AFME is pleased to circulate its Prudential Data Report for the first quarter of 2025. The report provides updated data on prudential capital, leverage, and liquidity ratios for European G-SIBs, and illustrates the performance of debt and contingent convertible (CoCo) securities issued by European Banks.

Among the main findings of this report: 

Capital and liquidity buffers remain strong

• The CET1 ratio of European GSIBs was stable at 14.20% in Q1 2025, 2bps below levels observed in Q4 2024.

• The leverage ratio of EU banks has reached 4.35% in Q1 2025 (vs 4.36% in Q4 2024).

• TLAC and liquidity ratios remain well above regulatory requirements.

Increase in market risk RWAs from record trading revenues

• The proportion of market risk RWAs increased by 9% QoQ, reflecting significant growth in trading activity during the quarter, as banks reported record trading revenues in certain market areas.
• EU GSIBs ended the first quarter with €780.7bn in CET1 capital, a 0.7% decrease QoQ and a 1.9% increase YoY.

• The aggregate RWAs stood at €5,496bn, a slight YoY increase of 1.6% and a QoQ decrease of 0.9%.

Focus on Contingent Convertibles (CoCo)

• AT1 issuance reached €7.41bn in Q1 2025, a 124% increase QoQ and a 62.5% increase YoY.

• The majority of AT1 issuance is investment-graded (52%), confirming the trend initiated in 2024 - the first year dominated by investment-grade CoCo issuance.

• CoCo instruments carrying an equity conversion loss absorbing mechanism make up 87.8% of Q1 2025 issuance, while the remainder contains a principal writedown provision.

Basel 3 implementation in the EU (CRR3) : Early observations on CET1 impact

The report includes a dedicated section on the initial impact of the EU's Basel 3 implementation as of 1 January 2025. It outlines early impact on CET1 ratio, the transitional implementation of the output floor, and the ongoing global coordination for the implementation of the final elements of the Basel 3 package. Key findings are:  

• For EU banks disclosing CRR3 impact on a fully loaded basis, impact shows a noticeable negative effect on CET1 of around 50bps on average, excluding market risk elements (FRTB). This impact also does not consider other front-loading arrangements that banks have undertaken in previous years in preparation of the CRR3 implementation.

• In contrast, disclosures on the basis of a transitional phased-in approach exhibit a generally net positive in the short term. This is mainly attributable to an initial positive effect from credit risk RWAs (c80%of total RWAs) and the ongoing transition period related to the output floor.

• Going forward, global coherence between jurisdictions will be relevant to assess the full impact of Basel 3 on banks.

Further details can be found on page 22 of the report.