The Report contains European leveraged finance market trends for the fourth quarter of 2021, which includes issuance and credit performance figures for the high yield and leveraged loan markets.  Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) accumulated €87.7 billion in proceeds in 4Q’21, a 1.3% increase from €86.6 billion in 3Q’21, but a 40.5% increase from €62.4 billion in 4Q’20. Primary high yield bond issuance totaled €39.3 billion on 90 deals in 4Q’21, a 27.9% increase from €30.7 billion on 71 deals in 3Q’21 and a 14.7% increase from €34.3 billion on 87 deals in 4Q’20. The proportion of USD-denominated issuance decreased to 28.8% of all issuance in 4Q’21, down from 35% in 3Q’21 but up from 21.3% in 4Q’20. The leading use of proceeds for high yield bonds issuance in 4Q’21 was general corporate purposes, at €13.2 billion, which was lower than €15.3 billion in 3Q’21 and than €26 billion in 4Q’20. Preliminary data for the first two months of 2022 indicates that high yield bond issuance decelerated to a €15bn supply in January and February 2022, the slowest start of the year since 2016. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €48.4 billion on 117 tranches in 4Q’21, down 13.4% from €55.8 billion on 145 tranches in 3Q’21 but up 71.9% from €28.1 billion on 102 tranches in 4Q’20. 25.5% of deals financed in 4Q’21 were issued for refinancing and/or repayment of debt, down from 46.5% in 3Q’21 and slightly up from 25.1% in 4Q’20. LBO/MBO was the second largest use of proceeds in 4Q’21 with €17.4 billion, followed by Acquisitions with €15.7 billion. According to Reorg, all of the European leverage loan deals analysed in 4Q’21 were covenant-lite. According to Covenant Review, 68% of all leveraged loan deals reviewed as of 15th of December 2021 contained an ESG feature, compared to 53% of all deals reviewed in 3Q’21. Credit quality:  as of December 2021, S&P reported the trailing 12-month speculative-grade bond default rate at 1.8% a decrease from 5.3% in December 2020. Moody’s reported the trailing 12-month speculative-grade default rate at 1.22% in December 2021, down from 5.0% in December 2020. Fitch reported a decrease in European Leveraged Loan default rates (by value) to 1.9% in December 2021 from 4.92% in December 2020. There were no reported defaults in the fourth quarter of 2021 by Standard and Poor’s and Moody’s. According to Moody’s, in 4Q’21 bond upgrades exceeded downgrades in Europe (17 upgrades to 14 downgrades). This is a better ratio than 9 upgrades to 17 downgrades in 3Q’21 and compared to 30 downgrades to 12 upgrades in 4Q’20. According to S&P, in 4Q’21 upgrades exceeded downgrades in Europe (39 upgrades to 21 downgrades), a worse ratio than 13 downgrades to 32 upgrades in 3Q’21 but a better ratio than 43 downgrades to 17 upgrades in 4Q’20.

AFME is pleased to circulate its European ESG Finance quarterly data report for the fourth quarter and full year 2021. The aim of this report is to provide detailed data and analysis on the rapidly growing Sustainable Finance market in Europe. This Report contains up to date trends for the European Sustainable Finance market as at 31 December 2021, as well as a high-level regulatory and supervisory snapshot. Key highlights: ESG bond and loan issuance in 2021FY (€749.8bn) well surpassed the amount issued in 2020FY (€396.4bn) with an annual growth of 89%. ESG bonds and loans include ESG-labelled bonds (proceeds-based), sustainable-linked bonds, transition bonds, green-linked loans and sustainable-linked loans. ESG bond issuance represented 20.2% of total European bond issuance during 2021, from 9.3% in 2020. ESG securitisation issuance reached EUR 8bn from 12 deals (ABS, RMBS, CMBS and SRT), a 273% increase from 2020 (EUR 2.1bn) and a record annual amount. ESG bond Issuance in 2021 largely benefitted from sovereign and supranational issuers entering the market. As governments finalise their ESG funding programmes, going forward, green bond supply growth will be contingent on greater participation by the corporate sector and on seizing the potential of the ESG securitisation market. Carbon prices: European Union Allowance (EuA) price per metric tonne finalised 2021 at €79/Tn. Carbon prices have continued to increase during 2022, reaching €92/Tn at the end of January 2022 from €32.8 in December 2020. EU and UK forward curves continue to anticipate further price increases. Global ESG Funds exhibited an annual growth of 12% although at a slower growth pace than that observed in 2020 (28%) and 2019 (21%). Funds with an ESG mandate totalled $6.33 tn as of Q4 2021, a $0.7 tn increase from $5.63 tn in Q4 2020. ESG equity funds continue to be by far the largest fund asset class with 50.3% of total ESG funds and over 2x larger than fixed income which represents 22.1% of the total. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks have stabilized since April 2021. ESG premia has tightened from 9bps in April 2020 to 1-2bp between April 2021 and the first months of 2022. the greenium for sovereign bonds varies by issuer and by instrument, suggesting that in addition to sustainability features, other technical factors such as liquidity may influence yield premia against conventional bonds. Regulatory update: We present a selective list of upcoming European initiatives for the year 2022. For further details readers can also consult AFME and Linklaters report Sustainable Finance in Europe: Regulatory State of Play

AFME is pleased to circulate its Equity Primary Markets and Trading Report for the fourth quarter of 2021 (Q4 2021) and 2021 full year. The report provides an update on the performance of the equity market in Europe in activities such as primary issuance, Mergers and Acquisitions (M&A), equity liquidity structure, and market valuations. Key findings: Equity underwriting on European exchanges rose 29% in 2021 compared to 2020 and 94% vs 2019. The increase was driven by an exceptional year for Initial Public Offerings (IPOs), with the highest annual issued amount since 2007. Private Equity (PE) exits via IPOs represented 35% of the year total, with a record high for PE-backed IPOs. SPAC IPOs reached €7.4bn in 2021, representing 11% of total IPO volume (3% in 2020). Completed Mergers and Acquisitions (M&A) exhibited the highest deal value amount since 2007, with record outbound purchases by European companies and record PE-backed acquisitions. De-SPAC acquisitions represented 5% of the total announced M&A volume in Europe in 2021 (2% in 2020). Average daily equity trading activity on European main markets and MTFs stood at €87.2bn in 2021, 5% below the average daily observed in 2020. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has recently increased to 644 in January 2022 (from 205 in Dec-20) with 242 new suspensions identified only in January 2022. European equity trading mix: According to BigXYT data, on-venue trading represented 72% of the total addressable liquidity in Q4 2021. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 28% of the volume of the total addressable liquidity. Domestic market capitalisation of European listed shares stood at €17.2tn at the end of December 2021, a 21% increase from €14.2 at the end of 2020.

AFME is pleased to circulate the European Securitisation Data Snapshot for Q4 2021 and 2021 Full Year. Key highlights: Q4 2021 European Issuance In Q4 2021, EUR 100.2 bn of securitised product was issued in Europe , an increase of 110.5% from Q3 2021 (EUR 47.6 bn) and an increase of 55.8% from Q4 2020 (EUR 64.3 bn) Of this, EUR 46.8 bn was placed, representing 46.7% of the total, compared to EUR 23.1 bn placed in Q3 2021 (representing 48.5% of EUR 47.6 bn) and EUR 21.0 bn placed in Q4 2020 (representing 32.7% of EUR 64.3 bn) In Q4 2021, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS. Pan-European CLOs increased from EUR 8.8 bn in Q3 2021 to EUR 4.9 bn in Q4 2021 Pan-European CLOs increased from EUR 8.8 bn in Q3 2021 to EUR 4.9 bn in Q4 2021 German Auto ABS increased from EUR 1.0 bn in Q3 2021 to EUR 2.7 bn in Q4 2021 2021 Full Year European Issuance In 2021, EUR 233.1 bn of securitised product was issued in Europe, an increase of 17.6% from the EUR 198.2 bn issued in 2020 Of this, EUR 126.0 bn was placed, representing 54.1% of the total, compared to EUR 81.8 bn placed in 2020 representing 41.3% of the total In 2021, PanEuropean CLOs led placed totals (EUR 43.7 bn) followed by UK RMBS (EUR 26.0 bn) and German Auto ABS (EUR 7.7bn)

AFME is pleased to circulate its Q3 2021 Securitisation Data Report. Main findings: In Q3 2021, EUR 47.6 bn of securitised product was issued in Europe, an increase of 30.8% from Q2 2021 and an increase of 18.2% from Q3 2020. Outstanding volumes (ex-CLOs) decreased to EUR 969.9 bn at the end of Q3 2021, a decrease of 0.25% QoQ and a decrease of 1.59% YoY. Credit Quality: In Europe, upgrades comprised 87% of total rating actions during Q3 2021, compared to 84% of total rating actions during Q2 2021. STS issuance: In Q3 2021, EUR 12.8 bn of total (placed and retained) securitised product was notified as Simple Transparent and Standardised (STS) to ESMA, representing 26.9% of total issued volume in Q3 2021 (EUR 47.6 bn). Out of the EUR 12.8 bn in STS issuance, EUR 7.9 bn was placed, representing 34.2% of total placed issuance in Q3 2021 (EUR 23.1 bn)

This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 September 2021. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at November 2021. Among the main findings of this report: CET1 and T1 capital ratios increased in Q3 2021: European GSIBs end-point CET1 ratio increased from 14.36% in 2Q21, to 14.51% in 3Q21. Earnings retention contributed 27 bps to the 15bps increase in CET1 during the quarter, which was offset by RWA growth, FX variations, and other bank-specific factors. All the banks covered in this report have launched during the year or are expected to launch buyback programs which contribute to reduce capital buffers formation albeit from the existing record-high CET1 ratios. Of the banks that undertook buyback programmes during 3Q21, this represented between 10bps and 20bps on CET1 ratio. Banks have continued to increase credit risk RWAs on an absolute and relative basis. The increase in credit risks is predominantly driven by business growth and improving economic forecasts. Credit quality has not been a major driver to credit risk RWAs growth as stage 3 exposures have declined 2% YtD (EUR 4bn) while impairment allowances have declined 4.3% YtD (EUR6.2bn) Contingent Convertible (CoCo) borrowing costs increase from record lows: Coupon rates of newly originated AT1s rose to 5.1% in 4Q’21, an increase from an average of 4.2% observed in 3Q’21. The increase in borrowing costs was driven by higher risk premia and likely due to rising inflation expectations in the UK and the euro area. European banks have issued a total of EUR 29bn in AT1 CoCos as of November 2021, of which EUR 16.5bn were issued by European GSIBs. Basel implementation in the EU and UK: The Box on pages 22-26 discusses the EU and UK implementation of the final December 2017 Basel III standards. In the EU, on 27 October, the European Commission published the anticipated CRR3 proposal which implements the final elements of the Basel III package. According to the EU Commission’s proposal, the majority of measures are expected to be implemented on 1 January 2025. The Commission’s text includes a number of transitional arrangements, in particular related to the output floor until 2030 and in some cases extend to 2032. In the UK, the Prudential Regulatory Authority is expected to consult on the Basel 3.1 implementation during the second half of 2022. For UK authorities, there is a desire to ensure rules, particularly on global business lines, are implemented on a consistent timeline internationally.

The Report contains European leveraged finance market trends for the third quarter of 2021, which includes issuance and credit performance figures for the high yield and leveraged loan markets.    Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) accumulated €83.6 billion in proceeds in 3Q’21, a 31.4% decrease from €120 billion in 2Q’21, but a 55% increase from €53.9 billion in 3Q’20. Primary high yield bond issuance totalled €29.8 billion on 68 deals in 3Q’21, a 38.9% decrease from €48.8 billion on 117 deals in 2Q’21 and a 21% increase from €24.7 billion on 61 deals in 3Q’20. The proportion of USD-denominated issuance increased to 36.1% of all issuance in 3Q’21, from 26.6% in 2Q’21 and from 13.5% in 3Q’20. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totalled €53.8 billion in 3Q’21, down 24.6% from €71.3 billion in 2Q’21 but up 84.2% from €29.2 billion in 3Q’20. Refinancing/Repayment of Debt was the largest use of proceeds in 3Q’21 with €24.9 billion, followed by LBO/MBO with €16.5 billion and acquisitions with €9.3 billion. According to Covenant Review, 53% of all leveraged loan deals reviewed in 3Q’21 contained an ESG feature, compared to 57% of all deals reviewed in 2Q’21. According to Reorg, all of the European leverage loan deals examined in 3Q’21 were covenant-lite containing only a springing Revolving Credit Facility (RCF) leverage maintenance covenant. Credit quality:  S&P reported the trailing 12-month speculative-grade bond default rate at 3.4% a decrease from 5.3% in December 2020 and from 4.3% in September 2020. Moody’s reported the trailing 12-month speculative-grade default rate at 2.4% in September 2021, down from 5.0% in December 2020 and from 3.9% in September 2020. Fitch reported a decrease in European Leveraged Loan default rates to 2.7% in September 2021 from 4.58% in December 2020 (when measured by deal value). 2 bond-related defaults were reported in the third quarter of 2021 by Standard and Poor’s and Moody’s. Distressed exchange was the reason for both defaults. According to S&P, in 3Q’21 upgrades exceeded downgrades in Europe (32 upgrades to 13 downgrades), a better ratio than 35 upgrades to 32 downgrades in 2Q’21. According to Moody’s, in 3Q’21 bond downgrades exceeded upgrades in Europe (9 upgrades to 17 downgrades), a worse ratio than 20 upgrades to 10 downgrades in 2Q’21.

This report provides a comprehensive data source with updated statistics on the Government bond primary and secondary markets in Europe (EU+UK). Report highlights include: European (EU+UK) bonds and bills issuance continue above pre-pandemic levels with EUR 815 bn issued throughout 3Q21, which represents a decrease of 13.3% (QoQ) compared to 2Q21, and a decrease of 17.1% (YoY) compared to 3Q20. In terms of YtD (Q1-Q3) volumes, European bond and bill issuance is down 11.6% (YoY) but up 46.1% compared to 2019. Outstanding amount of European ESG government bonds reached EUR 216 bn. The UK and Spain both issued inaugural green bonds with volumes of GBP 10 bn (EUR 11.7 bn) and EUR 5.0 bn respectively during 3Q21, and Germany also issued a new green bund (EUR 3.5 bn). Most recently, the European Commission issued an inaugural green bond in 4Q21, raising EUR 12.0 bn under the NextGenerationEU (NGEU) scheme. The EU’s NextGenerationeEU (NGEU) programme is set to significantly increase official sector issuance in coming years as European Commission cumulative bond issuance is anticipated to reach EUR 890bn by end-2026, including EUR 89.6 bn of social bonds already issued during 4Q20 to 2Q21 as part of the European Commission’s SURE scheme. During Q3 2021, European quarterly traded volumes increased 1.7% (YoY) but decreased 15.9% (QoQ), according to MarketAxess. Year to date European government bond trading (YtD; Q1-Q3) during 2021 is down 1.6% compared to 2020, but up 1.6% compared to 2019. Eurozone 1Y inflation expectations continue to rise on the back of higher energy prices, supply chain frictions, and the general economic recovery. Eurozone 1Y market-implied inflation expectations were 1.8% in November 2021, as analysts’ consensus (according to Eikon) estimates a 1Y ahead annual inflation at 1.7% for 4Q21. During 3Q21 there were 3 long-term credit rating upgrades for European countries and no downgrades (following 1 upgrade and no downgrades during 1Q21, 1 upgrade and no downgrades in 2Q21) bringing the full year total to 6 upgrades and no downgrades (there was 1 further upgrade in 4Q21 to date). The average bid-cover ratio (demand/amount allocated) was 2.20 in 3Q21, a decrease of 8.6% (QoQ) from 2Q21 and an increase of 12.9% from 3Q20 (YoY).

AFME is pleased to circulate its European ESG Finance quarterly data report for the third quarter of 2021 (Q3 2021). The aim of this quarterly report is to provide detailed data and analysis on the rapidly growing Sustainable Finance market in Europe. This Report contains up to date trends for the European Sustainable Finance market as at 30 September 2021, as well as a high-level regulatory and supervisory snapshot. Key highlights: ESG bond and loan issuance decelerated in Q3 2021 compared to Q2 2021. The decline was driven by lower sustainable-linked and green-linked loan origination, seasonal factors, and the finalisation of the EU SURE scheme which in previous quarters significantly contributed to expand the social bond market. Notwithstanding the quarterly decline, year-to-date ESG bond and loan issuance volumes (€498.9bn) have already surpassed the 2020FY total (€388.7bn). ESG bond issuance represented 18% of total European bond issuance in Q1 – Q3 2021. ESG securitisation issuance in the first three quarters of 2021 reached EUR 7.5bn from eight ESG deals covering a variety of asset classes (RMBS, consumer ABS, and on-balance sheet ABS). This represents a substantial increase from EUR 2.1 bn issued in 2020FY. In Q3 2021, the UK and Spain notably issued inaugural sovereign green bonds of £10bn and €5bn respectively. The inaugural UK green gilt was the largest green bond issued during Q3 2021. Carbon prices: the European Union Allowance (EuA) price per metric tonne has continued to increase during the year, reaching €61/Tn at the end of September 2021 (and most recently €66/Tn in November 2021) from €32.8 in December 2020. EU and UK forward curves continue to anticipate further carbon price increases. Global ESG Funds slightly decreased during Q3 2021, however exhibiting annual and year-to-date increases. Funds with an ESG mandate (including Mutual Funds and ETFs) totalled $4.87tn as of Q3 2021, a $0.9bn decrease from $4.96tn in Q2 2021 and a $1.26tn increase from $3.7tn in Q3 2020. ESG equity funds continue to be by far the largest fund asset class with 52% of total ESG funds and over 2x larger than fixed income which represents 21%. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks have stabilized since April 2021. ESG corporate premia has tightened from 9bps in April 2020 to 1bp on average during the months of April – November 2021. Sovereign green premium has widened for benchmark liquid references. The average greenium for German bunds has widened from an average of 2bps in December 2020 to 5bps in November 2021.

AFME is pleased to circulate its Equity Primary Markets and Trading Report for the third quarter of 2021 (Q3 2021). The report provides an update on the performance of the equity market in Europe in activities such as primary issuance, Mergers and Acquisitions (M&A), equity liquidity structure, and market valuations. In this quarter’s report we have included new data on the European equity market liquidity structure. The data shows that the majority of equity trading in Europe (82%) takes place on venues. A much smaller share takes place off-venue on alternative trading mechanisms known as systematic internalisers (SIs) which account for 10% of trading, and over the counter (OTC), which accounts for 8%, once technical trades are filtered out of the full universe of reported equity transactions. Key findings Equity underwriting on European exchanges accumulated an increase of 39% in the first three quarters of 2021 compared to the same period of 2020. However, following two exceptionally robust quarters, equity capital raising decelerated in 3Q 2021 to levels closer to historic volumes, with a decline of -46% QoQ. IPOs have accumulated €52.8bn in the first three quarters of 2021, almost 5x the amount issued in the same period of 2020. SPAC IPOs represented 11% of total European IPOs in Q3 2021, a decline from 15% in Q2 2021. Completed M&A of European companies totalled €829bn in the first three quarters of 2021 a 60% increase from the amount completed in the same period of 2021 (€519bn). This represents the highest YtD volume since 2007. The amount of announced M&A totalled €941bn in Q1-Q3 2021, an 81% increase from the same period of 2020. De-SPAC acquisitions represented 8% of the total announced European M&A in Q3 2021 (5% in Q2 2021). 86% of the announced SPAC acquisitions of European companies during Q1-Q3 2021 are De-SPACs of US-headquartered SPACs. These European companies will be effectively listed on US exchanges via their SPAC parent company. Average daily equity trading activity on European main markets and MTFs stood at €74.6bn in Q1-Q3 2021, 6% below the average daily observed in Q1-Q3 2020. Double Volume Cap (DVC) update: The number of instruments suspended under the ESMA DVC has recently increased to 380 at the EU or trading venue level as of October 2021 (from 205 in Dec-20). Domestic market capitalisation of European listed shares stood at €16.8tn at the end of September 2021, a 18% increase from €14.2 at the end of 2020. Q1-Q3 2021 YtD variation of European Equity activity EU member countries, UK and Switzerland