AFME Q1 2024 Prudential Data Report | AFME

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Data Research
AFME Q1 2024 Prudential Data Report
11 Jun 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 increased to 14.2% in Q1 2024 from 14.1% in Q4 2023:

  • The increase was primarily driven by strong organic capital generation partially offset by distributions to shareholders. Higher RWAs also contributed negatively to the variation.
  • TLAC capital covered 31.8% of RWAs and 9.6% of the exposure measure in Q1 2024, marginally below 32.1% and 9.7% in the previous quarter.
  • 2 out of the 29 monitored European countries increased their national countercyclical buffers in Q1 2024, while 6 countries will see further increases during the second quarter of the year.


AT1 bond issuance recovery slows down:

  • Following the March 2023 AT1 market turbulence episode, issuance started to recover in June 2023 and gradually increased during the rest of 2023. However, AT1 instruments only raised €4.6bn in proceeds in Q1 2024, marking a decrease of 51% YoY and 28% QoQ. This amount falls below pre-March 2023 issuance.
  • AT1 risk premia returned to pre-turbulence levels. As of April 2024, the AT1 risk premium stands at 372bps, 24bps below the minimum levels observed in February 2023.


GFMA responds to the GSIB revised assessment framework consultation on “window dressing” by the BCBS:

  • In March 2024, the BCBS issued a consultation document proposing to modify the reporting instructions of stock variables used in the calculation of GSIB indicators. Under the proposed standards, stock variables will be reported at the average of values over the year rather than at end-of-year values.
  • In its consultation response, AFME via GFMA questions that the evidence brought forward by the BCBS is not robust enough to justify a change in reporting requirements. If a change is to occur, a more suitable approach would be adopting a quarterly reporting framework to limit the burden placed on banks and ensure data accuracy.

GFMA’s consultation is available here.