AFME Prudential Data Report Q1 2020 | AFME

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Data Research
AFME Prudential Data Report Q1 2020
22 Jun 2020
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Author Julio Suarez Director
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This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2020.

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


Among the main findings of this report:

  • European systemically important banks (GSIBs) reported in 1Q20 a decline in their capital ratios on the back of increased balance sheet use to support the COVID-19 economic recovery. Total assets expanded 10% QoQ, exposure measure increased 6.7% QoQ while RWAs rose 2% QoQ.
  • European GSIBs end-point CET1 ratio decreased to 13.4% in 1Q20, from 13.6% in 4Q19. 
  • End-point Tier 1 ratios decreased to 15.0% in 1Q20, from 15.3% in 4Q19.
  • End-point Leverage ratios (LR) decreased to 4.6% in 1Q20 from 4.9% in 4Q19.
  • Liquidity Coverage Ratio (LCR) increased to 142.1% in 1Q20, from 140.4% in 4Q19, driven by a c18% increase in cash and central bank deposits.
  • TLAC ratio stood at 25.7% relative to RWAs and 8.0% as a percentage of leverage exposure.
  • Contingent Convertibles (CoCo): CoCo issuance was abruptly interrupted during the months of March and April due to the sharp increase in CoCo risk premia as a result of the market turbulence generated by the COVID-19 outbreak. The CoCo market has recently reopened with the issuance of €3.8bn in proceeds since May-20. These notes, however, have been issued with higher coupon rates compared to those issued in 1Q20 (5.8% in 2Q20 vs. 4.6% in 1Q20 for fixed rate bonds).
  • BOX: Pages 21-23 provide a summary of the recently approved targeted changes to the Capital Requirements Regulation (CRR) – “CRR quick fix”

    The CRR quick fix will complement supervisory measures to ensure that banks have sufficient capacity going forward, although this should be kept under review given the unprecedented scale of the present crisis.