The Association for Financial Markets in Europe (AFME) has today published a study setting out a comprehensive overview of the current European regulatory landscape for green securitisation, highlighting the challenges preventing it from fully contributing to Europe’s green transition, as well as the full scale of its potential growth by 2030. Shaun Baddeley, Managing Director of Securitisation at AFME, said: “Through this report, we are aiming to provide a clear picture of the current status of the European green securitisation market and to highlight the huge potential that it has to contribute to Europe’s green financing needs. Outside Europe, securitisation has already become an important tool to channel capital into green lending, however Europe is lagging far behind other global markets such as the US and China. This is partly due to regulatory impediments which prevent the growth of the wider European securitisation market. Another reason is the current lack of green assets to be securitised – although, this is expected to increase in the coming years. “The EU Green Bond Standard legislation (EuGBS) has the potential to be an important enabler for the growth of the market. However, it is vital that a well-designed framework for green synthetic securitisation is incorporated into the EuGBS at the earliest opportunity as it is the most cost effective way of securitising project finance and other green assets which cannot be easily securitised via true-sale (or traditional) securitisations.” AFME’s latest report highlights that the European green securitisation market is lagging behind other global jurisdictions, including: In the course of five years, only 24 securitisation transactions with ESG characteristics have been issued. Although Europe is a leading region for green and sustainable bonds, Europe’s green securitisation market remains subdued. For instance, between 2019-2022 green securitisation issuance represented only 1.4% of total European green issuance, whereas it accounted for 8.1% in China and 32.3% in the US. The report goes on to highlight the potential scale of future green securitisation issuance by 2030 providing estimates for growth based on data from S&P Global Ratings. The findings are: Residential mortgage loans on energy-efficient properties: Gross green mortgage lending could reach €125 billion annually across eight European RMBS markets, i.e. Belgium, France, Ireland, Italy, the Netherlands, Portugal, Spain and the U.K. Lending for green home renovation: If residential buildings reach a 3% renovation rate by 2030, this could generate an annual funding requirement of about €75 billion, which may partly be addressed by further mortgage advances that are securitisable. This figure assumes a fully-funded typical renovation cost of about €17,000 per property, and considers the same eight European RMBS markets mentioned above. Electric auto financing: In respect of new battery electric vehicles, securitisable financing could reach €80 billion annually, while there could be a further €30 billion in annual financing required for used ones. These estimates concern only the five major European auto ABS markets, namely France, Germany, Italy, Spain and the U.K. AFME’s key recommendations for unlocking the potential of the green securitisation market, include: Introducing a framework for green synthetic securitisation in the scope of the EuGBS in short order. Addressing the imbalances in the broader securitisation framework which hold the wider European securitisation market back; Ensuring a well-designed EuGBS which fully accommodates the characteristics of securitisation; and Pursuing a proportionate approach to sustainability-related disclosures under the EuGBS framework and more broadly; - ENDS -

The Association for Financial Markets in Europe (AFME) has today issued a comment in response to the UK Government’s Financial Sector Reforms, announced today in Edinburgh. Adam Farkas, Chief Executive of AFME, said: “AFME welcomes the UK Government’s proportionate and considered approach to reforming financial services sector policy in the UK, building on the longstanding dialogue between the official sector and industry. “AFME supports financial regulation that encourages growth and that is fit for purpose and proportionate for UK capital markets, while promoting openness and competitiveness. “AFME members are global wholesale banks that support European clients internationally, therefore, it is a priority to ensure the continuity of cross-border services and to avoid market fragmentation. In this respect, AFME advocates for the same policy approaches in both the UK and the EU.”

The Association for Financial Markets in Europe (AFME) has today issued a comment in response to the European Commission’s latest package of measures on Capital Markets Union. Adam Farkas, Chief Executive of AFME, said: “Today’s package of proposals is a welcome step towards progressing the Capital Markets Union further, which is a vital project for supporting European capital markets, particularly in light of recent economic and geopolitical pressures. “On the Listing Act proposal, an attractive environment for Initial Public Offerings (IPOs) and other capital raisings in public markets is vital to support innovative, fast-growing companies, as well as an expansion of Europe’s equity markets. A well-functioning IPO market is also important in the pre-IPO environment as it impacts on exit strategies and therefore the provision of risk capital. In order to allow companies to access capital effectively, policy makers should support measures that strengthen the competitiveness of EU markets in order to improve the ability of all types of companies to raise funds on European capital markets. “AFME welcomes the focus on promoting multiple voting right share structures. Subject to appropriate checks and balances, these structures have the potential to attract founder-led high-growth companies looking to list. Their promotion should however apply to all listing platforms and not be limited to SME Growth Markets”. “AFME looks forward to debating the proposals in the EU Listing Act, including those in relation to the Prospectus Regulation, Market Abuse Regulation and investment research. Features of the existing EU framework that are unclear, inconsistent, disproportionately burdensome on issuers and/or which fail to provide adequate reassurance to investors should be addressed in this review. The proposals should strike the right balance between the needs of issuers, investors and participants providing diverse services such as underwriting and market-making.” - ENDS -

A new report published today by the Association for Financial Markets in Europe (AFME) and Protiviti outlines four key barriers holding back the pace of Cloud adoption within the Financial Services sector. The report entitled “State of Cloud Adoption in Europe - Preparing the path for Cloud as a critical third-party solution” finds that while Cloud can clearly be an enabler for financial services innovation, some key barriers are currently making it harder for firms to adopt and fully leverage its potential. Fiona Willis, Associate Director of Technology and Operations, at AFME, said: “The benefits of Cloud technology for the growth of the financial services sector are clear, allowing financial institutions to deliver agile, scalable and resilient services to their clients. However, our report finds the rate of adoption of Cloud technology is currently being held back by overly complex and unharmonised regulation.” “AFME members believe it is essential that policymakers, in the EU and globally, do not inadvertently impact the continued adoption of Cloud services. We therefore make key recommendations to help ensure regulators and policymakers can work together to unlock the full potential of cloud opportunities for the financial services sector.” James Fox, Director, Enterprise Cloud at Protiviti, said: “Cloud technology is increasingly critical for financial institutions, creating a significant opportunity to increase productivity, flexibility and resilience in support of their digital transformation initiatives. Regulators are quite rightly taking steps to make sure that the application of Cloud technologies within financial services is properly regulated to avoid any potential risks or issues that could harm the global financial system. However, a careful balancing act needs to be struck between properly regulating Cloud technologies and not stifling innovation and competition within the financial services sector, and as our recent report shows, the current regulatory complexity is making it more difficult for financial institutions to adopt the Cloud.” The paper sets out four key challenges that financial institutions are currently experiencing, including: Concentration of Cloud Services:​Globally, 65% of Cloud services are provided by just three entities, whose dominance is raising concerns among financial regulators, highlighting the risk of concentration in the Cloud marketplace. Regulatory Complexity:Regulatory fragmentation, uncertainty and the time required for regulatory approvals is preventing financial institutions from innovating, slowing the pace of Cloud adoption. FIs are also subject to multiple different regulators that may ask for the same information in different formats and through different channels. Data Localisation:The forthcoming EUCS certification framework could have far-reaching negative implications if the proposals to achieve “immunity against third-country law” via EU control requirements are adopted. Management of Disruption in the Cloud:Several high-profile Cloud service outages have highlighted the need for greater visibility and confidence in Cloud providers’ abilities to predict, manage and communicate disruptions to their Cloud services. Regulators expect FIs to have primary responsibility for resisting threats to operational resilience, to guard against service disruptions and to recover from incidents. The paper provides 9 recommendations for policy makers in order to help address these challenges: Concentration of Services We urge policymakers to consider how CSPs could be encouraged to provide greater transparency on resiliency, dependency and security issues within cloud services, specifically greater visibility and analysis of dependencies between regions and the underlying control plane[1] within each CSP. We recommend that the adoption of multi-cloud strategies should remain at the discretion of individual FIs and should not be mandatory, as such a mandate could increase, rather than address, systemic concentration risk. Regulatory Complexity We request that authorities consider an approval model for deploying services to the cloud at a platform level or remove time requirements for notifications, in order to reduce delays in the approval process. We encourage greater co-ordination between the European Central Bank (ECB), European Supervisory Authorities (ESAs) and National Competent Authorities (NCAs) to ensure a consistent application of the outsourcing and Information and Communication Technologies (ICT) third-party registers to ensure minimum duplication for FIs and supervisors. Data Localisation We request that policymakers and regulators refrain from requiring localisation of data or cloud hosting solutions, as it challenges resilience, inhibits innovation, and increases operational complexity. Management of Disruption in the Cloud We encourage CSPs to proactively help FIs understand their tools, resources, and configuration settings and ensure that workloads and data running within the CSPs infrastructure are properly secured. In addition, CSPs should help FIs understand the Service Level Objectives (SLO) across each service provided and the resiliency and recovery metrics. We request that CSPs aid FIs in proactively architecting for greater resilience by providing dependency mapping between services and geographies, for example, that two different services share a single point of failure or how an outage that occurs in one region may affect the underlying CSP control plane. We encourage CSPs to provide greater transparency and detail of Root Cause Analysis (RCA) for incidents and outages within a CSP and create a library of previous RCAs, so that incident trends can be tracked, understood and better managed moving forward. We ask CSPs to provide sufficient education and notice to FIs for service updates that may impact FIs’ responsibilities and obligations in areas such as security or resilience. – Ends –

Following the publication of the Prudential Regulation Authority (PRA)’s consultation paper on the UK implementation of Basel 3.1 rules today, Caroline Liesegang, Head of Prudential Regulation and Research of the Association for Financial Markets in Europe (AFME), said: “Today’s consultation from the PRA is important as Basel 3.1 is the final step to implementing post-crisis reforms in the UK and is welcome by the banking industry. AFME will be responding on behalf of its members, which are the largest systemically important banks with active presence in Europe. “AFME is pleased to see the PRA has struck a good balance in its approach to implementing the international Basel standards. It is positive that the UK regulator has sought to ensure a coordinated approach through the proposal of a 1 January 2025 deadline, which is in line with the EU’s proposed timeline. It is also good to see that the proposal addresses certain UK specific issues in the implementation, a regional approach the EU has also taken to address its own requirements. “However, while there have been a number of positive adjustments, such as the treatment of unrated corporates, this has been offset by the removal of preferential treatment elsewhere in the framework, for example, in the SME supporting factor and the increase in capital requirements for trade finance.AFME believes that risk sensitivity and preferential treatment for certain asset types should be retained as they enable banks to support the real economy at a time when the financial, corporate and retail mortgage sectors are under enormous economic strain. “The combined effect of all these changes will need to be carefully assessed to ensure that the overall calibration of UK regulation is appropriate.” - ENDS -

The Association for Financial Markets in Europe (AFME) and EY have today published a new report “Into the Wild: Why Nature May be the Next Frontier for Capital Markets”. The report, published in the lead up to the COP15 UN Biodiversity Conference, explores how finance can be channelled to help address nature loss. With more than half of global GDP dependent on nature, nature capital is rising up the agenda for policy makers and the financial services sector. The global biodiversity financing gap has recently been estimated at USD 598-824 billion per annum. While growing investor demand is creating new opportunities to develop nature-related financing products, the report finds banks and other market participants are struggling to mainstream and scale nature finance products. Banks also face challenges in particular from a lack of available data and common metrics for nature and biodiversity. The report also provides an overview of the natural capital finance products currently in the market and showcases a number of case studies of innovative practices currently being used by AFME members. Oliver Moullin, Managing Director, Sustainable Finance at AFME said: “The reorientation of capital in support of nature is a critical and urgent priority. AFME members have been key drivers of innovation in developing the products and financing solutions to help address the biodiversity financing gap and harness investor demand. We need to build on this momentum and proceed at pace with the work underway to create a strong global nature reporting framework and develop clear metrics for the measurement of investments’ impact on nature and biodiversity. We hope that COP15 can catalyse progress and the public and private sectors can work together to maximise the capacity of private finance to support nature.” Gill Lofts, EY Global Financial Services Sustainable Finance Leader said: “The protection and restoration of nature is essential for future economic growth and development and should be a priority for governments and all economic actors, including the financial services sector. Without sustainable finance we cannot achieve a sustainable future. We need an effective post-2020 biodiversity framework, underpinned by a strong global nature reporting framework, consensus around measurable and meaningful metrics to define biodiversity impact, and the development of a currency for nature.” The report concludes by examining the current regulatory landscape and makes five key recommendations for policy developments that can help direct capital towards solutions to conserve and restore nature: Gathering and translation of nature-related data into decision-grade data for financial services; A strong global nature reporting framework; Agreement on how to define measurable, meaningful impact on biodiversity through metrics and key performance indicators (KPIs) Standardisation of product classifications; and Development of a currency for nature. The report provides a useful guide for those looking to understand the critical role for capital markets. Ahead of COP15, AFME hopes this paper will continue to stimulate dialogue and market initiatives to harness the full potential of capital markets to finance the protection and restoration of biodiversity. -ENDS -

The Association for Financial Markets in Europe (AFME) has today published a study, commissioned from Risk Control Limited (RCL), examining the impact on the European securitisation market of the introduction of the Standardised Approach (SA) Output Floor. This rule change forms one of the final elements of the Basel III set of reform measures and will affect how banks calculate their risk-weighted assets, the denominator in their capital ratio. The study finds the effect of this rule change, as currently proposed, will vary considerably across regulatory asset classes. Notably, the study shows securitisations of large corporates and SME loans are likely to be severely negatively impacted, making them scarcely feasible. At the same time, securitisations of consumer loans, including residential mortgages, auto loans and other consumer loans, may be boosted. Shaun Baddeley, Managing Director of Securitisation at AFME, said: “It is very concerning that securitisations of bank loans to SMEs and corporates are likely to be largely eliminated should the SA Output Floor be introduced in 2025 in the EU as part of the Basel reforms. The uncertainty created by its implementation may cause many issuers to immediately stop using significant risk transfer (SRT) as a tool to transfer risk and free up capital. This could hold back the tool’s potential to support the European economy at a time when it is under severe pressure from tightening monetary conditions. “We are therefore calling on policy makers to urgently review these rules to support bank lending to corporates and SMEs. To illustrate the importance of SRT transactions, last year in Europe, this tool freed up capital which could be used to support more than EUR 80 billion of lending, representing nearly 10% of SME lending in 2021. It therefore has an important role to play in lifting Europe out of recession and supporting Capital Markets Union objectives. “Our study also highlights the contradictory effects that this rule change will have, meaning that while securitisations of SMEs and corporate loans are unfairly penalised, securitisations of consumer loans will be boosted. This demonstrates that these rules are not soundly rooted in an understanding of the relative riskiness of different asset classes.” William Perraudin, Managing Director at Risk Control Limited, said: "We show that sub-sectors areaffected differently depending on a 'horse-race' between the effects of floors on the underlying assets and on the securitisationsthemselves. Securitisations of corporate loans in Europe will be more or less precluded under the new regime. This will occur just ata time when the coincidence of rising capital charges and economic downturn will make the safety valve of securitisation particularlyimportant. Such unintended consequences appear to be a general feature of the current securitisation regime. While problems maybe ameliorated by provisional adjustments, what is really needed is a review of central aspects of the approach at the Basel level." Among the key conclusions of the analysis are: Corporate securitisations, both for large corporates and SME portfolios, will be largely eliminated by the introduction of the SA Output Floor as currently envisaged. This could contribute to a significant reduction in the availability of bank funding to European firms. Existing transactions done for risk management purpose, especially corporate ones, are likely to fail the significant risk transfer (SRT) test applied by European supervisors and therefore will have to be terminated. Some of the negative effects of the SA Output Floors on existing transactions would be substantially mitigated if internal ratings-based (IRB) approach banks were required to evaluate SRT tests only at an IRBA level, even if the SA Output Floor is binding. The SA Output Floors regime will encourage greater securitisation activity in residential mortgage and other retail loan portfolios because the increase in capital for loans held on balance sheet will exceed that of securitised assets. These findings suggest that the implementation of the SA Output Floors will disfavour one asset class substantially while benefiting another asset class with no clear rationale based on policy priorities.This is a consequence of adopting regulatory rules that are not soundly rooted in an understanding of the relative riskiness of different asset classes. Overall, the analysis of the study reveals the significant mis-calibration of the SEC-IRBA and SEC-SA for mezzanine tranches and a misalignment of senior tranche risk weights in comparison to pool risk weights. It, therefore, contributes to the case for reconsidering the level of capital charges for such tranches. AFME suggests an immediate recalibration of the SA Output Floor is particularly urgent to mitigate the severe negative impact outlined. The Association strongly supports proposals by MEPs for a transitional arrangement, until a wider review of the framework is undertaken. This transitional measure is critical for the economic viability of synthetic on balance-sheet transactions, the main instrument used to share risk and redeploy capital into lending to SMEs, corporates and project finance, as they are the most severely impacted by this rule change. - ENDS -

Press release available inEnglish,French,German,Italian,Spanish. Individual country analysis available forFrance,Germany,Italy,Spain. The Association for Financial Markets in Europe (AFME) in collaboration with eleven other European and international organisations has today published the fifth edition of the “Capital Markets Union – Key Performance Indicators” report, tracking the progress of Europe’s capital markets against nine key performance indicators and analysing the progress over the past five years. Among the key findings of the 2022 report: Socio-economic and geopolitical developments have caused a major reversal of capital markets activity in 2022 compared to the record gains of market-based financing levels of the previous two years. Inflationary pressures, exacerbated by the Russian invasion of Ukraine, and combined with monetary tightening and fears of recession following the Covid-19 pandemic, have led to an increase in the cost of capital and created a climate of market uncertainty and volatility more generally. Market-based funding used by corporates dropped to pre-Covid levels - total new debt and equity issuances decreased by 32% year-over-year during the first half of 2022, with a particularly steep decline (86%) in EU Initial Public Offerings. Europe’s equity gap grew wider with the EU’s domestic market capitalisation of listed shares declining from 18% in 2000 to just 10% of the world’s total in 2022, causing Europe to further fall behind the US and UK in the global capital market competitiveness ranking. Pre-IPO equity investment in EU SMEs remained strong with €34.3bn in new equity investment flows in the first half of 2022, or 73% of the amount invested in 2021. However, a growing challenge for investors is the capacity to exit investments as the IPO market remains subdued and public markets see lower valuations. European households saw a decline in their savings in the form of capital markets instruments due to deterioration in asset values. EU securitisation transactions fell to lowest levels on record with the proportion of EU loans outstanding transferred via securitisation and loan portfolio sales falling to 1.6%, the lowest value on record and half the value in 2018 (3.2%). US securitisation issuance grew 74.5% during 2020-2021 vs 2017-2019, while EU issuance declined 10.9% over the same period. Remarkable ESG growth over last five years – with the amount of EU ESG debt issuance increasing from €61bn in 2017 to €360bn in 2021. EU green bond issuance continued to rise in 2022, albeit at a slower pace this year, with volumes up 8% year-on-year in the first half of 2022, compared to the 74% increase in 2021 which was largely due to sovereign issuance. An improved EU FinTech regulatory ecosystem While FinTech funding was down across the globe since the peak of last year, the number of EU Fintech unicorns increased from 13 to 18, suggesting an overall improvement in the environment for financial technology. Compared to 2021, three additional countries (Italy, Latvia, and Slovakia) deployed regulatory sandboxes. Now, 13 out of 28 countries (EU 27 + UK) provide this regulatory feature. The report was authored by AFME with the support of the Climate Bonds Initiative (CBI), as well as European trade associations representing: business angels (BAE, EBAN), fund and asset management (EFAMA), crowdfunding (EUROCROWD), retail and institutional investors (European Investors), publicly quoted companies (EuropeanIssuers), stock exchanges (FESE), venture capital and private equity (InvestEurope), private credit and direct lending (ACC) and pension funds (PensionsEurope). – Ends –

A group of nine organisations representing key participants in the European securitisation market have written a public letter to EU policymakers, calling on them to take urgent targeted measures to ensure that securitisation can support the European economy during a testing period marked by macroeconomic uncertainty. The group includes the Association for Financial Markets in Europe (AFME), the Dutch Securitisation Association, the European Banking Federation (EBF), the International Association of Credit Portfolio Managers (IACPM), Leaseurope, Eurofinas, Paris EUROPLACE, PCS and True Sale International (TSI). The letter calls for urgent action as it highlights how securitisation volumes in Europe have continued to decline in 2022,in sharp contrast to the growth seen in other markets in recent years. The United States, for example, recorded its highest ever issuance levels in 2020 and again in 2021. It is also a critical moment for the European securitisation market as key regulatory workstreams are underway which could contribute to the recovery of the market or exacerbate current regulatory imbalances. For example, targeted measures in the prudential requirements for banks under CRR3, and insurers under Solvency 2, together with a well-designed EU Green Bond Standard, would be important steps towards a better functioning market. The organisations are therefore calling on EU legislators to use these discussions to introduce immediate adjustments to securitisation-related calibrations and concrete mandates for more risk sensitive revisions to be undertaken as a subsequent step. There are also critical technical standards under preparation which could negatively impact the market if further disproportionate requirements are introduced. The joint Association leaders write in the letter: “The absence of a well-functioning securitisation market represents a strategic loss to the European financial system. It is undermining the competitiveness of European financial institutions and limiting their ability to recycle capital to support new financing. It has encouraged institutional investors to shift towards other products that do not offer the same advantages in terms of protection, transparency and liquidity.” “At the heart of the problem is a disconnect between the Commission’s vision for securitisation in Europe – a tool making a significant contribution to a well-functioning financial system that efficiently finances the real economy – and aspects of the regulatory framework which remain miscalibrated and, in practice, disincentivise issuance and investment in securitisations, thus holding back the tool’s potential to support the economy.” The full letter can be found here -ENDS -

The Association for Financial Markets in Europe (AFME) and FINBOURNE Technology have today published the second in a series of new reports, which analyses EU sovereign and public bond trading data consolidated from numerous sources for the period of March to December 2021. This report follows an earlier April 2022 report which focused on the corporate bond trading landscape. The new data from this report demonstrates the following principal findings: There is a high degree of trade transparency in EU sovereign bond markets, especially when compared to corporate bond markets, with a significant majority of EU government bond trades (76%) currently being made real-time transparent (compared to 8% of corporate bond trades). However, the quality of the sovereign data set is materially worse than the corporate bond data set due to a high level of distortion caused by the inconsistent use of some flags, among other issues. This needs to be addressed by ESMA. The majority (60%) of government bond-related trades on EU venues are non-EU bonds from the US, UK and other countries. Notably, Table 1 shows the trading volume of US Treasuries is nearly the same as for all EU issuers (circa 40% of total volumes). This means it is currently hard to have a clear view of the trading of EU-based issuers with the large amount of trading in the EU by non-EU issuers clouding the picture. AFME believes improvements could be made, for example, by narrowing the scope of MiFIR trade reporting to only cover EU-issuers, which would then be the basis on which deferrals should be calibrated. This would be similar in some respects to the US TRACE system, which focuses only on securities issued in the US. This re-focus would further support an EU fixed income consolidated tape focused on EU markets. Adam Farkas, Chief Executive of AFME, said: “This second data analysis from AFME and FINBOURNE Technology reiterates the importance of an accurately calibrated deferral regime for EU sovereign bonds. This would help grow the EU fixed income market by focusing on opportunities to further increase transparency where appropriate, while carefully calibrating deferrals to avoid causing undue risk for market makers, which could negatively impact the amount of liquidity that they are able to provide. “In order to further improve transparency, AFME believes MiFIR reporting of sovereign and public bond trading activity should be analysed by ESMA to confirm precisely through data analysis where increased transparency will not damage market liquidity.” Thomas McHugh, CEO and Co-Founder, at FINBOURNE Technology, said: “Once again, we’re delighted to work with the AFME team and its working group members to support their evidence-driven approach to policy formulation. The analysis for this paper required an extremely granular approach to transaction records, made possible by our Modern Financial Data Stack. We hope, that by constructing this data, we can jointly deliver the transparency needed, to clarify some of the key issues impacting the creation of a consolidated tape. As always, our core principle is to liberate, simplify and connect data and this paper goes some way to showing the benefits of a single consolidated view of transactions to inform market participants, regulators and EU authorities.” The report provides extensive data on sovereign bond risk position trade-out times (i.e. the time it takes to move the risk off the bank’s balance sheet). This data demonstrates a wide range of times depending on issuers, trade sizes and issue sizes, ranging from very short to very long. This shows that larger and illiquid transactions require carefully calibrated and, in some instances, relatively long, deferral periods to ensure optimal market liquidity (as otherwise liquidity providers can be unduly placed at risk). These larger and illiquid trades comprise a small percentage of the number of trades, but a much larger percentage of volume. Likewise, the data shows that trade-out times for other trades can be very short, justifying no or short deferrals in those instances. The AFME paper analyses approximately 1.8 million post-trade records on 8,200 distinct sovereign and public bonds. From the data set studied, AFME and FINBOURNE Technology find that different deferral periods need to be applied based on the trade size and issuance volume, among other key characteristics. Applying an incorrectly calibrated deferral regime to all trades, especially those larger in size or illiquid, risks exposing liquidity providers to potential undue risks, which could negatively impact the amount of liquidity/pricing that market makers are able to provide. Key findings: Tables 3 and 4 show that currently ‘real time’ reporting on EU sovereigns/public bonds is higher than that for corporates – respectively 76% versus 8% by number of trades, and 37% vs 16% by volume. As was the case in the April 2022 corporate bond study, this report confirms that trade out times for sovereigns/public bonds are significantly longer for small issuance sizes and larger trade sizes. Trade out times vary significantly for various issue and trade size categories, ranging from a few minutes to well over a year depending on the issue and trade size category. As a result, the data supports real-time and End of Day (EOD) reporting for some categories of trades, but also shows certain deferrals for larger trades should be significantly longer than four weeks. The vast majority of trades (92%) in the combined sovereign/public bond category relate to direct sovereign issuance from Debt Management Offices (DMOs) rather than non-sovereign public entities. Sovereign trading volume is over twice the size of corporate bond trading. the report also provides trading volume from each EU issuer country. This data analysis supports AFME’s consistent position that deferral times should be calibrated by ESMA, only after analysis of actual trade data collected from the fixed income consolidated tape. – Ends –