3 Apr 2018

Prudential Data Report Q4 2017

AFME is pleased to circulate its Q4 2017 Prudential Data Report.

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 31 December 2017.

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

Main findings:

  • EU GSIBs increased their end-point CET1 ratio to 13.5% in 2017, from 12.4% in 2016.
  • End-point Tier 1 ratios increased to 15.1% in 2017, from 13.8% in 2016.
  • End-point Leverage ratios (LR) improved from 4.7% in 2016 to 4.9% in 2017.
  • Liquidity Coverage Ratio (LCR) stood at 140.8% on a weighted average basis in 2017, from 132.1% in 2016.
  • Box 1 of this report (pages 24-27) presents the results of a text analysis exercise of 120 earnings calls transcripts of selected EU GSIBs for the years 2012-17. “Basel”, “regulation”, and “digital” are among the key themes in recent earnings calls. “Digital” has gained significant importance as company management presents banks’ strategies for adapting to the digital world. “Tax” was topical in 4Q17 calls as analysts were interested in the impact of the US tax reform on banks’ earnings.
  • EU banks raised €57.5 bn in new capital in the form of follow-on offerings, contingent convertibles (CoCo), and other convertible securities. This compares with €26.0bn raised during 2016 and €52.5 bn in 2015.
  • EU GSIBs have increased the amount of senior non-preferred bonds, which take losses after subordinated notes and before preferred senior debt. EU GSIBs have recently issued a cumulative amount of €51.6bn as of March 2018 in bail-inable senior non-preferred bonds