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Executive Summary
US Fixed Income Page | 1
SIFMA Research Quarterly – 1Q20 US Fixed Income Markets – Issuance & Trading
June 2020
The SIFMA Research Quarterlies contain brief commentary and statistics on U.S. markets. The fixed income reports are split into two – (1) issuance and trading, (2) outstanding – given a delay in the reporting of outstanding data. The reports cover data on total U.S. fixed income markets, as captured in the SIFMA Research database: U.S. Treasuries, mortgage-backed securities, corporate bonds, municipal securities, federal agency securities, asset-backed securities, money markets (outstanding only), repurchase agreements (outstanding only) and secured overnight financing rate.
All reports, including the equity quarterly, and corresponding databases can be found at: www.sifma.org/research
Executive Summary
US Fixed Income Page | 2
Contents Executive Summary ................................................................................................................................................................................... 4 US Fixed Income Markets vs. Rest of World .............................................................................................................................................. 5 Quarterly Performance ............................................................................................................................................................................... 6 Chart Book: Total Fixed Income ................................................................................................................................................................. 7 Chart Book: US Treasuries (UST) .............................................................................................................................................................. 8 Chart Book: Mortgage-Backed Securities (MBS) ..................................................................................................................................... 10 Chart Book: Corporate Bonds (Corporates) ............................................................................................................................................. 11 Chart Book: Municipal Securities (Munis) ................................................................................................................................................. 13 Chart Book: Federal Agency Securities (Agency) .................................................................................................................................... 15 Chart Book: Asset-Backed Securities (ABS) ............................................................................................................................................ 16 Chart Book: Secured Overnight Financing Rate (SOFR) ......................................................................................................................... 17 Appendix: Terms to Know ........................................................................................................................................................................ 18 Authors ..................................................................................................................................................................................................... 19
Executive Summary
US Fixed Income Page | 3
SIFMA is the leading trade association for broker-dealers, investment banks and asset managers operating in the U.S. and global capital markets. On behalf of our industry’s nearly 1 million employees, we advocate on legislation, regulation and business policy, affecting retail and institutional investors, equity and fixed income markets and related products and services. We serve as an industry coordinating body to promote fair and orderly markets, informed regulatory compliance, and efficient market operations and resiliency. We also provide a forum for industry policy and professional development. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit http://www.sifma.org.
This report is subject to the Terms of Use applicable to SIFMA’s website, available at http://www.sifma.org/legal. Copyright © 2020
Associated Reports
Please also see SIFMA Research Quarterly Report: US Cash Equities, ETFs, Multi-Listed Options and Capital Formation & SIFMA Research Quarterly Report: US Fixed Income Markets – Outstanding , which can be found at: www.sifma.org/research
SIFMA Insights Primers: The SIFMA Insights primer series is a reference tool that goes beyond a typical 101 series. By illustrating important technical and regulatory nuances, SIFMA Insights primers provide a fundamental understanding of the marketplace and set the scene to address complex issues arising in today’s markets. The SIFMA Insights market structure primer series includes: global capital markets & financial institutions; U.S. fixed income markets; U.S. equity markets; U.S. multi-listed options markets; U.S. ETF markets; and U.S. capital formation and listings exchanges. The primers and other Insights reports can be found at: www.sifma.org/primers
Executive Summary
US Fixed Income Page | 4
Executive Summary In general, fixed income securities are borrowed capital for the issuer to fund government operations, public projects or corporate investments, thereby fueling economic growth. The diversity of fixed income products both increases the amount of funds available to borrow and spreads credit risk across multiple market participants.
• U.S. Treasury Securities (UST) – UST are debt obligations of the federal government used to fund its operations. Since UST are backed by the full faith and credit of the U.S. government, these securities are considered by market participants as the benchmark credit. The U.S. government has a AAA rating, meaning it has essentially no credit risk and can easily meet its financial obligations on time and in full. In light of this, UST show a diversity of holders, in both institutional type and foreign holders.
• Mortgage-Backed Securities (MBS) – Since mortgages (a debt instrument collateralized by a specified real estate property) are less liquid than other investment vehicles, they can be securitized into MBS, whether in pass-throughs or collateralized mortgage obligations (CMOs).
• Corporate Bonds (Corporates) – Corporates are debt securities issued by public and private corporations. They are issued to raise money to fund investments or expansion plans. Corporates are considered riskier than UST, and receive ratings by credit ratings agencies to determine creditworthiness, i.e. probability of repayment of debt in a timely manner.
• Municipal Bonds (Munis) – Munis are debt securities issued by state/local governments or government agencies and public entities (utilities, school districts) to fund public projects, predominantly infrastructure related. Efficient muni markets enable states and municipalities to borrow at low rates and finance capital expenditures over a longer time period.
• Federal Agency Securities (Agency) – Agency securities are issued by quasi-governmental agencies (federal government, government sponsored enterprises) to fund operations. Unlike UST or munis, these securities are not always fully guaranteed by the U.S. or a municipal government. As such, they can hold credit and default risk.
• Asset-Backed Securities (ABS) – ABS are financial securities collateralized by a pool of typically illiquid assets such as auto loans, student loans, credit cards, etc. Pooling these assets creates a more liquid investment vehicle, with a valuation based on the cash flows of the underlying and the structure of the transaction.
• Money Markets (MM) – MMs involve highly liquid, short maturity (typically overnight to less than one year) financial instruments (certificates of deposit/CDs, bankers acceptances, commercial paper/CP, etc.), used by investors to borrow and lend in the short term. Transactions in the money markets are wholesale, taking place only between institutional investors (no individual investors) and for large denominations.
Executive Summary
US Fixed Income Page | 5
• Repurchase Agreements (Repos) – Repos are financial transactions in which one party sells an asset to another party with a promise to repurchase the asset at a pre-specified later date (a reverse repo is the same transaction seen from the perspective of the security buyer). Repos can be overnight (duration one day) or term (duration up to one year, albeit some are up to two years and the majority are three months or less). The repo market enables market participants to provide collateralized loans to one another, and financial institutions predominantly use repos to manage short-term fluctuations in cash holdings, rather than general balance sheet funding. Repos aid secondary market liquidity for the cash markets (ex: UST), allowing dealers to act as market makers in a very efficient manner.
• Secured Overnight Financing Rate (SOFR) – In the U.S., the transition away from London Interbank Offered Rate (LIBOR) to its chosen alternative reference rate, SOFR, is underway. While LIBOR is not fully transaction based, SOFR is based on the overnight repo markets with ~ $1 trillion of transactions per day. Publication of the SOFR rate began in April 2018. Trading and clearing of SOFR based swaps and futures began in May 2018.
US Fixed Income Markets vs. Rest of World The U.S. fixed income markets are the largest in the world, comprising 38.9% of the $106 trillion securities outstanding across the globe, or $41 trillion (as of FY19). This is 1.9x the next largest market, the EU. U.S. market share has averaged 39.6% over the last 10 years, troughing at 36.3% in 2011 and peaking at 40.9% in 2015. US Market Share
Source: Bank for International Settlements (4Q19, data for all countries has a one quarter lag).
US39%
EU21%
China14%
Japan12%
UK6%
Canada3%
EM2%
Australia2%
HK1%
Singapore0.5%
Other DM0.4%
Global FI Outstanding
82 86 88 88 86 87 9098 101
106
30 31 32 33 34 35 37 38 39 41
0
20
40
60
80
100
120
FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19
US Share of Global FI Markets ($T)World US
Executive Summary
US Fixed Income Page | 6
Quarterly Performance In this report, we utilized SIFMA Research’s comprehensive fixed income and securitized products databases (www.sifma.org/research) to recap statistics for total U.S. fixed income markets, U.S. Treasuries (UST), mortgage-backed securities (MBS), corporate bonds (corporates), municipal securities (munis), federal agency securities (agency), asset-backed securities (ABS), money markets (MM), repurchase agreements (repos) and the secured overnight financing rate (SOFR).
Quarterly Highlights
Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Agencies, US Treasury, SIFMA estimates. Note: Issuance = LT securities only; corporates ex- convertible bonds.
1Q20 4Q19 1Q19 Q/Q Y/Y 2019 2018 Y/YIssuance ($B) 2,439 2,112 1,756 15.5% 38.9% 8,187 7,483 9.4%UST 758 756 580 0.3% 30.7% 2,935 2,685 9.3%MBS 593 683 374 -13.2% 58.6% 2,110 1,906 10.7%Corporates 557 273 390 103.9% 42.9% 1,417 1,375 3.0%Agency 373 261 192 42.9% 94.3% 989 654 51.4%Muni 93 79 146 17.2% -36.0% 426 346 23.1%ABS 65 59 75 9.3% -13.4% 310 517 -40.0%
1Q20 4Q19 1Q19 Q/Q Y/Y 2019 2018 Y/YTrading (ADV, $B) 1,078 849 923 26.8% 16.7% 896 817 9.7%UST 686 561 612 22.2% 12.0% 594 548 8.4%MBS - Agency 318 237 250 34.1% 27.1% 248 218 13.5%MBS - Non Agency 4 3 3 65.4% 53.6% 3 2 13.0%Corporates 45 32 41 40.1% 11.3% 35 33 8.3%Agency 5 4 4 38.1% 40.9% 4 3 17.5%Muni 16 11 12 46.8% 34.6% 12 11.6 -0.6%ABS 2 1 2 70.8% 46.7% 2 1.4 7.5%
Chart Book: Total Fixed Income
US Fixed Income Page | 7
Chart Book: Total Fixed Income • Issuance: 1Q20 $2.4T, +38.9% Y/Y, +15.5% Q/Q; FY19 $8.2T, +9.4% Y/Y • ADV: 1Q20 $1,078B, +16.7% Y/Y, +26.8% Q/Q; FY19 $896B, +9.7% Y/Y
Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Agencies, US Treasury, SIFMA estimates.
UST31.2%
MBS24.4%
Corporates22.6%
Agency15.3%
Munis3.8%
ABS2.7%
US FI Issuance
6.87.5 7.6 7.5
8.2
2.4
0
1
2
3
4
5
6
7
8
9
FY15 FY16 FY17 FY18 FY19 1Q20
US FI Issuance ($T)UST MBS Corporates Agency Munis ABS
UST63.6%
MBS29.9%
Corporates4.2%
Agency0.5%
Muni1.5%
ABS0.2%
US FI Trading
729777 765
817896
1,078
0
200
400
600
800
1,000
1,200
FY15 FY16 FY17 FY18 FY19 1Q20
US FI Trading, ADV ($B)UST MBS Corporates Agency Muni ABS
Chart Book: US Treasuries (UST)
US Fixed Income Page | 8
Chart Book: US Treasuries (UST) • Issuance:
o LT 1Q20 $758B, +30.7% Y/Y, +0.3% Q/Q; FY19 $2.9T, +9.3% Y/Y o All 1Q20 $3.3T, +12.0% Y/Y, +4.2% Q/Q; FY19 $12.1T, +15.1% Y/Y
• ADV: 1Q20 $686B, +12.0% Y/Y, +22.2% Q/Q; FY19 $594B, +8.4% Y/Y
Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates.
Notes79.5%
Bonds7.9%
FRN7.7%
TIPS4.9%
UST Issuance - LT Issuance
2,122 2,169 2,224
2,6842,935
758
0
500
1,000
1,500
2,000
2,500
3,000
3,500
FY15 FY16 FY17 FY18 FY19 1Q20
UST Issuance - LT Issuance ($B)Notes Bonds FRN TIPS
Bills77.0%
Notes18.3%
Bonds1.8%
FRN1.8%
TIPS1.1%
UST Issuance - All Issuance
7,017
8,301 8,787
10,490
12,071
3,294
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
FY15 FY16 FY17 FY18 FY19 1Q20
UST Issuance - All Issuance ($B)Bills Notes Bonds FRN TIPS
Chart Book: US Treasuries (UST)
US Fixed Income Page | 9
Sources: Federal Reserve, New York Federal Reserve, US Treasury, SIFMA estimates.
Bills18.8%
Coupons77.8%
TIPS3.3%
FRN0.7%
UST Trading, ADV
490 519 505548
594
686
0
100
200
300
400
500
600
700
800
FY15 FY16 FY17 FY18 FY19 1Q20
UST Trading, ADV ($B)Bills Coupons FRN TIPS
0.600.84 0.73
1.36
2.80
1.68
1.08
1.972.22
1.56
2.452.24
3.04
1.79
1.37
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
1Q15
2Q15
3Q15
4Q15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
UST Interest Rates (%)Spread 2-Year 10-Year
0.11 0.160.40
0.70
1.16
1.74
2.40
1.23
0.0
0.5
1.0
1.5
2.0
2.5
3.0
1Q15
2Q15
3Q15
4Q15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
Federal Funds Rate (%)Target Range Effective Rate
Chart Book: Mortgage-Backed Securities (MBS)
US Fixed Income Markets Page | 10
Chart Book: Mortgage-Backed Securities (MBS) • Issuance: 1Q20 $593B, +58.6% Y/Y, -12.4% Q/Q; FY19 $2.1T, +10.7% Y/Y • ADV:
o Agency 1Q20 $318B, +27.1% Y/Y, +34.1% Q/Q; FY19 $248B, +13.5% Y/Y o Non-Agency 1Q20 $4B, +53.6% Y/Y, +65.4% Q/Q; FY19 $2.7B, +13.0% Y/Y
Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates.
Agency MBS
82.8%
Agency CMO
13.1%
Non-Agency4.1%
US MBS Issuance
1,801
2,0441,935 1,906
2,110
593
0
500
1,000
1,500
2,000
2,500
FY15 FY16 FY17 FY18 FY19 1Q20
US MBS Issuance ($B)Agency MBS Agency CMO Non-Agency
Agency98.7%
Non-Agency1.3%
US MBS Trading, ADV
196210 212 221
250
323
0
50
100
150
200
250
300
350
FY15 FY16 FY17 FY18 FY19 1Q20
US MBS Trading, ADV ($B)Agency Non-Agency
Chart Book: Corporate Bonds (Corporates)
US Fixed Income Markets Page | 11
Chart Book: Corporate Bonds (Corporates) • Issuance: 1Q20 $559B, +429% Y/Y, +103.9% Q/Q; FY19 $1.4T, +3.0% Y/Y • ADV: 1Q20 $45B, +11.3% Y/Y, +40.1% Q/Q; FY19 $35B, +8.3% Y/Y
Sources: Refinitiv, Federal Reserve, SIFMA estimates.
IG84.4%
HY12.1%
Private Placement3.3% Convertibles
0.3%
US Corporate Issuance
1,511 1,5501,671
1,375 1,417
559
0
250
500
750
1,000
1,250
1,500
1,750
2,000
FY15 FY16 FY17 FY18 FY19 1Q20
US Corporate Issuance ($B)IG HY Private Placement Convertibles
IG4.1%
HY1.8%
Private Placement
1.9%
Convertibles0.3%
US Corporate Trading, ADV
2831 32 33
35
45
0
5
10
15
20
25
30
35
40
45
50
FY15 FY16 FY17 FY18 FY19 1Q20
US Corporate Trading, ADV ($B)IG HY Private Placement Convertibles
Chart Book: Corporate Bonds (Corporates)
US Fixed Income Markets Page | 12
Source: Refinitiv, Federal Reserve, FINRA, S&P Global Ratings, SIFMA estimates.
37.2%
15.0%
8.7% 7.7% 7.7% 6.7% 6.5%10.4%
0%
10%
20%
30%
40%
Fina
ncia
ls
Ener
gy
Tech
nolo
gy
Indu
stria
ls
Ret
ail
Con
sum
erSt
aple
s
Hea
lthca
re
Oth
er
US Corporate Issuance
66
105
64
44
74
19
0
20
40
60
80
100
120
FY15 FY16 FY17 FY18 FY19 1Q20
US Corporate Bond Defaults
10.6 10.3 10.111.0 11.5
21.5
8
10
12
14
16
18
20
22
24
FY15 FY16 FY17 FY18 FY19 1Q20
US Corporates Average Maturity at Issuance (# Years)
3.03.7
2.93.4 3.2
4.1 4.3
2.93.7
6.6
8.9
6.66.0
6.7
8.0
6.0
9.3
0
1
2
3
4
5
6
7
8
9
10
1Q15
2Q15
3Q15
4Q15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
US Corporate Bond Index Yield to Maturity (%)
Chart Book: Municipal Securities (Munis)
US Fixed Income Markets Page | 13
Chart Book: Municipal Securities (Munis) • Issuance: 1Q20 $93B, +17.2% Y/Y, -36.0% Q/Q; FY19 $426B, +23.1% Y/Y • ADV: 1Q20 $16B, +34.6% Y/Y, +46.8% Q/Q; FY19 $12B, -0.6% Y/Y
Source: Refinitiv, Federal Reserve, SIFMA estimates.
Revenue56.7%
GO37.7%
Private Placement5.6%
US Municipal Issuance
405
452 449
346
426
93
0
100
200
300
400
500
FY15 FY16 FY17 FY18 FY19 1Q20
US Municipal Issuance ($B)Revenue GO Private Placement
Revenue69.3%
GO24.0%
Other6.8%
US Municipal Trading, ADV
8.6
11.1 10.811.6 11.5
16.5
0
2
4
6
8
10
12
14
16
18
FY15 FY16 FY17 FY18 FY19 1Q20
US Municipal Trading, ADV ($B)Revenue GO Other
Chart Book: Municipal Securities (Munis)
US Fixed Income Markets Page | 14
Source: Refinitiv, Bloomberg, Municipal Securities Rulemaking Board, SIFMA estimates.
37.2%
15.0%
8.7% 7.7% 7.7% 6.7% 6.5%10.4%
0%
10%
20%
30%
40%
Educ
atio
n
Gen
eral
Tran
spor
tatio
n
Util
ities
Hea
lthca
re
Hou
sing
Dev
elop
men
t
Oth
er
US Municipal Issuance
16.5
16.9
17.5
18.1 18.2
17.7
15.5
16.0
16.5
17.0
17.5
18.0
18.5
FY15 FY16 FY17 FY18 FY19 1Q20
US Municipal Average Maturity at Issuance (# Years)
3.2
3.4
2.8
3.4
3.1
3.5
2.9
3.0
2.5
3.0
3.5
4.0
1Q15
2Q15
3Q15
4Q15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
US Municipal Bond Index Yield to Maturity (%)
Chart Book: Federal Agency Securities (Agency)
US Fixed Income Markets Page | 15
Chart Book: Federal Agency Securities (Agency) • Issuance: 1Q20 $373B, +94.3.4% Y/Y, +42.9% Q/Q; FY19 $989B, +51.4% Y/Y • ADV: 1Q20 $5B, +40.9% Y/Y, +38.1% Q/Q; FY19 $4.1B, +17.5% Y/Y
Source: US Agencies, FINRA, SIFMA estimates.
FHLB49.2%
FHLMC22.1%
Farm Credit17.5%
FNMA10.2%
Farmer Mac1.0%
US Agency Issuance
645
928
731 654
989
373
0
200
400
600
800
1,000
1,200
FY15 FY16 FY17 FY18 FY19 1Q20
US Agency Issuance ($B)FHLB FHLMC Farm Credit FNMA Farmer Mac TVA
FHLB 33.3%
FHLMC 18.5%
FNMA 16.7%
Other 31.5%
US Agency Trading, ADV
4.5
5.4
4.1
3.5
4.1
5.4
0
1
2
3
4
5
6
FY15 FY16 FY17 FY18 FY19 1Q20
US Agency Trading, ADV ($B) FHLB FHLMC FNMA Other
Chart Book: Asset-Backed Securities (ABS)
US Fixed Income Markets Page | 16
Chart Book: Asset-Backed Securities (ABS) • Issuance: 1Q20 $65B, -15.6% Y/Y, +6.2% Q/Q; FY19 $310B, -40.0% Y/Y • ADV: 1Q20 $2B, +46.7% Y/Y, +70.8% Q/Q; FY19 $2B, +7.5% Y/Y
Source: Refinitiv, Bloomberg, FINRA, SIFMA estimates.
Auto43.2%
CDO/CLO26.8%
Student Loans9.6%
Equipment8.2%
CC2.0%
Other10.2%
US ABS Issuance
333 325
550517
310
65
0
100
200
300
400
500
600
FY15 FY16 FY17 FY18 FY19 1Q20
US ABS Issuance ($B)Auto CDO/CLO Student Loans Equipment CC Other
ABS62.7%
CDO37.3%
US ABS Trading
1.4 1.3 1.4 1.4 1.5
2.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
FY15 FY16 FY17 FY18 FY19 1Q20
US ABS Trading, ADV ($B)ABS CDO
Chart Book: Secured Overnight Financing Rate (SOFR)
US Fixed Income Markets Page | 17
Chart Book: Secured Overnight Financing Rate (SOFR) • SOFR Rate: As of 3/31/20 = 133 bps, 90 day rolling average • Fed Volumes: As of 3/31/20 = $1.1T • Market Volumes: As of 3/31/20 = futures $7.7T, aggregate notional outstanding $64.4T
Source: The Alternative Reference Rates Committee, Federal Reserve Bank of New York, SIFMA estimates. Note: SOFR rate = 90 day rolling average.
0
50
100
150
200
250
0
200
400
600
800
1,000
1,200
12/3
0/14
3/30
/15
6/30
/15
9/30
/15
12/3
1/15
3/31
/16
6/30
/16
9/30
/16
12/3
1/16
3/31
/17
6/30
/17
9/30
/17
12/3
1/17
3/31
/18
6/30
/18
9/30
/18
12/3
1/18
3/31
/19
6/30
/19
9/30
/19
12/3
1/19
3/31
/20
Historical SOFR Volumes & RateVolume ($B) Rate (bps, RHS)
97 199 406 722 946 1,258
2,071 3,155
4,095
5,539
7,667 9,134
11,594 13,797
17,231
20,783 26,457
31,275 36,366
40,945 45,498
52,049
59,748
0
10,000
20,000
30,000
40,000
50,000
60,000
70,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
May
-18
Jun-
18
Jul-1
8
Aug-
18
Sep-
18
Oct
-18
Nov
-18
Dec
-18
Jan-
19
Feb-
19
Mar
-19
Apr-1
9
May
-19
Jun-
19
Jul-1
9
Aug-
19
Sep-
19
Oct
-19
Nov
-19
Dec
-19
Jan-
20
Feb-
20
Mar
-20
SOFR Linked Product Growth Since May 2018 Inception ($B)Futures Volume Swaps NO Cash NO Agg NO (RHS)
Appendix: Terms to Know
US Fixed Income Markets Page | 18
Appendix: Terms to Know
Y/Y Year-over-Year UST U.S. Treasury SecuritiesQ/Q Quarter-over-Quarter MBS Mortgage-Backed SecurityYTD Year-to-Date Corporates Corporate BondsBPS Basis Points Munis Municipal SecuritiesPPS Percentage Points Agency Federal Agency SecuritiesCAGR Compound Annual Growth Rate ABS Asset-Backed SecuritiesCUSIP Committee on Uniform Securities Identification Procedures MM Money Markets
CFTC Commodity Futures Trading Commission FRN Floating Rate NoteSEC Securities and Exchange Commission FRA Forward Rate AgreementFed Federal Reserve System T-Bill U.S. Treasury BillFRB Federal Reserve Bank T-Note U.S. Treasury NoteNY Fed Federal Reserve Bank of New York T-Bond U.S. Treasury BondARRC Alternative Reference Rates Committee TIPS Treasury Inflation Protected Securities
ADV Average Daily Trading Volume ABS Asset-Backed SecurityAlgo Algorithm (algorithmic trading) CMO Collateralized Mortgage ObligationAT Automated Trading MBS Mortgage-Backed SecurityATS Alternative Trading System CMBS Commercial MBSAUM Assets Under Management RMBS Residential MBSBest Ex Best ExecutionCLOB Central Limit Order Book HY High Yield BondD2C Dealer-to-Client IG Investment Grade BondD2D Dealer-to-DealerECN Electronic Communications Network GO General Obligation BondETP Electronic Trading Platforms Revenue Revenue BondETD Exchange Traded DerivativeFI Fixed Income CD Certificate of DepositFICC Fixed Income, Currencies and Commodities CDO Collateralized Debt ObligationGCF General Collateral Financing CLO Collateralized Loan ObligationIDB Inter-Dealer Broker CP Commercial PaperIIV Intraday Indicative Value ABCP Asset-Backed Commercial PaperIOI Indication of Interest MMF Money Market Mutual FundsMM Market MakerOI Open Interest FAMC Farmer Mac/Federal Agricultural Mortgage CorporationOTC Over-the-Counter FCS Farm Credit SystemVWAP Volume Weighted Average Price FHLB Federal Home Loan Banks
FHLMC Freddie Mac/Federal Home Loan Mortgage CorporationIBOR Interbank Offered Rate FNMA Fannie Mae/Federal National Mortgage AssociationLIBOR London Inter-bank Offered Rate GNMA Ginnie Mae/Government National Mortgage AssociationRFR Risk Free Rate TVA Tennessee Valley AuthoritySOFR Secured Overnight Financing RateDV01 Dollar Value of Basis Point IR Interest RateDVP Delivery-versus-Payment IRS Interest Rate SwapEFFR Effective Fed Funds Rate OIS Overnight Index SwapPAI Price Alignment Interest TRS Total Return SwapRepo Repurchase Agreement STIR Short-Term Interest Rate
Authors
US Fixed Income Markets Page | 19
Authors SIFMA Research Katie Kolchin, CFA, Director of Research Justyna Podziemska Ali Mostafa [email protected]