Prudential Data Report 3Q 2019 | AFME

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Prudential Data Report 3Q 2019
11 Dec 2019

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 30 September 2019.

It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as of late November 2019.

Among the main findings of this report: 


  • EU GSIBs end-point CET1 ratio increased to 13.3% in 3Q19, from 13.1% in 4Q18. During the latest quarter, earnings retention contributed 18bps to the CET1 ratio variation.
  • TLAC ratio stood at 25.6% relative to RWAs and 8.2% as a percentage of leverage exposure

    TLAC ratios (a new addition to the report) stood comfortably above the minimum required by the FSB global standards (16% of RWAs and 6% of leverage exposure measure). As of 3Q2019, EU GSIBs have accumulated a total of c€1.2tn of TLAC including own funds and eligible liabilities.

  • End-point Tier 1 ratios increased to 15.0% in 3Q19, from 14.8% in 4Q18.
  • End-point Leverage ratios (LR) declined to 4.7% in 3Q19 from 4.8% in 4Q18.
  • Liquidity Coverage Ratio (LCR) declined to 138.4% on a weighted average basis in 3Q19, from 142.4% in 4Q18.
  • The amount of new capital raised during 2019YtD by EU banks totalled €26.2 bn, €3.8bn above the amount raised in 2018FY.

    The amount of fresh capital raised was almost exclusively in the form of contingent convertible (CoCo) bonds.

    Coupon rates of newly originated CoCos have decreased on a weighted average basis to 5% in 4Q19 (from 7.1% in 4Q18) on the back of lower risk-free long-term yields and higher credit ratings of the recently issued instruments.

  • New GSIB list: The Financial Stability Board (FSB) updated on Nov-19 the list of globally systemically important banks (GSIBs). 

    One EU bank moved from bucket 3 (2% CET1 capital surcharge) to bucket 2 (1.5% surcharge). Since 2012, the number of EUGSIBs has declined from 14 to 11 in 2019. These changes have also signified, on a weighted average basis, lower GSIB capital surcharges for global EU banks.

  • BOX: Capital Markets Union: Key Performance Indicators: Pages 22-33 summarise the main findings of a recent AFME report on Capital Markets Union (CMU) Key Performance Indicators (KPIs), produced in collaboration with ten other trade associations and international organisations. 

    The report assesses the EU’s progress against 8 KPIs across the 8 political priorities of the CMU, including a country-by-country comparison of individual EU Member State progress against the CMU’s objectives.

    Compared to last year’s report, the findings show mixed results, with some indicators showing a positive trajectory while others have deteriorated or remained neutral.

    o Europe is a global leader in sustainable finance, representing 43% of global issuance of sustainable bonds in 2018 (vs. 16% in the United States and 18% in China), with the Euro as the most popular denomination of choice.
    o Europe’s reliance on bank lending has increased in recent years. EU companies continue to over rely on bank lending, with 88% of their new funding in 2018 coming from banks and only 12% from capital markets – (14% on average in 2013-2017).
    o The EU lags behind other jurisdictions on FinTech funding – EU27 FinTech companies have only benefited from €6.3bn in investments since 2009, compared with €105bn in the US and €20.8bn in China.