Key highlights: In Q1 2017, EUR 36.7 billion of securitised product was issued in Europe, a decrease of 38.8% from Q4 2016 (EUR 60.0 bn) and a decrease of 35.6% from Q1 2016 (EUR 57.0 bn) Of this, EUR 16.3 billion was placed, representing 44.4%, compared to EUR 31.2 billion placed in Q4 2016 (representing 52.0% of 60.0 EUR bn) and EUR 14.5 billion placed in Q1 2016 (representing 25.4% of 57.0 EUR bn)

AFME is pleased to circulate its Q4 2016 Government Bond Data Report.This report provides a comprehensive data source with updated statistics of the Government bond primary and secondary markets in Europe (EU28).Among the main findings of this report:Main findings: Average daily trading volumes of EU government bonds increased 16% QoQ in 4Q16, although with notable differences between countries.For 2016FY, average daily trading volumes decreased 7.2% YoY, continuing the annual decrease observed in 2015 (-8.4% YoY). Decrease in number of Primary Dealers (PDs): The number of PDs decreased over the last year in 10 of the 23 EU jurisdictions with PD systems; increased in 6 countries; and remained the same number in the remaining 7 EU Member States. In 2006 there were on average 22.6 PDs in EU countries, comparable with 19.2 in 2011 and 18.2 in 2017. (For the EU countries where information has been consistently compiled since 2006). European Government bond gross issuance totaled €2.54 TN in 2016, a decrease of 2.6% from the volume originated in 2015 (€2.61 TN). Of the instruments issued in 2016 through auctions, average bid-cover ratios increased steadily in each quarter of the year, from a 6-year low in 1Q16. Continued improvements to fiscal balances led to further credit ratings upgrades in 4Q16. Three EU countries had their long-term credit ratings upgraded during the quarter and one country was downgraded.For 2016FY, six EU countries were upgraded, the same number of countries downgraded.

AFME is pleased to circulate its Q4 2016 Prudential Data Report. The report provides a timely update (as at December 2016) on the progress of EU GSIBs in implementing the Basel III capital and liquidity standard. The report also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets for banks in Europe.Key highlights: In 2016, EU GSIBs increased their end-point CET1 ratio from 11.8% in 4Q15 to 12.3% in 4Q16. The improvement was driven by a combination of balance sheet restructuring and to a lesser extent from internal capital generation through profits retention and from external capital raised from markets. European banks issued €23.5bn in CoCos during 2016 (€19.5bn by EU banks). New issuance was below 2015’s volume (€34.3bn, €27.4bn of which were raised by EU banks. Banks have continued to restructure their balance sheets and their RWA positions. EUGISBs have decreased their RWAs by 5.9% over the last three years, while the proportion of market risks on total RWAs has decreased from 8.1% in 1Q14 to 5.6% in 4Q16 Box: secondary market for NPLs. The persistent high level of NPLs in some EU countries continues to limit the capacity of banks to fully support the economic recovery. A deeper secondary market of NPLs could contribute to a faster NPL adjustment. The volume of NPL market transactions remains low (€80bn in 2016 compared with €1tn in NPLs), with a minor participation of NPL securitisations with an issuance volume of €155m in 2016.

AFME is pleased to circulate its Q4 2016 Securitisation Data Report. Main findings: in Q4 2016, EUR 59.0 billion of securitised product was issued in Europe, an increase of 27.0% from Q3 2016 but a decline of 18.9% from Q4 2015.Of the EUR 59.0 billion issued, EUR 31.1 billion was placed, representing 52.7% of issuance, compared to the 46.2% of issuance in Q3 2016 and the 21.6% of issuance of 4Q 2015. for the full year, issuance was EUR 237.6 billion, an increase of 9.8% from the prior year. Of this, EUR 96.4 billion was placed, representing 40.6% of issuance. net issuance was positive for the fourth quarter of 2016, with EUR 1.27 trillion outstanding at the end of 4Q’16, up 2.1% from the prior quarter. Of this, approximately EUR 722.7 billion, or 56.7%, was retained. credit quality: Upgrades outpaced downgrades in Q4 2016, with upgrades concentrated in European CLOs and both prime and nonconforming RMBS. European asset backed commercial paper (ABCP) issuance was EUR 94.1 billion in Q4 2016, a decline of 30.7% QoQ and 17.6% YoY.

Issuance highlights: European leveraged finance issuance (leveraged loans and high yield bonds) increased in 4Q’16 to €54.6 billion, a 2.5% increase from €53.3 billion in 3Q’16 and more than double the €25.6 billion issued in 4Q’15. The quarterly increase was led by leveraged loan issuance, which increased by 33.8% QoQ while high yield bond issuance decreased by 36.5% QoQ. for 2016FY, European leveraged finance issuance reached €202.7 billion, an increase of 18.5% from €171.1 billion in 2015. Leveraged loan issuance increased by 60.4% y-o-y to €121.3 billion (the highest annual volume since 2007) while high yield bond issuance decreased by 14.7% y-o-y to €81.3 billion in 2016. Issuance: Leveraged Loans in 4Q’16, €12.9 billion of amend-and-extend (“A&E”) loans were financed, a large increase from €2.7 billion in 3Q’16 and €0.9 billion in 4Q’15. Despite the surge in 4Q’16, A&E loans issuance fell by 20.7% to €18.5 billion in 2016 from €23.3 billion in 2015. refinancing and/or repayment of debt were the largest use of proceeds in 4Q’16 with €29.4 billion followed by leveraged buyouts with €6.0 billion and acquisitions with €2.9 billion. For 2016FY, the top use of proceeds mirrored 4Q’16: refinancing and/or repaying of debt ($65.6 billion), leveraged buyouts ($25.9 billion), and acquisitions ($24.4 billion). there were no mezzanine loans and four 2nd lien loans financed in 4Q’16. For 2016FY, only one mezzanine loan was issued (€0.1 billion) with €1.3 billion in 2nd lien loans and the remainder €120.0 billion in 1st lien loans. European CLO outstandings, including SME deals, increased by 13.0% to €194.6 billion in 4Q’16 from €172.2 billion. Non-SME CLOs increased by 19.8% to €105.0 billion in 4Q’16 while SME CLOs increased by 6.0% to €89.6 billion. Year-over-year, SME CLOs increased by 31.2% while SME CLOs decreased by 5.3%. Issuance: High Yield Bonds high yield issuance for refinancing and/or repayment of debt in developed market Europe decreased to €4.9 billion (48.3% of all issuance in 4Q’16), down from €11.2 billion in 3Q’16 (53.3% of total) but up from €1.4 billion in 4Q’15 (11.4% of total). In emerging market Europe, €0.7 billion was issued for refinancing and/or repayment of debt in 4Q’16 down from €0.8 billion in 3Q’16 but up from no deals issued for that purpose in 4Q’15. for 2016FY, high yield issuance for refinancing and/or repayment of debt was €31.7 billion in developed market Europe (46% of the total issued) and €1.4 billion in emerging market Europe (11% of the total), up 89.0% and 854.7%, respectively, from 2015. the proportion of USD-denominated issuance decreased to 29.0% of all issuance in 4Q’16 compared to 40.2% in 3Q’16 and 36.8% in 4Q’15. For 2016FY, USD-denominated deals totaled €33.8 billion (41.6% of total issuance), almost unchanged from €33.9 billion, or 35.5% of total, in 2015. Credit Quality according to Fitch, leveraged loan default rates (by value) stood at 0.9% in December 2016, up from 0.5% in December 2015. Including C and CC rated issuers as if those had already defaulted, the rate was estimated at 1.9% in 2016. as of December 2016, S&P reported the trailing 12-month speculative-grade high yield default rate at 1.7% (2.3% at end-December 2015) while Moody’s reported the default rate to be 2.1% (3.6% end-December 2015). in 2016, 24 European high yield issuers defaulted— 16 in developed market Europe and eight in emerging market Europe. in 4Q’16 downgrades exceeded upgrades both in developed market Europe (33 downgrades to 26 upgrades) and in emerging market Europe (7 downgrades to 6 upgrades). The number of upgrades decreased slightly to 115 in 2016 from 119 in 2015 while the number of downgrades dropped sharply to 170 in 2016 from 211 in 2015 resulting in a much smaller downgrade to upgrade ratio in 2016.

In Q4 2016, EUR 59.0 billion of securitised product was issued in Europe, an increase of 26.9% from Q3 2016 (EUR 46.5 bn) and a decrease of 19.0% from Q4 2015 (EUR 72.8 bn) Of this, EUR 31.1 billion was placed, representing 52.7%, compared to EUR 21.5 billion placed in Q3 2016 (representing 46.2% of 46.5 EUR bn) and EUR 15.7 billion placed in Q4 2015 (representing 21.6% of 72.8 EUR bn) In Q4 2016, Pan European CLOs led placed totals followed by UK RMBS and UK Auto ABS:- Pan European CLOs increased from 4.6 EUR bn in Q3 2016 to 9.2 EUR bn in Q4 2016;- UK RMBS increased from 4.1 EUR bn in Q3 2016 to 5.6 EUR bn in Q4 2016;- UK Auto ABS increased from 0 EUR bn in Q3 2016 to 2.9 EUR bn in Q4 2016.

HIGHLIGHTS Updated statistics on equity primary markets and trading in Europe (EU 28 member countries and Switzerland) Main findings: Equity underwriting on European exchanges accumulated a total of €146.8bn in proceeds in 2016, a 39% decrease from the value originated in 2015 (€50.9 bn). Equity underwriting encompasses Initial Public Offerings (IPOs), convertible securities and follow-on offerings. Completed Mergers and Acquisitions (M&A) of European companies totalled €1,013 bn in 2016, an increase of 19.6% from the value observed in 2015 (€ 847 bn). The increase was largely supported by two large mega-deals2, which represented 18% of the 2016 activity in deal value. Equity trading activity on European main markets and MTFs generated a total of €11.8 tn in turnover value in 2016, a decrease of 9.4% from the value traded in 2015 (€ 13.1 tn). Market capitalisation of European listed shares3 stood at € 11.7 tn at the end of 2016, a decrease of 3.3% from the market value at the end of 2015 (€12.1 tn).

Highlights and Market Environment This report provides a comprehensive data source withupdated statistics of the Government bond primarymarkets and trading in Europe (EU28). The report collates recent data trends on origination,outstanding volumes, credit quality, trading activity andvaluations of EU government bonds. Among the main findings of this report are: European Government bond gross issuance totalled€2.0tn in 2016YtD, a decrease of 2% from the volumeoriginated in the same period of 2015 (€2.03tn) Of the new issues, the average bid-cover ratio(demand/amount allocated)2 was 2.20 in 3Q16, anincrease when compared to 2.11 in 2Q16 Government bonds outstanding stood at the end of 3Q16at €9.9tn Four European countries had their long-term creditratings upgraded during the quarter (Cyprus, Hungary,Malta, and Slovenia) and no countries were downgraded Average daily trading volumes of European governmentbonds fell in most jurisdictions during 3Q16, with the UK as the most notable exception

Market Highlights and Commentary Market Environment Economic conditions According to Eurostat, GDP rose by 0.3% quarter-over-quarter (QoQ) in the Euro zone (EU19) and by 0.4% in the EU28 during the third quarter of 2016. The unemployment rate stood at 10.0% (EU19) and 8.5% (EU28) as of the end of September 2016, the lowest rate recorded since 2011 (EU19) and 2009 (EU28). Term Issuance and Outstanding Volumes In Q3 2016, EUR 40.2 billion of securitised product was issued in Europe, a decline of 46.5% from Q2 2016 (EUR 75.0 billion) and a decline of 30.3% from Q3 2015 (EUR 57.6 billion). Of the EUR 40.2 billion issued, EUR 16.0 billion was placed, representing 39.8% of issuance, compared to EUR 29.3 billion placed in Q2 2016 (representing 39.1%) and EUR 18.6 billion placed in Q3 2015 (representing 32.3%). For the third quarter, UK RMBS continued to lead placed totals (EUR 3.7 billion), followed by European CLO (EUR 3.4 billion) and Dutch RMBS (EUR 2.9 billion). Net issuance was negative for the third quarter of 2016, with EUR 1.24 outstanding at the end of 3Q’16, down from EUR 1.27 trillion at the end of 2Q’16. Of this, approximately EUR 699.8 billion, or 56.2%, was retained. Credit Quality In Europe, upgrades outpaced downgrades in Q3 2016 among European securitised product, with upgrades concentrated in European CLOs and prime RMBS, similar to prior quarters. ABCP Trends European asset backed commercial paper (ABCP) issuance was EUR 135.8 billion in Q3 2016, an increase of 13.1% QoQ and 35.8% YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from Ireland and France. European ABCP outstandings increased modestly from the previous quarter, ending the third quarter at EUR 16.9 billion, up by 10.5% from EUR 15.3 billion in Q2 2016.

Highlights Issuance Highlights European leveraged finance issuance (leveraged loans and high yield bonds) increased in 3Q’16 to €53.3 billion, a 2.3% increase from €52.1 billion in 2Q’16 and an 80.3% increase from €29.6 billion in 3Q’15. The quarterly surge stems from the large increase in leveraged loan issuance, which increased by 45.4% in the third quarter of 2016 while high yield bonds issuance decreased by 25.3%; the high yield bond share of the leveraged finance market decreased to 44.5%, down from 61.0% in 2Q’16 but slightly up from 44.1% in 3Q’15. Market and Economic Environment According to the October 2016 European Central Bank lending survey, in the third quarter of 2016, loan growth continued to be supported by increasing demand across all loan categories, while credit standards remained unchanged for enterprises and eased for households. The net easing of banks’ overall terms and conditions on new loans continued for loans to enterprises and households, mainly driven by margins on average loans. Competitive pressures and, to a lesser extent, lower risk perceptions continued to have an easing effect on credit standards on loans to enterprises. Across firm sizes, credit standards were eased marginally for loans to large firms and remained broadly unchanged for loans to small and medium-sized enterprises. For the large euro area countries, credit standards on loans to enterprises eased marginally in Germany, while they remained unchanged in France, Italy, Spain and the Netherlands. Credit standards on housing loans eased and were stronger than the historical average. The main reported factors contributing to an easing in standards were banks’ cost of funds and balance sheet constraints. Looking ahead to the fourth quarter of 2016, euro area banks expect a tightening of credit standards on loans to enterprises and broadly unchanged credit standards on consumer credit and other lending to households. Net demand increased for all types of loans in 3Q’16 and banks forecast a further net increase in the demand for loans in the fourth quarter. The main contributing factors for net demand for loans to enterprises in the third quarter of 2016 were the general level of interest rates and merger and acquisition activities. Net demand for housing loans continued to be driven by the low general level of interest rates, continued favourable housing market prospects and increased consumer confidence.