7 Dec 2017

Prudential Data Report Q3 2017

AFME is pleased to circulate its Q3 2017 Prudential Data Report.

The report provides a timely update (as at September 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 13.47% in 3Q17, from 13.38% in 2Q17 (and from 12.4% in 4Q16). The quarterly increase in CET1 ratio was driven by retained earnings (14bps), further RWA reductions including from one asset disposal by one bank (5 bps), only partially offset by other factors including FX variation and other bank-specific factors (-10 bps). 
  • EU banks have raised a total of €55.4bn in new capital from markets during the year (as of 27 November 2017), more than double the total accumulated during the full year of 2016 (€26.0bn).

  • 2017 CoCo issuance above 2016FY issued volume. European banks have issued a total of €29.5 bn in CoCo bonds during the year (as of November 2017), above the total issued in 2016FY (€23.5bn).
  • Lower CoCo risk premia. Average coupons of the fixed rate CoCo instruments issued in the first three quarters of 2017 stood at 6.2% which represents a record low for newly issued European CoCos.

  • The November 2017 update to the Financial Stability Board (FSB) GSIB list further contributed to EU GSIBs’ Pillar 1 capital surplus against the CET1 minimum requirements due to be met by 2019. The lower bucket allocations in the 2017 list compared to the 2016 list signify, on average, lower capital buffers required to EU GSIBs due to their systemic importance and complexity.

EU GSIBs capital and liquidity ratios

 

Source: EUGSIBs earnings reports and EBA