AFME Prudential Data Report 3Q2020 and European CoCo market in 2020FY | AFME

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Data Research
AFME Prudential Data Report 3Q2020 and European CoCo market in 2020FY
25 Jan 2021
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Author Julio Suarez Director
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This report collates information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 September 2020.


It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe for the full year 2020.


Among the main findings of this report:

  • European banks issued a total of €33.4bn in Contingent Convertible (CoCo) securities during 2020FY, surpassing the amount observed in 2019FY (€32bn). CoCo issuance was abruptly interrupted during the months of March and April due to the sharp increase in risk premia as a result of the market turbulence generated by the COVID-19 outbreak. However, market conditions significantly improved in the second half of the year.
  • Dividend Distributions in 2021: The Box on pages 21-25 summarises the recent regulatory actions undertaken by Euro Area, UK and US central banks with a more flexible approach to dividend distributions for their supervised banks. After setting record CET1 capital buffers, Euro area, UK and US regulators recently flexibilised their policy approach to dividend distribution, although maintaining some degree of caution considering the ongoing economic uncertainty.
  • European GSIBs reported in 3Q 2020 record CET1, T1 capital, TLAC and Liquidity Coverage ratios to continue to support businesses during the current economic environment.
  • According to AFME estimates, compliance with the regulatory request of withholding 2019FY dividend distribution contributed 30bps to banks’ CET1 ratio as at 3Q 2020. Additionally, banks have continued to generate internal capital through profit retention, accumulating a total of 36bps on CET1. Other regulatory relief measures such as the CRR quick fix have contributed to improve banks CET1 ratios by 24bps as at 3Q of 2020 based on European GSIBs public disclosures.