AFME Prudential Data Report Q3 2022 This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 September 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 December 2022. Among the main findings of this report: European GSIBs end-point CET1 ratio stood virtually unchanged at 13.7% in 3Q’22, the same level of 2Q’22. RWAs reached €5.3tn at the end of 3Q’22, the same level observed in 2014. Although RWAs have reached 2014 levels, CET1 capital stands at 1.2x the level observed in 2014. End-point T1 ratios increased to 15.6% in 3Q’22 from 15.5% in 2Q’22 on the back of higher AT1 capital, notwithstanding the recent increase in borrowing costs. AT1 CoCo borrowing costs reach 2011 levels: Coupon rates of newly originated CoCos averaged 7.8% during 3Q’22 and 9.8% in 4Q’22 (as of end of December). This represents a sharp increase from the average observed at the end of 2021 (3.3%). The coupon payments for newly originated CoCos are the highest observed since 3Q’11. Although risk premia (OAS) are of the same level than that observed in 1H 2020, coupon rates are of higher magnitude, suggesting that inflation has largely contributed to the increase in nominal borrowing costs. New FSB GSIB list: 2022. The Box on pages 21-24 discusses the recent changes in the GSIB list and scores for European and US banks. Since 2012, the number of European GSIBs has declined from 14 to 11 in 2022. These changes have signified, on a weighted average basis, lower GSIB capital surcharges for global European banks. US banks exhibit higher GSIB scores than European banks in relation to “Financial infrastructure” and “Complexity”. The higher relevance of US banks on Financial Infrastructure is observed across every sub-indicator: payments (4x higher than European banks), assets under custody (6x), underwriting activity (4x), fixed income trading (8x), equities trading (9x). European banks exhibit a higher cross-jurisdictional complexity, likely due to the more prominent cross-national participation within the EU.

AFME is pleased to circulate itsQ3 2022 Securitisation Data Report. Main findings: In Q3 2022, EUR 39.4bn of securitised product was issued in Europe, an increase of 13.9% from Q2 2022 and a decrease of 17.3% from Q3 2021. Of the EUR 39.4bn issued, EUR 19.0bn was placed, representing 48.2% of the total, compared to the 47.7% of issuance in Q2 2022 and 48.5% of issuance in Q3 2021. Outstanding volumes (ex-CLOs) decreased to EUR 936.3bn outstanding at the end of Q3 2022, a decrease of 2.88% QoQ and a decrease of 3.46% YoY. Credit Quality: In Europe, upgrades comprised 88% of total rating actions by the main CRAs during Q3 2022, remaining unchanged from 88% of total rating actions during Q2 2022. STS issuance: In Q3 2022, EUR 9.3bn of securitised product was notified as STS to ESMA, representing 23.6% of the total issued volume in Q3 2022 (EUR 39.4bn). Out of the EUR 9.3bn in STS issuance, EUR 7.0bn was placed, representing 37.0% of total placed issuance in Q3 2022 (EUR 19.0 bn). The report also presents briefly some of the most important regulatory developments in the EU and the UK, such as the ESAs’ response to the European Commission’s Call for Advice and the Edinburgh Reforms respectively.

AFME is pleased to circulate its EuropeanESGFinancequarterly datareportfor the third quarter of 2022. The aim of thisreportis to provide detailed data and analysis on the rapidly growing SustainableFinancemarket in Europe. ThisReportcontains up to date trends for the European SustainableFinancemarket as at 30 September 2022, as well as a high-level regulatory and supervisory snapshot. Key highlights: EuropeanESGbond and loan issuanceaccumulated a total of €155bn in proceeds, bringing the total year-to-date issued amount to €502bn. The year-to-date amount represents a 11% YtD decline compared with the first three quarters of last year. ESGbonds and loans includeESG-labelled bonds (proceeds-based), sustainable-linked bonds, transition bonds, green-linked loans and sustainable-linked loans. Green bond issuance stands out as theESGsub asset class that has grown the most during the year, accumulating an increase of 10% YtD notwithstanding the wider market turbulence. Social bond issuance has accumulated a decline of 54%YtD, following the sharp slowdown in Social bond issuance by the European Commission. The strong participation of the French agency CADES has not offset the contraction in Commission Social bond issuance. Sustainable bond issuance has declined 17%YtD, which is of similar proportion than the wider market contraction in non-ESGbonds during the year. Sustainable-linked bond issuance continued to decelerate in Q3’22 following a sequence of record volumes observed in Q4’21 and in Q1’22. Total YtD issuance has accumulated an increase of 2%, predominantly driven by the strong issued amount in Q1’22. Carbon prices:the European Union Allowance (EuA) price per metric tonne finalised Q3'22 at €66/Tn, from €80/Tn at the end of 2021. During the first months of Q4’22, EuA spot prices have increased to €78/Tn. EU and UK forward curves continue to anticipate long-term price increases. GlobalESGFundscontinued to decrease during Q2’22. ​Funds with anESGmandate (including Mutual Funds and ETFs) totalled $6.5tn as of Q3'22, a 12% decrease from Q2’22. The annual decline was predominantly driven by valuation losses. Net outflows fromESGfunds have accumulated $132bn during the year, which represents 5% of the decline in the total amount of GlobalESGfunds. ESGprice premia:spreads of corporateESGbonds against non-sustainable benchmarks have widened in Q3’22. Spreads of corporateESGbonds against non-sustainable benchmarks have widened in the second half of the year from c1bps at the start of the year to c3bps in September 2022. The greenium spreads for French, Dutch and some of the German green bond references have widened by between 2 to 4 bps during the year. Regulatory update:We present a selective list of upcoming European initiatives for 2022 and 2023.

AFME is pleased to circulate its Q3 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). Report highlights include: EU Member States and the UK issued EUR 704 bn in bonds and bills throughout 3Q22, which represents a decrease of 4.6% (QoQ) compared to 2Q22, and a decrease of 9.1% (YoY) compared to 3Q21. During Q3 2022, European quarterly traded volumes decreased 9.0% (QoQ) but increased 19.0% (YoY), according to TraX data from MarketAxess. The traded amount was the highest third-quarter average daily trading volume in European government bonds since records began in 2014. Government bond trading activity in the UK reached a 28-month high in the week commencing 30-Sep, increasing 99% week-on-week, amid heightened volatility and a significant amount of repricing in the UK sovereign sector. Outstanding amount of European ESG government bonds reached EUR 315bn during 3Q22. Volumes were driven by new issues in Italy (EUR 6.0 bn), Germany (EUR 5.0 bn) and Belgium (EUR 4.5 bn) and tap issuance in the UK (EUR 5.7 bn), Denmark (EUR 0.7 bn) and France (EUR 0.5 bn). Following the latest green issue, Italy now holds the fourth largest amount of outstanding ESG government bonds out of European sovereign issuers. 10Y spot yields continue to rise in 2022 year to date (as of early November). The 10Y spot yield rate in DE, DK, SE, ES, IT and PL reached new 2022 peaks in October 2022 amid the ongoing conflict in Ukraine and rates volatility. Among European countries, 10Y spot yields in Sweden increased by the smallest magnitude from Aug-22 to early Nov-22, rising 30.5bp during this period. During 3Q22 there were 5 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q22, 2 upgrades and no downgrades in 2Q22, bringing the full-year total to 8 upgrades and no downgrades European credit quality has remained resilient throughout and after the pandemic, with sovereign issuers having 15 upgrades in total since 1Q21. The average bid-cover ratio (demand/amount allocated) was 2.3 in 3Q22, an increase of 3.3% (QoQ) from 2Q22 and an increase of 4.3% from 3Q21 (YoY). Weighted average bid-cover ratio for NGEU bond and bill auctions converged to the European average during 3Q22. New NGEU bonds, which are typically brought to the market via syndicated issues, have experienced oversubscription rates significantly above the weighted average European bid-cover ratio since 2Q21.

Q3 2022 European Issuance In Q3 2022, EUR 38.8 bn of securitised product was issued in Europe,1an increase of 12.4% from Q2 2022 (EUR 34.5 bn) and a decrease of 18.4% from Q3 2021 (EUR 47.6 bn).2 Of this, EUR 18.5 bn was placed, representing 47.5% of the total, compared to EUR 16.4 bn placed in Q2 2022 (representing 47.4% of EUR 34.5 bn) and EUR 23.1 bn placed in Q3 2021 (representing 48.5% of EUR 47.6 bn). In Q3 2022, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS:3 Pan-European CLOs increased from EUR 4.0 bn in Q2 2022 to EUR 6.4 bn in Q3 2022; UK RMBS increased from EUR 3.1 bn in Q2 2022 to EUR 5.1 bn in Q3 2022; and German Auto ABS increased from EUR 1.5 bn in Q2 2022 to EUR 1.9 bn in Q3 2022.

AFME is pleased to circulate itsQ2 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). Report highlights include: European (EU+UK) bonds and bills issuance continue above pre-pandemic levels with EUR 742 bn issued throughout 2Q22, which represents a decrease of 4.4% (QoQ) compared to 1Q22, and a decrease of 16.9% (YoY) compared to 2Q21. During Q2 2022, European quarterly traded volumes decreased 4.9% (QoQ) but increased 10.0% (YoY), according to TraX data from MarketAxess. The traded amount was the highest second-quarter average daily trading volume in European government bonds since records began in 2013. Outstanding amount of European ESG government bonds reached EUR 294 bn during 2Q22. Volumes were driven primarily by 2 syndicated issues by the European Commission (combined volume of EUR 11.0bn), a new French green bond (EUR 4.0bn) and tap issuance in the Netherlands (EUR 5.0bn) and Germany (EUR 4.0bn). Austria issued an inaugural EUR 4.0bn green bond during Q2 2022 bringing the total amount of sovereign issuers in European ESG markets to 18. There was a net increase of 2 primary dealers in Europe during January 2022-September 2022. There were 6 entries and 4 exits of banks to the European primary dealer system during this period, affecting sovereign debt markets in 7 countries. The positive net increase in PDs marks a new direction for European sovereign markets with the median number of PDs in Europe rising for the first time since September 2013. 10Y spot yields continue to rise during Q2 and Q3 2022 amid the ongoing conflict in Ukraine and rates volatility. Across European countries, 10Y spot yields continue to rise. In the UK, yields increased sharply at the end of September as political uncertainty in the UK affected prices and volatility in the sovereign sector. In Poland, 10Y spot yields peaked at 8.1% on 20 June, since recovering 110bp to 7.0% as of 28-September, which is significantly above levels in Jan-22. During 2Q22 there were 2 long-term credit rating upgrades for European countries and no downgrades. This follows 1 upgrade and no downgrades in 1Q22, bringing the full-year total to 7 upgrades and no downgrades (there were 4 further upgrades in 3Q22). Croatia experienced a boost in credit quality during July 2022, receiving 3 rating upgrades (1 from each credit rating agency), which were linked to the formalisation of Croatia’s adoption of the euro. The average bid-cover ratio (demand/amount allocated) was 2.23 in 2Q22, a decrease of 1.4% (QoQ) from 1Q22 and a decrease of 0.4% from 2Q21 (YoY).

This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 June 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 September 2022. Among the main findings of this report: Marginal decline in CET1 and T1 capital ratios in Q2 2022: European GSIBs end-point CET1 ratio decreased from 13.76% in 1Q22, to 13.73% in 2Q22. The marginal decrease in CET1 ratio during the quarter was driven by RWA growth, FX translation, and market portfolio losses reflected in lower other comprehensive income. End-point T1 ratios decreased to 15.4% in 2Q22 from 15.5% in 4Q21. Notwithstanding the increase in CET1 capital, AT1 capital has declined €5.4bn during 2022YtD as high borrowing costs may have prevented a more dynamic primary market for AT1 notes. CoCo borrowing costs reach 2013 levels: Coupon rates of newly originated AT1 Contingent Convertibles (CoCos) averaged 8.7% during Q2’22 and 7.8% in Q3’22 (as of end September). This represents a sharp increase from the average observed at the end of 2021 (3.8%). The coupon payments for newly originated CoCos in Q2’22 stood at the highest observed since Q1’13. High CoCo risk premia, general market volatility, and inflation outcomes continued to contribute to the rising borrowing costs. Prudential treatment of crypto assets: The Box on pages 21-28 discusses the use of cryptoassets in non-regulated financial services activities and the recent Basel committee consultation on the prudential treatment of crypto asset exposures. The challenge for regulators is to bring a balance where financial consumers can benefit from new forms of technology, while safeguarding financial stability and minimising regulatory arbitrage between market participants. Bankruptcies of several large CeFi platforms (beginning with Celsius) in the aftermath of the collapse of Terra/Luna highlight the benefit that would be brought from the participation of banks applying capital, liquidity, risk management and other prudential regulations and supervisory oversight to the crypto asset sector. The full GFMA consultation response can be found (here).

AFME is pleased to circulate its Q2 2022 Securitisation Data Report. Main findings: In Q2 2022, EUR 34.5bn of securitised product was issued in Europe, a decrease of 45.9% from Q1 2022 and a decrease of 5.1% from Q2 2021. Of the EUR 34.5bn issued, EUR 16.4bn was placed, representing 47.4% of the total, compared to the 51.2% of issuance in Q1 2022 and 71.7% of issuance in Q2 2021. Outstanding volumes (ex-CLOs) decreased to EUR 964.1bn outstanding at the end of Q2 2022, a decrease of 2.38% QoQ and a decrease of 0.85% YoY. Credit Quality: In Europe, upgrades comprised 87% of total rating actions by the main CRAs during Q2 2022, compared to 89% of total rating actions during Q1 2022. STS issuance: In Q2 2022, EUR 15.2bn of securitised product was notified as STS to ESMA, representing 44.0% of the total issued volume in Q2 2022 (EUR 34.5bn). Out of the EUR 15.2bn in STS issuance, EUR 7.0bn was placed, representing 42.8% of total placed issuance in Q2 2022 (EUR 16.4 bn).

The Report contains European leveraged finance market trends for the second quarter of 2022, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuanceaccumulated €49.3 billion in proceeds in 2Q'22, a 14.9% quarter-on-quarter (QoQ) decrease and a 59.7% year-on-year (YoY) decrease. High yield bond issuance totalled €11.2 billion on 32 deals in 2Q'22, a 33% decrease from €16.7 billion in 1Q’22 and a 77.3% decrease from €49.4 billion in 2Q’21. The proportion of USD-denominated issuance decreased to 12.1% of all issuance in 2Q'22, down from 22.3% in 1Q’22 and from 26.6% in 2Q’21. The leading use of proceeds for high yield bond issuance in 2Q'22 was general corporate purposes, at €6.3 billion, which was higher than €3.6 billion in 4Q’21 but lower than €15.3 billion in 2Q’21. Preliminary data for 3Q’22 indicates that high yield bond issuance will continue to be subdued with only €3.4bn in bond supply (as of mid-September). This would represent the lowest quarterly amount since 1Q’09. Leveraged loan issuance including first lien, second lien, and mezzanine financing, totaled €38.1 billion in 2Q'22, down 7.6% from €41.2 billion in 1Q’22 and down 47.7% from €72.8 billion in 2Q’21. 26.8% of deals financed in 2Q'22 were issued for refinancing and/or repayment of debt, down from 40.2% in 1Q’22, and from 63.8% in 2Q’21. LBO/MBO was the second largest use of proceeds in 2Q'22 with €8.9 billion, followed by Acquisitions with €7.1 billion. Credit quality:S&P reported the trailing 12-month speculative-grade default rate at 0.9% in June 2022, a decrease from 4.7% in June 2021. Moody's reported the speculative-grade default rate at 1.7% in June 2022, down from 4% in June 2021. There were 7 bond defaults reported in the 2Q’22 by Standard and Poor’s and Moody’s. The reasons were missed interest payment and distressed exchange. Fitch reported a decrease in European Leveraged Loan default rates (by value) to 0.4% in June 2022 from 1.9% in December 2021.

AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the second quarter of 2022 (Q2 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 68% in H1’22 compared to the first half of 2021. This represented the lowest H1 amount on records (since our records began in 2000). All forms of equity capital raising declined during the first half of the year compared to H1’21. IPO activity has continued exceptionally weak, in Europe and globally, with a 91% YoY decline on European exchanges (about the same percentage decline on US exchanges). SPAC IPOs totalled €1.4bn in H1’22, representing 36% of total IPO volume (11% in 2021, 3% in 2020). Completed Mergers and Acquisitions (M&A) in H1’22 declined when measured as announced value (-9% YoY) and when measured as completed value (-4% YoY). Inbound M&A has been the exception to a weak year for European M&A, with an annual increase of 45%. De-SPACS represented 3% of the total M&A value announced during H1’22, below the proportion observed during 2021FY (5%). Average daily equity trading on European main markets and MTFs stood at €96.7bn in Q2’22 and accumulates a 17% increase compared to the first half of 2021. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has recently declined to 615, from 838 in April 2022. By geographical location, 94 of the 615 suspended instruments have EU ISINs (or 15% of the total number of suspended instruments), 368 have UK ISINs (60% of suspensions) and 153 from the rest of the world (or 25% of suspensions). European equity trading mix: According to BigXYT data, on-venue trading represented 72% of the total addressable liquidity in Q2’22. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 28% of the volume of the total addressable liquidity.