AFME Prudential Data Report 2Q 2021

European systemically important banks* (GSIBs) continued to comply with the minimum required solvency and liquidity ratios to support businesses navigate the economic recovery.

Among the main findings of this report:

• European GSIBs end-point CET1 ratio slightly decreased from 14.44% in 1Q21, to 14.36% in 2Q21.

• End-point Tier 1 ratios decreased from 16.24% in 1Q21, to 16.07% in 2Q21.

• The decline in risk-based CET1 and T1 ratios was driven by an increase in RWAs which was of larger magnitude than the quarterly increase in CET1 capital (0.6%) and T1 capital (0.3%). Banks reported an increase in credit risks RWAs on the back of a surge in client demand, M&A and asset consolidation, and regulatory impact from the finalization of the euro area Targeted Review of Internal Models (TRIM).

• End-point Leverage ratios (LR) stood unchanged at 4.92% in 2Q21.

• Liquidity Coverage Ratio (LCR) slightly decreased from 153.0% in 1Q21 to 152.1% in 2Q21.

• TLAC ratio increased to 28.0% relative to RWAs (from 27.8% in 1Q21) and to 8.7% as a percentage of leverage exposure (from 8.6% in 1Q21).

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