Prudential Data Report 2Q 2019 | AFME

Share this page
Prudential Data Report 2Q 2019
09 Oct 2019

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 30 June 2019.


It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as of September 2019. 


Among the main findings of this report:


  • EU GSIBs end-point CET1 ratio stood at 13.2% in 2Q19, slightly above 13.1% in 4Q18

    During the latest quarter, earnings retention contributed 22bps to the CET1 ratio variation. This increase was offset 9bps by an increase in RWAs by 7 of the 11 banks as a consequence of business growth (most predominantly credit risks and bank-specific factors like an update of regulatory models and global markets RWA variations).
  • End-point Tier 1 ratios increased to 14.9% in 2Q19, from 14.8% in 4Q18.
  • End-point Leverage ratios (LR) declined to 4.7% in 2Q19 from 4.8% in 4Q18.
  • Liquidity Coverage Ratio (LCR) declined to 140% on a weighted average basis in 2Q19, from 142.4% in 4Q18.
  • Capital Capital raising above 2018FY level: The amount of new capital raised during 1H 2019 by EU banks totalled €23.6 bn, €2bn above the amount raised in 2018FY.
  • 36 European banks have issued CoCo instruments in 2019 YtD including 9 European GSIBs (vs 37 in 2018FY including 9 European GSIBs) accumulating a total issued amount of €28bn during the year. 

    Coupon rates of newly originated CoCos have declined 170bps YtD on the back of lower risk-free benchmark rates.
  • Bail-inable bonds: EU GSIBs have continued to issue bail-inable senior non-preferred bonds, accumulating a total stock of €141.9bn as of September 2019, representing between 1.2% and 5.7% of EU GSIBs RWAs, as banks continue to prepare for the implementation of TLAC/MREL requirements.
  • Basel III: The EBA published in August 2019 the first part of its advice on the EU implementation of Basel III, which includes a quantitative impact analysis, and a set of policy recommendations.

    According to EBA estimates, the full implementation of Basel III will increase the minimum capital requirement (MRC) by 24.4% on average. The Introduction of output floor (+9.1%) is the main driver of impact, followed by changes on CVA and operational risk. Most of the capital impact occurs in large globally active banks (28.6%), while the impact on small banks is limited to 5.5% MRC. 

    After the publication of the EBA CfA, the European Commission is preparing a legislative proposal. A public hearing will be organised on 12 November in Brussels. AFME’s understanding is that the current planning for the legislative proposal is Q2 2020, despite the second part of the EBA CfA possibly delayed until year-end. The European Commission is internally reflecting on whether to include any topics in the CRR/CRD proposals which go beyond Basel III implementation.