9 Mar 2017

Prudential Data Report Q4 2016

AFME is pleased to circulate its Q4 2016 Prudential Data Report.

The report provides a timely update (as at December 2016) 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.

Key highlights:

  • In 2016, EU GSIBs increased their end-point CET1 ratio from 11.8% in 4Q15 to 12.3% in 4Q16. The improvement was driven by a combination of balance sheet restructuring and to a lesser extent from internal capital generation through profits retention and from external capital raised from markets.

  • European banks issued €23.5bn in CoCos during 2016 (€19.5bn by EU banks). New issuance was below 2015’s volume (€34.3bn, €27.4bn of which were raised by EU banks.

  • Banks have continued to restructure their balance sheets and their RWA positions. EUGISBs have decreased their RWAs by 5.9% over the last three years, while the proportion of market risks on total RWAs has decreased from 8.1% in 1Q14 to 5.6% in 4Q16

  • Box: secondary market for NPLs. The persistent high level of NPLs in some EU countries continues to limit the capacity of banks to fully support the economic recovery. A deeper secondary market of NPLs could contribute to a faster NPL adjustment. The volume of NPL market transactions remains low (€80bn in 2016 compared with €1tn in NPLs), with a minor participation of NPL securitisations with an issuance volume of €155m in 2016.