AFME is pleased to circulate its Q4 2017 Securitisation Data Report. Main findings: In Q4 2017, EUR 73.1 billion of securitised product was issued in Europe, an increase of 48.7% from Q3 2017 and an increase of 21.5% from Q4 2016. Of the EUR 73.1 billion issued, EUR 31.6 billion was placed, representing 43.2% of issuance, compared to the 47.3% of issuance in Q3 2017 and the 52.0% of issuance in Q4 2016. CLO refinancing (“refis”) activity continued in the fourth quarter of 2017, resulting in the asset class leading EUR volumes among placed asset classes in Q4 2017. According to Bank of America-Merrill Lynch, a little over half (55.6%) of all CLO issues in 2017 were in the form of a refi or reset. Outstanding volumes rose slightly to EUR 1.22 trillion outstanding at the end of Q4 2017, an increase of 1.3% QoQ but a decline of 4.3% YoY. Credit quality: In Europe, upgrades outpaced downgrades in Q4 2017, with upgrades concentrated in European CMBS and prime RMBS. European asset backed commercial paper (ABCP) issuance was EUR 75.0 billion in Q4 2017, an increase of 11.6% QoQ (from €67.2 billion in Q3 2017) and a 20.3% decline YoY (from €94.1 billion in Q4 2016). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France. Regulatory update: The STS Regulation, establishing the “Simple Transparent and Standardised” (STS) securitisation framework, and the related CRR Amendment, which form the new STS Securitisation Package, have been published in the Official Journal of the EU on 28 December 2017. Both texts entered into force on 18 January 2018, however, the date of application of both the STS Regulation and CRR Amendment is 1 January 2019. Attention has turned now to the implementation and development of the related secondary legislation, including technical standards and guidelines.

This report provides a comprehensive data source with updated statistics of the Government bond primary and secondary markets in Europe (EU28). Report highlights include: 2017 EU government bond trading volume remained very similar to the level seen in 2016, with a slight decrease of 0.3%. This is consistent with the findings on a national level, as of the countries where trading volume data for full year 2017 is available, 6 countries experienced an increase in trading volumes and 6 experienced a decrease. The notable 4Q17 quarterly (78%) and annual (41%) increase in trading volumes for Italian government bonds was likely driven by a combination of the run up to the Italian general election in March 2018 and a credit rating upgrade in October 2017. BOX (found on page 7): Over €178 billion of outstanding government bonds are indexed to EURIBOR, with the Italian Government accounting for over €148 billion. There is some uncertainty over the future treatment of these bonds given the ongoing questions of whether EURIBOR will be complaint with the EU Benchmarks Regulation or sustainable with a quote driven calculation methodology from panel banks. Nine countries saw a quarterly increase (3Q17 to 4Q17) in weighted average years to maturity of outstanding government bonds of greater than 1%, with 5 of these countries from Central and Eastern Europe. There were 15 upgrades to the credit ratings of EU countries in 2017 compared to 2 downgrades, resulting in an upgrade/downgrade ratio of 7.5. This ratio is significantly higher than the equivalent value of 1.4 in 2016. The 2017 upgrade/downgrade ratio for government bond issuers was also higher than for securitisations and high yield bonds.

This report contains European leveraged finance market trends for the fourth quarter of 2017, 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) increased in 4Q’17 to €103.6 billion, more than double the €48.0 billion in 3Q’17 and a 80.4% increase from €57.4 billion issued in 4Q’16. Fourth quarter issuance was equally as robust in the leveraged loan sector (128.2% increase q-o-q) as it was in the HY sector (98.3% increase q-o-q). For the full year 2017, European leveraged finance issuance reached €324.4 billion, an increase of 45.0% from €223.6 billion in 2016. Leveraged loan issuance increased by 37.9% y-o-y to €195.3 billion while high yield bond issuance set a new high of €129.1 billion in 2017 (€103.0 in Developed market Europe and €26.1 in Emerging Market Europe), an increase of 57.3% from €82.1 billion in the previous year. Primary high yield issuance in 4Q’17 totaled €38.5 billion on 89 deals, a 98.3% increase from 3Q’17 (€19.4 billion on 50 deals) and a 155.4% increase from 4Q’16 (€15.1 billion on 41 deals). For the full year 2017, high yield issuance totaled €129.1 billion, up 57.3% from €82.1 billion in 2016. The proportion of USD-denominated issuance increased slightly to 18.8% of all issuance in 4Q’17, compared to 18.2% in 3Q’17 and 29.1% in 4Q’16. For the full year 2017, USD-denominated deals totaled €129.1 billion and accounted for 31.1% of total issuance, up from €82.1 billion, or 41.1% of total, in 2016. Issuance for refinancing and/or repayment of debt increased to €16.5 billion, representing 42.8% of all issuance in 4Q’17, up from €6.0 billion (31.2% of total) in 3Q’17 and from €4.6 billion (30.6% of total) in 4Q’16. For the full year 2017, high yield issuance for refinancing and/or repayment of debt was €42.3 billion, up 32.0% from €32.1bn in 2016. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, increased to €65.2 billion in 4Q’17, up 128.2% q-o-q (€28.6 billion in 3Q’17) and up 53.8% y-o-y (€42.4 billion in 4Q’16). For the full year 2017, €195.3 billion in leveraged loans were issued, up 37.9% from €141.6 billion in 2016.Refinancing and/or repayment of debt were the largest use of proceeds in 4Q’17 with €45.0 billion, followed by leveraged buyouts with €19.1 billion or 29.3% of total, and acquisitions with €1.0 billion or 1.6% of total. The remainder was split between general corporate and other purposes. For the full year 2017, the top use of proceeds mirrored 4Q’17: refinancing and/or repaying of debt (€134.2 billion or 68.7% of 2017 total), leveraged buyouts (€45.3 billion or 23.2%), and acquisitions (€13.9 billion or 7.1%).In 4Q’17, Pricing spreads for institutional loans tightened by 24 basis points (bps) q-o-q and by 62 bps y-o-y while spreads for pro rata loans tightened by 8 bps q-o-q and by 44 bps y-o-y. Credit quality: As of December 2017, S&P reported the trailing 12-month speculative-grade default rate at 2.2%, unchanged from 2.1% end-September 2017 and up from 1.7% end-December 2016. Moody’s reported the trailing 12-month speculative-grade default rate in December 2017 to be 2.6%, up from 2.4% end-September 2017 and up from 2.3% end-September 2016. Ten defaults were reported in the fourth quarter of 2017, with all but one from developed market Europe. For the full year 2017, 26 European high yield issuers defaulted, 22 in developed market Europe and the remaining four in emerging market Europe. According to S&P, in 4Q’17 upgrades exceeded downgrades in developed market Europe (47 upgrades to 26 downgrades), a better ratio than 24 upgrades to 23 downgrades in 3Q’17 and a better ratio than in 4Q’16 (26 upgrades to 33 downgrades). In emerging market Europe, there were 5 upgrades and 7 downgrades by S&P in 4Q’17 compared to 5 upgrades and 2 downgrades in 3Q’17 and 6 upgrades and 7 downgrades in 4Q’16. For the full year 2017, the number of upgrades increased to 151 from 115 in 2016 while number of downgrades dropped sharply to 109 in 2017 from 170 in 2016 resulting in a much smaller downgrade to upgrade ratio in 2017.

AFME has prepared European and country-specific data snapshots with the latest securitisation issuance figures for France, Germany, Italy, and Spain. The country data snapshots are available in the following hyperlinks: Europe data France data Germany data Italy data Spain data European key highlights Q4 2017 European Issuance In Q4 2017, EUR 73.1 bn of securitised product was issued in Europe, an increase of 48.9% from Q3 2017 (EUR 49.1 bn) and an increase of 21.6% from Q4 2016 (EUR 60.1 bn) Of this, EUR 31.6 bn was placed, representing 43.2% of the total, compared to EUR 23.3 bn placed in Q3 2017 (representing 47.5% of EUR 49.1 bn) and EUR 31.3 bn placed in Q4 2016 (representing 52.1% of EUR 60.1 bn) In Q4 2017, PanEuropean collateralised loan obligations (CLOs) led placed totals followed by UK student loan asset-backed securities (ABS) and UK residential mortgage-backed securities (RMBS):- Pan European CLOs increased from EUR 10.8 bn in Q3 2017 to EUR 13.6 bn in Q4 2017;- UK student loan ABS increased from nil issuance in Q3 2017 to EUR 4.0 bn in Q4 2017. This consisted exclusively of one large deal backed by income contingent repayment (ICR) student loans granted by the UK government to higher education students;- UK RMBS decreased from EUR 4.0 bn in Q3 2017 to EUR 2.2 bn in Q4 2017. 2017 Full Year European Issuance In 2017, EUR 235.0 bn of securitised product was issued in Europe, a decrease of 2% from EUR 239.6 bn issued in 2016. Of this, EUR 111.7 bn was placed, representing 48% of the total, compared to EUR 97.2 bn placed in 2016 representing 41% of the total. In 2017, PanEuropean CLOs led placed totals (EUR 45.0 bn), followed by UK RMBS (EUR 26.0 bn) and Dutch RMBS (EUR 6.9 bn).

AFME is pleased to circulate its Equity Primary Markets and Trading Report for the fourth quarter of 2017 (4Q 2017). The report provides an update on the performance of the equity market in Europe in areas such as issuance, Mergers and Acquisitions (M&A), trading and valuations. Key highlights: Equity underwriting (IPOs, follow-ons and convertibles) on European exchanges accumulated a total of €211.3 bn in proceeds in 2017, a 44% increase from the value originated in 2016 (€147.1 bn).- The increase was led by a 59% annual growth in follow-on offerings;- Increase of 40% in proceeds from primary offerings (IPOs). Completed Mergers and Acquisitions (M&A) of European companies totalled €897.4 bn in 2017, a decrease 14% from the deal value of completed deals in 2016 (€1,039.8 bn).The decrease was, in part, attributed to fewer “megadeals” during the year (deal value above €10bn), from 13 deals in 2016 representing €364bn in deal value, to 11 deals in 2017 accumulating a total of €235bn in deal value. Average deal values also declined during the last year, from an average of €251mm in 2016 to €215mm in 2017 Equity trading activity on European main markets and MTFs generated a total of €11.4 tn in turnover value in 2017, a decrease of 4% from the value traded in 2016 (€11.8 tn). Blocktrades and MiFID II: The average weekly turnover of block trades increased from €2.5 bn in 1Q17 to €3.9 bn in 4Q17. According to Fidessa data, block trades as a proportion of total dark trading increased to 28.7% in the first weeks of January (just after MiFID II went live). This compares with a proportion of 12% observed at the beginning of 2017.Dark trading volumes declined in the second half of December 2017 and continued at below-average levels during the first two weeks of 2018, mostly attributed to seasonal factors. Market capitalisation of European listed shares stood at €13.0 tn at the end of 2017, an increase of 11% from the market value at the end of 2016 (€11.7 tn). The increase was driven by higher valuations and earnings performance, not offset by recent delistings and fewer listed companies. Annual variation of European Equity activity (EU28 member countries and Switzerland): 2017FY

Main findings: In Q3 2017, EUR 48.1 billion of securitised product was issued in Europe, a decline of 33.5% from Q2 2017 but an increase of 4.6% from Q3 2016. Of the EUR 48.1 billion issued, EUR 22.9 billion was placed, representing 47.6% of issuance, compared to the 56.5% of issuance in Q2 2017 and the 46.2% of issuance in Q3 2016. CLO refinancing (“refis”) activity continued at a brisk pace in Q3 2017, with approximately half of all CLO issuance since the end of third quarter of 2016 a refi or repricing. Due to the robust issuance, CLOs also led by EUR volume among placed asset classes in Q3 2017. Outstanding volumes declined to EUR 1.20 trillion outstanding at the end of Q3 2017. Of this, approximately EUR 696.3 billion, or 57.8%, was retained. Credit quality: In Europe, upgrades outpaced downgrades in Q3 2017, with upgrades concentrated in European CLOs and prime RMBS. European asset backed commercial paper (ABCP) issuance was EUR 67.2 billion in Q3 2017, a decline of 1.8% QoQ (from €68.4 billion in Q2 2017) and 50.5% YoY (from €135.8 billion in Q3 2016). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from Ireland and France. Regulatory update: On 20 November 2017, following approval by the European Parliament, the European Council adopted the new framework aimed at facilitating the development of a securitisation market in Europe: the “Simple Transparent and Standardised” (STS) securitisation regulation and the related adjustments to capital charges for securitisation product.

This report provides a comprehensive data source with updated statistics of the Government bond primary and secondary markets in Europe (EU28). Average daily trading volumes of European government bonds decreased in the majority of jurisdictions between 2Q17 to 3Q17, and fell 24% on aggregate. The year on year (YoY) decline in turnover was 7.6%; however, there was an annual increase for four of the larger EU countries - France, Germany, UK, and Spain. The quarterly variation in the European government bond turnover volume since 3Q16 is strongly correlated with a European Policy Uncertainty Index, thus indicating that political uncertainty has been an important factor in the recent changes in trading volumes. The average years to maturity of outstanding government bonds in EU countries is highest in the UK and Ireland, whereas Eastern European countries tend to have much shorter average maturities. Since the start of 2012, Debt Management Offices have tended to auction bonds with a smaller notional amount, on a slightly more regular basis. The year so far has seen 11 long-term credit rating upgrades for EU countries compared to 2 downgrades, continuing the trend of increasing credit ratings for Southern and Eastern European countries. Annual change in Government Bond average trading volumes(2Q17 vs 2Q16) Selected European jurisdictions

AFME is pleased to circulate its Q3 2017 Prudential Data Report. The report provides a timely update (as at September 2017) 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. Main findings: EU GSIBs increased their end-point CET1 ratio to 13.47% in 3Q17, from 13.38% in 2Q17 (and from 12.4% in 4Q16). The quarterly increase in CET1 ratio was driven by retained earnings (14bps), further RWA reductions including from one asset disposal by one bank (5 bps), only partially offset by other factors including FX variation and other bank-specific factors (-10 bps). EU banks have raised a total of €55.4bn in new capital from markets during the year (as of 27 November 2017), more than double the total accumulated during the full year of 2016 (€26.0bn). 2017 CoCo issuance above 2016FY issued volume. European banks have issued a total of €29.5 bn in CoCo bonds during the year (as of November 2017), above the total issued in 2016FY (€23.5bn). Lower CoCo risk premia. Average coupons of the fixed rate CoCo instruments issued in the first three quarters of 2017 stood at 6.2% which represents a record low for newly issued European CoCos. The November 2017 update to the Financial Stability Board (FSB) GSIB list further contributed to EU GSIBs’ Pillar 1 capital surplus against the CET1 minimum requirements due to be met by 2019. The lower bucket allocations in the 2017 list compared to the 2016 list signify, on average, lower capital buffers required to EU GSIBs due to their systemic importance and complexity. EU GSIBs capital and liquidity ratios Source: EUGSIBs earnings reports and EBA

The Report contains European leveraged finance market trends for the third quarter of 2017, 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) decreased in 3Q’17 to €47.6 billion, a 41.3% decrease from €81.2 billion in 2Q’17 and a 20.7% decrease from €60.0 billion issued in 3Q’16. The quarterly decrease in 3Q’17 was almost equally driven by a 44.5% decrease in high yield bond issuance and a 39.0% decrease in leveraged loan issuance. Primary high yield bond issuance in 3Q’17 totalled €19.1 billion on 48 deals, a 44.5% decrease from 2Q’17 (€34.4 billion on 83 deals) and a 20.4% decrease from 3Q’16 (€23.9 billion on 44 deals). The proportion of USD-denominated issuance decreased to only 18.5% of all issuance in 3Q’17, compared to 42.9% in 2Q’17 and 40.2% in 3Q’16. High yield issuance for refinancing and/or repayment of debt in developed market Europe decreased to €4.7 billion, representing 32.3% of all issuance in 3Q’17, down from €7.4 billion (30.5% of total) in 2Q’17 and from €11.2 billion (51.7% of total) in 3Q’16. In emerging market Europe, €1.4 billion (29.8% of total) in high yield debt was issued for refinancing and/or repayment of debt in 3Q’17, which was an increase from €0.3 billion (3.0% of total) in 2Q’17 and from no issuance for this purpose in 3Q’16. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, decreased to €28.6 billion in 3Q’17, down 39.0% q-o-q (€46.8 billion in 2Q’17) and down 20.9% y-o-y (€36.1 billion in 3Q’16). Refinancing and/or repayment of debt were the largest use of proceeds in 3Q’17 with €15.7 billion, followed by leveraged buyouts with €9.9 billion or 34.6% of total, and acquisitions with €2.8 billion or 9.9% of total with the remainder €0.1 billion split between general corporate purposes and other. Pricing spreads for institutional loans tightened by 4 basis points (bps) q-o-q and by 38 bps y-o-y while spreads for pro rata loans tightened by 17 bps q-o-q and by 18 bps y-o-y. Credit quality: As of September 2017, S&P reported the trailing 12-month speculative-grade default rate at 2.2%, a slight increase from 2.1% end-June 2017 and up from 1.9% end-September 2016. Moody’s reported the trailing 12-month speculative-grade default rate in September 2017 at 2.4%, down from 2.8% end-June 2017 and from 2.6% end-September 2016.Only one bond-related default was reported in 3Q’17: a Norwegian firm Norske Skogindustrier defaulted due to a missed interest payment.According to S&P, in 3Q’17 upgrades exceeded downgrades in developed market Europe (24 upgrades to 23 downgrades), a slightly worse ratio than 29 upgrades to 26 downgrades in 2Q’17 but more positive than 21 upgrades to 28 downgrades in 3Q’16. In emerging market Europe, there were 5 upgrades and 2 downgrades by S&P in 3Q’17 compared to 4 upgrades and 5 downgrades in 2Q’17 and 7 upgrades and 6 downgrades in 3Q’16.

AFME is pleased to circulate itsEquityPrimaryMarketsand Trading Report for the third quarter of 2017 (3Q 2017). The report collates the performance of theequitymarket in Europe in areas such as issuance, Mergers and Acquisitions (M&A), trading and valuations. We refreshed the report format and included new data covering European block trading activity. We would welcome comments and suggestions on these changes. Key highlights: Equity underwriting (IPOs, follow-ons and convertibles) on European exchanges accumulated a total of €172.2 bn in proceeds in the first three quarters of 2017, a 61% increase from the same period of 2016 (€106.7 bn). - The increase was led by a 81% year-to-date (YtD) growth in follow-on offerings; - Increase of 43% YtD in proceeds from primary offerings (IPOs). Completed Mergers and Acquisitions (M&A) of European companies totalled €743.7 bn in the first three quarters of 2017, a slight increase of 2% from the same period of 2016 (€729.4 bn). Equity trading activity on European main markets and MTFs generated a total of €8.6 tn in turnover value in the first three quarters of 2017, a decrease of 4% from the value traded in the same period of 2016 (€8.9 tn). Market capitalisation of European listed shares stood at €13.0 tn at the end of 3Q 2017, an increase of 6% from the market value at the end of 2016 (€12.2 tn). Year-to-date variation of European Equity activity (EU 28 member countries and Switzerland)