AFME is pleased to circulate the European Securitisation Data Snapshot for Q3 2023. Key highlights: Q3 2023 European Issuance In Q3 2023, EUR 39.5 bn of securitised product was issued in Europe, a decrease of 58.6% from Q2 2023 (EUR 95.4 bn) and an increase of 0.4% from Q3 2022 (EUR 39.4 bn). Of this, EUR 24.4 bn was placed, representing 65.6% of the total, compared to EUR 20.3 bn placed in Q2 2023 (representing 21.3% of EUR 95.4 bn) and EUR 19.0 bn placed in Q3 2022 (representing 48.2% of EUR 39.4 bn). In Q3 2023, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS: Pan-European CLOs increased from EUR 4.9 bn in Q2 2023 to EUR 6.5 bn in Q3 2023; UK RMBS decreased from EUR 6.1 bn in Q2 2023 to EUR 6.0 bn in Q3 2023; and German Auto ABS increased from EUR 1.9 bn in Q2 2023 to EUR 2.3 bn in Q3 2023.

Report highlights include: EU Member States and the UK issued EUR 898 bn in bonds and bills throughout 2Q23, which represents a decrease of 5% (QoQ) compared to 1Q23, and an increase of 21% (YoY) compared to 2Q22.The UK has had the largest nominal increase in total (bond and bill) issuance in H1 2023, with volumes up 78%. In Germany and Austria, issued volumes rose to record-highs, outsizing first-half issuance observed during the pandemic. Record trading volumes continued in European (EU+UK) government bonds during Q2 2023, according to MarketAxess TraX. The traded amount in Q2 2023 was the highest average daily trading volume in European government bonds since records began in 2014, with trading volume increasing 3% (QoQ) and 15% (YoY). Outstanding amount of European ESG government bonds reached EUR 406 bn during 2Q23. Volumes were driven by new green bonds issued by Germany (EUR 11.8 bn), Italy (EUR 10.0 bn) and Austria (EUR 3.0 bn) with additional tap issuance by the UK (EUR 7.0 bn), France (EUR 2.6 bn), Spain (EUR 1.4 bn) and the European Commission (EUR 1.7 bn). Austria issued an additional EUR 1.5 bn in green bills during 2Q23 and Cyprus became the sixteenth EU sovereign to enter ESG markets in April 2023, issuing an inaugural sustainable government bond (EUR 1.0 bn). From April 2023 to October 2023, there were 3 exits and 3 entries of banks to European Primary Dealer systems, affecting sovereign debt markets in Slovenia, Italy, Ireland, and the European Primary Dealer Network (EU PDN). During 1Q23 there were 2 long-term credit rating upgrades for European countries and 1 downgrade. This follows 2 upgrades and 1 downgrade in 1Q23, bringing the 2023 year-to-date total to 5 upgrades and 3 downgrades (there was 1 further upgrade and 1 downgrade in 3Q23 to date). The average bid-cover ratio (demand/amount allocated) was 2.2 in 2Q23, an increase of 1.7% (QoQ) from 1Q23 and a decrease of 2.1% from 2Q22 (YoY).

The Report contains European leveraged finance market trends for the second quarter of 2023, 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 €63.6 billion in proceeds in 2Q’23, an 11.0% increase from €57.3 billion in 1Q’23 and up 1.4% from €62.7 billion in 2Q’22. High yield bond issuancetotalled €19.5 billion on 59 deals in 2Q'23, a 47.7% increase from €13.2 billion in 1Q’23 and a 77.2% increase from €10.9 billion in 2Q’22. The proportion of USD-denominated issuance increased to 24.8% of all issuance in 2Q'23, up from 10.8% in 1Q’23 and 12.3% in 2Q’22. The leading use of proceeds for high yield bond issuance in 2Q'23 was Repay Debt/Refinancing, at €9.9 billion, which was higher than €4.5 billion in 1Q’23 and than €1.1 billion in 2Q’22. Leveraged loan issuanceincluding first lien, second lien, and mezzanine financing, totaled €44.11 billion in 2Q'23, up 0.1% from €44.08 billion in 1Q’23 and down 14.9% from €51.8 billion in 2Q’22. Three sectors accounted for 39.9% of leveraged loan issuance in 2Q’23. The leading sector was Retail (€7.1 billion or 16.1% of total), followed by Professional Services (€5.6 billion, 12.7%), and Leisure & Recreation (€4.9 billion, 11.1%), with the balance split between 16 other sectors. Credit quality:S&P reported the trailing 12-month speculative-grade default rate at 3.1% in June 2023, an increase from 3.0% in March 2023. Moody's reported the speculative-grade default rate at 2.9% in June 2023, up from 2.6% in March 2023. There were 11 bond defaults reported in the 2Q’23 by Standard and Poor’s and Moody’s. The most frequent reasons were distressed exchange (for 7 of them) and Bankruptcy (for 2 of them). Fitch reported an increase in European Leveraged Loan default rates (by number of deals) to 2.6% in June 2023 from 1.26% in December 2022. According to Reorg, 91% of the European leveraged loan deals examined in 2Q’23 were covenant-lite.

AFME is pleased to circulate its Q2 2023 Securitisation Data Report. Main findings: In Q2 2023, EUR 95.4 bn of securitised product was issued in Europe, an increase from EUR 35.9 bn in Q1 2023 and an increase from EUR 34.5 bn in Q2 2022. Increased issuance was principally driven by a large French retained RMBS deal from the BPMHL programme (EUR 49.5 bn) issued in May 2023. Excluding this large deal, total securitisation issuance would have increased by 32.8% YoY (27.9% QoQ) only. Due to the same deal, which was originated by Groupe BPCE, retained issuance specifically has also increased to EUR 75.1 bn, the highest quarterly retained volume since Q2 2014. Outstanding volumes (including CLOs) increased to EUR 1178.3 bn at the end of Q2 2023, an increase of 3.6% QoQ. Credit Quality: In Europe, upgrades comprised 91% of total rating actions by the main CRAs during Q2 2023, up from 87% of total rating actions during Q1 2023. STS issuance: In Q2 2023, EUR 21.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 22.2% of the total issued volume in Q2 2023 (EUR 95.4 bn). Out of the EUR 21.2 bn in STS issuance, EUR 10.8 bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 53.1% of total placed issuance in Q2 2023 (EUR 20.3 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 20.4 bn in Q2 2023, an increase of 48.4% from Q1 2023 and an increase of 131.6% from Q2 2022.

AFME is pleased to circulate its European ESG Finance quarterly data report for the second quarter of 2023. 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 30 June 2023, as well as a high-level regulatory and supervisory snapshot. Key highlights: European ESG bond and loan issuance accumulated €151bn in proceeds during Q2’23, declining 23.9% year-on-year (YoY) and 11.1% quarter-on-quarter (QoQ). Half year volumes for ESG-labelled bonds increased 17% YoY predominantly driven by the robust green bond issuance during Q1’23. Sustainable-linked bond market witnessed a sharp decline in Q2’23 at 46.5% QoQ and a 16.3% YoY decrease. No ESG securitisation issuance was recorded in Q2’23. Carbon prices: EU and UK carbon prices have diverged in the course of the year, with European Union Allowance (EuA) carbon prices standing 10% above December 2022 levels while UK carbon prices have accumulated a decline of 35% over the same period. Global ESG Funds decreased marginally during Q2’23 Funds with an ESG mandate (including Mutual Funds and ETFs) reached a value of $8.4tn as of Q2’23, representing a 25.3% increase from Q2’22 but a marginal decrease of 0.1% when compared to Q1’23. The marginal quarterly decline was accompanied by net fun outflows, which accumulated a total of $26.3bn during the second quarter of 2023. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks widened in the second quarter of the year from c0.2bps at the start of April to c1.8bps in late July 2023. Regulatory update: We present a selective list of upcoming European initiatives for 2023. For a more comprehensive update please see AFME and Linklaters report Sustainable Finance in Europe: Regulatory State of Play (2023 updated edition)

AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the second quarter of 2023 (Q2 2023).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 for the first half of 2023 rose 28% YoY on the back of stronger secondary equity offerings. IPOs accumulated €1.3bn in deal value in Q2’23, the lowest Q2 amount since 2009. For the first-half total, IPOs declined 42% also representing the lowest H1 amount since 2009. European SPAC IPOs have visibly declined from a peak of €3.2bn in Q2’21 to no deals in Q1’23 and €0.9bn in Q2’23. Completed Mergers and Acquisitions (M&A) during H1’23 declined when measured as announced value (-45% YoY) and when measured as completed value (-46% YoY). De-SPACS represented 1.4% of the total M&A value announced during H1’23, below the proportion observed during 2021FY (5%) but the same proportion of 2022FY (1.4%). Average daily equity trading on European main markets and MTFs stood at €79.9bn in H1’23, a 14% decrease compared to H1’22. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC stood at 313 in July 2023 (551 in December 2022). By geographical location, 198 of the 313 suspended instruments have EU ISINs (or 63% of the total number of suspended instruments), 7 have UK ISINs (2% of suspensions) and 104 from the rest of the world (or 35% of suspensions). European equity trading mix: According to BigXYT data, on-venue trading represented 72% of the total addressable liquidity in Q2’23. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 28% of the volume of the total addressable liquidity.

AFME is pleased to circulate the European Securitisation Data Snapshot for Q2 2023. Key highlights: Q2 2023 European Issuance In Q2 2023, EUR 95.4 bn of securitised product was issued in Europe, an increase from EUR 35.9 bn in Q1 2023 and an increase from EUR 34.5 bn in Q2 2022. Increased issuance was principally driven by a large French retained RMBS deal from the BPMHL programme (EUR 49.5 bn) issued in May 2023. Excluding this large deal, total securitisation issuance would have increased by 32.8% YoY (27.9% QoQ) only. Due to the same deal, which was originated by Groupe BPCE, retained issuance specifically has also increased to EUR 75.1 bn, the highest quarterly retained volume since Q2 2014. Of the total amount issued, only EUR 20.3 bn was placed, representing 21.3% of the total, compared to EUR 19.9 bn placed in Q1 2023 (representing 55.4% of EUR 35.9 bn) and EUR 16.4 bn placed in Q2 2022 (representing 47.4% of EUR 34.5 bn). In Q2 2023, UK RMBS led placed totals, followed by Pan-European CLOs and German Auto ABS: UK RMBS increased from EUR 4.9 bn in Q1 2023 to EUR 6.1 bn in Q2 2023; Pan-European CLOs decreased from EUR 6.7 bn in Q1 2023 to EUR 4.9 bn in Q2 2023; and German Auto ABS decreased from EUR 4.2 bn in Q1 2023 to EUR 1.9 bn in Q2 2023.

Report highlights include: EU Member States and the UK issued EUR 944 bn in bonds and bills throughout 1Q23, which represents an increase of 20% (QoQ) compared to 4Q22, and an increase of 19% (YoY) compared to 1Q22.The UK had the largest increase in total (bond and bill) issuance during 1Q23, with first-quarter issuance up 77% YoY compared to 1Q22, driven by a surge in Gilt issuance. There werealso increased volumes of bonds issued in Germany, France and Spain during 1Q23, while in the Netherlands and Austria there was a significant increase in treasury bill issuance. Record trading volumes in European (EU+UK) government bonds during Q1 2023, according to TraX data from MarketAxess. The traded amount in Q1 2023 was the highest average daily trading volume in European government bonds since records began in 2014, with trading volume increasing 22% (QoQ) and 6% (YoY). Outstanding amount of European ESG government bonds reached EUR 359 bn during 1Q23. Volumes were driven by tap issuance by the European Commission (EUR 6.0 bn), the UK (EUR 5.8 bn), France (EUR 3.2 bn), Germany (EUR 3.0 bn), Italy (EUR 2.4 bn), Belgium (EUR 0.9 bn), Hungary (EUR 0.05 bn) and additional green bond references issued in Ireland (EUR 3.5 bn) and Austria (1.4 bn). Austria became the first sovereign worldwide to issue green commercial paper in March 2023, after issuing the first sovereign green bill in October 2022. There was a net loss of 3 primary dealers in Europe from January 2023 to April 2023. There were 3 exits and no entries of banks to European Primary Dealer systems affecting the Bulgarian sovereign debt market and the European Commission Primary Dealer Network (EU PDN). During 1Q23 there were 2 long-term credit rating upgrades for European countries and 1 downgrade. This was followed by 1 further upgrade and 1 downgrade in 2Q23to date, bringing the 2023year-to-date total to 3 upgrades and 2 downgrades. The average bid-cover ratio (demand/amount allocated) was 2.1 in 1Q23, an increase of 3.2% (QoQ) from 4Q22 and a decrease of 5.0% from 1Q22 (YoY).

This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2023. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at June 2023. Among the main findings of this report: European GSIBs end-point CET1 ratio increased to 14.3% in 4Q’23 from 13.9% in 4Q’22. The increase was driven by lower RWAs and solid quarterly earnings, predominantly from growth in net interest income. Buyback programs undertaken by 5 of the 11 banks only partially offset in 14bps the aggregate increase in CET1 ratio. Slowdown in AT1 issuance in Q2’23 European banks have issued a total of €10.5bn in Contingent Convertible instruments (predominantly AT1s) during the year. The issued amount was predominantly originated in Q1’23 (€9.3bn), while between April and mid-June AT1 issuance significantly decelerated to €1.2bn after a 3-month hiatus in the AT1 bond market with no issuance between 6 March and 13 June. Q2'23 stands to finalise with the lowest quarterly issued amount since 4Q’15. AT1 risk premia decreased 240bps from the peak levels observed in March 2023. However, continues 130bps above the levels prior to the late-March market turbulence episode. CMDI package The box on pages 21-28 summarises the European Commission’s proposal for the review of the Crisis Management and Deposit Insurance (CMDI) framework. The reforms are a long-standing ambition to improve the EU’s bank resolution framework and constitute a step closer towards the Banking Union. The package does not include the introduction of the widely expected European Deposit Insurance Scheme (EDIS). However, the European Commission expects the CMDI package to facilitate the road towards EDIS and completing the Banking Union. AFME continues to support the development of an effective recovery and resolution framework in Europe and the ongoing work to enhance resolvability.

AFME is pleased to circulate its Q1 2023 Securitisation report. This report includes a new section on Significant Risk Transfer (SRT) securitisation which can be found on pp.31-32. Main findings: In Q1 2023, EUR 35.9bn of securitised product was issued in Europe, a decrease of 43.9% from Q1 2022 and 45.2% from Q4 2022 and. Of the EUR 35.9bn issued, EUR 19.9bn was placed, representing 55.4% of the total, compared to 51.2% of issuance in Q1 2022 and 17.7% of issuance in Q4 2022. Outstanding volumes (ex-CLOs) decreased to EUR 920.5bn outstanding at the end of Q1 2023, a decrease of 1.0% QoQ and a decrease of 6.8% YoY. Credit Quality: In Europe, upgrades comprised 87% of total rating actions by the main CRAs during Q1 2023, remaining unchanged from 87% of total rating actions during Q4 2022. STS issuance: In Q1 2023, EUR 17.9bn of securitised product was notified as STS to ESMA and the FCA, representing 50.0% of the total issued volume in Q1 2023 (EUR 35.9bn). Out of the EUR 17.9bn in STS issuance, EUR 9.0bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 45.2% of total placed issuance in Q1 2023 (EUR 19.9 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 13.7 bn in Q1 2023, an increase of 56.0% from Q1 2022 and a decrease of 74.8% from Q4 2022.