25 May 2017

Prudential Data Report Q1 2017

The report provides a timely update (as at March 2017) on the progress of EU GSIBs in implementing the Basel III capital and liquidity standard.

The report also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets for banks in Europe.

Main findings:

  • EU GSIBs increased their end-point CET1 ratio to 12.9% in 1Q17, from 12.4% in 4Q16. The aggregate increase was driven by a combination of profits retention and accumulation of external capital raised from markets. All EU GSIBs improved their end-point CET1 ratios during the quarter.

  • EU banks have raised a total of €34.4bn in fresh capital from markets as of May 2017, above the level raised for the full year in 2016 (€31.9bn).

  • European banks issued a total of €7.7 bn in CoCo bonds during 1Q17, 51.2% above the issued volume in 1Q16 (€4.9bn) and 56.1% above that of 4Q16 (€5.1bn).

  • CoCo bonds risk premia have continued to decrease during 2017, with average option-adjusted spreads reducing to levels not seen since July 2014. The improved risk perception is consistent with the continued build-up of capital cushions by banks from markets and internal sources, internal restructuring and deleveraging, and stronger solvency positions to absorb economic shocks and unexpected losses.