AFME Prudential Data Report Q1 2023 | AFME

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Data Research
AFME Prudential Data Report Q1 2023
16 Jun 2023
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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 2023.

It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at June 2023.

Among the main findings of this report:

  • European GSIBs end-point CET1 ratio increased to 14.3% in 4Q’23 from 13.9% in 4Q’22.
    The increase was driven by lower RWAs and solid quarterly earnings, predominantly from growth in net interest income.

    Buyback programs undertaken by 5 of the 11 banks only partially offset in 14bps the aggregate increase in CET1 ratio.


  • Slowdown in AT1 issuance in Q2’23
    European banks have issued a total of €10.5bn in Contingent Convertible instruments (predominantly AT1s) during the year. The issued amount was predominantly originated in Q1’23 (€9.3bn), while between April and mid-June AT1 issuance significantly decelerated to €1.2bn after a 3-month hiatus in the AT1 bond market with no issuance between 6 March and 13 June.

    Q2'23 stands to finalise with the lowest quarterly issued amount since 4Q’15.

    AT1 risk premia decreased 240bps from the peak levels observed in March 2023. However, continues 130bps above the levels prior to the late-March market turbulence episode.


  • CMDI package
    The box on pages 21-28 summarises the European Commission’s proposal for the review of the Crisis Management and Deposit Insurance (CMDI) framework.

    The reforms are a long-standing ambition to improve the EU’s bank resolution framework and constitute a step closer towards the Banking Union.

    The package does not include the introduction of the widely expected European Deposit Insurance Scheme (EDIS). However, the European Commission expects the CMDI package to facilitate the road towards EDIS and completing the Banking Union.

    AFME continues to support the development of an effective recovery and resolution framework in Europe and the ongoing work to enhance resolvability.