEEKLY REPORT – ROMANIA
10.
3
Macroeconomics: GDP’s growth outlook in 2014 put to the test
Q2 GDP figures took the market by surprise, with a fall of 1%
QoQ against market consensus of 0.5% QoQ advance. On an
annual basis, GDP rose 1.2% YoY (gross) in Q2 and 2.4% YoY
(gross) in H1 2014. Business cycle indicators were indeed weak,
with only industry expected to bring a positive contribution whereas
constructions and trade likely expected to have fallen.The surprise
data could be a negative evolution of agriculture and net taxes in
Q2, considering that the cash budget figures already pointed to
lower collection. The detailed figures will be presented on 3rd
September but for the moment this data suggests that not only
investments fell, but households consumption may have been
weaker too. The lack of public investments has hit the economy in
the past 4 quarters. The cash budget showed that they were even
below the plan in H1 2014.
In June, exports mounted to EUR 4239 mn (+5.4% YoY) whereas
imports stood at EUR 4794 mn (+9.2%YoY). Exports extra EU
slowed down visibly in May – June, falling on an annual basis,
due to a drop down in the category of machinery and transport
equipment (-2.6% YoY in Q2). In the EU however, these items
grew by 12.9% YoY in Q2.
The CA deficit widened in June to EUR 877 mn, compared to a
surplus of EUR 123 mn in H1 2013. Most of the difference
continues to come from the higher income gap, due to outflows
of FDI related companies which see their business results
improving. Looking at the financing side, we notice that net FDI
dropped by 12% YoY (12M rolling). During the first 6M, they stood
at EUR 1.3 bn. In the press release of NBR, 94%of the FDI was
from equity stakes and reinvested profit and only 6% made up by
intragroup loans. By comparison, at the end of 2013, two thirds
belonged to the first category and one third to the latter.
PERIOD INDICATOR FACT CONSENSUS PRIOR
11 Aug July Consumer price index (y-o-y,%) 1.00 1.00 0.7
11 Aug June Exports (y-o-y, %) 5.4 7.9
11 Aug June Imports (y-o-y,%) 9.2 8.1
11 Aug June Industrial Production Index (y-o-y, %) 10.4 12.7
13 Aug June CA balance (EUR mn, YTD) -877.4 -351
14 Aug Q2 2014 Flash GDP growth rate (QoQ, %) -1.0 0.5 0.1
26 Aug July Non -governmental loans (y-o-y, %) -3.9
26 Aug July Non -governmental deposits (y-o-y, %) 5.9
26 Aug July M3 aggregate (y-o-y, %) 5.3
28 Aug July Bulding permits (y-o-y, %) 7.3
Exports rose by 5.4% YoY in June and imports by 9.2%YoY; the extra-EU exports/imports fell in June
Source: NIS
The CA deficit continued to grow during the first 6M
Source: NIS
-40
-30
-20
-10
0
10
20
30
40
-40
-30
-20
-10
0
10
20
30
40
Mar
-05
Sep
-05
Mar
-06
Sep
-06
Mar
-07
Sep
-07
Mar
-08
Sep
-08
Mar
-09
Sep
-09
Mar
-10
Sep
-10
Mar
-11
Sep
-11
Mar
-12
Sep
-12
Mar
-13
Sep
-13
Mar
-14
Exports (YoY, 3M moving average)
Imports (YoY, 3M moving average)
% %
-16
-14
-12
-10
-8
-6
-4
-2
0
2
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Dec
-06
Jun
-07
Dec
-07
Jun
-08
Dec
-08
Jun
-09
Dec
-09
Jun
-10
Dec
-10
Jun
-11
Dec
-11
Jun
-12
Dec
-12
Jun
-13
Dec
-13
Jun
-14
Current transfers
Income
Trade balance (goods and services)
CA deficit (% in GDP, right axis)
bn %
4
WEEKLY REPORT – ROMANIA
10.
4
Direct investment income sent
abroad rises sharply
The most dynamic component
are reinvested earnings
Source: Eurostat Source: Eurostat
Inflation stood at 1% YoY in July, up from 0.7% YoY in June.
The main change came from food prices, which stopped falling as
fast as until now in annual terms: -1.8% YoY in July compared to -
3.2% YoY in June. More precisely, the category of vegetables
which makes up to 3.5% of consumption basket, recorded an
annual inflation fo 5.3% YoY in July, as the favorable base
effect has worn off. Compared to last year, when this category
saw a price decline of 13% MoM in July, this year there has been
only a 2.3% MoM. The rest of two main inflation categories, non
food and services saw price hikes of 2.5% YoY and 2.8%YoY,
respectively. NBR expects inflation to be at 2.2% YoY in December
2014, driven up significantly by bread and bakery products and
vegetables category (elimination of base effect).
-5,000
-4,000
-3,000
-2,000
-1,000
0
1,000
2,000
3,000
200
5Q1
200
5Q3
200
6Q1
200
6Q3
200
7Q1
200
7Q3
200
8Q1
200
8Q3
200
9Q1
200
9Q3
201
0Q1
201
0Q3
201
1Q1
201
1Q3
201
2Q1
201
2Q3
201
3Q1
201
3Q3
201
4Q1
Directinvestment income
Dividends and distributed branch profits
Reinvested earnings
Interest paid for interbank debt
-4,000
-2,000
0
2,000
4,000
6,000
8,000
10,000
12,000
200
5Q1
200
5Q3
200
6Q1
200
6Q3
200
7Q1
200
7Q3
200
8Q1
200
8Q3
200
9Q1
200
9Q3
201
0Q1
201
0Q3
201
1Q1
201
1Q3
201
2Q1
201
2Q3
201
3Q1
201
3Q3
201
4Q1
Total FDI
Reinvested earnings
intragroup loans
Equity stakes
In June, net FDI dropped 12% YoY (12M rolling)
Source: NBR
EU funds are losing speed (-2.9% MoM, 12M rolling)
Source: NBR
Inflation stood at 1% in July
Source: NIS
0.0
2.0
4.0
6.0
8.0
10.0
12M rolling FDI (bn EUR)
-12% YoY
0
1
2
3
4
5
6
7
8
Jun
-07
Dec
-07
Jun
-08
Dec
-08
Jun
-09
Dec
-09
Jun
-10
Dec
-10
Jun
-11
Dec
-11
Jun
-12
Dec
-12
Jun
-13
Dec
-13
Jun
-14
bn
EU
R
EU funds (12M rolling)
-4
-2
0
2
4
6
8
10
12
14
-4
-2
0
2
4
6
8
10
12
14
Dec
/200
4
Jun
/20
05
Dec
/200
5
Jun
/20
06
Dec
/200
6
Jun
/20
07
Dec
/200
7
Jun
/20
08
Dec
/200
8
Jun
/20
09
Dec
/200
9
Jun
/20
10
Dec
/201
0
Jun
/20
11
Dec
/201
1
Jun
/20
12
Dec
/201
2
Jun
/20
13
Dec
/201
3
Jun
/20
14
CPI Food goods
Non- food goods Services
5
WEEKLY REPORT – ROMANIA
10.
5
Macroeconomic forecast *
Source: Eurostat, NIS, NBR, OTP Research
Note: * under revision
Main macroeconomic indicators
2007 2008 2009 2010 2011 2012 2013 2014 2015
Nominal GDP (EUR mn) 124,729 139,765 118,196 124,328 131,327 131,747 142,395 147,487 156,675
Real GDP 6.3% 7.3% -6.6% -1.1% 2.3% 0.6% 3.5% 3.0% 3.0%
Households consumption expenditure 12.0% 9.0% -10.4% -0.2% 1.6% 1.1% 1.3% 2.2% 2.9%
Government consumption 2.5% 6.2% 9.5% -13.7% -3.0% 0.7% -1.7% 2.9% 2.7%
Gross fixed capital formation 30.3% 15.6% -28.1% -1.8% 7.7% 3.8% -3.3% 2.2% 6.8%
Exports 7.8% 8.3% -6.4% 13.2% 11.6% -1.5% 13.5% 9.4% 6.6%
Imports 27.3% 7.9% -20.5% 11.1% 10.5% -0.2% 2.4% 8.3% 6.5%
Consumer prices (avg.) 4.8% 7.8% 5.6% 6.1% 5.8% 3.3% 4.0% 2.2% 2.9%
Budget Balance (GDP%, ESA 95) -2.9% -5.7% -9.0% -6.8% -5.5% -3.0% -2.3% -2.8% -2.5%
Public debt (GDP %) 12.8% 13.4% 23.6% 30.5% 34.7% 38.0% 38.4% 39.4% 39.8%
CA balance (% GDP) -13.4% -11.6% -4.2% -4.4% -4.5% -4.4% -1.1% -2.0% -2.0%
CA balance (bn EUR) -16.8 -16.2 -4.9 -5.5 -5.9 -5.8 -1.5 -2.9 -3.1
Unemployment 6.4% 5.8% 6.9% 7.3% 7.4% 7.0% 7.3% 7.0% 6.8%
Nominal wage growth 21.8% 26.1% 4.8% 3.1% 4.1% 4.6% 5.0% 4.6% 5.4%
Real wage growth 14.7% 16.5% -1.5% -3.7% -1.9% 1.2% 1.0% 2.4% 2.4%
Key interest rate (avg.) 7.5% 9.7% 9.1% 6.5% 6.2% 5.3% 4.8% 3.5% 3.5%
Key interest rate (e.o.p.) 7.5% 10.3% 8.0% 6.3% 6.0% 5.3% 4.0% 3.5% 3.5%
EUR/RON (avg.) 3.34 3.68 4.24 4.21 4.24 4.46 4.41 4.48 4.45
EUR/RON (e.o.p.) 3.61 3.99 4.23 4.28 4.32 4.43 4.46 4.44 4.45
1Q 2013 2Q 2013 3Q 2013 4Q 2013 1Q 2014 F 2Q 2014 F 3Q 2014 F 4Q 2014 F 1Q 2015 F
EUR/RON (end of period) 4.39 4.48 4.46 4.46 4.51 4.48 4.46 4.44 4.43
Central Bank Rate ( %) 5.25 5.25 4.50 4.00 3.5 3.5 3.5 3.5 3.5
3-Month Robor (%) 5.35 4.45 3.65 2.58 3.53 3.33 3.3 3.21 3.31
Ten-Year Bond (%) 5.64 5.45 5.16 5.28 5.60 5.47 5.43 5.33 5.44
Fact Forecast
1Q 2013 2Q 2013 3Q 2013 4Q 2013 1Q 2014 2Q 2014 3Q 2014 F 4Q 2014 F 1Q 2015 F
EUR/RON (end of period) 4.39 4.48 4.46 4.46 4.46 4.39 4.41 4.44 4.43
Central Bank Rate ( %) 5.25 5.25 4.50 4.00 3.5 3.5 3.5 3.5 3.5
3-Month Robor (%) 5.35 4.45 3.65 2.58 2.97 2.42 3.02 3.21 3.31
Ten-Year Bond (%, mid yield, NBR fixing) 5.64 5.45 5.16 5.28 5.27 4.40 4.75 5.05 5.35
WEEKLY REPORT – ROMANIA
10.
6
FX markets: Look to the fundamentals
The leu progressively gained some strength against the euro last
week and the EUR/RON pair fell 0.6%. This evolution went hand in
hand with an improved risk perception to RON assets after the
weekend talks held between the foreign ministers of of Russia, Ukraine,
Germany and France, who gathered to win a fighting chance to end the
geopolitical tension. Partial progress was made and this proved to be a
small buying opportunity for local bonds, bringing back yields at the
previous levels seen two weeks ago. Simultaneously, the euro
continued to take more hits as the market assesses a higher
probability to ECB going into QE.
The macroeconomic fundamentals indicate that the leu is posed to
depreciate rather than appreciate as the current account deficit
continues to widen and as NBR could ease further the monetary
policy after it had operated a drastic reduction in its inflation rate
forecast for December (of 1.1 pp). Net portfolio flows have been
positive in the first and second quarter but have eased significantly in
the past 12M please see graph below).
In Q1 and Q2 2014, Romania had net portfolio inflows Volatile portfolio flows have been lower in the past 12M
Source: NBR The leu strengthened temporarily
Source: Reuters
4.00
4.10
4.20
4.30
4.40
4.50
4.60
4.70
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
EURIBOR 3M Carry 3M EUR/RON (right hand side axis)
Date: 22.08.2014
Source: Reuters
Major RON FX rates (03.01.2011=100)
Sources: Reuters
Regional RON FX rates (03.01.2011=100)
Sources: Reuters
Regional RON FX rates (03.01.2011=100)
Sources: Reuters
Value Weekly chg. (%) YTD chg. (%)
EURRON 4.40 -0.62 -0.87
USDRON 3.33 0.66 -1.12
CHFRON 3.64 -0.56 -0.97
RONJPY 3.20 -0.88 -17.46
RONPLN 1.05 -0.25 -3.27
100HUFRON 1.40 -0.38 -7.89
RONCZK 0.16 -0.44 -10.68
RONRUB 0.09 0.56 -16.42
RONRSD 0.04 -0.68 -5.33
RONBGN 2.25 -0.50 -0.77
FX BID
85
90
95
100
105
110
115
120
85
90
95
100
105
110
115
120
20
11/
03
20
11/
06
20
11/
09
20
11/
12
20
12/
03
20
12/
06
20
12/
09
20
12/
12
20
13/
03
20
13/
06
20
13/
09
20
13/
12
20
14/
03
20
14/
06
EURRON
USDRON
CHFRON
85
90
95
100
105
110
85
90
95
100
105
110
20
11/
03
20
11/
06
20
11/
09
20
11/
12
20
12/
03
20
12/
06
20
12/
09
20
12/
12
20
13/
03
20
13/
06
20
13/
09
20
13/
12
20
14/
03
20
14/
06
PLNRON CZKRON HUFRON
60
70
80
90
100
110
60
70
80
90
100
110
20
11/
03
20
11/
06
20
11/
09
20
11/
12
20
12/
03
20
12/
06
20
12/
09
20
12/
12
20
13/
03
20
13/
06
20
13/
09
20
13/
12
20
14/
03
20
14/
06
RUBRON ZARRON TRYRON
WEEKLY REPORT – ROMANIA
10.
7
Government securities: Yields fell temporarily
Risk perception towards the region improved last week, after the
events of two weekends ago which seemed to have cooled down the
Russia – Ukraine tension. Bond yieds slipped lower by 8 -14 bps in a
week. The Treasury successfully sold the planned RON 600 mn in 7Y
and 2Y bonds at an yield of 4.14% and 2.61%, respectively.However,
despite the easing seen in the secondary market, these yields were still
26-29 bps higher compared to previous similar auctions held in mid and
end July. Also, in the last auction of the week, interest was much lower
than in mid July even if the yield was higher by 29 bps. Bid to cover
ratio stood at 2.7 compared to 3.9 at the previous auction. With inflation
expected at 2% in September compared to only 1% YoY in July we
expect yields to shoot up.
Major trend:
Minor trend:
R1: 4.4080 S1: 4.4000
R2: 4.4200 S2: 4.3825
R3: 4.4380 S3: 4.3640
RSI: neutral
Daily EUR/RON chart
Source: Reuters
Yield curve over the past weeks (Central Bank fixing)
-20
-15
-10
-5
0
1.5
1.8
2.0
2.3
2.5
2.8
3.0
3.3
3.5
3.8
4.0
4.3
4.5
1 3 5 10
weekly changes(Friday to Friday,r.h.s)
2014. 07. 24.
2014. 07. 31.
2014. 08. 07.
2014. 08. 14.
2014. 08. 21.
% bp
maturity
Date: 22.08.2014
Government benchmark yields (%)
Source: NBR
Value (%) Weekly chg. (bp) YTD chg. (bp)
6M 2.00 -6 -75
12M 2.10 -4 -76
3Y 3.01 -13 -91
5Y 3.38 -8 -127
10Y 4.26 -14 -16
Value (bp) Weekly chg. (bp) YTD chg. (bp)
GERROM 3Y 301 -13 -53
GERROM 5Y 318 -8 -55
GERROM 10Y 329 -14 81
3Y -5Y 38 5 -37
5Y -10Y 88 -6 111
3Y-10Y 125 -1 75
FLY 3-5-10 50 -11 148
Value (bp) Weekly chg. (bp) YTD chg. (bp)
3Y EURO 76 -2 -41
5Y EURO 128 -2 -43
RON GOVERNMENT SECURITIES
SPREADS
CDS MID SPREADS
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
20
11/0
1
20
11/0
4
20
11/0
7
20
11/1
0
20
12/0
1
20
12/0
4
20
12/0
7
20
12/1
0
20
13/0
1
20
13/0
4
20
13/0
7
20
13/1
0
20
14/0
1
20
14/0
4
20
14/0
7
6M 12M 3Y
5Y 10Y
WEEKLY REPORT – ROMANIA
10.
8
Source: NBR Last week’s auctions
Source: NBR
7Y Auctions 7Y Interest rates
Source: NBR Source: NBR 2Y Auctions 2Y Interest rates
Source: NBR Source: NBR
RO1121DBN032 RO1316DBN053
Offered amount (mn RON) 300 300
Total bids (mn RON) 808 807
Accepted amount (mn RON) 300 300
Average accepted yield (%) 4.14 2.61
Coupon 5.95 4.75
3.8
4.2
4.6
5
5.4
5.8
6.2
6.6
7
7.4
Auction average yield (7Y)
2
2.5
3
3.5
4
4.5
5
5.5
6
6.5
7
7.5
8
8.5
01/
25/
10
02/
22/
10
10/
19/
11
11/
07/
11
12/
12/
11
01/
09/
12
02/
22/
12
05/
16/
12
06/
11/
12
06/
18/
12
07/
09/
12
07/
18/
12
09/
17/
12
10/
08/
12
10/
22/
12
11/
12/
12
11/
21/
12
12/
10/
12
02/
13/
13
03/
18/
13
06/
05/
13
07/
10/
13
10/
21/
13
11/
13/
13
12/
16/
13
02/
19/
14
03/
05/
14
04/
14/
14
06/
16/
14
07/
14/
14
08/
25/
14
Auction average yield (2Y)
Slope of the yield curve (bps)
Source NBR
-10
10
30
50
70
90
110
130
150
170
190
210
-10
10
30
50
70
90
110
130
150
170
190
210
20
11/
01
20
11/
04
20
11/
07
20
11/
10
20
12/
01
20
12/
04
20
12/
07
20
12/
10
20
13/
01
20
13/
04
20
13/
07
20
13/
10
20
14/
01
20
14/
04
20
14/
07
3Y -5Y5Y-10Y3Y-10Y
WEEKLY REPORT – ROMANIA
10.
9
MM: Weak GDP, a possible catalyzer
The negative GDP surprise that shows that Romanian GDP actually
fell 2 consecutive quarters along with the depressing GDP figures in
the euro-zone may encourage NBR to take another step in continuing
the base rate cut cycle, especially since inflation expectations are modest
in 2015 as well, with Core 2 adjusted inflation quarterly average at 1.5%
(NBR forecast). If detailed data will show that households consumption fell
in the negative territory, even despite the favourable context in which real
wage increases were significant (with the private sector advancing faster
than public sector) and lower interest rates made debt repayment easier,
then a weak consumption figure could raise a question mark.
Most important MM rates
Sources: NBR
Most important MM rates
Sources: NBR
Core2 adjusted inflation quarterly avg. at 1.5% YoY in 2015
(Central Bank)
Sources: NIS, NBR
Most important MM rates
Sources: NBR
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
Jan
-11
Feb
-11
Mar
-11
Ap
r-1
1M
ay-1
1Ju
n-1
1Ju
l-1
1A
ug-
11
Sep
-11
Oct
-11
No
v-1
1D
ec-1
1Ja
n-1
2Fe
b-1
2M
ar-1
2A
pr-
12
May
-12
Jun
-12
Jul-
12
Au
g-1
2Se
p-1
2O
ct-1
2N
ov-
12
Dec
-12
Jan
-13
Feb
-13
Mar
-13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug-
13
Sep
-13
Oct
-13
No
v-1
3D
ec-1
3Ja
n-1
4Fe
b-1
4M
ar-1
4A
pr-
14
May
-14
Jun
-14
Jul-
14
Au
g-1
4
ROBOR ON ROBOR 3M
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
Jan
-11
Feb
-11
Mar
-11
Ap
r-1
1M
ay-1
1Ju
n-1
1Ju
l-1
1A
ug-
11
Sep
-11
Oct
-11
No
v-1
1D
ec-1
1Ja
n-1
2Fe
b-1
2M
ar-1
2A
pr-
12
May
-12
Jun
-12
Jul-
12
Au
g-1
2Se
p-1
2O
ct-1
2N
ov-
12
Dec
-12
Jan
-13
Feb
-13
Mar
-13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug-
13
Sep
-13
Oct
-13
No
v-1
3D
ec-1
3Ja
n-1
4Fe
b-1
4M
ar-1
4A
pr-
14
May
-14
Jun
-14
Jul-
14
Au
g-1
4
ROBOR ON ROBOR 3M
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
0.25
1.25
2.25
3.25
4.25
5.25
6.25
7.25
Jan
-11
Feb
-11
Mar
-11
Ap
r-1
1M
ay-1
1Ju
n-1
1Ju
l-1
1A
ug-
11
Sep
-11
Oct
-11
No
v-1
1D
ec-1
1Ja
n-1
2Fe
b-1
2M
ar-1
2A
pr-
12
May
-12
Jun
-12
Jul-
12
Au
g-1
2Se
p-1
2O
ct-1
2N
ov-
12
Dec
-12
Jan
-13
Feb
-13
Mar
-13
Ap
r-1
3M
ay-1
3Ju
n-1
3Ju
l-1
3A
ug-
13
Sep
-13
Oct
-13
No
v-1
3D
ec-1
3Ja
n-1
4Fe
b-1
4M
ar-1
4A
pr-
14
May
-14
Jun
-14
Jul-
14
Au
g-1
4
ROBOR ON ROBOR 3M key rate 30 per. Mov. Avg. (ROBOR ON)
Date: 22.08.2014
Sources: Reuters
Repo operations since 2012
Sources: NBR Interbank deposits and interest rate evolution
Sources: NBR
MID INTEREST RATES
Value (%) Weekly chg. (bp) YTD chg. (bp)
repo rate 3.25 0 -75
ROBOR ON 0.99 -10 -75
ROBOR 3M 2.19 0 -25
ROBOR 6M 2.50 -2 -49
ROBOR 9M 2.59 0 -51
ROBOR 1Y 2.69 3 -46
INTERBANK DEPOSITS
Value ( mn R ON ) Wly chg. ( mn R ON ) YTD chg. ( mn R ON )
outstanding 2,946.9 -944.9 -1692.3
MID SWAP POINTS
Value (bp) Weekly chg. (bp) YTD chg. (bp)
USDRON 1W 11 5 4
USDRON 1M 46 8 14
USDRON 3M 141 -1 25
EURRON 1W 21 10 10
EURRON 1M 63 -18 19
EURRON 3M 172 -42 -30
MID EUR BASIS SWAPS
Value (bp) Weekly chg. (bp) YTD chg. (bp)
EURRON 1Y -70 0 40
EURRON 3Y -60 0 50
EURRON 5Y -60 0 50
0
2
4
6
8
10
12
14
16
4-J
an-1
2
6-F
eb
-12
12
-Mar
-12
23
-Ap
r-1
2
28-M
ay-…
2-J
ul-
12
6-A
ug-
12
17
-Sep
-12
22
-Oct
-12
26
-No
v-1
2
7-J
an-1
3
11
-Feb
-13
18
-Mar
-13
22
-Ap
r-1
3
3-J
un
-13
8-J
ul-
13
12
-Au
g-1
3
30
-Sep
-13
RO
N b
n
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
0.00.51.01.52.02.53.03.54.04.55.05.56.06.57.07.58.0
4-J
an-1
1
4-A
pr-
11
3-J
ul-
11
1-O
ct-1
1
30
-De
c-1
1
29
-Mar
-12
27
-Ju
n-1
2
25
-Sep
-12
24
-De
c-1
2
24
-Mar
-13
22
-Ju
n-1
3
20
-Sep
-13
19
-De
c-1
3
19
-Mar
-14
17
-Ju
n-1
4%
RO
N b
n
Interbank deposits volume (stock, l.h.s)
Interest rate of interbank deposits stock (average, r.h.s)
WEEKLY REPORT – ROMANIA
10.
10
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