AFME Prudential Data Report - 2021 Q1 | AFME

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Data Research
AFME Prudential Data Report - 2021 Q1
11 Jun 2021
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Author Julio Suarez Director
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This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2021.


It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at May 2021.



Among the main findings of this report:


  • CET1 capital ratio reaches a new record high: European systemically important banks (GSIBs) continued to comply with the minimum required solvency and liquidity ratios to support businesses navigate the economic recovery.


  • European Contingent Convertibles’ (CoCo) borrowing costs reach record low: In the first months of Q2 2021, borrowing costs for Additional Tier 1 (AT1) fixed coupon instruments reached a record low reflected with an average coupon of 4.2% for newly originated CoCos.


  • Exception circumstance for Leverage Ratio exposure measure: The Box on pages 21-24 discusses the importance of extending the period of exceptional circumstances for the temporary exclusion of certain central bank exposures from the leverage ratio (LR). Given the continued economic strain, quantitative easing measures and extraordinary levels of Member States and EU bond issuance, it would be premature for the ECB Banking Supervision to exit the ‘exceptional circumstances’ in June 2021.