AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the second quarter of 2023 (Q2 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 half of 2023 rose 28% YoY on the back of stronger secondary equity offerings. IPOs accumulated €1.3bn in deal value in Q2’23, the lowest Q2 amount since 2009. For the first-half total, IPOs declined 42% also representing the lowest H1 amount since 2009. European SPAC IPOs have visibly declined from a peak of €3.2bn in Q2’21 to no deals in Q1’23 and €0.9bn in Q2’23. Completed Mergers and Acquisitions (M&A) during H1’23 declined when measured as announced value (-45% YoY) and when measured as completed value (-46% YoY). De-SPACS represented 1.4% of the total M&A value announced during H1’23, below the proportion observed during 2021FY (5%) but the same proportion of 2022FY (1.4%). Average daily equity trading on European main markets and MTFs stood at €79.9bn in H1’23, a 14% decrease compared to H1’22. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC stood at 313 in July 2023 (551 in December 2022). By geographical location, 198 of the 313 suspended instruments have EU ISINs (or 63% of the total number of suspended instruments), 7 have UK ISINs (2% of suspensions) and 104 from the rest of the world (or 35% of suspensions). European equity trading mix: According to BigXYT data, on-venue trading represented 72% of the total addressable liquidity in Q2’23. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 28% of the volume of the total addressable liquidity.

AFME is pleased to circulate the European Securitisation Data Snapshot for Q2 2023. Key highlights: Q2 2023 European Issuance 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. Of the total amount issued, only EUR 20.3 bn was placed, representing 21.3% of the total, compared to EUR 19.9 bn placed in Q1 2023 (representing 55.4% of EUR 35.9 bn) and EUR 16.4 bn placed in Q2 2022 (representing 47.4% of EUR 34.5 bn). In Q2 2023, UK RMBS led placed totals, followed by Pan-European CLOs and German Auto ABS: UK RMBS increased from EUR 4.9 bn in Q1 2023 to EUR 6.1 bn in Q2 2023; Pan-European CLOs decreased from EUR 6.7 bn in Q1 2023 to EUR 4.9 bn in Q2 2023; and German Auto ABS decreased from EUR 4.2 bn in Q1 2023 to EUR 1.9 bn in Q2 2023.

Report highlights include: EU Member States and the UK issued EUR 944 bn in bonds and bills throughout 1Q23, which represents an increase of 20% (QoQ) compared to 4Q22, and an increase of 19% (YoY) compared to 1Q22.The UK had the largest increase in total (bond and bill) issuance during 1Q23, with first-quarter issuance up 77% YoY compared to 1Q22, driven by a surge in Gilt issuance. There werealso increased volumes of bonds issued in Germany, France and Spain during 1Q23, while in the Netherlands and Austria there was a significant increase in treasury bill issuance. Record trading volumes in European (EU+UK) government bonds during Q1 2023, according to TraX data from MarketAxess. The traded amount in Q1 2023 was the highest average daily trading volume in European government bonds since records began in 2014, with trading volume increasing 22% (QoQ) and 6% (YoY). Outstanding amount of European ESG government bonds reached EUR 359 bn during 1Q23. Volumes were driven by tap issuance by the European Commission (EUR 6.0 bn), the UK (EUR 5.8 bn), France (EUR 3.2 bn), Germany (EUR 3.0 bn), Italy (EUR 2.4 bn), Belgium (EUR 0.9 bn), Hungary (EUR 0.05 bn) and additional green bond references issued in Ireland (EUR 3.5 bn) and Austria (1.4 bn). Austria became the first sovereign worldwide to issue green commercial paper in March 2023, after issuing the first sovereign green bill in October 2022. There was a net loss of 3 primary dealers in Europe from January 2023 to April 2023. There were 3 exits and no entries of banks to European Primary Dealer systems affecting the Bulgarian sovereign debt market and the European Commission Primary Dealer Network (EU PDN). During 1Q23 there were 2 long-term credit rating upgrades for European countries and 1 downgrade. This was followed by 1 further upgrade and 1 downgrade in 2Q23to date, bringing the 2023year-to-date total to 3 upgrades and 2 downgrades. The average bid-cover ratio (demand/amount allocated) was 2.1 in 1Q23, an increase of 3.2% (QoQ) from 4Q22 and a decrease of 5.0% from 1Q22 (YoY).

This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 March 2023. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as at June 2023. Among the main findings of this report: European GSIBs end-point CET1 ratio increased to 14.3% in 4Q’23 from 13.9% in 4Q’22. The increase was driven by lower RWAs and solid quarterly earnings, predominantly from growth in net interest income. Buyback programs undertaken by 5 of the 11 banks only partially offset in 14bps the aggregate increase in CET1 ratio. Slowdown in AT1 issuance in Q2’23 European banks have issued a total of €10.5bn in Contingent Convertible instruments (predominantly AT1s) during the year. The issued amount was predominantly originated in Q1’23 (€9.3bn), while between April and mid-June AT1 issuance significantly decelerated to €1.2bn after a 3-month hiatus in the AT1 bond market with no issuance between 6 March and 13 June. Q2'23 stands to finalise with the lowest quarterly issued amount since 4Q’15. AT1 risk premia decreased 240bps from the peak levels observed in March 2023. However, continues 130bps above the levels prior to the late-March market turbulence episode. CMDI package The box on pages 21-28 summarises the European Commission’s proposal for the review of the Crisis Management and Deposit Insurance (CMDI) framework. The reforms are a long-standing ambition to improve the EU’s bank resolution framework and constitute a step closer towards the Banking Union. The package does not include the introduction of the widely expected European Deposit Insurance Scheme (EDIS). However, the European Commission expects the CMDI package to facilitate the road towards EDIS and completing the Banking Union. AFME continues to support the development of an effective recovery and resolution framework in Europe and the ongoing work to enhance resolvability.

AFME is pleased to circulate its Q1 2023 Securitisation report. This report includes a new section on Significant Risk Transfer (SRT) securitisation which can be found on pp.31-32. Main findings: In Q1 2023, EUR 35.9bn of securitised product was issued in Europe, a decrease of 43.9% from Q1 2022 and 45.2% from Q4 2022 and. Of the EUR 35.9bn issued, EUR 19.9bn was placed, representing 55.4% of the total, compared to 51.2% of issuance in Q1 2022 and 17.7% of issuance in Q4 2022. Outstanding volumes (ex-CLOs) decreased to EUR 920.5bn outstanding at the end of Q1 2023, a decrease of 1.0% QoQ and a decrease of 6.8% YoY. Credit Quality: In Europe, upgrades comprised 87% of total rating actions by the main CRAs during Q1 2023, remaining unchanged from 87% of total rating actions during Q4 2022. STS issuance: In Q1 2023, EUR 17.9bn of securitised product was notified as STS to ESMA and the FCA, representing 50.0% of the total issued volume in Q1 2023 (EUR 35.9bn). Out of the EUR 17.9bn in STS issuance, EUR 9.0bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 45.2% of total placed issuance in Q1 2023 (EUR 19.9 bn). SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 13.7 bn in Q1 2023, an increase of 56.0% from Q1 2022 and a decrease of 74.8% from Q4 2022.

The Report contains European leveraged finance market trends for the first 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 €41.8 billion in proceeds in 1Q’23, an 11.8% increase from €37.4 billion in 4Q’22 and a 30.5% decrease from €60.2 billion in 1Q’22. High yield bond issuance totalled €12.7 billion on 36 deals in 1Q'23, an 18.5% increase from €10.7 billion in 4Q’22 and a 22.7% decrease from €16.5 billion in 1Q’22. The proportion of USD-denominated issuance increased to 11.2% of all issuance in 1Q’23, up from 5.2% in 4Q’22 but down from 22.3% in 1Q’22. The leading use of proceeds for high yield bond issuance in 1Q’23 was general corporate purposes, at €7.2 billion, which was higher than €6.5 billion in 4Q’22 and than €3.6 billion in 1Q’22. Preliminary data for 2Q’23 as of end May shows that high yield bond issuance has recently increased with volumes already close to those issued in the entire first quarter (€8.3 billion in April and €3.7 billion in May), although below the monthly average observed in 2021 (€13 billion). Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €29.1 billion in 1Q’23, up 9.2% from €26.6 billion in 4Q’22 and down 29.4% from €41.2 billion in 1Q’22. 70.5% of deals financed in 1Q’23 were issued for refinancing and/or repayment of debt, up from 63.2% in 4Q’22, and from 41.6% in 1Q’22. Credit quality: S&P reported the trailing 12-month speculative-grade bond default rate at 3.0% in March 2023, an increase from 2.2% in December 2022. Moody’s reported the speculative-grade default rate at 2.6% in March 2023, down from 2.8% in December 2022. There were 11 bond defaults reported in the 1Q’23 by Standard and Poor’s and Moody’s. The reasons were missed principal payments (for 6 of them) and distressed exchange (for 5 of them). Fitch reported an increase in European Leveraged Loan default rates (by number of deals) to 1.6% in March 2023 from 1.3% in December 2022. According to Reorg, all the European leveraged loan deals examined in 1Q’23 were covenant-lite.

AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the first quarter of 2023 (Q1 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 rose 70% YoY in Q1’23. The increase was driven by the low base in 2022, as Q1’22 represented the lowest issued amount in over a decade. The Q1’23 issued amount stood 20% below 2Y and 5Y quarterly averages. IPOs accumulated €1bn in deal value in Q1’23 on 16 deals, a 48% YoY decline continuing a sequence of underwhelming quarters for primary offerings. Two deals represented 80% of the total quarterly issued amount. IPOs on the London Stock Exchange stood at the lowest Q1 deal value since 2009. European SPAC IPOs have visibly declined from a peak of €3.2bn in Q2’21 to no deals in Q1’23. Completed Mergers and Acquisitions (M&A) declined when measured as announced value (-60% YoY) and when measured as completed value (-47% YoY). De-SPACS represented 1% of the total M&A value announced during Q1’23, the same proportion observed in 2022FY but below that during 2021 (5%). Average daily equity trading on European main markets and MTFs stood at €83.3bn in Q1’23, a 15% decrease compared to Q1’22. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has recently declined to 308, from 551 in December 2022. By geographical location, 185 of the 308 suspended instruments have EU ISINs (or 60% of the total number of suspended instruments), 13 have UK ISINs (4% of suspensions) and 110 from the rest of the world (or 36% of suspensions). European equity trading mix: According to BigXYT data, on-venue trading represented 76% of the total addressable liquidity in Q1’23. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 24% of the volume of the total addressable liquidity.

AFME is pleased to circulate its European ESG Finance quarterly data report for the first 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 31 March 2023, as well as a high-level regulatory and supervisory snapshot. Key highlights: European ESG bond and loan issuance accumulated €156bn in proceeds during Q1’23, a 10.7% quarterly increase. The increase was predominantly driven by ESG-labelled bonds which accumulated €116bn in proceeds, the second largest quarterly issued amount on records. Green bond issuance grew 69.6% year-on-year (63.9% QoQ). The increase was driven by the corporate and supranational sectors. Social bond issuance increased 8.2% YoY (23.5% QoQ). We continue to observea strong participation of the French agency CADES as it consolidates as a market leader for social bonds. Sustainable bond issuance increased 47.6% YoY (97.4% QoQ). France and Spain were the top issuer nationalities in Q1’23. Sustainable-linked bond issuance declined 40.1% from the previous year but increased 26.0% QoQ. ESG securitisation issuance accumulated €1.1bn in proceeds, an increase of 103.3% compared to the first quarter of 2022. Sustainability-linked and green-linked loans decreased 56.4% YoY and 49.7% QoQ. Carbon prices: the European Union Allowance (EuA) price per metric tonne finalised Q1'23 at €89.2/Tn, from €83.3/Tn at the end of 2022. During the first weeks of Q2’23, EuA spot prices have marginally increased to €92.8/Tn. Global ESG Funds rose marginally during Q1’23. Funds with an ESG mandate (including Mutual Funds and ETFs) totalled $7.9tn as of Q1’23 a 0.11% increase from Q4’22 but a 10.7% decrease from Q1’22. The marginal quarterly increase was driven by higher asset valuations partially offset by outflows which accumulated $27.1bn during Q1’23. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks have tightened in the first quarter of the year from c2.5bps at the start of the year to c0bps in April 2023. Regulatory update: We present a selective list of upcoming European initiatives for 2023. For a more comprehensive update please see AFME and Linklaters report Sustainable Finance in Europe: Regulatory State of Play (2023 updated edition)

AFME is pleased to circulate theEuropean Securitisation Data Snapshot for Q1 2023. Key highlights: Q1 2023 European Issuance In Q1 2023, EUR 35.9 bn of securitised product was issued inEurope, a decrease of 45.2% from Q4 2022 (EUR 65.5 bn) and a decrease of 43.9% from Q1 2022 (EUR 63.9 bn). Of this, EUR 19.9 bn was placed, representing 55.4% of the total, compared to EUR 11.6 bn placed in Q4 2022 (representing 17.7% of EUR 65.5 bn) and EUR 32.7 bn placed in Q1 2022 (representing 51.2% of EUR 63.9 bn). In Q1 2023, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS. Pan-European CLOs increased from EUR 6.0 bn in Q4 2022 to EUR 6.5 bn in Q1 2023; UK RMBS increased from EUR 1.7 bn in Q4 2022 to EUR 4.9 bn in Q1 2023; and German Auto ABS increased from EUR 0.9 bn in Q4 2022 to EUR 4.2 bn in Q1 2023.

AFME is pleased to shareits Q4 2022 and 2022 Full Year Government Bond Data Report. Report highlights include: European sovereign bond issuance remains above pre-pandemic levels: in 2022FY, European sovereign bond issuance, including issuance from EU Member States, the UK and the European Commission accumulated EUR 3163 bn in proceeds, 5.4% below 2021 but 32.7% above 2019. In Q4 2022, EU Member States and the UK accumulated EUR 770 bn in bonds and bills issuance, which represents an increase of 18.7% (YoY) compared to 4Q21, and a decrease of 11.0% (QoQ) compared to 3Q22. In 2022FY, European government bond trading increased 15.4% compared to 2021 and 19.4% compared to 2019 (pre-pandemic), according to TraX data from MarketAxess. The traded amount in 2022FY was the highest average daily trading volume in European government bonds since records began in 2014, following consistently high trading volumes reported in all quarters of 2022. During 4Q 2022, European quarterly traded volumes decreased 1.1% (QoQ) but increased 14.2% (YoY). Outstanding amount of European ESG government bonds reached EUR 333 bn during 4Q22. Volumes were driven by tap issuance in the UK (EUR 2.4 bn), Italy (EUR 2.0 bn), Spain (EUR 1.0 bn), Germany (EUR 1.0 bn) and additional green references issued in Hungary (EUR 1.4 bn). In Austria, a green government bill (EUR 1.0 bn) was issued during 4Q22, representing the first of its kind in the European sovereign space. The inaugural green bill, and green commercial paper which Austria plans to issue from 2023, is part of an overall programme to fund 20% of green expenditure in Austria via short term green debt. There was a net loss of 2 primary dealers in Europe from September 2022 to January 2023. There were 4 exits and 2 entries of banks to European Primary Dealer systems affecting sovereign debt markets in 4 countries and the European Commission Primary Dealer Network (EU PDN). During 4Q22 there was 1 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 and 5 upgrades and no downgrades in 3Q22, bringing the 2022 full-year total to 9 upgrades and no downgrades. Most recently during 1Q23, Greece has been upgraded by one notch and Hungary downgraded by one notch in credit rating. The average bid-cover ratio (demand/amount allocated) was 2.1 in 4Q22, a decrease of 9.6% (QoQ) from 3Q22 and a decrease of 7.1% from 4Q21 (YoY).