Market Highlights and Commentary Market Environment Economic conditions According to Eurostat, GDP rose by 0.3% quarter-over-quarter(QoQ) in the Euro zone (EU19) and by 0.4% in the EU28 duringthe second quarter of 2016. The unemployment rate stood at10.1% (EU19) and 8.6% (EU28) as of the end of June 2016, thelowest rate recorded since 2011 (EU19) and 2009 (EU28). Term Issuance and Outstanding Volumes In Q2 2016, EUR 74.5 billion of securitised product was issued inEurope, an increase of 31.0% from Q1 2016 (EUR 56.9 billion) andan increase of 49.2% from Q2 2015 (EUR 49.9 billion). Of the EUR74.5 billion issued, EUR 29.1 billion was placed, representing39.0% of issuance, compared to EUR 14.3 billion placed in Q12016 (representing 25.2%) and EUR 28.4 billion placed in Q22015 (representing 56.8%). For the second quarter, UK RMBS continued to lead placed totals(EUR 11.6 billion), followed by German auto (EUR 4.6 billion) andEuropean CLO (EUR 4.6 billion). Notably, the first peer-to-peer /marketplace lending securitisation appeared in Europe, a UK SMEdeal comprised of loans funded through the Funding Circleplatform. Net issuance was positive for the first time since the third quarterof 2014, with EUR 1.271 outstanding at the end of 2Q’16, up fromEUR 1.267 trillion at the end of 1Q’16. Of this, approximately EUR733.7 billion, or 57.7%, was retained. Credit Quality In Europe, upgrades outpaced downgrades in Q2 2016 amongEuropean securitised product, with upgrades concentrated inEuropean CLOs and prime RMBS. ABCP Trends European asset backed commercial paper (ABCP) issuance wasEUR 120.1 billion in Q2 2016, an increase of 25.3% QoQ and 16.7% YoY. Multiseller conduits continue to dominate as thelargest category of issuer in the ABCP market, particularly fromIreland and France. European ABCP outstandings decreasedslightly from the previous quarter, ending the second quarter atEUR 15.3 billion, down by 14.7% from EUR 17.9 billion in Q12016.

Issuance highlights European leveraged finance issuance (leveraged loans and high yield bonds) decreased in 1Q’16 to €22.6 billion, a 12.0% decrease from €25.6 billion quarter-over-quarter (q-o-q) and a 62.5% decrease from €60.1 billion in 1Q’15. The quarterly decrease stems from the large fall in high yield bonds issuance, which decreased by 24.1% in the first quarter of 2016 while leveraged loan issuance increased by 2.9%; the high yield bond share of the leveraged finance market decreased to 47.3%, down from 54.9% in 4Q’15 and down from 62.8% in 1Q’15. Market and economic environment According to the April 2016 European Central Bank lending survey, in the first quarter of 2016, improving loan supply conditions for enterprises and the continued increase in loan demand across all loan categories suggested an ongoing recovery in loan growth. The net easing on credit standards for loans to enterprises in 1Q’16 was stronger than the historical average calculated over the period since the start of the survey in 2003. Competition remained the main factor behind the net easing of credit standards on loans to enterprises while risk perceptions and banks’ reduced cost of funds contributed only marginally to such easing. Across firm size, credit standards were eased more strongly for loans to large firms than to small and medium-sized enterprises. For the large euro area countries, credit standards on loans to enterprises eased in Italy and Germany, while remaining unchanged in Spain and the Netherlands and continuing to tighten in France in net terms. Credit standards on housing loans tightened and remained below the historical average since 2003. The net tightening was largely driven by the implementation of the EU mortgage credit directive and by a net tightening impact of banks’ risk tolerance. Looking ahead to the second quarter of 2016, euro banks expect a further net easing in standards on loans to enterprises and consumer credit but continued net tightening of standards for housing loans. Net demand increased for all types of loans in 1Q’16 and banks forecasted a further net increase in the demand for loans in the second quarter.

Market highlights and commentary According to Eurostat, GDP rose by 0.6% quarter-over-quarter (QoQ) in the Euro zone (EU19) and by 0.5% in the EU28 during the first quarter of 2016. Unemployment was 10.2% (EU19) and 9.7% (EU28) as of the end of March 2016, the lowest rate recorded since 2011 (EU19) and 2009 (EU28). Term Issuance and Outstanding Volumes In Q1 2016, EUR 56.9 billion of securitised product was issued in Europe, a decline of 20.4% from Q4 2015 (EUR 71.4 billion) but an increase of 61.2% from Q1 2015 (EUR 35.3 billion). Of the EUR 56.9 billion issued, EUR 14.3 billion was placed, representing 25.2% of issuance, compared to EUR 15.6 billion placed in Q4 2015 (representing 21.8%) and EUR 19.7 billion placed in Q1 2015 (representing 55.9%).For the first quarter, UK RMBS continued to lead placed totals (EUR 5.8 billion), followed by European CLOs (EUR 2.6 billion) and Dutch RMBS (EUR 1.8 billion). Net issuance remained negative, with EUR 1.27 trillion outstanding at the end of 1Q’16, down from EUR 1.30 trillion at the end of 4Q’15. Of this, EUR 718.1 billion, or 56.8%, was retained.

Market highlights and commentary According to Eurostat, GDP rose by 0.6% quarter-over-quarter (QoQ) in the Euro zone (EU19) and by 0.5% in the EU28 during the first quarter of 2016. Unemployment was 10.2% (EU19) and 9.7% (EU28) as of the end of March 2016, the lowest rate recorded since 2011 (EU19) and 2009 (EU28). Term Issuance and Outstanding Volumes In Q1 2016, EUR 56.9 billion of securitised product was issued in Europe, a decline of 20.4% from Q4 2015 (EUR 71.4 billion) but an increase of 61.2% from Q1 2015 (EUR 35.3 billion). Of the EUR 56.9 billion issued, EUR 14.3 billion was placed, representing 25.2% of issuance, compared to EUR 15.6 billion placed in Q4 2015 (representing 21.8%) and EUR 19.7 billion placed in Q1 2015 (representing 55.9%).For the first quarter, UK RMBS continued to lead placed totals (EUR 5.8 billion), followed by European CLOs (EUR 2.6 billion) and Dutch RMBS (EUR 1.8 billion). Net issuance remained negative, with EUR 1.27 trillion outstanding at the end of 1Q’16, down from EUR 1.30 trillion at the end of 4Q’15. Of this, EUR 718.1 billion, or 56.8%, was retained.

Highlights European systemically important banks (or EU-GSIBs1) have improved their capital, leverage and liquidity positions in compliance with the Basel III accord (or CRDIV in Europe). The CRDIV rules comprise minimum requirements on capital adequacy, liquidity and leverage positions, which seek to enhance the soundness of bank’s balance sheets. Notwithstanding the unfounded market turbulence during the first quarter of 2016, EU GSIBs’ capital and liquidity ratios remained resilient in times of stress and above the minimum requirements set by the CRDIV rules. Among the main findings of this report are: EU GSIBs have increased their end-point Common Equity Tier 1 Capital ratio (CET1 ratio) to 11.9% in 1Q16, from 10.0% in 2013. End-point Tier 1 ratios increased to 13.1% in 1Q16, from 10.7% in 2013. Leverage ratios calculated on an end-point basis have improved over the last three years, to 4.6% in 1Q16 from 3.7% in 2013. Available information indicates the weighted average Liquidity Coverage Ratio (LCR) stood at 127.5% in 1Q16, above the minimum required by 1 January 2018 (100%).

Highlights Equity underwriting in European exchanges accumulated in 1Q 2016, a total of € 20.8 bn in proceeds, a decrease of 66.2% from the value originated in 4Q 2015 (€ 61.6 bn). Equity underwriting encompasses Initial Public Offerings (IPOs), convertible securities and follow-on offerings. Mergers and Acquisitions (M&A) between European companies1 totalled € 158.3 bn in 1Q 2016, an increase of almost 100% from the value observed in 4Q 2015 (€ 79.2 bn). Of this, the acquisition of BG Group plc by Royal Dutch Shell plc accounted for 38% of the total deal value during the quarter. Excluding this deal, the increase against 4Q 2015 stood at 23% QoQ. Equity trading activity in European main markets and MTFs accumulated in 1Q 2016, a total of € 3.3 tn in turnover value, a decrease of 3.4% from the value observed in 1Q 2015 (€ 3.4 tn) but 10.6% above the turnover value in 4Q 2015 (€ 3.0 tn). Market capitalisation of European shares stood at € 10.7 tn at the end of 1Q 2016, a decrease of 8% from the value observed in December 2015 (€ 11.7 tn).

In Q1 2016, EUR 56.9 billion of securitised product was issued in Europe1, a decrease of 20.3% from Q4 2015 (EUR 71.4 bn) and a significant increase of 61.2% from Q1 2015 (EUR 35.3 bn)2Of this, EUR 14.3 billion was placed, representing 25.1%, compared to EUR 15.6 billion placed in Q4 2015 (representing 21.8% of 71.4 EUR bn) and EUR 19.7 billion placed in Q1 2015 (representing 55.8% of 35.3 EUR bn)In Q1 2016, UK RMBS led placed totals followed by Pan European CLOs and Dutch RMBS: UK RMBS decreased from 6.1 EUR bn in Q4 2015 to 5.8 EUR bn in Q1 2016; Pan European CLOs decreased from 3.5 EUR bn in Q4 2015 to 2.6 EUR bn in Q1 2016; Dutch RMBS increased from 0.6 EUR bn in Q4 2015 to 1.8 EUR bn in Q1 2016. Values

Highlights European systemically important banks (or EU-GSIBs1.) continue improving their capital and leverage positions during 3Q15, in compliance with CRDIV. The CRDIV rules comprise minimum requirements on capital adequacy, liquidity and leverage positions, which seek to enhance the soundness of bank’s balance sheets. Among the main findings of this report are: EU GSIBs increased their end-point Common Equity Tier 1 Capital ratio (CET1 ratio) to 11.5% in 3Q15, from 11.4% in 2Q15 and 10% in 4Q13. End-point Tier 1 ratios increased in the third quarter of the year to 12.7%, from 12.5% in 2Q15 and 10.7% in 4Q13. Leverage ratios also continue improving in 3Q15, with a simple average ratio of 4.6% in 3Q15 calculated on an end-point basis, from 4.5% in 2Q15 and 3.8% in 4Q13. The findings of this report are consistent with the observed increase in aggregate capital raising since 2009. Since the 2009 crisis, EU banks have raised around €318bn in fresh capital from the markets, of which €254bn is in equity and €64bn in CoCos and other convertible debt (in total about 2.3% of EU28 GDP at current prices). This estimate, however, does not take into account capital raised through internal generation (retained earnings) and balance sheet restructuring.

Issuance European leveraged finance issuance (leveraged loans and high yield bonds) decreased in 4Q’15 to €25.6 billion, a 13.3% decrease from €29.6 billion quarter-over-quarter (q-o-q) and a 5.4% decrease from €27.1 billion in 4Q’14. The quarterly decrease stems from the large fall in leveraged loan issuance, which decreased by 30.0% in the fourth quarter of 2015 while high yield bonds issuance increased by 8.0%; the high yield share of the leveraged finance market increased to 54.9%, up from 44.1% in 3Q’15. In full year 2015, European leveraged finance issuance decreased to €171.1 billion, down 16.8% from €205.7 billion in 2014. Leveraged loan issuance decreased by 20.9% to €75.7 billion in 2015 from €95.6 billion in 2014, while high yield bond issuance decreased by 13.4% to €95.4 billion in 2015 from €110.1 billion in 2014./ Market and Economic Environment According to the January 2016 European Central Bank lending survey, in the fourth quarter of 2015, credit standards on loans to enterprises eased further as those on housing loans returned to a net easing, continuing to support the recovery in loan growth. In 4Q’15, euro area banks reported a further net easing of credit standards on loans to enterprises for the seventh consecutive quarter, driven in particular by banks’ competition, while risk perceptions contributed only marginally to such easing. Looking ahead to the first quarter of 2016, euro banks expect a further net easing in standards on loans to enterprises, broadly unchanged standards for housing loans and a return to a net easing for consumer credit. Across firm sizes, credit standards eased more strongly on loans to small and medium-sized enterprises (SMEs) than on loans to large firms. For the large euro area countries, credit standards on loans to enterprises continued to ease considerably in Italy and remained unchanged in the other countries, with the exception of France where they continued to tighten in net terms. Net demand for loans to enterprises continued to increase in 4Q’15, mostly due to the low general level of interest rates. Net loan demand by enterprises increased to 27% in 4Q’15, up from 16% in the previous quarter. Banks reported a net increase in the demand for housing loans and consumer credit as well. The net loan demand for housing loans was 29%, slightly lower than 33% in 3Q’15 while net demand for consumer credit increased to 21% in 4Q’15 from 19% in 3Q’15.

In Q4 2015, EUR 71.4 billion of securitised product was issued in Europe1, an increase of 25.0% from Q3 2015 (EUR 57.1 bn) and an increase of 19.4% from Q4 2014 (EUR 59.8 bn)2Of this, EUR 15.5 billion was placed, representing 21.7%, compared to EUR 18.1 billion placed in Q3 2015 (representing 31.7% of 57.1 EUR bn) and EUR 24.3 billion placed in Q4 2014 (representing 40.6% of 59.8 EUR bn)In Q4 2015, UK RMBS led placed totals followed by Pan European CLOs and German Auto: UK RMBS increased from 3.8 EUR bn in Q3 2015 to 6.1 EUR bn in Q4 2015; Pan European CLOs increased from 2.5 EUR bn in Q3 2015 to 3.5 EUR bn in Q4 2015; German Auto ABS decreased from 2.2 EUR bn in Q3 2015 to 1.6 EUR bn in Q4 2015.