AFME is pleased to share the Prudential Data Report for the second quarter of 2025. The report provides updated data on European G-SIBs’ prudential capital, leverage, and liquidity positions, and illustrates the performance of banks’ debt and contingent convertible (CoCo) securities.
Among the main findings of this report:
Capital and liquidity buffers remain strong
- The CET1 ratio of European G-SIBs stood at 14.3% in Q2 2025, 10bps above the levels observed last quarter, reflecting a robust capital position.
- The leverage ratio of EU banks has reached 4.36% in Q2 2025, a slight increase from 4.35% in Q1 2025.
- Liquidity coverage ratios stayed well above regulatory minimums, at 148.9% on average
- TLAC ratios continued to be well above minimum regulatory requirements across all institutions.
Focus on Contingent Convertibles (CoCo)
- AT1 issuance reached €6.85bn in Q2 2025, down 7.69% QoQ but up 14.2% YoY, marking a record high for first semester AT1 issuance.
- 67.4% of AT1 instruments issued in Q2 2025 carried equity conversion loss absorption mechanisms (with the remainder featuring principal write-down triggers).
- The share of investment-grade AT1 issuance continued to rise in Q2 2025, extending the trend toward higher-quality CoCo capital observed since 2024.
Basel 3 implementation (CRR3): Output floor impact on CET1 ratios
The report includes a dedicated section on the impact of the Output Floor on the CET1 ratio on 16 of the largest European banks. We made use of the CMS1 template to compare full standardised RWAs against modelled RWA which banks have supervisory approval to use.
- We found that 5 of the 16 analysed banks will be affected by both the implementation of the OF in 2030 and by the end of transitional arrangements in 2033.
- 4 banks will only become constrained by the OF once the transitional arrangements are fully removed in 2033
