AFME Prudential Data Report Q3 2022 | AFME

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Data Research
AFME Prudential Data Report Q3 2022
11 Jan 2023
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Author Julio Suarez Director
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AFME Prudential Data Report Q3 2022


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



Among the main findings of this report:


  • European GSIBs end-point CET1 ratio stood virtually unchanged at 13.7% in 3Q’22, the same level of 2Q’22.


    RWAs reached €5.3tn at the end of 3Q’22, the same level observed in 2014. Although RWAs have reached 2014 levels, CET1 capital stands at 1.2x the level observed in 2014.


    End-point T1 ratios increased to 15.6% in 3Q’22 from 15.5% in 2Q’22 on the back of higher AT1 capital, notwithstanding the recent increase in borrowing costs.


  • AT1 CoCo borrowing costs reach 2011 levels: Coupon rates of newly originated CoCos averaged 7.8% during 3Q’22 and 9.8% in 4Q’22 (as of end of December). This represents a sharp increase from the average observed at the end of 2021 (3.3%).


    The coupon payments for newly originated CoCos are the highest observed since 3Q’11.


    Although risk premia (OAS) are of the same level than that observed in 1H 2020, coupon rates are of higher magnitude, suggesting that inflation has largely contributed to the increase in nominal borrowing costs.


  • New FSB GSIB list: 2022. The Box on pages 21-24 discusses the recent changes in the GSIB list and scores for European and US banks. Since 2012, the number of European GSIBs has declined from 14 to 11 in 2022. These changes have signified, on a weighted average basis, lower GSIB capital surcharges for global European banks.


    US banks exhibit higher GSIB scores than European banks in relation to “Financial infrastructure” and “Complexity”. The higher relevance of US banks on Financial Infrastructure is observed across every sub-indicator: payments (4x higher than European banks), assets under custody (6x), underwriting activity (4x), fixed income trading (8x), equities trading (9x).  European banks exhibit a higher cross-jurisdictional complexity, likely due to the more prominent cross-national participation within the EU.