25 Aug 2017

Prudential Data Report Q2 2017

AFME is pleased to circulate its Q2 2017 Prudential Data Report.

The report provides a timely update (as at June 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.

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Main findings:

  • EU GSIBs increased their end-point CET1 ratio to 13.4% in 2Q17, from 12.93% in 1Q17. The quarterly increase in CET1 ratio was driven by retained earnings (22bps), further RWA reductions including from large asset disposals by two banks (11 bps) and other factors including large rights issues by two banks (14 bps).

  • EU banks have raised a total of €49.3bn in new capital from markets during the year (as of mid-August 2017), almost double the total accumulated during the full year of 2016 (€26.0bn). 

  • CoCo issuance on track to exceed 2016 full year issuance. European banks have issued a total of €22.7 bn in CoCo bonds during the year, just below the total issued in 2016FY (€23.5bn).

  • Lower CoCo risk premia. Average coupons of the fixed rate CoCo instruments issued in the first half of 2017 stood at 6.42%, which represents a decrease from the coupons of the instruments issued in 2016 (7.54%). The decline has been largely driven by a decrease in risk premia (as measured by CoCo option-adjusted spreads, OAS), from 520bps on average in 2016FY to 440bps in 1H17.