AFME is delighted to launch the new European ESG Finance quarterly data report. The aim of this quarterly 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 including issuance of green, social and sustainable bonds and ESG and Green linked loans; green Securitisation issuance; outstanding amounts of ESG bonds; ESG fund management; ESG bond trading; and ESG valuation figures as well as a high-level regulatory and supervisory snapshot on the European Sustainable Finance market. Key highlights from 2020: European ESG bond and loan Issuance experienced substantial growth in 2020, with issuance increasing 58.8% from EUR 245.0bn in 2019 to EUR 389.0bn in 2020, continuing the upward trend seen since 2015. ESG Bond issuance equaled 8.3% of total European bond issuance in 2020, up 3% from 5.0% in 2019. A large inaugural social bond of EUR 17 bn was issued by the European Commission in Q4’20. This was followed by two further social bond issues in Q4’20 of EUR 8.5 bn and EUR 14 bn. ESG & Green Linked Loan issuance equaled 13.7% of total European syndicated loan issuance, up 3.2% from 10.5% in 2019. In 2020, theEuropean Union Emissions Trading System(EU ETS) was the largest greenhouse gas emissions trading scheme globally, with 2249.1 Mt CO2-eq covered, with a value of USD 33.6 bn. The European Union Allowance (EuA) price per metric tonne has increased by 21.3% from €24.03 in December 2019 to €30.52 in December 2020. Global funds with ESG mandate accumulated USD 22,731 bn in Q4 2020 in total assets, comprising of USD 13,953 bn in equity funds, USD 5,575 bn in bond funds and USD 3,203 bn in other asset classes. Option Adjusted Spreads (OAS) of Euro-denominated Corporate ESG bonds reached peak levels in March 2020 at 238bps and have since normalised, ending 2020 at 91 bps. Equity prices of sustainable companies ended 2020 with losses of less than 1% according to the MSCI Europe SRI Net Index. This compares with losses of 6.2% in the EUR STOXX 600 equity composite index. According to Trax, the Average Daily Trading Volume (ADV) of European ESG bonds in 2020 was EUR 0.80 bn. November of 2020 saw the highest ADV of the year at EUR 1.1 bn, followed by March with an ADV of EUR 0.85 bn. The average European ESG Bond Turnover Ratio in 2020 was 0.19%, down from 0.21% in 2019. This compares with turnover ratios of 2%-1% of benchmark European sovereign bonds. This report includes a regulatory and supervisory snapshot on the European Sustainable Finance market. It covers recent initiatives and upcoming deadlines in relation to issues such as taxonomy and disclosures. We will continue to update this regulatory snapshot every quarter.

Key highlights: Large increase in equity capital raising: 2020 saw a large annual increase of 51% in equity underwriting on European exchanges. Follow-on offerings rose 69% year-on-year (YoY) with the largest annual amount of proceeds since 2007. IPO issuance on European exchanges, however, totalled €18 bn in 2020— the lowest annual amount since 2012. Completed Mergers and Acquisitions (M&A) of European companies totalled €671.8bn in 2020 a 27% decrease from the amount completed in 2019 (€918.5bn). The amount of announced M&A totalled €905.5bn in 2020 a 3% decrease from €929.5bn in 2019. Average daily equity trading activity on European main markets and MTFs stood at €68.5bn in 2020, 16% above the average daily value observed in 2019 (€59.1bn). Bid-ask spreads for selected European equity indices continued to decline during 2H 2020, following the market stress episode originated by the COVID-19 outbreak. However, liquidity conditions, as measured by bid-ask spreads, have not returned to pre-COVID levels. Double Volume Cap (DVC) update: The number of instruments banned from dark trading has declined in the course of the year to 205 instruments suspended at the EU or trading venue level as of Dec-20 (from above 1,200 in Aug-18). Due to concerns about the temporary disruption of the ESMA IT systems following the end of the Brexit transition period, ESMA will not perform the monthly DVC publications for the months of January and February of 2021. 2020FY variation of European Equity activityEU27 member countries, UK and Switzerland

AFME is pleased to circulate its Q4 2020 Securitisation Data Report. Main findings: In Q4 2020, EUR 65.5bn of securitised product was issued in Europe, an increase of 62.5% from Q3 2020 and a decrease of 25.0% from Q4 2019. Of the EUR 65.5bn issued, EUR 25.9bn was placed, representing 39.5% of issuance, compared to the 46.7% of issuance in Q3 2020 and 50.2% of issuance in Q4 2019. In 2020FY, EUR 194.7bn of securitised product was issued in Europe, a decrease of 11.9% from the EUR 220.9bn issued in 2019. Of this, EUR 81.4bn was placed, representing 41.8% of the total, compared to EUR 119.2bn placed in 2019 representing 54.0% of the total. Outstanding volumes (ex-CLOs) decreased slightly to EUR 992.8bn outstanding at the end of Q4 2020, an increase of 0.7% QoQ and a decrease of 1.6% YoY. Credit Quality: In Europe, upgrades outpaced downgrades in Q4 2020 after two consecutive quarters in which downgrades outpaced upgrades. In 2020FY, upgrades comprised 55% of total rating actions by the four CRAs. STS issuance: Total (placed and retained) Simple Transparent and Standardised (STS) issuance increased to EUR 35.9bn during Q4 2020, marking the first-time quarterly STS issuance, as a proportion of total issuance, has surpassed 50%. For 2020FY, STS issuance represented 39.7% of total annual issuance, compared to 33.3% of issuance in 2019.

This report collates information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 September 2020. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe for the full year 2020. Among the main findings of this report: European banks issued a total of €33.4bn in Contingent Convertible (CoCo) securities during 2020FY, surpassing the amount observed in 2019FY (€32bn). CoCo issuance was abruptly interrupted during the months of March and April due to the sharp increase in risk premia as a result of the market turbulence generated by the COVID-19 outbreak. However, market conditions significantly improved in the second half of the year. Dividend Distributions in 2021: The Box on pages 21-25 summarises the recent regulatory actions undertaken by Euro Area, UK and US central banks with a more flexible approach to dividend distributions for their supervised banks. After setting record CET1 capital buffers, Euro area, UK and US regulators recently flexibilised their policy approach to dividend distribution, although maintaining some degree of caution considering the ongoing economic uncertainty. European GSIBs reported in 3Q 2020 record CET1, T1 capital, TLAC and Liquidity Coverage ratios to continue to support businesses during the current economic environment. According to AFME estimates, compliance with the regulatory request of withholding 2019FY dividend distribution contributed 30bps to banks’ CET1 ratio as at 3Q 2020. Additionally, banks have continued to generate internal capital through profit retention, accumulating a total of 36bps on CET1. Other regulatory relief measures such as the CRR quick fix have contributed to improve banks CET1 ratios by 24bps as at 3Q of 2020 based on European GSIBs public disclosures.

AFME is pleased to circulate its Equity Primary Markets and Trading Report for the third quarter of 2020 (Q3 2020). 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), trading, and equity valuations Key highlights: Equity underwriting on European exchanges accumulated a total of €124.4 bn in proceeds in the first three quarters of 2020, an increase of 44% from the value originated in the same period of 2019 (€86.4 bn). Follow-on offerings rose 71% YtD, the largest 1Q-3Q amount since 2017. IPO proceeds decreased 59% YtD, the lowest 1Q-3Q amount since 2012. Completed Mergers and Acquisitions (M&A) of European companies totalled €397.7bn in Q1-Q3 2020 a 44% decrease from the amount completed in Q1-Q3 2019 (€704.2bn). The amount of announced M&A totalled €543.7bn in Q1-Q3 2020 a 16% decrease from the same period of 2019. Average daily equity trading activity on European main markets and MTFs stood at €69.5bn in Q1-Q3 2020, 17% above the average daily value observed in Q1-Q3 2019 (€59.2bn). Bid-ask spreads for benchmark equity indices of European shares has continued to decline during the year. However, liquidity conditions, as measured by bid-ask spreads, have not returned to pre-COVID levels. Update on MiFID II dark trading caps: The European Double Volume Cap (DVC) mechanism seeks to limit the amount of dark trading of equity-like instruments on EU venues. ESMA publishes on a monthly basis the list of instruments temporarily banned from dark trading at the EU or trading venue level after their trading volumes surpass pre-determined dark trading thresholds. The number of instruments banned from dark trading has declined in the course of the year at 246 instruments suspended at the EU or trading venue level as of Nov-20 (from above 1,200 in Aug-18).

AFME is pleased to circulate its Q3 2020 Securitisation Data Report. Main findings: In Q3 2020, EUR 39.8 billion of securitised product was issued in Europe, a decrease of 19.1% from Q2 2020 and a decrease of 1.5% from Q3 2019. Of the EUR 39.8bn issued, EUR 18.8bn was placed, representing 47.2% of issuance, compared to the 28.7% of issuance in Q2 2019 and 77.0% of issuance in Q3 2019 Outstanding volumes (ex-CLOs) decreased slightly to EUR 985.6bn outstanding at the end of Q3 2020, a decrease of 1.4% QoQ and an increase of 0.7% YoY. Credit Quality: In Europe, downgrades outpaced upgrades in Q3 2020, with upgrades as a percentage of rating actions stabilising during Q3 2020, after falling significantly in Q2 2020. Valuation Metrics: European securitisation spreads remain at a record-high in the auto 1-4 Yr market while the spreads observed in the credit card 1-4Yr market have largely normalised to pre-pandemic levels In October 2020, AFME published model wording for EURIBOR new issues of securitisations to help facilitate their transition from EURIBOR to new risk-free rates. This provides an easier mechanism for a future transition from Euribor to an alternative rate (once identified) without the need to undertake a consent solicitation. The model wording is available on the AFME website (here).

The Report contains European leveraged finance market trends for the third quarter of 2020, 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 €54.2 billion in proceeds in 3Q’20, a 22.6% decrease from €70.0 billion in 2Q’20 as well as a 30.5% decrease from €78.0 billion in 3Q’19. This quarterly decline was driven mainly by a decrease in leveraged loan issuance. Primary high yield bond issuance totalled €25.2 billion on 62 deals in 3Q’20, a 4.0% increase from €24.2 billion on 48 deals in 2Q’20 and a 19.5% decrease from €31.3 billion on 58 deals in 3Q’19. The proportion of USD-denominated issuance decreased to 13.3% of all issuance in 3Q’20, down from 34.1% in 2Q’20 and 31.1% in 3Q’19. The leading use of proceeds for high yield bonds issuance in 3Q’20 was general corporate with €12.4 billion, which was up 66% from €4.2 billion in 2Q’20 and up from €46.7 billion in 3Q’19. Leveraged loan issuance, including first lien, second lien, and mezzanine financing, totalled €23.5 billion on 44 deals in 3Q’20, down 48.6% from €45.7 billion on 64 deals in 2Q’20 and from €46.7 billion on 76 deals in 3Q’19. LBO/MBO was the largest use of proceeds in 3Q’20 with €9.8 billion, followed by refinancing/repayment of debt and acquisitions, both of which with €5.3 billion or 17.5% of the total. Pricing spreads for institutional loans widened by 5.9 basis points (bps) q-o-q and by 47.1 bps y-o-y. Spreads for pro rata loans widened by 114.8 bps q-o-q and by 83.7 bps y-o-y. Credit quality: As of September 2020, S&P reported the trailing 12-month speculative-grade default rate at 4.3%, an increase from 3.2% in June 2020 and from 2.1% in September 2019. Moody’s reported the trailing 12-month speculative-grade default rate at 3.9% in September 2020, up from 2.8% in June 2020 and from 1.5% in September 2019. Fitch also reported an increase in leverage loan default rates to 5.8% in September 2020 (including c* and cc* rated issuers as if those had already defaulted). 27 bond-related defaults were reported in the third quarter of 2020 by Standard and Poor’s and Moody’s, all in developed market Europe. Missed interest payment and distressed exchange were the most frequent reason for default. According to Moody’s, in 3Q’20 downgrades exceeded upgrades in Europe (36 downgrades to 6 upgrades), a better ratio than 123 downgrades to 5 upgrades in 2Q’20 and 34 downgrades to 1 upgrades in 3Q’19. According to S&P, in 3Q’20 downgrades exceeded upgrades in Europe (46 downgrades to 5 upgrades), a better ratio than 147 downgrades to 2 upgrades in 2Q’20 and a worse ratio than 36 downgrades to 14 upgrades in 3Q’19.

AFME is pleased to circulate itsQ3 2020 Government Bond Data Report. This report provides a comprehensive data source with updated statistics on the Government bond primary and secondary markets in Europe (EU27+UK). Report highlights include: Outstanding amount of green government bonds surpass EUR 60bn, with EUR 10.8 bn issued in green government bonds during Q3 2020, driven by inaugural issuance of the German and Hungarian green bonds, and the reopening of the French, Irish and Belgian green bonds. This represents the highest quarterly issuance of European green government bonds to date. There has been diversification in sovereign ESG issuance in Europe. The EU SURE bond issuance of EUR 17 bn is the first government bond in Europe labelled as social, while Europe’s first sustainable bond was issued in Luxembourg, with both auctions experiencing record levels of over-subscription. Total amount of outstanding ESG bonds (including bonds labelled green, social or sustainable) has reached EUR 80 bn as a result. There has been EUR 985 bn of European (EU+UK) bonds and bills issued during Q3 2020, while issuance has fallen 27.3% compared to the record volumes observed during Q2 2020, it remains above pre-pandemic levels as countries utilise primary market issuance to finance fiscal responses to the impact of Covid-19. European outstanding government debt has underwent a record maturity transformation, with longer maturity profiles a defining feature of debt issuance during Q3 2020. The average bid-cover ratio (demand/amount allocated) stood at 2.22 in Q3 2020, a decrease of 2.3% (QoQ) from Q2 2020 and an increase of 4.2% from Q3 2019 (YoY), suggesting sufficient investor appetite and Central Bank support for the increased volume of bonds and bills. During 3Q20 there were no long-term credit rating changes for European countries. This follows 4 upgrades and 1 downgrade in 1Q20, no upgrades and 2 downgrades in 2Q20, bringing the year-to-date total to 7 upgrades and 4 downgrades (so far in 4Q20 there have been 3 further upgrades and 1 downgrade).

AFME is pleased to circulate the European Securitisation Data Snapshot for Q3 2020. Key highlights: Q3 2020 European Issuance In Q3 2020, EUR 39.8 bn of securitised product was issued in Europe, a decrease of 19.1% from Q2 2020 (EUR 49.2 bn) and a decrease of 1.5% from Q3 2019 (EUR 40.4 bn) Of this, EUR 18.8 bn was placed, representing 47.2% of the total, compared to EUR 14.1 bn placed in Q2 2020 (representing 28.7% of EUR 49.2 bn) and EUR 31.1 bn placed in Q3 2019 (representing 77.0% of EUR 40.4 bn) In Q3 2020, UK RMBS led placed totals, followed by Pan-European CLOs and French RMBS. UK RMBS increased from EUR 0.8 bn in Q2 2020 to EUR 6.4 bn in Q3 2020 Pan-European CLOs increased from EUR 4.3 bn in Q2 2020 to EUR 5.0 bn in Q3 2020 French RMBS increased from zero in Q2 2020 to EUR 1.6 bn in Q3 2020

This report collates information on EU GSIBs’ prudential capital, leverage and liquidity ratios with updated statistics as at 30 June 2020. It also illustrates the recent performance of the debt and contingent convertibles (CoCo) markets and the funding structure for banks in Europe as of October 2020. Among the main findings of this report: European GSIBs reported in 2Q 2020 record CET1, T1 capital and Liquidity Coverage ratios on the back of the build-up of precautionary buffers and regulatory support to facilitate the COVID-19 economic recovery. The weighted average CET1 ratio increased by 40bps during 2Q 2020. Of this, regulatory relief on banks’ capital requirements (i.e. CRR “quick fix” and transitional implementation of IFRS9) had a weighted average impact of 24bps, RWA contraction (ex-regulatory relief) 6 bps, retained earnings 11bps, and FX and others -1bp. The European CoCo market reopened in the second quarter of 2020 with the issuance of 30 AT1 notes since May-20 equivalent to €18.6bn in proceeds. CoCos issued during 2Q20 and 3Q20 have been originated with higher coupon rates compared to those issued in 1Q20 (5.9% in 2Q20 and 5.4% in 3Q20 vs. 4.6% in 1Q20 for fixed rate CoCos). The end of Too Big To Fail (TBTF): Pages 21-25 provide a summary of a preliminary analysis on banks’ borrowing costs during the COVID-19 market distress episode (as a proxy to measure the so-called “implicit subsidy” of large banking institutions). During the March 2020 market stress episode, large systemic European institutions exhibited higher funding costs compared to those for smaller non-systemic institutions. This results illustrate the success of TBTF reforms and progress in reducing the moral hazard posed by the largest financial institutions and the funding advantage for systemic banks compared to smaller institutions. Early 3Q 2020 earnings results have shown continuing progress in building capital and a sharp decline in credit impairments since 2Q 2020. These and other features of the EU G-SIBs Q3 results will be picked up in the next issue of the report which will be published in late November.