AFME Prudential Data Report Q1 2022 | AFME

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Data Research
AFME Prudential Data Report Q1 2022
31 May 2022
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Author Julio Suarez Director
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This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2022.


It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at May 2022.



Among the main findings of this report:


  • CET1 and T1 capital ratios decline in Q1 2022: European GSIBs end-point CET1 ratio decreased from 14.5% in 4Q21, to 13.8% in 1Q22.


The decrease in CET1 ratio during the quarter was driven by RWA growth, regulatory changes implemented at the start of the year (continuation of IFRS9 implementation, irrevocable payment commitments, software capitalisation benefit reversal), and share buybacks undertaken by 6 of the 11 banks.


T1 capital declined 2% QoQ, on the back of lower CET1 capital, redemption of Additional Tier 1 (AT1) instruments not offset by issuance of new AT1 securities.


  • Lowest year-to-date CoCo issuance since 2013: European banks have issued a total of EUR 7.4bn in AT1 CoCos in 2022YtD (May).


CoCo borrowing costs continued to increase in Q2 2022. Coupon rates of newly originated CoCos averaged 5.2% during Q1’22 and 6.8% in Q2’22 (as of May), a sharp increase from the average observed at the end of 2021 (3.3%). Several concurrent factors have contributed to rising borrowing costs, including higher risk premia, market volatility, and rising inflation outcomes.


  • Capital buffers usability: The Box on pages 21-28 discusses the evolution of European GSIBs’ capital resilience during the pandemic and banks’ reluctance to reduce their buffers even after regulatory and supervisory dispensation. 


Banks’ surpluses against Maximum Distributable Amount (MDA) triggers rose on a weighted average basis from c3.5% of RWAs in Q1’20 to 5% in Q4’21. The evolution of capital buffers varied by banks. Banks that entered the pandemic with lower MDA surplus increased the most their capital buffers between the period Q4’19 and Q4’21. 


The box also reflects on possible changes to the capital buffers framework. Further detail can be also found in the AFME Position Paper (here).