AFME is pleased to circulate its Q3 2024 Government Bond Data Report. Report highlights include: EU Member States and the UK issued EUR 898 bn in bonds and bills throughout 3Q24,which represents a decrease of 5.6% (QoQ) compared to 2Q24, and an increase of 5.7% (YoY) compared to 3Q23. In Slovenia, an inaugural government digital bond was issued in July 2024, representing the first time a European sovereign has issued a digital bond based on distributed ledger technology. Record trading volumes continued in European (EU+UK) government bonds during Q3 2024,according to MarketAxess TraX, with trading increasing 3% (YoY) and decreasing 10% (QoQ). In 2024 to date, average daily trading volumes were up 13%, compared to 2023, and up 27% compared to 2022. Average daily trading volumes in 2024 to date continue to be the highest in the past six years following consistently high trading volumes reported since 2022. Outstanding amount of European ESG government bonds reached EUR 527 bn during 3Q24.Volumes were driven by tap issuance by Germany (EUR 4.0 bn), the UK (EUR 3.6 bn), Belgium (EUR 1.1 bn), Denmark (EUR 0.4 bn), and Ireland (EUR 0.3 bn) and the European Commission (EUR 5.0 bn). In Slovenia, an inaugural dual-tranche social samurai bond was issued in August 2024, representing the first social samurai bond ever issued by a sovereign. During 3Q24 there were2 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q24, 2 upgrades and 4 downgrades in 2Q24, bringing the 2024 year-to-date total to 8 upgrades and 5 downgrades (there were 3 further upgrades and 1 downgrade in 4Q24). Croatia continued to increase the quality of its credit profile throughout 2024, with two of the main credit rating agencies upgrading the credit rating of the country in Q3 2024. There were 2 entries and 1 exit in European primary dealership from October to December 2024 with a net change of 1.Changes in primary dealership affected sovereign debt markets in Germany, Italy and Portugal. This follows 2 entries and 1 exit in total of banks to primary dealer systems from January to October 2024. After the most recent changes, there are now 22 primary dealers in the Italian sovereign market, representing the highest number of active participants since June 2008. The average bid-cover ratio (demand/amount allocated) was 2.47 in 3Q24,a decrease of 1.2% (QoQ) from 2Q24 and an increase of 18.8% from 3Q23 (YoY).

AFME is pleased to circulate its Q3 2024 Securitisation Data Report. Main findings: In Q3 2024, EUR 47.8 bn of securitised product was issued in Europe, a decrease of 28.1% from Q2 2024 (EUR 66.5 bn) and an increase of 21.1% from Q3 2023 (EUR 39.5 bn). Of the EUR 47.8 bn issued, EUR 35.4 bn was placed, representing 74.0% of the total, compared to 68.3% of issuance in Q2 2024 and 65.2% of issuance in Q3 2023. Outstanding volumes (including CLOs) increased to EUR 1,189.2 bn at the end of Q3 2024, an increase of 0.3% QoQ and an increase of 0.6% YoY. Credit Quality: In Europe, upgrades comprised 78% of total rating actions by the main CRAs during Q3 2024, down from 79% of total rating actions during Q2 2024. STS issuance: In Q3 2024, EUR 8.4 bn of securitised product was notified as STS to ESMA and the FCA, representing 17.6% of the total issued volume in Q3 2024 (EUR 47.8 bn). Out of the EUR 8.4 bn in STS issuance, EUR 6.8 bn was placed, representing 19.2% of total placed issuance in Q3 2024 (EUR 35.4 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 19.6 bn in Q3 2024, an increase of 49.6% from Q2 2024 and a decrease of 25.8% from Q3 2023.

AFME is pleased to circulate its European ESG Finance quarterly data report for the third quarter of 2024. The report provides detailed data and analysis on the growing Sustainable Finance market in Europe. The report also gives an overview of the near-term regulatory initiatives in the sector. Among the main findings of this report: ESG bond and loan issuance in Q3'24 surpasses 2023 but remain below 2021-2022 levels: ESGbond and loan issuance totalled €116bn, a 6% increase from Q3 2023 (YoY) and a 27% decrease from Q2 2024 (QoQ). Green bond issuance on track to reach highest issuance, while sustainable, social and sustainability-linked bond issuance is on the decline. Positive trend for the European ESG Securitisation market, with issuance at its highest level since 2021. German issuers led in total loan and bond origination YtD, closely followed by French issuers. Notably, c. 58% of sustainability-linked bonds was originated in Italy and almost half of ESG bonds were issued in France or Germany. The share of ESG bonds in total bond issuance in Europe has plateaued, or even decreased since 2021: ESG bond issuance, including ESG-labelled, sustainability-linked and transition bonds, represented 14% of total European bond issuance during 2024 YtD, a lower proportion from 14.2% in 2023 and 18% in 2022. On a year-to-date basis, European green bonds reached the highest H1 issued amount on records. However, relative to the total European bond issued amount, its proportion has continued at c10% since 2021. Record-High global ESG Assets Under Management (AuM) driven by strong fund inflows: Global funds with an ESG mandate reached $10.5tn as of Q3 2024, representing a 8.7% increase from Q2 2024 and a 18.2% increase from Q3 2023. The quarterly increase can be attributed to the positive net inflow of $122.75bn in ESG funds in the third quarter of the year.

AFME is pleased to circulate its Prudential quarterly data report for the third quarter of 2024. 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: Key capital and liquidity ratios, high and stable : The CET1 ratio of European GSIBs finalised Q3 2024 at 14.17%, 1bp below levels observed in Q2 2024. The end-point T1 ratio slightly increased during Q3 2024 (+2bps). The leverage ratio of EU banks has been virtually unchanged since 2023, fluctuating around 4.3% Strong AT1 bond issuance: As of 2024 year-to-date, European banks have issued a total of €19.26bn in AT1 capital. Issuance in Q3 2024 accounted for 44.7% of this total, reaching €8.7 bn. This reflects a 127% year-over-year increase and a 44% rise compared to the previous quarter. AT1 risk premia stable to pre-turbulence levels, standing at 339bps, 57bps below the levels observed prior the turbulence episode in March 2023. AFME priorities for banking regulations AFME has recently published a new report setting out a proposal for priorities for banking regulation in the new EU legislative Cycle. This comes at a pivotal moment, as the new EU policy cycle provides an opportunity to assess the current regulatory framework and align it with the EU’s broader strategic objectives. This should be done with the objective of enabling all banks operating in the EU to remain competitive in an increasingly fragmented global landscape. With that in mind, AFME has identified some of the key issues with respect to the EU’s banking regulatory framework. See full paper here

AFME is pleased to circulate its European High Yield and Leveraged Loan quarterly data report for the third quarter of 2024. The report provides detailed data and analysis on the issuance and credit performance for the high yield and leveraged loan markets. Among the main findings of this report: European leveraged finance issuance(leveraged loans and high yield bonds) reached €75bn in proceeds in Q3 2024, a 63% increase from €46bn in Q3 2023. The European share of high yield issuance increased to 32% in Q3 2024, up from 17% in Q3 2023. High yield bond issuancetotaled€33bn in Q3 2024, a 92% increase from Q3 2023. In the first three quarters of 2024, high yield bond issuance reached a total of €121bn, the second highest amount in our records, just below the amount issued in the first three quarters of 2021 following the recovery from the COVID-19 pandemic (€124bn). High yield bond proceeds in Q3 2024 were mainly used for refinancing (25% of the total), general corporate purposes (23% of the total), and repayment of the debt (13% of the total). In Q3 2024, 16% of high yield instruments were used to finance LBOs and acquisitions, an increasing amount compared to the previous quarters. Leveraged loan origination stoodat €42bn in Q3 2024, a decrease from €77bn in Q2 2024, but a 46% increase from Q3 2023. Institutional spreads (3-month rolling average) showed consistent stability, starting from 400bps in July to 398bps in September 2024. Food & Beverage has become the leading sector by loan origination amount in Q3 2024, while Healthcare, professional Services, and Computers & Electronics have slightly decreased compared to the previous quarter. Credit Quality: S&P reported the trailing 12-month speculative-grade bond default rate at 4.7% in September 2024. Moody’s reported a rate of 3.6% in September 2024, a slight increase from the previous quarter's value. Moody's and S&P reported 12 bond defaults during Q3 2024, mainly due to distressed exchanges and missed payments. Fitch reported a trailing 12-month European leveraged loan default rate at 2.3% in September 2024, down from 3.6% in June 2024. According to Octus (formerly Reorg), 97% of the European leveraged loan deals examined in the first three quarters of 2024 were covenant-lite.

AFME is pleased to circulate the European Securitisation Data Snapshot forQ3 2024. Key highlights: Q3 2024 European Issuance In Q3 2024, EUR 47.8 bn of securitised product was issued in Europe, a decrease of 28.1% from Q2 2024 (EUR 66.5 bn) and an increase of 21.1% from Q3 2023 (EUR 39.5 bn). Of this, EUR 35.4 bn was placed, representing 74.0% of the total, compared to EUR 45.4 bn placed in Q2 2024 (representing 68.3% of EUR 66.5 bn) and EUR 25.8 bn placed in Q3 2023 (representing 65.2% of EUR 39.5 bn). In Q3 2024, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS: Pan-European CLOs decreased from EUR 13.9 bn in Q2 2024 to EUR 10.6 bn in Q3 2024; UK RMBS decreased from EUR 10.6 bn in Q2 2024 to EUR 5.5 bn in Q3 2024; and German Auto ABS decreased from EUR 3.2 bn in Q2 2024 to EUR 2.6 bn in Q3 2024.

AFME is pleased to circulate its Equity Primary Markets and Trading quarterly data report for the third quarter of 2024. The report provides detailed data and analysison the issuance and performance for the equity markets. Among the main findings of this report: Equity underwriting on European exchanges rose 8% in the first three quarters of 2024 compared to the same period of 2023. Initial Public Offerings(IPOs) saw a large percentage increase of 87% YtDthat was mainly driven by a robust rise during the first two quarters of the year, while in Q3 2024 it represented a small amount of only €0.15bn in deal value, the lowest quarterly amount since Q3 2009. Mergers and Acquisitions (M&A) activity rose 25% YtDwhen measured as announced value, while the completed deal value was up by 4% YtD. Average daily equity trading on European main markets and MTFs increased by 10% YtD. Recent trends show a deterioration in market liquidity as measured by turnover ratio (turnover value/market cap), with a decline from c150% in 2018 to 110% in 2024. DVC Update: The Double Volume Cap (DVC) mechanism seeks to limit equity trading under the reference price waiver and the negotiated transaction waiver on EU venues. According to ESMA, the number of instruments suspended under the DVC has roughly stabilised since March 2023, with 210 suspended instruments (178 at EU Level and 32 at TV level) as of October 2024.

AFME is pleased to circulate its Q2 2024 Securitisation Data Report. Main findings: In Q2 2024, EUR 66.6 bn of securitised product was issued in Europe, a decrease of 1.4% from Q1 2024 (EUR 67.6 bn) and a decrease of 30.4% from Q2 2023 (EUR 95.7 bn). However, of the EUR 66.6 bn issued, EUR 45.4 bn was placed, representing 68.2% of the total, compared to 47.4% of issuance in Q1 2024 and 21.6% of issuance in Q2 2023. Outstanding volumes (including CLOs) increased to EUR 1,186.1 bn at the end of Q2 2024, an increase of 2.0% QoQ and a decrease of 0.6% YoY. Credit Quality: In Europe, upgrades comprised 79% of total rating actions by the main CRAs during Q2 2024, down from 91% of total rating actions during Q2 2023. STS issuance: In Q2 2024, EUR 27.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 40.9% of the total issued volume in Q2 2024 (EUR 66.6 bn). Out of the EUR 27.2 bn in STS issuance, EUR 20.4 bn was placed, representing 45.0% of total placed issuance in Q2 2024 (EUR 45.4 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 13.1 bn in Q2 2024, an increase of 37.9% from Q1 2024 and a decrease of 16.6% from Q2 2023.

Report highlights include: EU Member States and the UK issued EUR 954 bn in bonds and bills throughout 2Q24, which represents an increase of 5.7% (QoQ) compared to 1Q24, and an increase of 7.3% (YoY) compared to 2Q23. Record trading volumes continued in European (EU+UK) government bonds during Q2 2024, according to MarketAxess TraX, with trading increasing 9% (YoY) and decreasing 12% (QoQ). In H1 2024, average daily trading volumes were up 13%, compared to H1 2023, and up 24% compared to H1 2022. Average daily trading volumes in 2024 to date are the highest in the past six years following consistently high trading volumes reported since 2022. Outstanding amount of European ESG government bonds reached EUR 502 bn during 2Q24. Volumes were driven by new green bonds issued by Italy (EUR 9.0 bn), Germany (EUR 4.0 bn), Austria (EUR 2.3 bn) and the European Commission (EUR 4.2 bn). The pace of quarterly growth in the outstanding volume of ESG sovereign bonds slowed to 5.5% during 2Q24, falling from 7.8% growth in 1Q24. During 2Q24 there were 4 long-term credit rating downgrades for European countries and 2 upgrades. This follows 1 upgrade and no downgrades in 1Q24, bringing the 2024 year-to-date total to 4 upgrades and 4 downgrades (there was 1 further upgrade and no downgrades in 3Q24). Cyprus continued to increase the quality of its credit profile throughout 2024, with two of the main credit rating agencies upgrading the credit rating of the country in Q2 2024. There were 2 entries and 1 exit in European primary dealership from January to October 2024. Changes in primary dealership from January to October 2024 affected sovereign debt markets in Italy, Slovenia, and Sweden. After the most recent changes and as of September 2024, the median number of primary dealers across European countries increased to 18, which represents the highest median since May 2018. The average bid-cover ratio (demand/amount allocated) was 2.50 in 2Q24, an increase of 3.3% (QoQ) from 1Q24 and an increase of 14.2% from 2Q23 (YoY).

AFME is pleased to circulate its Prudential quarterly data report for the second quarter of 2024. 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 slightly increased of 3bps to 14.21% in Q2 2024: The increase was primarily due to organic capital growth and movements in RWAs, while FX translation and shareholder distributions reduced the ratio (respectively by 9bps and 25bps). TLAC capital covered 32.5% of RWA and 9.7% of exposure measure in Q2 2024, a QoQ increase from 31.78% of RWAs and 9.59% of the exposure measure. AT1 bond issuance recovery speeds up: Following the March 2023 AT1 market turbulence episode, issuance started to recover in June 2023 and gradually increased during the rest of 2023. After a limited issuance of AT1 instruments in the first quarter, Q2 2024 shows stronger volumes (€6bn in proceeds), marking an increase of 392% YoY and 30% QoQ. AT1 risk premia stable to pre-turbulence levels, standing at 362bps, 34bps below the levels observed prior the turbulence episode in March 2023. Updates in the Basel III package implementation in EU, UK and US In the EU, the European Commission has just adopted a delegated act to postpone the implementation of the market risk prudential framework, the "Fundamental Review of Trading Book" or FRTB by one year, while the CRR3 will enter into application from 1 January 2025. In the UK, the implementation of the Basel 3.1 has been postponed to 1 January 2026, following the publication of the final rules that indicate that Tier 1 capital requirements for UK firms will increase by less than 1% after the transitional arrangements conclude. In the US, the timeline for the implementation of the Basel 3 endgameremains uncertain but will likely be delayed further due to the expected publication of the re-proposal.