Summary of the Methodologies Government Bond Data Report 1. Issuance 1.1. – 1.4. Government bond issuance by type, region and currency The charts aggregate central government gross debt issuance volumes originated by EU28 member states. It excludes debt issued by government agencies and Central Banks. Issuance data of Eurozone member states are sourced from the European Central Bank (ECB) “Debt securities issued by euro area residents by original maturity; currency and sector of the issuer” report with “Central Government” as the basis of aggregation. The data are availablehere. Issuance volumes of non-Eurozone member states are sourced from national Debt Management Offices (DMO), Central Banks and Ministries of Finance depending on data availability. More specifically: UK Debt Management Office Sweden Riksgalden Poland Finanse Hungary ÁKK Denmark National Banken Czech Republic CNB Croatia Ministry of Finance Bulgaria Ministry of Finance Data are aggregated in Euros by converting the original values of non-Euro volumes using the relevant daily currency pair exchange rate as published by the ECB. Data availablehere. For Charts 1.1 and 1.2, “Bills” refer to central government debt securities issued with a tenor of 1 year or less, while “Bonds” relate to central government debt securities issued with a tenor of above 1 year. 1.5. – 1.6. Net sovereign debt issuance Net issuance relates to gross issuance volumes originated by central governments net of redemptions during the relevant period. As in 1.1-1.4, the data excludes debt securities issued by agencies and other related general government securities. For Eurozone member states, data are sourced from the ECB’s “Debt securities issued by euro area residents by original maturity; currency and sector of the issuer” report with “Central Government” as the basis of aggregation. For UK net issuance, data are sourced from the UK Debt Management Office according to the “Monthly Gross and Net Issuance report” availablehere. 2. Auctions and Primary Dealers 2.1. – 2.7. Bid-cover ratios Bid-cover ratios data is sourced from Thomson Reuters Eikon for 10 jurisdictions (selected based on overall outstanding debt size and auction data quality). Where the data is not in Euros, it is converted using the relevant exchange rate from the ECB as in 1.1–1.4. 2.8.- 2.10. European Primary Dealers The number of European primary dealers are sourced from AFME’s Primary Dealers handbooks as published for the relevant period, and from AFME’s regularly updated Primary Dealers list for the counterparty type definitions under the Harmonised Reporting Format (or “HRF table”). In Belgium, the list also aggregates “Recognised Dealers” in the total number of Primary Dealers. In Germany, members of the “Bund Issues Auction Group” are aggregated. Technically, there are no primary dealers but banks which are members of the auction group. In the Netherlands, the list also aggregates “Single Market Specialists” in the total number of Primary Dealers. 3. Outstanding 3.1. Outstanding debt securities issued by central governments 2009-2015 outstanding volumes are sourced from the ECB “Debt securities outstanding (Securities other than shares, excluding financial derivatives). 1Q16 and 2Q16 outstanding volumes are sourced from Thomson Reuters Eikon (see section 3.2-3.6 for the methodology and aggregation basis). 3.2. – 3.8. European Government bonds outstanding The charts display outstanding central government gross debt volumes originated by EU28 member states. It excludes debt issued by government agencies and Central Banks. The data is sourced from Thomson Reuters Eikon and is required to have a maturity date, issue date and issue amount in order to be included. The data was sourced with issue amounts in US Dollars and so was converted to Euros using the relevant exchange rate from the ECB as in 1.1–1.4. The credit ratings used in 3.6 are the long term foreign currency issuer credit ratings and are sourced from Standard and Poor’s as reported by Thomson Reuters Eikon at the end of the relevant quarter. 4. Credit Quality 4.1. – 4.4 Credit ratings in selected European jurisdictions Charts 4.1-4.4 aggregate the long-term credit rating in foreign currency of EU 28 member states as rated by Standard and Poor’s. Data were retrieved from Thomson Reuters Eikon but primarily sourced from Standard and Poor’s. 4.5.-4.6. Relationship between S&P long-term credit ratings and CDS and OAS Chart 4.3 illustrates the relationship between S&P long-term credit ratings in foreign currency as described in charts 4.1-4.2, with sovereign Credit Defaults Swap rates. Credit ratings are sourced from Standard and Poor’s as reported by Thomson Reuters Eikon as of the end of the relevant quarter. CDS data are sourced from Deutsche Bank’s web-based platform “Sovereign default probabilities online” availablehere. For purposes of comparability, the CDS spreads assume a recovery rate of 40% across all jurisdictions. Chart 4.4 illustrates the relationship between S&P long-term credit ratings in foreign currency and Option-Adjusted spreads (OAS). OAS are sourced from Barclays Capital. 4.7. European rating actions Rating actions on long-term foreign currency ratings of EU28 member states as rated by Standard and Poor’s, Fitch and Moody’s. Changes to credit outlooks are not aggregated. The column “rationale” is a summary of the main drivers behind the respective rating actions as per the agencies’ press releases and detailed ratings reports. 5. Trading volumes and turnover ratio 5.1. – 5.19 Trading volumes and turnover ratio The charts display secondary market daily average trading volumes and turnover ratios for the selected jurisdictions. The turnover ratio is equal to the daily average trading volume divided by the total outstanding debt volume for the country at the time of the trading. Trading volumes are sourced from Trax, a MarketAxess subsidiary, national Debt Management Offices (DMO), Central Banks and Ministries of Finance depending on data availability. Trax data includes Government & Sovereign bond volumes for EU28 member states as per the AFME methodology. The volumes are calculated by converting the individual traded securities to EUR using the prevailing exchange rate on the date of each trade. ADV calculated by dividing the total converted volume by the number of UK trading days for quarter. Secondary Market Volumes (please note this is restricted to 2013-Q3 onwards as split not available prior to this date). Publicly available sources are: UK Debt Management Office Belgian Debt Agency Italian Dipartimento del Tesoro Deutsche Finanzagentur Portugese Agência de Gestão da Tesouraria e da Dívida Pública – IGCP Tesoro Público de España Finland Valtiokonttor Bank of Greece Irish Stock Exchange Polish Finance Hungarian ÁKK Romanian Ministerul Finantelor Publice: 6. Valuations 6.1. Selected European 10Y benchmark yields The chart aggregates the end-of-month sovereign 10Y benchmark yield rates in selected European jurisdictions (United Kingdom, Sweden, Poland, Spain, Denmark and the Euro zone benchmark). The Euro zone yield rate is sourced from the ECB and relates to the AAA-rated benchmark sovereign interest rate for a 10-year tenor. The yields for the other jurisdictions are sourced from Thomson Reuters Eikon. 6.2. Sovereign spot yield curve Spot yield curve for jurisdictions for the 1 to 10 years maturities as of the selected period. All data points are sourced from Thomson Reuters Eikon. 6.3. Slope of the sovereign debt yield The chart aggregates the difference between 1 year and 10-year spot rates in the selected jurisdictions. The slope of the Euro zone curve is sourced from the ECB and relates to the slope of AAA-rated benchmark sovereign yields. The slopes of the other jurisdictions are sourced from Thomson Reuters Eikon. 6.4. Implied inflation expectations in the Euro zone The chart aggregates the historic market-implied HICP inflation expectation of the Euro zone for 1 and 5 years ahead. Specifically, EUIL1YF1Y=R and EUIL5YF5Y=R contracts retrieved from Thomson Reuters Eikon. 6.5. Overnight index swap (OIS) yield curve The chart aggregates the OIS yield curve in the respective jurisdictions, illustrating the market-implied expectations of future changes in the central banks’ policy rates. All data points are sourced from Thomson Reuters Eikon and retrieved during the disclosed day. 6.6. 5Y Sovereign Credit Default Swap The chart aggregates historic 5Y CDS spreads for selected jurisdictions. For purposes of comparability, the CDS spreads assume a recovery rate of 40% across all jurisdictions. Data are sourced from Deutsche Bank’s web-based platform “Sovereign default probabilities online”.

The Report contains European leveraged finance market trends for the second quarter of 2019, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) increased to €59.9 billion in 2Q’19, a 31.6% increase from €45.5 billion in 1Q’19 but a 21.4% decrease from €76.2 billion in 2Q’18. Primary high yield issuance totaled €29.0 billion on 69 deals in 2Q’19, a 69.5% increase from €17.1 billion on 39 deals in 1Q’19 and a 14.2% increase from €25.4 billion on 61 deals in 2Q’18.The proportion of USD-denominated issuance decreased to 28.4% of all issuance in 2Q’19, down from 34.8% in 1Q’19 but up from 21.5% in 2Q’18.The leading use of proceeds for high yield bonds issuance in 2Q’19 were general corporate purposes with €14.9 billion, which was up 31.4% from €11.4 billion in 1Q’19 and up 25.9% from €11.9 billion in 2Q’18. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, increased to €30.9 billion on 58 deals in the second quarter of 2019, an 8.8% increase in volume from €28.4 billion on 55 deals in 1Q’19 but a 39.2% decrease from €50.9 billion on 96 deals in 2Q’18.Over three quarters (77.8%) of deals financed in the second quarter of 2019 were issued for refinancing and/or repayment of debt, up from 40.0% in 1Q’19 and up from 47.3% in 2Q’18.Pricing spreads for institutional loans widened by 6 basis points (bps) q-o-q and by 66 bps y-o-y while spreads for pro rata loans tightened by 11 bps q-o-q but widened by 20 bps y-o-y. Credit quality: As of June 2019, S&P reported the trailing 12-month speculative-grade default rate at 2.3%, an increase from 2.0% in March 2019 and an increase from 1.8% in June 2018.Three bond-related defaults were reported in the second quarter of 2019, all in developed market. Two firms defaulted due to missed interest payment and one due to distressed exchange.According to Standard and Poor’s, in 2Q’19 upgrades exceeded downgrades in developed market Europe (27 upgrades to 25 downgrades), a much better ratio than 13 upgrades to 26 downgrades in 1Q’19 but slightly worse than 31 upgrades to 26 downgrades in 2Q’18.

In Q2 2019, EUR 60.7 bn of securitised product was issued in Europe, an increase of 87.3% from Q1 2019 (EUR 32.4 bn) and a decrease of -10.9% from Q2 2018 (EUR 68.1 bn) Of this, EUR 27.7 bn was placed, representing 45.6% of the total, compared to EUR 16.5 bn placed in Q1 2019 (representing 50.9% of EUR 32.4 bn) and EUR 38.3 bn placed in Q2 2018 (representing 56.2% of EUR 68.1 bn) In Q2 2019, PanEuropean CLOs led placed totals followed by UK Residential Mortgage-Backed Securities (RMBS) and Dutch RMBS: PanEuropean CLOs increased from EUR 7.3 bn in Q1 2019 to EUR 9.7 bn in Q2 2019. According to Refinitiv LPC, the combined amount of European CLO resets and refinancings totalled EUR 2.3 bn in Q2 2019 (EUR 0.8 bn in Q1 2019) UK RMBS increased from EUR 5.6 bn in Q1 2019 to EUR 6.4 bn in Q2 2019 Dutch RMBS increased from no placed issuance in Q1 2019 to EUR 3.8 bn in Q2 2019

AFME is pleased to circulate itsEquity Primary Markets and Trading Reportfor the first quarter of 2019 (2Q 2019). The 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 equity valuations. Key highlights: Equity underwriting on European exchanges accumulated a total of €64.2 bn in proceeds in 1H19, a 19% decrease from the value originated in 1H18 (€79.5 bn). IPO issuance in 1H19 decreased 43% against the amount issued in 1H18. Likewise, IPOs on Junior markets totalled €0.7 bn in proceeds in 1H19, the lowest 1H amount since 2013. 76 IPOs were issued on European exchanges during 1H19— the lowest 1H deal volume since 2013 Completed Mergers and Acquisitions (M&A) of European companies totalled €416.9 bn in 1H19, a decrease of 22% from the amount completed in 1H18 (€534.7 bn), driven by a 43% decline in intra-European deals (i.e. acquisition of European companies by other European companies*). APAC firms represented 65% of the inbound deal value (or €96.7bn), a sharp increase from 28% of the 2018FY inbound value. Private Equity-backed M&A activity (“Sponsor” deals) declined 7.3% YoY, which represents the lowest 1H amount since 2014. The amount of announced M&A deals totalled €416.8 bn in 1H19, a 22% decrease from 1H18. Equity trading activity on European main markets and MTFs generated a total of €3.7 tn in turnover value in 1H19, a decrease of 17% from 1H18 (€4.5 tn) Update on MiFID II dark trading caps: In March 2018, ESMA published the double volume cap (DVC) data files specifying the securities that surpassed the MiFID II limits of total dark trading on EU venues. The number of banned instruments from dark trading has decreased from 755 in March 2018 and from 1,262 in August 2018 to 285 in July 2019, as recently banned instruments complete their 6-month suspension period started during 2018.

This report collates timely information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated information as at 31 March 2019. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as of June 2019. Among the main findings of this report: The weighted average CET1 for EU GSIBs increased slightly in 1Q 2019 against the ratios reported at the end of 2018.All EU GSIBs increased their CET1 capital levels compared to the end of 2018, while RWA volumes continued to increase reaching a total of €5tn—around €200bn above the minimum levels reached at the end of 2017.Earnings retention contributed 22bps to the quarterly CET1 ratio variation. This increase was offset in 17bps by an increase in RWAs by 8 of the 11 banks as a consequence of business growth (most predominantly credit risks). Other factors including FX variation, also contributed in 5bps to the quarterly increase on CET ratio. End-point Tier 1 ratios increased to 15.0% in 1Q19, from 14.8% in 4Q18. End-point Leverage ratios (LR) declined to 4.7% in 1Q19 from 4.8% in 4Q18. Liquidity Coverage Ratio (LCR) declined to 141.9% on a weighted average basis in 1Q19, from 144.7% in 4Q18. Capital raising from markets regaining pace: The amount of new capital raised during 1H 2019 by EU banks totalled €18.4 bn (about 85% of the amount raised in 2018FY). The amount raised in 2018 brings the total tally of capital raised from markets since 2009 to €511bn. Bail-inable bonds: EU GSIBs have continued to issue bail-inable senior non-preferred bonds, accumulating a total stock of €130bn as of June 2019 representing between 1.1% and 5.1% of EU GSIBs RWAs, as banks continue to prepare for the implementation of TLAC/MREL requirements. Box: Mapping EU liquidity pools: Pages 19-25 summarise a forthcoming research note produced by AFME which seeks to analyse the relative size and connectivity between current EU28 liquidity and investment pools.The note finds that that non-EU27 entities significantly contribute to the well-functioning of the EU’s liquidity pool.The level of interconnectedness between EU27 and London may change depending on the terms of the future relationship between the European Union and the United Kingdom. Some market liquidity activities have been recently relocated from the UK to different EU financial centres like Frankfurt, Paris, Dublin and Amsterdam.

AFME is pleased to circulate its Q1 2019 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 increased by 15% YoY during 1Q19, driven by a significant increase in France (52% YoY), Ireland (39% YoY) and Hungary (24% YoY) trading. There was a reduction in trading Italy (-27% YoY), Germany (-15% YoY) and Sweden (-5% YoY). European Government bond and bills gross issuance increased by 44% compared to 4Q18 and was 2% greater than the volume issued in 1Q18. During 1Q19 there were 4 long-term credit rating upgrades for EU countries and no downgrades. Divergence in secondary market trading of government debt securities in EU countries: turnover in the UK has increased 170% since 2006, whilst Germany and Italy have experienced modest declines in sovereign trading activity within the same period. Record bid cover ratio in Sweden as issuance volume shrinks. In 1Q19 a record breaking auction of 500mn SEK had a bid cover ratio of 6.03, this represents the most oversubscribed sovereign auction in Sweden for 3 years. The decline in supply of Swedish sovereign securities may be a contributory factor as debt issuance remains at record lows. Debt issued in longer tenors in selected EU CEE countries. During Q1 2019, weighted average years to maturity increased in Latvia (18.5% QoQ), Romania (12.6% QoQ), Slovenia (11.2% QoQ) and Czech Republic (8.8% QoQ).

AFME is pleased to circulate its Q1 2019 Securitisation Data Report. Main findings: In Q1 2019, EUR 32.4 billion of securitised product was issued in Europe, a decline of 63.4% from Q4 2018 and a decline of 44.7% from Q1 2018. Of the EUR 32.4 billion issued, EUR 16.5 billion was placed, representing 50.9% of issuance, compared to the 39.9% of issuance in Q4 2018 and the 55.1% of issuance in Q1 2018. Outstanding volumes rose slightly to EUR 1.2 trillion outstanding at the end of Q1 2019, a decline of 3.8% QoQ and an increase of 0.2% YoY. Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2019, with upgrades concentrated in RMBS, both conforming and non-conforming. European asset backed commercial paper (ABCP) issuance was EUR 158.5 billion in Q1 2019, a sharp increase of 62.4% QoQ and a 132.3% increase YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland Regulatory update: The finalisation of the Level 2 legislation under the STS Securitisation Framework is still ongoing. Despite the slow start to the year, March saw the first STS transactions come to the market, from Volkswagen in Euros and then from Nationwide Building Society in sterling.

The Report contains European leveraged finance market trends for the first quarter of 2019, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds)increased to €41.9 billion in 1Q’19, a 19.0% increase from €35.2 billion in 4Q’18 but a 53.8% decrease from €90.6 billion in 1Q’18. Primary high yield issuancetotaled €17.0 billion on 38 deals in 1Q’19, a 145.1% increase from €6.9 billion on 22 deals in 4Q’18 but a 31.9% decrease from €24.9 billion on 71 deals in 1Q’18.The proportion of USD-denominated issuance increased to 52.4% of all issuance in 1Q’19 (8.8% in 4Q’18 and 43.1% in 1Q’18).The leading use of proceeds for high yield bonds issuance in 1Q’19 were general corporate purposes with €6.3 billion— up 126.8% from €2.8 billion in 4Q’18 but down 22.7% from €8.2 billion in 1Q’18.High yield issuance for refinancing and/or repayment of debt in developed market Europe increased to €2.4 billion in 1Q’19, representing 22.7% of all issuance, a twofold increase from €1.2 billion (17.0% of total) in 4Q’18 but a decrease of 55.1% from €5.2 billion (27.0% of total) in 1Q’18. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, decreased to €24.9 billion in the first quarter of 2019, a 11.9% decrease from €28.2 billion in 4Q’18 and a 62.1% decrease from €65.7 billion in 1Q’18.Over one third (37.0%) of deals financed in the first quarter of 2019 were issued for refinancing and/or repayment of debt, down from 66.7% in 4Q’18 and down from 42.0% in 1Q’18.Pricing spreads for institutional loans widened by 25 basis points (bps) q-o-q and by 58 bps y-o-y while spreads for pro rata loans widened by 12 bps q-o-q and by 36 bps y-o-y. Credit quality:As of March 2019, S&P reported the trailing 12-month speculative-grade default rate at 2.0%, an increase from 1.9% end-December 2018 but a decrease from 2.1% end-March 2018. Moody’s reported the trailing 12-month speculative-grade default rate in March 2019 to be 0.9% (1.3% end-December 2018 and 3.1% end-march 2018).Four bond-related defaults were reported in the first quarter of 2019, three in developed market Europe and one in emerging market Europe. The most common reason for default in 1Q’19 was distressed exchange.According to S&P, in 1Q’19 downgrades exceeded upgrades in developed market Europe (26 downgrades to 13 upgrades), a much worse ratio than 39 downgrades to 27 upgrades in 4Q’18 and the 20 downgrades to 22 upgrades in 1Q’18.

Key highlights: In Q1 2019, EUR 32.4 bn of securitised product was issued in Europe, a decrease of 63.3% from Q4 2018 (EUR 88.4 bn) and a decrease of 44.6% from Q1 2018 (EUR 58.5 bn) The delay in approval by the EU public authorities of key elements of the new securitisation framework was a relevant factor behind the significant issuance decline during the quarter. However, in March, the European securitisation market saw the first transaction aimed to be compliant with the new STS regime, with further STS-compliant transactions currently in the pipeline. In April, the first public SONIA benchmarked RMBS transaction was marketed and notified to ESMA. This transaction is also the first UK STS compliant securitisation. Of the issued amount during Q1 2019, EUR 16.5 bn was placed, representing 50.9% of the total, compared to EUR 35.2 bn placed in Q4 2018 (representing 39.8% of EUR 88.4 bn) and EUR 32.2 bn placed in Q1 2018 (representing 55.0% of EUR 58.5 bn). In Q1 2019, PanEuropean CLOs led placed totals followed by UK Residential Mortgage-Backed Securities (RMBS) and UK Auto ABS.

AFME is pleased to circulate its Equity Primary Markets and Trading Report for the first quarter of2019 (1Q 2019). The 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 equity valuations. Key highlights: Equity underwriting on European exchanges accumulated a total of €25.3 bn in proceeds in 1Q19, a 33% decrease from the value originated in 1Q18 (€38.0 bn). IPO issuance in 1Q19 decreased 94% against the amount issued in 1Q18. Political uncertainty regarding the future relationship between the UK and the EU may have adversely impacted the European equity primary market as companies delayed capital raising on UK and EU27 exchanges to gather more information on potential implications of Brexit on capital markets. Only 5 IPOs were issued on UK exchanges during 1Q19— the lowest quarterly number since 2009. Completed Mergers and Acquisitions (M&A) of European companies totalled €208.9 bn in 1Q19, an increase of 6% from the amount completed in 1Q18 (€197.8 bn). The amount of announced M&A deals totalled €166.4 bn in 1Q19, a 51% decrease from 1Q18. APAC firms represented 77% of the inbound deal value, a sharp increase compared with 28% of the 2018FY inbound value. One “megadeal” (deal value above €10bn) was completed during 1Q19: Takeda Pharmaceutical-Shire plc. This deal represented 77% of the total deal value in the healthcare industry and 31% of the amount of completed M&A transactions in 1Q19. Equity trading activity on European main markets and MTFs generated a total of €2.6 tn in turnover value in 1Q19, a decrease of 18% from 1Q18 (€3.2 tn) Update on MiFID II dark trading caps: In March 2018, ESMA published the double volume cap (DVC) data files specifying the securities that surpassed the MiFID II limits of total dark trading on EU venues. The number of banned instruments from dark trading has decreased during the last 12 months to 342 instruments, from 755 in March 2018 and from 1,262 in August 2018. Due to concerns about disruptions of the ESMA IT systems after Brexit (expected initially for late March 2019), ESMA will not perform the DVC calculations in April and May 2019. The publication will be resumed in June 2019. 1Q 2019 YoY variation of European Equity activity