AFME Prudential Data Report Q4 2023 | AFME

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Data Research
AFME Prudential Data Report Q4 2023
03 Apr 2024
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Author Julio Suarez Director
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The report presents the latest data on prudential capital, leverage, and liquidity ratios for European GSIBs, and illustrates the performance of debt and contingent convertible (CoCo) securities issued by European banks.


Among the main findings of this report:

  • The end-point CET1 ratio of European GSIBs finalised 2023 at 14.2%, 27bps above 2022 levels. 

The increase was driven by robust earnings retention which contributed 96bps to the capital buildup. This was partially offset by buyback programmes undertaken by the large majority of European GSIBs.

The Liquidity Coverage Ratio of European GSIBs finalised 2022 with a 47% buffer above the minimum requirement (100%) and above the ratio observed at the end of 2022 (145%).


  • The 2023 European AT1 issuance amount was the lowest in the last decade. 

The market virtually stopped during April and May of 2023, leading to only €1.2 bn issued in June 2023 when the market reopened. The sudden stop was the consequence of the unexpected writedown of AT1 securities of a major Swiss bank in March 2023.

AT1 issuance began to recover from the third quarter of 2023 and is currently on track to return to pre-writedown issuance levels.

Following the high volatility period started in March 2023, AT1 option-adjusted spreads gradually tightened for the remaining of the year. However, the risk premium remains 24bps above the minimum levels observed in February 2023 prior to the turbulence episode.


  • Status update on the implementation timelines of the Basel agreement in Europe.

The box on pages 22-26 provides a status update on the implementation timelines of the CRR3 package in the EU and the Basel 3.1 package in the UK. The box also discusses the impact of the regulatory measures on banks' capital in the EU, the UK, and the US.