Report highlights include: EU Member States and the UK issued EUR 850 bn in bonds and bills throughout 3Q23, which represents a decrease of 4% (QoQ) compared to 2Q23, and an increase of 21% (YoY) compared to 3Q22.In the Netherlands, issuance in 2023 year-to-date represents the highest Q1-Q3 issued volume since 2013. In Austria, 2023 year-to-date issuance represents the highest Q1-Q3 volume issued in any year on record. Record trading volumes continued in European (EU+UK) government bonds during Q3 2023, according to MarketAxess TraX, with trading increasing 18% (YoY) and decreasing 5% (QoQ). The top 3 quarters for highest average daily trading volumes (since 2014) all took place in 2023 year-to-date. In Italy, trading volumes increased 42% YoY and 3% QoQ during 3Q23 after the highest monthly turnover volume on record was traded in September 2023. Outstanding amount of European ESG government bonds reached EUR 411 bn during 3Q23. Volumes were driven by tap issuance by the UK (EUR 3.1 bn), Germany (EUR 1.5 bn) and France (EUR 1.0 bn) in their respective green programmes and an additional EUR 1.5 bn of green bills issued in Austria. The pace of growth in the outstanding volume of ESG sovereign bonds slowed to 1% during 3Q23, falling from 11% growth in 2Q23. During 3Q23 there were 3 long-term credit rating upgrades for European countries and 1 downgrade. This follows 2 upgrades and 1 downgrade in both 1Q23 and 2Q23, bringing the 2023 year-to-date total to 9 upgrades and 3 downgrades (there were 2 further upgrade and no downgrade in 3Q23 to date). In Greece, the recent upgrade has increased the credit rating of the country to investment grade, representing the first time since 2010 Greece has achieved this category of credit profile by one of the main credit rating agencies. The average bid-cover ratio (demand/amount allocated) was 2.12 in 3Q23, a decrease from 2.18 in 2Q23 and a decrease from 2.30 in 3Q22.

The Report contains European leveraged finance market trends for the third quarter of 2023, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) accumulated €29 billion in proceeds in 3Q’23, a 47% decrease from €55 billion in 2Q’23 and down 48% from €55 billion in 3Q’22. High yield bond issuance totalled €17.2 billion on 46 deals in 3Q'23, a 14% decrease from €20 billion on 60 deals in 2Q’23 and a 244% increase from €5 billion on 20 deals in 3Q’22. The proportion of USD-denominated issuance went slightly down to 24.7% of all issuance in 3Q’23 from 24.8% in 2Q’23 but up from 17.7% in 3Q’22. Preliminary data for 4Q’23 as of end November shows no signs of a rapid rebound in issued amount, with a monthly average of €5.4bn in October and November of 2023 (vs. €5.7bn monthly average in 3Q’23). Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €29 billion in 3Q’23, down 47% from €54.9 billion in 2Q’23 and down 48% from €55.5 billion in 3Q’22. Three sectors accounted for 53% of leveraged loan issuance in 3Q’23. The leading sector was Healthcare (€6.8 billion or 23.5% of total), followed by Professional Services (€4.6 billion, 15.9%), and Food & Beverage (€3.9 billion, 13.5%), with the balance split between 17 other sectors. Credit quality: S&P reported the trailing 12-month speculative-grade bond default rate at 3.1% in September 2023, a slight increase from 3.06% in June 2023. Moody’s reported the speculative-grade default rate at 3.14% in September 2023, up from 2.96% in June 2023. There were 8 bond defaults reported in the 3Q’23 by Standard and Poor’s and Moody’s. The most frequent reasons were distressed exchange (for 5 of them) and missed principal payment (for 3 of them). Fitch reported an increase in European Leveraged Loan default rates (by number of deals) to 3.9% in September 2023 from 1.6% in December 2022. According to Reorg, 88% of the European leveraged loan deals examined in 3Q’23 were covenant-lite.

The report presents the latest data on prudential capital, leverage, and liquidity ratios for European GSIBs, and illustrates the performance of debt and contingent convertible (CoCo) securities issued by European banks. Among the main findings of this report: The end-point CET1 ratio of European GSIBs increased to 14.4% in Q3 2023 from 13.9% in Q4 2022: The increase was driven by lower RWAs and solid earnings retention. Interim dividends and buyback programmes have partially offset the gradual year-to-date and quarterly increase. Only during 3Q23, 7 out of the 11 GSIBs repurchased part of their capital. 8 out of the 29 monitored European countries increased their national countercyclical buffers in 3Q23. AT1 market resumes issuance, followed by lower risk premia: Following the market turbulence of March-May 2023, the AT1 market has shown signs of normalisation. AT1 issuance began to recover from the third quarter of 2023 and is currently on track to return to pre-March issuance levels. AT1 option-adjusted spreads have gradually tightened in tandem. Agreement reached on the Basel III package in the EU: The summary in the box on pages 20-23 outlines the agreement reached by the European Parliament and the European Council on December 6 on the CRR3 and CRD6 proposal, which will implement the final Basel III package in the EU and conclude an era of regulatory review of prudential standards for banking institutions. As we look ahead at a long and complex implementation phase, it is important that the EU is flexible with regards to the implementation date, particularly with respect to market risk standards, to ensure global consistency and avoid harming its capital market competitiveness.

AFME is pleased to circulate its Q3 2023 Securitisation Data Report. Main findings: In Q3 2023, EUR 39.6 bn of securitised product was issued in Europe, a decrease of 58.4% from Q2 2023 and an increase of 0.7% from Q3 2022. Of the EUR 39.6 bn issued, EUR 26.1 bn was placed, representing 65.8% of the total, compared to 21.3% of issuance in Q2 2023 and 48.2% of issuance in Q3 2022. Outstanding volumes (including CLOs) increased to EUR 1181.1 bn at the end of Q3 2023, an increase of 0.2% QoQ. Credit Quality: In Europe, upgrades comprised 78% of total rating actions by the main CRAs during Q3 2023, down from 91% of total rating actions during Q2 2023. STS issuance: In Q3 2023, EUR 18.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 45.8% of the total issued volume in Q3 2023 (EUR 39.6 bn). Out of the EUR 18.2 bn in STS issuance, EUR 13.8 bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2019 and 53.1% of total placed issuance in Q3 2023 (EUR 26.1 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 24.8 bn in Q3 2023, an increase of 69.6% from Q2 2023 and a decrease of 14.2% from Q3 2022.

AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the third quarter of 2023 (Q3 2023). 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 for the first three quarters of 2023 rose 15% year-to-date (YtD) on the back of stronger secondary equity offerings (+23% YtD) and issuance of convertible securities (+167% YtD). The increase, however, is relative to a year of low equity capital raising as the issued amount in 2022 was a record low for Europe. The quarterly average raised in 2023 continues significantly below historic averages (€25bn in 2023 vs €45bn 2000-23 historic). IPOs continued subdued with €6.2bn issued in the first three quarters of 2023. This represents a decline of 54% against the same period of 2022 and the lowest year-to-date (YtD) since 2012. Mergers and Acquisitions (M&A) during the first three quarters of the year declined when measured as announced value (-37% YtD) and when measured as completed value (-48% YtD). Average daily equity trading on European main markets and MTFs stood at €74.6bn in the first three quarters of 2023, a 12% decrease compared to the same period of 2022. Q3’23 saw the second-lowest quarterly turnover ratio in our records (since records began in 2017). Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has continued to decline in the course of the year, to 241 suspended instruments (183 at EU Level and 58 at TV level) as of November 2023. The number of suspended instruments is the lowest since April 2021 and the 4th lowest since the inception of the DVC mechanism. European equity trading mix: According to BigXYT data, on-venue trading represented 73% of the total addressable liquidity in Q3’23. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 27% of the volume of the total addressable liquidity.

AFME is pleased to circulate its European ESG Finance quarterly data report for the third quarter of 2023. The aim of this report is to provide detailed data and analysis on the rapidly growing Sustainable Finance market in Europe. This Report contains up to date trends for the European Sustainable Finance market as at 30 September 2023, as well as a high-level regulatory and supervisory snapshot. Key highlights: European ESG bond and loan issuance accumulated a total of €94bn in proceeds in Q3’23. This represented a decline of 48.8% year-on-year (YoY) and 46.5% quarter-on-quarter (QoQ). Green bond issuance decreased 30.7% YoY (-42.6% QoQ). Social bond issuance totalled €9bn in Q3’23 with an annual and quarterly decline of 44.3% YoY and 49.6% QoQ. Sustainable bond issuance decreased 42.5% YoY but increased 17.3% QoQ. Sustainability-linked and green loan origination decreased 68.6% YoY and -58.3% QoQ. One green RMBS for €895mm was issued in Q3’23, accumulating a total of c€2bn in ESG securitisation issuance year-to-date. Carbon prices decreased in the EU and UK during Q3’23, with European Union Allowance (EuA) carbon prices finalizing September 2023 at €80/Tn, from €87/Tn at the end of June. UK carbon prices accumulated a decline of 27% over the same period. Global ESG Funds reached $7.8tn in AuM as of Q3’23, representing a 6.7% increase from Q3’22 but a decrease of 11.3%when compared to Q2’23. The decline in Global ESG funds was accompanied by net investor outflowswhich accumulated a total of $37.2bn during Q3’23. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks did not materially change in the third quarter of the year, from c2bps at the start of July 2023 to c1.7bps in late September 2023. AFME new report: AFME has recently published a new report 'Sustainable Finance in the EU: Priorities to unlock financing and investment’. The paper outlines AFME members’ views and recommendations on the functioning of the current EU sustainable finance framework and the implementation challenges that banks face in applying it to financing companies.

AFME is pleased to circulate the European Securitisation Data Snapshot for Q3 2023. Key highlights: Q3 2023 European Issuance In Q3 2023, EUR 39.5 bn of securitised product was issued in Europe, a decrease of 58.6% from Q2 2023 (EUR 95.4 bn) and an increase of 0.4% from Q3 2022 (EUR 39.4 bn). Of this, EUR 24.4 bn was placed, representing 65.6% of the total, compared to EUR 20.3 bn placed in Q2 2023 (representing 21.3% of EUR 95.4 bn) and EUR 19.0 bn placed in Q3 2022 (representing 48.2% of EUR 39.4 bn). In Q3 2023, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS: Pan-European CLOs increased from EUR 4.9 bn in Q2 2023 to EUR 6.5 bn in Q3 2023; UK RMBS decreased from EUR 6.1 bn in Q2 2023 to EUR 6.0 bn in Q3 2023; and German Auto ABS increased from EUR 1.9 bn in Q2 2023 to EUR 2.3 bn in Q3 2023.

Report highlights include: EU Member States and the UK issued EUR 898 bn in bonds and bills throughout 2Q23, which represents a decrease of 5% (QoQ) compared to 1Q23, and an increase of 21% (YoY) compared to 2Q22.The UK has had the largest nominal increase in total (bond and bill) issuance in H1 2023, with volumes up 78%. In Germany and Austria, issued volumes rose to record-highs, outsizing first-half issuance observed during the pandemic. Record trading volumes continued in European (EU+UK) government bonds during Q2 2023, according to MarketAxess TraX. The traded amount in Q2 2023 was the highest average daily trading volume in European government bonds since records began in 2014, with trading volume increasing 3% (QoQ) and 15% (YoY). Outstanding amount of European ESG government bonds reached EUR 406 bn during 2Q23. Volumes were driven by new green bonds issued by Germany (EUR 11.8 bn), Italy (EUR 10.0 bn) and Austria (EUR 3.0 bn) with additional tap issuance by the UK (EUR 7.0 bn), France (EUR 2.6 bn), Spain (EUR 1.4 bn) and the European Commission (EUR 1.7 bn). Austria issued an additional EUR 1.5 bn in green bills during 2Q23 and Cyprus became the sixteenth EU sovereign to enter ESG markets in April 2023, issuing an inaugural sustainable government bond (EUR 1.0 bn). From April 2023 to October 2023, there were 3 exits and 3 entries of banks to European Primary Dealer systems, affecting sovereign debt markets in Slovenia, Italy, Ireland, and the European Primary Dealer Network (EU PDN). During 1Q23 there were 2 long-term credit rating upgrades for European countries and 1 downgrade. This follows 2 upgrades and 1 downgrade in 1Q23, bringing the 2023 year-to-date total to 5 upgrades and 3 downgrades (there was 1 further upgrade and 1 downgrade in 3Q23 to date). The average bid-cover ratio (demand/amount allocated) was 2.2 in 2Q23, an increase of 1.7% (QoQ) from 1Q23 and a decrease of 2.1% from 2Q22 (YoY).

The Report contains European leveraged finance market trends for the second quarter of 2023, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuance (leveraged loans and high yield bonds) accumulated €63.6 billion in proceeds in 2Q’23, an 11.0% increase from €57.3 billion in 1Q’23 and up 1.4% from €62.7 billion in 2Q’22. High yield bond issuancetotalled €19.5 billion on 59 deals in 2Q'23, a 47.7% increase from €13.2 billion in 1Q’23 and a 77.2% increase from €10.9 billion in 2Q’22. The proportion of USD-denominated issuance increased to 24.8% of all issuance in 2Q'23, up from 10.8% in 1Q’23 and 12.3% in 2Q’22. The leading use of proceeds for high yield bond issuance in 2Q'23 was Repay Debt/Refinancing, at €9.9 billion, which was higher than €4.5 billion in 1Q’23 and than €1.1 billion in 2Q’22. Leveraged loan issuanceincluding first lien, second lien, and mezzanine financing, totaled €44.11 billion in 2Q'23, up 0.1% from €44.08 billion in 1Q’23 and down 14.9% from €51.8 billion in 2Q’22. Three sectors accounted for 39.9% of leveraged loan issuance in 2Q’23. The leading sector was Retail (€7.1 billion or 16.1% of total), followed by Professional Services (€5.6 billion, 12.7%), and Leisure & Recreation (€4.9 billion, 11.1%), with the balance split between 16 other sectors. Credit quality:S&P reported the trailing 12-month speculative-grade default rate at 3.1% in June 2023, an increase from 3.0% in March 2023. Moody's reported the speculative-grade default rate at 2.9% in June 2023, up from 2.6% in March 2023. There were 11 bond defaults reported in the 2Q’23 by Standard and Poor’s and Moody’s. The most frequent reasons were distressed exchange (for 7 of them) and Bankruptcy (for 2 of them). Fitch reported an increase in European Leveraged Loan default rates (by number of deals) to 2.6% in June 2023 from 1.26% in December 2022. According to Reorg, 91% of the European leveraged loan deals examined in 2Q’23 were covenant-lite.

AFME is pleased to circulate its Q2 2023 Securitisation Data Report. Main findings: In Q2 2023, EUR 95.4 bn of securitised product was issued in Europe, an increase from EUR 35.9 bn in Q1 2023 and an increase from EUR 34.5 bn in Q2 2022. Increased issuance was principally driven by a large French retained RMBS deal from the BPMHL programme (EUR 49.5 bn) issued in May 2023. Excluding this large deal, total securitisation issuance would have increased by 32.8% YoY (27.9% QoQ) only. Due to the same deal, which was originated by Groupe BPCE, retained issuance specifically has also increased to EUR 75.1 bn, the highest quarterly retained volume since Q2 2014. Outstanding volumes (including CLOs) increased to EUR 1178.3 bn at the end of Q2 2023, an increase of 3.6% QoQ. Credit Quality: In Europe, upgrades comprised 91% of total rating actions by the main CRAs during Q2 2023, up from 87% of total rating actions during Q1 2023. STS issuance: In Q2 2023, EUR 21.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 22.2% of the total issued volume in Q2 2023 (EUR 95.4 bn). Out of the EUR 21.2 bn in STS issuance, EUR 10.8 bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 53.1% of total placed issuance in Q2 2023 (EUR 20.3 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 20.4 bn in Q2 2023, an increase of 48.4% from Q1 2023 and an increase of 131.6% from Q2 2022.