AFME is pleased to circulate the European Securitisation Data Snapshot for Q4 2018 and 2018 Full Year Key highlights: Q4 2018 European Issuance In Q4 2018, EUR 88.4 bn of securitised product was issued in Europe, an increase of 64.0% from Q3 2018 (EUR 53.9 bn) and an increase of 19.3% from Q4 2017 (EUR 74.1 bn)The significant quarterly increase was in part in anticipation of the entry into force on 1 January 2019 of the new Simple, Transparent and Standardised (STS) securitisation regime- for which many technical standards are yet to be finalised. As a result, at the time of writing (late January) there have been no issues of mainstream European securitisation at all (excluding CLOs) so far in 2019. Nor are any deals visible in the pipeline, as both issuers and investors find themselves unable to issue pending clarification from regulators on key features such as risk retention, homogeneity and disclosure. Of the total issued amount in Q4 2018, EUR 35.2 bn was placed, representing 39.8% of the total, compared to EUR 30.0 bn placed in Q3 2018 (representing 55.7% of EUR 53.9 bn) and EUR 31.5 bn placed in Q4 2017 (representing 42.5% of EUR 74.1 bn) In Q4 2018, PanEuropean CLOs led placed totals followed by UK student loan ABS and German Auto ABS 2018 Full Year European Issuance In 2018, EUR 268.8 bn of securitised product was issued in Europe, an increase of 13.9% from EUR 236.0 bn issued in 2017. Of this, EUR 135.7 bn was placed, representing 50.5% of the total, compared to EUR 111.7 bn placed in 2017 representing 47.3% of the total. In 2018, PanEuropean CLOs led placed totals (EUR 51.0 bn) followed by UK RMBS (EUR 25.6 bn) and German Auto ABS (EUR 9.5 bn).

AFME is pleased to circulate its Q3 2018 Government Bond Data Report. This report provides a comprehensive data source with updated statistics of the Government bond primary and secondary markets in Europe (EU28). Report highlights include: Average daily trading volumes of European government bonds decreased by 7.2% YoY during 3Q18, driven by a significant decrease in Sweden (-46% YoY) and German (-18% YoY) trading, only partially offset by increases in Ireland (17% YoY), Belgium (24% YoY) and Hungary (24% YoY). This quarter also saw the lowest trading volume since records began in 2013 according to MarketAxess. European Government bond and bills gross issuance declined by 2.1% compared to 2Q18 and was 2.6% below the volume issued in 3Q17. During 3Q18 there were 6 long-term credit rating upgrades for EU countries (following 8 in 1Q18 and 3 in 2Q18) and no downgrades. This reflects significant credit quality improvements of European sovereign issuers, particularly of southern European and CEE countries, bringing the YtD total to 19 upgrades and 1 downgrade (2 further upgrades so far in 4Q18 and 1 downgrade). Record breaking Q3 2018 issuance in Cyprus following credit rating upgrades: Continuous improvements in credit quality have facilitated the issuance of bonds with longer maturities and lower coupon rates. Multiple large issuances in July and a record breaking 10-year €1.5bn bond issued in September directly utilised the advantageous credit conditions. At 2.35%, the yield on the September bond represents the lowest yield ever achieved in Cyprus for a Euro-denominated syndicated issue

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 30 September 2018. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe. Among the main findings of this report: The weighted average CET1, liquidity coverage ratio and leverage ratios for EU GSIBs slightly improved against the ratios reported in 2Q2018 but continued below the reported before the implementation of IFRS9 in 4Q2017. EU GSIBs end-point CET1 ratio stood at 13.2% in 3Q 2018, above 13.1% in 2Q18. Earnings retention contributed 21bps to the CET1 ratio variation, while RWA reduction by 9 of the 12 EUGSIBs further contributed 6 bps to the quarterly increase in CET1. Other factors including FX variation partially offset the contribution of profit retention and RWA reduction (-11bps). End-point Tier 1 ratios increased to 15.1% in 3Q 2018, from 14.8% in 2Q 2018. End-point Leverage ratios (LR) stood unchanged from 2Q18 at 4.69%. Liquidity Coverage Ratio (LCR) slightly improved at 146.6% on a weighted average basis in 3Q 2018, from 145.2% in 2Q 2018. New GSIB list: The FSB updated on Nov-18 the list of globally systemically important banks. One EU bank was added to the list and two EU banks have been removed from the list. With these changes, the overall number of GSIBs decreased from 30 to 29 and the number of EU GSIBs decreased from 12 to 11. Box: Political agreement reached on the Risk Reduction Measures package: On 13 Dec 2018, EU finance ministers announced that a political agreement has been reached on the Risk Reduction Measures (RRM) package on key prudential and resolution issues. The agreement represents an important step towards reducing risks in the banking system and avoiding national taxpayer funded bailouts. However, significant barriers remain to be addressed and some elements of the agreement may generate further fragmentation.

AFME is pleased to circulate its Q3 2018 Securitisation Data Report. Main findings: In Q3 2018, EUR 53.6 billion of securitised product was issued in Europe, a decline of 21.3% from Q2 2018 but an increase of 9.0% from Q3 2017. Of the EUR 53.6 billion issued, EUR 29.6 billion was placed, representing 55.3% of issuance, compared to the 56.3% of issuance in Q2 2018 and the 47.7% of issuance in Q3 2017. CLO refinancing (“refis”) activity continued in the third quarter of 2018; according to Refinitiv LPC, the combined amount of European CLO resets and refinancings totalled EUR 4.7 billion in Q3 2018 (EUR 5.1 billion in Q2 2018). Among placed issuance, PanEuropean CLO and UK RMBS led issuance totals, with EUR 14.2 billion and EUR 7.9 billion of issuance, respectively. Outstanding volumes fell slightly to EUR 1.20 trillion outstanding at the end of Q3 2018, a decline of 0.4% QoQ and a decline of 0.2% YoY. Credit Quality: In Europe, upgrades outpaced downgrades in Q3 2018, with upgrades concentrated in RMBS. European asset backed commercial paper (ABCP) issuance was EUR 129.1 billion in Q3 2018, an increase of 18.1% QoQ (from EUR 109.4 billion in Q2 2018) and a 92.0% increase YoY (from EUR 67.2 billion in Q3 2017). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland in the third quarter Regulatory update: AFME continued its engagement in the various IBOR Working Groups in London and the Eurozone. We are focused on preparing for the first SONIA-based securitisations in GBP, as well as building progress towards a reformed Euribor and the new ESTER rate in the Eurozone. The final text of revisions to the Liquidity Coverage Ratio (LCR) Delegated Act was published in the Official Journal of the EU with an application date of 30 April 2020. The revised text of the Delegated Act allows for only STS transactions to be LCR eligible and it does not provide grandfathering for existing (by definition, non-STS) LCR-eligible transactions which now face a “cliff-edge” and the loss of their eligibility on this date. While the regulatory debate is closed for now, AFME intends to revisit this with the Commission in 2019.

The Report contains European leveraged finance market trends for the third quarter of 2018, 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 to €44.8 billion in 3Q’18, a 26.2% decrease from €60.7 billion in 2Q’18 and a 13.9% decrease from €52.0 billion in 3Q’17.The issuance volume for 3Q’18 was the lowest quarterly total since 1Q’16. Primary high yield issuance totaled €17.7 billion on 46 deals in 3Q’18, a 28.8% decrease from €24.9 billion on 60 deals in 2Q’18 and a 8.8% decrease from €19.4 billion on 51 deals in 3Q’17.The proportion of USD-denominated issuance decreased to 20.3% of all issuance in 3Q’18, down from 21.9% in 2Q’18 but up from 18.2% in 3Q’17High yield issuance for refinancing and/or repayment of debt in developed market Europe decreased to €5.2 billion in 3Q’18, representing 29.7% of all issuance, a decrease of 3.8% from €5.4 billion (23.3% of total) in 2Q’18 but an increase of 97.5% from €2.6 billion (17.6% of total) in 3Q’17. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, decreased to €27.1 billion in the third quarter of 2018, a 24.5% decrease from €35.8 billion in 2Q’18 and a 16.9% decrease from €32.6 billion in 3Q’17.Most of the leveraged loans issued in 3Q’18 were 1st lien loans (€26.0 billion or 96.2% of total). Seven 2nd lien loans (€1.0 billion) and no mezzanine loans were financed in 3Q’18.Pricing spreads for institutional loans widened by 4 basis points (bps) q-o-q but tightened by 21 bps y-o-y while spreads for pro rata loans widened by 21 bps q-o-q and by 11 bps y-o-y. Credit quality: As of September 2018, S&P reported the trailing 12-month speculative-grade default rate at 2.1%, an increase from 1.8% end-June 2018 but a decrease from 2.2% end-September 2017. Moody’s reported the trailing 12-month speculative-grade default rate in September 2018 to be 2.0%, down from 2.5% end-June 2018 and from 2.8% end-September 2017.Six bond-related defaults were reported in the third quarter of 2018, four in developed market Europe and two in emerging market Europe. The most common reason for default in 3Q’18 was a missed debt payment.According to S&P, in 3Q’18 upgrades exceeded downgrades in developed market Europe (19 upgrades to 17 downgrades), a slightly worse ratio than 31 upgrades to 26 downgrades in 2Q’18 but better than 24 upgrades to 23 downgrades in 3Q’17.

This report provides an update on the performance of the equity market in Europe in areas such as primary 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 €100.2 bn in proceeds in the first three quarters 2018, a 42% decrease from the value originated in the same period of 2017 (€172.5 bn). IPO issuance in 2018 year-to-date (YtD) decreased by 12% against the amount issued in the first three quarters of 2017. Completed Mergers and Acquisitions (M&A) of European companies totalled €685.3 bn in the first three quarters of 2018, a decrease of 10% from the amount completed in 2017YtD (€ 764.0 bn). The amount of announced M&A deals totalled €877.8 bn in 2018YtD, a 31% increase from the same period of 2017. During 3Q18, two large megadeals were announced (Petrohawk Energy – BP and Wind Tre SpA - CK Hutchison). Equity trading activity on European main markets and MTFs generated a total of €8.9 tn in turnover value in the first three quarters of 2018, an increase of 3% from 2017YtD (€8.7tn) Update on MiFID II dark trading caps: In 7 March 2018, ESMA published the double volume cap (DVC) data files specifying the securities that surpassed the MiFID II limits of dark trading on EU venues. From a Universe of 26,609 equity-like securities traded in the EU, 652 are currently suspended (as of October 2018) from dark trading either on specific EU venues (104 securities) or on all EU venues (548) after surpassing the MiFID II dark trading thresholds (4% dark traded in a given trading venue and 8% for suspension at EU level). The number of banned instruments has decreased during the year from 755 in March 2018, 1,262 in August, and 652 most recently in October. Dark trading rose 6% quarter-on-quarter during 3Q18. The increase can be attributed to the completion of the 6-month DVC suspension for c700 equity-like instruments in September. 1-3Q 2018 YtD variation of European Equity activity (EU28 member countries and Switzerland)

Key highlights: In Q3 2018, EUR 53.9 bn of securitised product was issued in Europe, a decrease of 20.9% from Q2 2018 (EUR 68.1 bn) and an increase of 9.8% from Q3 2017 (EUR 49.1 bn). Of this, EUR 30.0 bn was placed, representing 55.7% of the total, compared to EUR 38.3 bn placed in Q2 2018 (representing 56.2% of EUR 68.1 bn) and EUR 23.3 bn placed in Q3 2017 (representing 47.5% of EUR 49.1 bn). In 2018 Q3, PanEuropean CLOs led placed totals followed by UK RMBS and German Auto ABS- PanEurope CLOs decreased from EUR 15.2 bn in Q2 2018 to EUR 14.5 bn in Q3 2018. According to Thomson Reuters LPC, the combined amount of European CLO resets and refinancings totalled EUR 4.7 bn in Q3 2018 (EUR 5.1 bn in Q2 2018)- UK RMBS decreased from EUR 9.7 bn in Q2 2018 to EUR 7.9 bn in Q3 2018- German Auto ABS decreased from EUR 1.9 bn in Q2 2018 to EUR 1.5 bn in Q3 2018

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 30 June 2018. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe. Among the main findings of this report: The weighted average CET1, liquidity coverage ratio and leverage ratios for EU GSIBs stood broadly unchanged against the ratios reported in 1Q2018 EU GSIBs end-point CET1 ratio stood at 13.09% in 2Q 2018, almost unchanged from 13.15% in 1Q18. Earnings retention contributed 25bps to the CET1 ratio variation. This increase was offset by an increase in RWAs (-4 bps). FX variation and other bank-specific factors such as litigation and conduct charges and pension costs by one bank and share buy-backs by another bank also contributed to fully offset the contribution of profit retention (-26bps). End-point Tier 1 ratios slightly decreased to 14.8% in 2Q 2018, from 14.9% in 2Q 2018. End-point Leverage ratios (LR) stood at 4.69% in 2Q 2018, almost unchanged from 4.71% in 1Q 2018. Liquidity Coverage Ratio (LCR) slightly improved at 145.2% on a weighted average basis in 2Q 2018, from 145.1% in 1Q 2018. Box 1 of this report (pages 19-24) summarises a recent AFME report on Capital Markets Union (CMU) Key Performance Indicators: Measuring Progress and Planning for Success. This report is the first publication in annual series which will review developments in the CMU project. The report finds that although some capital markets areas have shown encouraging improvements over the last years, EU corporate issuers continue to be over reliant on bank finance, the flow of capital continues to be fragmented along national lines, and capital markets need further scale and depth to support economic growth and innovation. Capital raising from markets decelerated from a year ago. The amount of new capital raised during the first nine months of the year by EU banks totalled €17.1bn. This compares with €49bn raised during the same period of 2017 and €57.5bn in 2017 full-year (FY). The largest contribution to total capital raising from markets was from CoCos, with a total of €15.3bn, and less significantly from secondary offerings (€1.4 bn). Higher debt servicing costs for new CoCos. Average coupon rates for newly issued CoCos have increased during the year, from record-lows observed in the first quarter of 2018.

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 by 12% YoY during 2Q18, driven by a significant decrease in German (-16%YoY) and French (-18% YoY) trading, only partially offset by increases in UK (17% YoY) and IE (78% YoY). 2Q18 saw the lowest trading volume for a second quarter since 2013.The 12% annual fall in government bond trading during 2Q18 is of smaller magnitude than the annual decline in investment-grade corporate bonds (-17% YoY according to Trax), but larger than European equities (-1% YoY according to CBOE markets) and contrasts with the annual increase in high yield corporate bonds (+1% YoY according to Trax) and global FX trading (+16% YoY, according to CLS). European Government bond and bills gross issuance declined by 12% compared to 1Q18 and was 5.8% below the volume issued in 2Q17. The second quarter of the year saw 3 long-term credit rating upgrades for EU countries (after 8 upgrades in the first quarter) and no downgrades. This reflects significant credit quality improvements of European sovereign issuers, particularly of southern European and CEE countries, bringing the year to date total to 14 upgrades and 0 downgrades (3 further upgrades so far in 3Q18).

Main findings: In Q2 2018, EUR 67.2 billion of securitised product was issued in Europe, an increase of 14.8% from Q1 2018 but a decline of 8.0% from Q2 2017. Of the EUR 67.2 billion issued, EUR 37.7 billion was placed, representing 56.1% of issuance, compared to the 55.1% of issuance in Q1 2018 and the 54.2% of issuance in Q2 2017. CLO refinancing (“refis”) activity continued in the second quarter of 2018; according to Thomson Reuters LPC, the combined amount of European CLO resets and refinancings totalled EUR 5.1 bn in Q2 2018 (EUR 4.3 bn in Q1 2018). Outstanding volumes rose slightly to EUR 1.2 trillion outstanding at the end of Q2 2018, an increase of 0.7% QoQ and an increase of 8.0% YoY. Credit quality: In Europe, upgrades outpaced downgrades in Q2 2018, with upgrades concentrated in prime RMBS. European asset backed commercial paper (ABCP) issuance was EUR 109.4 billion in Q2 2018, an increase of 60.3% QoQ (from EUR 68.2 billion in Q1 2018) and a 59.8% increase YoY (from EUR 68.4 billion in Q2 2017). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland in the second quarter. Regulatory update: On 30 July 2018, the EBA published its final draft Regulatory Technical Standards (RTS) on risk retention and homogeneity, which, together with ESMA’s technical standards on disclosures and STS Notification, form key parts of the STS Securitisation reform. The final drafts of the EBA’s and ESMA’s technical standards will be submitted for the European Commission’s endorsement and are later subject to the scrutiny period by the European Parliament and the Council. Therefore, it is possible for these RTS to enter into force before the 1 January 2019 start date of the STS regime, but this is by no means a certainty, especially in case of the RTS on disclosures. Liquidity Coverage Ratio (LCR): On 13 July 2018, the Commission published the final text of revisions to the Liquidity Coverage Ratio (LCR) Delegated Act which, disappointingly, falls short of improving the treatment of STS securitisations (which remain classified as Level 2b assets).