AFME Q2 2024 Prudential Data Report

AFME is pleased to circulate its Prudential quarterly data report for the second quarter of 2024. 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 slightly increased of 3bps to 14.21% in Q2 2024:

The increase was primarily due to organic capital growth and movements in RWAs, while FX translation and shareholder distributions reduced the ratio (respectively by 9bps and 25 bps).
TLAC capital covered 32.5% of RWA and 9.7% of exposure measure in Q2 2024, a QoQ increase from 31.78% of RWAs and 9.59% of the exposure measure.

AT1 bond issuance recovery speeds up:

Following the March 2023 AT1 market turbulence episode, issuance started to recover in June 2023 and gradually increased during the rest of 2023. After a limited issuance of AT1 instruments in the first quarter, Q2 2024 shows stronger volumes (€6bn in proceeds), marking an increase of 392% YoY and 30% QoQ.
AT1 risk premia stable to pre-turbulence levels, standing at 362bps, 34bps below the levels observed prior the turbulence episode in March 2023.

Updates in the Basel III package implementation in EU, UK and US

In the EU, the European Commission has just adopted a delegated act to postpone the implementation of the market risk prudential framework, the "Fundamental Review of Trading Book" or FRTB by one year, while the CRR3 will enter into application from 1 January 2025.
In the UK, the implementation of the Basel 3.1 has been postponed to 1 January 2026, following the publication of the final rules that indicate that Tier 1 capital requirements for UK firms will increase by less than 1% after the transitional arrangements conclude.
In the US, the timeline for the implementation of the Basel 3 endgame remains uncertain but will likely be delayed further due to the expected publication of the re-proposal.