This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 June 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 September 2022.

Among the main findings of this report:
 

• Marginal decline in CET1 and T1 capital ratios in Q2 2022: European GSIBs end-point CET1 ratio decreased from 13.76% in 1Q22, to 13.73% in 2Q22.
  
  The marginal decrease in CET1 ratio during the quarter was driven by RWA growth, FX translation, and market portfolio losses reflected in lower other comprehensive income.
  
  End-point T1 ratios decreased to 15.4% in 2Q22 from 15.5% in 4Q21. Notwithstanding the increase in CET1 capital, AT1 capital has declined €5.4bn during 2022YtD as high borrowing costs may have prevented a more dynamic primary market for AT1 notes.
   
• CoCo borrowing costs reach 2013 levels: Coupon rates of newly originated AT1 Contingent Convertibles (CoCos) averaged 8.7% during Q2’22 and 7.8% in Q3’22 (as of end September). This represents a sharp increase from the average observed at the end of 2021 (3.8%).
  
  The coupon payments for newly originated CoCos in Q2’22 stood at the highest observed since Q1’13. High CoCo risk premia, general market volatility, and inflation outcomes continued to contribute to the rising borrowing costs.
   
• Prudential treatment of crypto assets: The Box on pages 21-28 discusses the use of cryptoassets in non-regulated financial services activities and the recent Basel committee consultation on the prudential treatment of crypto asset exposures.
  
  The challenge for regulators is to bring a balance where financial consumers can benefit from new forms of technology, while safeguarding financial stability and minimising regulatory arbitrage between market participants.
  
  Bankruptcies of several large CeFi platforms (beginning with Celsius) in the aftermath of the collapse of Terra/Luna highlight the benefit that would be brought from the participation of banks applying capital, liquidity, risk management and other prudential regulations and supervisory oversight to the crypto asset sector.
  
  The full GFMA consultation response can be found (here).