AFME is pleased to circulate its European ESG Finance quarterly data report for the second quarter of 2022. 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 2022, as well as a high-level regulatory and supervisory snapshot. Key highlights: ESG bond and loan issuance volumes in Q2’22 declined 20.7% year-on-year (YoY) but increased 16.5% quarter-on-quarter (QoQ). 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, including ESG-labelled, sustainable-linked and transition bonds, represented 19.1% of total European bond issuance during H1'22 (19.5% in 2021FY and 14.1% in Q1’22). Following a record Q1, the sustainable-linked bond market decelerated in Q2’22 with a decline in issued amount of 47% YoY and 59.3% QoQ, reversing its previous upward trend. The ESG securitisation market has not continued the fast expansion observed in 2021, accumulating a total issued amount of €0.5bn in H1 2022. ESG-labelled bond issuance continued resilient in Q2’22 with a 6% YoY increase, predominantly driven by the green bond segment which grew 47.9% YoY. The sovereign sector led the green bond expansion. Market conditions may have prevented a more significant participation by the corporate sector, which declined 2% YoY in green bond issuance in Q2’22. ​Carbon prices: the European Union Allowance (EuA) price per metric tonne finalised H1'22 at €88/Tn, from €80/Tn at the end of 2021. During the first months of Q3’22, EuA spot prices have fluctuated around €80/Tn. EU and UK forward curves continue to anticipate long-term price increases. ​Global ESG Funds decreased during Q2’22. Funds with an ESG mandate (including Mutual Funds and ETFs) totalled $6.5tn as of Q2'22, a 16.7% decrease from Q1’22. ​The quarterly decline was predominantly driven by valuation losses. Net outflows from ESG funds totalled $37.5bn in Q2’22 which represents less than 5% of the decline in the total amount of Global ESG funds. ​​​ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks have widened in Q2’22. ESG premia, however, continues to fluctuate between 2 to 3 bps and has not reached the levels observed in 2020. The greenium varies by issuer and by instrument, suggesting that in addition to the 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.

AFME is pleased to circulate the European Securitisation Data Snapshot forQ2 2022 Key highlights: Q22022 European Issuance In Q2 2022, EUR 34.0 bn of securitised product was issued in Europe, a decrease of 46.8% from Q1 2022 (EUR 63.9 bn) and a decrease of 6.6% from Q2 2021 (EUR 36.4 bn). Of this, EUR 15.8 bn was placed, representing 46.6% of the total, compared to EUR 32.7 bn placed in Q1 2022 (representing 51.2% of EUR 63.9 bn) and EUR 26.1 bn placed in Q2 2021 (representing 71.7% of EUR 36.4 bn). In Q2 2022, Pan-European CLOs led placed totals, followed by UK RMBS and Dutch RMBS Pan-European CLOs decreased from EUR 9.8 bn in Q1 2022 to EUR 4.0 bn in Q2 2022 UK RMBS decreased from EUR 14.1 bn in Q1 2022 to EUR 3.1 bn in Q2 2022; and Dutch RMBS increased from EUR 0.3 bn in Q1 2022 to EUR 1.6 bn in Q2 2022.

The Report contains European leveraged finance market trends for the first quarter of 2022, 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 €56.6 billion in proceeds in 1Q'22, a 36.2% decrease from €89 billion in 4Q’21 and a 49.9% decrease from €113.3 billion in 1Q’21. High yield bond issuance totalled €16.9 billion on 38 deals in 1Q'22, a 57.4% decrease from €39.3 billion on 90 deals in 4Q’21 and a 59.3% decrease from €41.3 billion on 94 deals in 1Q’21. The proportion of USD-denominated issuance decreased to 22.3% of all issuance in 1Q'22, down from 28.8% in 4Q’21 but up from 17.2% in 1Q’21. The leading use of proceeds for high yield bond issuance in 1Q'22 was refinancing/repayment of debt, at €7.3 billion, which was higher than €6.4 billion in 4Q’21 and than €3.2 billion in 1Q’21. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totalled €39.8 billion on 99 tranches in 1Q'22, down 19.2% from €49.3 billion on 126 tranches in 4Q’21 and down 44.5% from €71.8 billion on 156 tranches in 1Q’21. 41.6% of deals financed in 1Q'22 were issued for refinancing and/or repayment of debt, up from 25.5% in 4Q’21, but down from 64.4% in 1Q’21. LBO/MBO was the second largest use of proceeds in 1Q'22 with €14.1 billion, followed by Acquisitions with €6.2 billion. According to Reorg, all of the European leverage loan deals examined in 1Q'22 were covenant-lite. According to Covenant Review, 57% of all leveraged loan deals reviewed in 1Q'22 contained an ESG feature, compared to 68% of all deals reviewed in 4Q’21. Credit quality:  S&P reported the trailing 12-month speculative-grade bond default rate at 0.7% in March 2022, a decrease from 5.9% in March 2021. Moody’s reported the speculative grade default rate at 2.25% in March 2022, down from 4.7% in March 2021. There were 2 defaults reported in the first quarter of 2022 by Standard and Poor’s and Moody’s. The reasons were missed interest payment and distressed exchange. According to S&P, in 1Q'22 bond downgrades exceeded upgrades in Europe (52 downgrades to 23 upgrades). This is a worse ratio than 39 upgrades to 21 downgrades in 4Q’21 and compared to 24 downgrades to 22 upgrades in 1Q’21. According to Moody’s, in 1Q’22 downgrades exceeded upgrades in Europe (9 upgrades to 17 downgrades), a worse ratio than 14 downgrades to 25 upgrades in 4Q’21 and worse than 13 downgrades to 21 upgrades in 1Q’21.

AFME is pleased to circulate its Q1 2022 Government Bond Data Report. This report provides a comprehensive data source with updated statistics on the Government bond primary and secondary markets in Europe (EU+UK). Key highlights European (EU+UK) government bonds and bills issuance continue above pre-pandemic levels with EUR 776.2 bn issued throughout 1Q22, which represents an increase of 24.3% (QoQ) compared to 4Q21, and a decrease of 16.3% (YoY) compared to 1Q21. During Q1 2022, European quarterly traded volumes increased 31.4% (QoQ) and 17.5% (YoY), according to Trax, a MarketAxess subsidiary. The traded amount was also a quarterly record since records began in 2013. Outstanding amount of European ESG government bonds reached EUR 257 bn during 1Q22. Volumes were driven primarily by tap issuance in France (EUR 5.0 bn), Germany (EUR 3.9bn) and the European Commission (EUR 2.5 bn). Denmark issued an inaugural green bond during Q1 2022 bringing the total number of sovereign issuers in European ESG markets to 17 with active participation by over half (55.6%) of EU Member States. 10Y spot yields rise during 2022 year-to-date, more predominantly in Eastern Europe, amid heightened market volatility, central bank policy tightening, and the start of the Russian invasion of Ukraine. Credit quality: During 1Q22 there was 1 long-term credit rating upgrade for European countries and no downgrades. This brings the full-year total to 3 upgrades and no downgrades (there were 2 further upgrades in Q2 2022 to date). Greece, which was upgraded one notch by S&P, now has the highest long-term credit rating since March 2011.

AFME is pleased to circulate its Q1 2022 Securitisation Data Report. Main findings: In Q1 2022, EUR 64.3 bn of securitised product was issued in Europe, a decrease of 35.8% from Q4 2021 and an increase of 31.6% from Q1 2021. Ofthe EUR 64.3 bn issued, EUR 33.1 bn was placed, representing 51.5% of the total, compared to 46.7% of issuance in Q4 2021 and 61.3% of issuance in Q1 2021. Among placed issuance, UK RMBS, Pan-European CLOs and German Auto ABS led placed totals, with EUR 14.1 bn, EUR 10.2 bn and EUR 1.7 bn of issuance, respectively. Outstanding volumes (ex-CLOs) decreased to EUR 987.6 bn at the end of Q1 2022, a decrease of 0.53% QoQ and a decrease of 0.02% YoY. Simple, transparent and standardised (STS) securitisation issuance: European placed STS securitisation issuance, as a proportion of total placed issuance (STS+non-STS), decreased to 19.9% during Q1, 2022, down from 23.0% in Q1 2021 and 37.3% in Q1 2020. Credit Quality: In Europe, the proportion of upgrades as a percentage of rating actions decreased during Q1 2022, when upgrades comprised 88% of total rating actions by the main Credit Rating Agencies (CRAs), down from 92% of total rating actions during Q4 2021. We provide a detailed regulatory update with some of the most relevant PanEuropean initiatives for the securitisation market.

This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2022. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at May 2022. Among the main findings of this report: CET1 and T1 capital ratios decline in Q1 2022: European GSIBs end-point CET1 ratio decreased from 14.5% in 4Q21, to 13.8% in 1Q22. The decrease in CET1 ratio during the quarter was driven by RWA growth, regulatory changes implemented at the start of the year (continuation of IFRS9 implementation, irrevocable payment commitments, software capitalisation benefit reversal), and share buybacks undertaken by 6 of the 11 banks. T1 capital declined 2% QoQ, on the back of lower CET1 capital, redemption of Additional Tier 1 (AT1) instruments not offset by issuance of new AT1 securities. Lowest year-to-date CoCo issuance since 2013: European banks have issued a total of EUR 7.4bn in AT1 CoCos in 2022YtD (May). CoCo borrowing costs continued to increase in Q2 2022. Coupon rates of newly originated CoCos averaged 5.2% during Q1’22 and 6.8% in Q2’22 (as of May), a sharp increase from the average observed at the end of 2021 (3.3%). Several concurrent factors have contributed to rising borrowing costs, including higher risk premia, market volatility, and rising inflation outcomes. Capital buffers usability: The Box on pages 21-28 discusses the evolution of European GSIBs’ capital resilience during the pandemic and banks’ reluctance to reduce their buffers even after regulatory and supervisory dispensation. Banks’ surpluses against Maximum Distributable Amount (MDA) triggers rose on a weighted average basis from c3.5% of RWAs in Q1’20 to 5% in Q4’21. The evolution of capital buffers varied by banks. Banks that entered the pandemic with lower MDA surplus increased the most their capital buffers between the period Q4’19 and Q4’21. The box also reflects on possible changes to the capital buffers framework. Further detail can be also found in the AFME Position Paper (here).

AFME is pleased to circulate the European Securitisation Data Snapshot for Q1 2022 Key highlights: Q1 2022 European Issuance In Q1 2022, EUR 64.3 bn of securitised product was issued in Europe, a decrease of 35.8% from Q4 2021 (EUR 100.2 bn) and an increase of 31.6% from Q1 2021 (EUR 48.9 bn). Of this, EUR 33.1 bn was placed, representing 51.5% of the total, compared to EUR 46.8 bn placed in Q4 2021 (representing 46.7% of EUR 100.2 bn) and EUR 30.0 bn placed in Q1 2021 (representing 61.3% of EUR 48.9 bn). In Q1 2022, UK RMBS led placed totals, followed by Pan-European CLOs and German Auto ABS: UK RMBS increased from EUR 4.9 bn in Q4 2021 to EUR 14.1 bn in Q1 2022; Pan-European CLOs decreased from EUR 20.2 bn in Q4 2021 to EUR 10.2 bn in Q1 2022; and German Auto ABS decreased from EUR 2.7 bn in Q4 2021 to EUR 1.7 bn in Q1 2022.

AFME is pleased to circulate its European ESG Finance quarterly data report for the first quarter of 2022. 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 March 2022, as well as a high-level regulatory and supervisory snapshot. Key highlights: European ESG bond and loan issuance in Q1’22 (€136bn) declined 32.4% year-on-year (YoY) and 27.2% quarter-on-quarter (QoQ). 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 14.1% of total European bond issuance during Q1’22, a lower proportion from 19.5% in 2021FY. Market conditions have been unfavourable for primary issuance. The absence of large jumbo ESG deals from the EU Commission and other sovereigns also contributed to the YoY decline. The sustainable-linked bond market was the exception in the annual ESG contraction, with a significant 4.4x YoY increase and +26.5% QoQ. Carbon prices: European Union Allowance (EuA) price per metric tonne finalised Q1’22 at €78/Tn, around the same level observed at the end of 2021. This, however, masks the significant fluctuation observed during the quarter, as carbon have prices fluctuated from €97 in early February to €55 in mid-March. During the first months of Q2’22, carbon prices have increased from its initial losses in the early days of the Russian invasion of Ukraine. A similar volatility was observed in the UK, NZ and China ETS. EU and UK forward curves continue to anticipate long-term price increases. Global ESG Funds totaled $7tn as of Q1’22, a $0.8tn decrease from $7.8tn in Q4’21. All ESG Fund asset classes declined during the quarter, except for Commodity funds, which saw a 44% QoQ increase. The quarterly decline was predominantly driven by valuation losses. Net outflows from ESG funds totalled $20bn in Q1’22, or about 2% of the QoQ absolute variation in Global ESG funds. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks have marginally widened in 2022YtD. ESG premia, however, continues to fluctuate between 1 to 2 bps and has not reached the levels observed in 2020. Regulatory update: We present a selective list of upcoming European initiatives for the year 2022.

AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the first quarter of 2022 (Q1 2022). 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 declined 75% in Q1’22 compared to the same quarter of 2021. All forms of equity capital raising declined during the quarter. IPO activity was exceptionally weak, with a 91% decline compared to Q1’21. SPAC IPOs reached €0.8bn in Q1’22, representing 40% of total IPO volume (11% in 2021, 3% in 2020). The ongoing geopolitical tensions in Eastern Europe have generated stress on markets which may have prevented the continuation of a sequence of robust quarters for European equity capital raising. Prior to the Russian invasion of Ukraine, markets were already dealing with a number of negative factors, such as surging inflation, supply chain issues, and ongoing risks related to the COVID pandemic, which were affecting primary issuance and demand. Most recently, in April 2022, equity issuance has slightly recovered accumulating €9.3bn in proceeds during the month, almost exclusively from secondary offerings. Completed Mergers and Acquisitions (M&A) in Q1’22 exhibited a declined when measured as announced value (-29% YoY) and when measured as completed value (-5% YoY). De-SPACS represented 5% of the total M&A value announced during Q1’22, around the same proportion observed during 2021FY. 91% of the announced SPAC acquisitions were De-SPACs of US-headquartered SPACs. Average daily equity trading on European main markets and MTFs stood at €107.6bn in Q1’22, 18% above the observed in Q1’21. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has recently increased to 838 (644 in January 2022) with 62 new suspensions identified only in April 2022. European equity trading mix: According to BigXYT data, on-venue trading represented 77% of the total addressable liquidity in Q1’22. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 23% of the volume of the total addressable liquidity. The proportion of on-venue trading relative to total addressable liquidity has increased in the course of the year. This is likely due to market participants seeking immediacy of execution (as opposed to minimal price impact) during periods of heightened volatility.

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 sovereign bond issuance continues above pre-pandemic levels: in 2021, European sovereign bond issuance, including issuance from EU Member States, the UK and the European Commission, accumulated EUR 3362.3 bn in proceeds, 8.3% below 2020FY but 41.9% above 2019FY. In Q4 2021, EU Member State and UK bonds and bills issuance accumulated EUR 624 bn, which represents a decrease of 19.4% (QoQ) compared to 3Q21, but an increase of 1.3% (YoY) compared to 4Q20. In 2021FY, European government bond trading increased 0.2% compared to 2020, but was up 8.7% compared to 2019, according to MarketAxess. During Q4 2021, EU quarterly traded volumes increased 4.7% (QoQ) and 6.4% (YoY). Outstanding amount of EU ESG government bonds surpassed EUR 240.0 bn during 4Q21 of which EUR 28.0 bn in green bonds and EUR 0.6 bn in sustainable bonds were issued. Volumes were driven primarily by the European Commission (EUR 12.0 bn), the UK (EUR 7.7 bn), Italy (EUR 5.0 bn) and Germany (EUR 3.0 bn), which contributed to outstanding volumes of European green government bonds increasing to EUR 147.8 bn. Net loss of 7 primary dealers in Europe during June 2021-January 2022. There were 13 exits and 6 entries of banks to the European Primary Dealer system during this period, affecting sovereign debt markets in 11 countries and also the European Commission Primary Dealer Network (EU PDN). Market-implied Eurozone inflation expectations spiked following ongoing geopolitical tensions while inflation expectations inverted with 1Y inflation expectations exceeding both 5Y and 10Y. Eurozone inflation expectations continued to rise in 4Q21 andrecently spiked during 1Q22 due to the increased level of economic uncertainty as a result of the ongoing conflict in Eastern Europe. During 4Q21 there were 2 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q21, 1 upgrade and no downgrades in 2Q21, 3 upgrades and no downgrades in 3Q21, bringing the 2021 full year total to 7 upgrades and no downgrades.