About Capital Markets
AFME Annual Review
Women in finance charter
Subscribe to mailing lists
Sign up now
Divisions and committees
Equity Capital Markets
Frankfurt Office (German)
AFME Due Diligence Questionaire 2023
Public Policy and Advocacy
Recovery and Resolution
French FTT protocol
Italian FTT Equities Indemnity Protocol
Italian Derivative FTT
Spanish FTT – Indemnity Protocol
Technology & Operations
Basel 3.1 (UK)
CSDR Model Contractual Provisions
Financial Transaction Tax
Equity Market Structure
Capital Markets Union Key Performance Indicators
Subscribe to mailing lists
Sign up now
Standard Forms and Documents
Subscribe to mailing lists
Sign up now
AFME Press policy
Views from AFME
GFMA Weekly Updates
Subscribe to mailing lists
Sign up now
AFME Events Calendar
Subscribe to mailing lists
Foreign Exchange Membership
Register for AFME Members newsletter
Policy webinars and members-only webinars
Share this page
AFME Government Bond Data Report Q4 2022 and 2022 Full Year
30 Mar 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).
AFME Prudential Data Report Q4 2022 and full year 2022
27 Mar 2023
This report collates information on European GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 31 December 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 March 2023. Among the main findings of this report: European GSIBs end-point CET1 ratio declined to 13.9% in 2022 from a record high of 14.5% in 2021 but continued above pre-pandemic levels. The factors behind the decline include higher RWAs, higher distributions and buybacks after a year of record profits for some institutions, regulatory headwinds, and a partial negative contribution from portfolio losses reflected in lower other comprehensive income. Retained earnings partially contributed to CET1 capital. It is estimated that Minimum Distributable Amounts (MDA) buffers finalized 2022 with a large buffer of 420bps on a weighted average basis. CoCo risk premia rises following AT1 writedown of a large institution. AT1 option-adjusted spreads (OAS) have rapidly increased during March 2023 following a volatile period for the banking sector and the write-off of the total balance of AT1 notes of a large Swiss GSIB. AT1 OAS have increased the most for bonds rated below investment grade credit ratings reaching 20bps below pandemic highs, representing an increase of 340bps in March. Investment grade AT1s have also increased in March 2023 by 190bps but continues 120bps below pandemic highs. Risk premia for T2 notes have not increased at the same proportion as that of AT1s. Unratedness of corporates: The box on pages 22-27 discusses the issue of unratedness of European corporates and its repercussions for Basel 3 implementation in Europe. Basel 3 maintains the current 100% risk weight (RW) for lending to unrated corporates (except SMEs) when calculating a bank's risk-weighted assets, regardless of the real credit quality of the corporate. This will be particularly impactful due to the implementation of the Output Floor which limits the benefits banks can derive from using internal models to calculate minimum capital requirements (RWAs generated by internal models cannot, in aggregate, fall below 72.5% of the risk-weighted assets computed by the standardised approaches). It’s estimated around 75% of corporates in the EU are unrated. Market data also suggests that in Sweden and Norway, unrated bond issuers are significantly more prevalent than rated issuers. The implementation of stringent risk weights for corporate lending will have asymmetric repercussions between the US and the EU, with a higher cost for EU corporates considering their higher reliance on bank lending. For a more detailed analysis please refer to the AFME ISDA position paper on the Output Floor under the CRR3, available here.
Securitisation Data Report Q4 2022 and 2022 Full Year
14 Mar 2023
AFME is pleased to share its Q4 2022 and 2022 FY Securitisation Data Report. Main findings: In 2022FY, EUR 203.3bn of securitised product was issued in Europe, a decrease of 12.8% from the EUR 233.1bn issued in 2021. Of the EUR 203.3bn issued during 2022FY, EUR 79.7bn was placed, representing 39.2% of the total, compared to EUR 126.0bn placed in 2021 representing 54.1% of the total. By asset class, RMBS issuance increased 21.2% in 2022FY driven by high volumes issued in 1Q22. The UK RMBS market continued to make a strong contribution to European issuance, accounting for 38% of total RMBS issuance in Europe during 2022. SME securitisation issuance remained comparable to 2021 and was up 3.2% during 2022FY, while issuance in the ABS, CDO / CLO and CMBS categories decreased by 45.8%, 32.4% and 23.9% respectively. Total (placed and retained) outstanding volumes (ex-CLOs) decreased to EUR 930.2bn outstanding at the end of Q4 2022, a decrease of 0.66% QoQ and a decrease of 7.85% YoY. In Q4 2022, EUR 65.5bn of securitised product was issued in Europe, an increase of 66.4% from Q3 2022 and a decrease of 34.7% from Q4 2021. Of the EUR 65.5bn issued, EUR 11.6bn was placed, representing 17.7% of the total, compared to the 48.2% of issuance in Q3 2022 and 46.7% of issuance in Q4 2021. STS issuance: In Q4 2022, EUR 30.6bn of securitised product was notified as STS to ESMA, representing 46.7% of the total issued volume in Q4 2022 (EUR 65.5bn). Out of the EUR 30.6bn in STS issuance, EUR 3.8bn was placed, representing 32.8% of total placed issuance in Q4 2022 (EUR 11.6 bn).
AFME European High Yield and Leveraged Loan Report Q4 2022
14 Mar 2023
TheReportcontains European leveraged finance market trends for the fourth quarter of 2022, which includes issuance and credit performance figures for the high yield and leveraged loan markets. Key highlights: European leveraged finance issuanceaccumulated €37.4 billion in proceeds in 4Q'22, a 31.4% quarter-on-quarter (QoQ) decrease and a 57.8% year-on-year (YoY) decrease. High yield bond issuancetotalled €10.7 billion on 28 deals in 4Q'22, a 114% increase from €5.0 billion in 3Q’22 but a 73.0% decrease from €39.8 billion in 4Q’21. The proportion of USD-denominated issuance decreased to 5.2% of all issuances in 4Q'22, down from 9.3% in 3Q’22 and from 28.8% in 4Q’21. The leading use of proceeds for high yield bond issuance in 4Q'22 was general corporate purposes, at €6.5 billion, which was higher than €3.1 billion in 3Q’21 but lower than €13.2 billion in 4Q’21. Preliminary data for 1Q’23 indicates that high yield bond issuance continues below its long-term average, accumulating €10 billion in proceeds in the first two months of 2023 (€16 billion in the first two months of 2022, €28 billion in 2021, and €29 billion in 2020). Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totaled €26.6 billion in 4Q'22, down 46.1% from €49.4 billion in 3Q’22 and down 45.5% from €48.8 billion in 4Q’21 63.2% of deals financed in 4Q'22 were issued for refinancing and/or repayment of debt, up from 22.5% in 3Q’22, and from 25.5% in 4Q’21. General Corporate Purposes was the second largest use of proceeds in 4Q'22 with €3.6 billion, followed by Acquisitions with €2.7 billion. Credit quality:S&P reported the trailing 12-month speculative-grade bond default rate at 2.2% in December 2022, an increase from 1.8% in December 2021. Moody's reported the speculative-grade default rate at 2.8% in December 2022, up from 1.2% in December 2021. There were 7 bond defaults reported in the 4Q’22 by Standard and Poor’s and Moody’s. The reasons were distressed exchange, missed principal payments and bankruptcy. Fitch reported an increase in European Leveraged Loan default rates (by value) to 0.6% in December 2022 from 0.4% in June 2022 According to Reorg, nearly all the European leveraged loan deals examined in 2022 were covenant-lite
AFME ESG Finance Report Q4 2022 and Full Year 2022
22 Feb 2023
AFME is pleased to circulate its European ESG Finance quarterly data report for the fourth quarter of 2022 and full year 2022. 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 December 2022, as well as a high-level regulatory and supervisory snapshot. Key highlights: European ESG bond and loan issuance accumulated €680bn in proceeds during 2022, a 10% annual decline predominantly driven by lower social bond issuance. ESG bonds and loans include ESG-labelled bonds (proceeds-based), sustainable-linked bonds, transition bonds, green-linked loans, and sustainable-linked loans. Green bond issuance grew 6% in 2022 notwithstanding the wider market turbulence of the year. Social bond issuance declined 40% in 2022FY. The strong participation of the French agency CADES did not offset the contraction in European Commission Social bond issuance. Sustainable bond issuance declined 12%FY, which is of similar proportion than the wider market contraction in non-ESG bonds during the year. Sustainable-linked bond declined 16% in 2022 notwithstanding a quarterly record amount in Q1’22. ESG securitisation issuance declined from €8bn in 2021 to €1.2bn in 2022. Carbon prices: the European Union Allowance (EuA) price per metric tonne finalised Q4'22 at €81/Tn, from €80/Tn at the end of 2021. During the first months of Q1’23, EuA spot prices have increased to €100/Tn. Global ESG Funds rose during Q4’22, after a sequence of quarterly declines during the first three quarters of the year. Funds with an ESG mandate (including Mutual Funds and ETFs) totalled $7.7tn as of Q4’22 a 18% decrease from Q4’21 ($9.4tn). The full-year contraction was driven predominantly by lower valuations as total outflows accumulated only $1bn during 2022. ESG price premia: spreads of corporate ESG bonds against non-sustainable benchmarks widened in the second half of the year from c1bps at the start of the year to c4bps in November 2022, before returning to c1bps in early 2023. Regulatory update: We present a selective list of upcoming European initiatives for Q4’22 and 2023.
AFME Securitisation Data Snapshot: Q4 2022 and 2022 Full Year
2 Feb 2023
AFME is pleased to circulate the European Securitisation Data Snapshot for Q4 2022 and 2022 Full Year. Key highlights: Q4 2022 European Issuance In Q4 2022, EUR 65.5 bn of securitised product was issued in Europe, an increase of 66.4% from Q3 2022 (EUR 39.4 bn) and a decrease of 34.7% from Q4 2021 (EUR 100.2 bn). Of this, EUR 11.6 bn was placed, representing 17.7% of the total, compared to EUR 19.0 bn placed in Q3 2022 (representing 48.2% of EUR 39.4 bn) and EUR 46.8 bn placed in Q4 2021 (representing 46.7% of EUR 100.2 bn). In Q4 2022, Pan-European CLOs led placed totals, followed by UK RMBS and German Auto ABS: Pan-European CLOs decreased from EUR 6.4 bn in Q3 2022 to EUR 6.1 bn in Q4 2022; UK RMBS decreased from EUR 5.1 bn in Q3 2022 to EUR 1.7 bn in Q4 2022; and German Auto ABS decreased from EUR 1.9 bn in Q3 2022 to EUR 0.9 bn in Q4 2022. 2022 Full Year European Issuance In 2022, EUR 203.3 bn of securitised product was issued in Europe, a decrease of 12.8% from the EUR 233.1 issued in 2021. Of this, EUR 79.7 bn was placed, representing 39.2% of the total, compared to EUR 126.0 placed in 2021 representing 54.1% of the total. In 2022, Pan-European CLOs led placed totals (EUR 26.1 bn) followed by UK RMBS (EUR 24.0 bn) and German Auto ABS (EUR 5.9 bn). As per the graph below, European placed securitisation issuance in 2022 was the lowest since 2014.
AFME Equity Primary Markets and Trading Report AFME Q4 2022
24 Jan 2023
AFME is pleased to circulate itsEquity Primary Markets and Trading Report for the fourth quarter of 2022 (Q4 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 61% in 2022 compared to the full year 2021. All forms of equity capital raising declined during the year. IPO activity was exceptionally weak, notwithstanding the origination of the largest European IPO in history by market capitalisation during Q3’22 which represented 64% of the annual amount. European SPAC IPOs declined 79% during the year, in tandem with the wider IPO decline. Completed Mergers and Acquisitions (M&A) declined when measured as announced value (-26% YoY) and when measured as completed value (-10% YoY). De-SPACS represented 1% of the total M&A value announced during 2022 , below the proportion observed during 2021 (5%). Average daily equity trading on European main markets and MTFs stood at €91bn in 2022 a 9% increase compared to 2021 driven by the wider market volatility. Double Volume Cap (DVC) update: The number of instruments suspended under the DVC has recently declined to 551, from 838 in April 2022. By geographical location, 126 of the 551 suspended instruments have EU ISINs (or 23% of the total number of suspended instruments), 287 have UK ISINs (52% of suspensions) and 138 from the rest of the world (or 25% of suspensions). European equity trading mix: According to BigXYT data, on-venue trading represented 70% of the total addressable liquidity in Q4’22. Volume traded off-venues, on systematic internalisers and pure OTC, represent the remaining 30% of the volume of the total addressable liquidity.
AFME Prudential Data Report Q3 2022
11 Jan 2023
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 Securitisation Data Report Q3 2022
16 Dec 2022
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.
ESG Finance Report Q3 2022 - European Sustainable Finance
9 Dec 2022
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.