SIFMA Research Quarterly – 3Q20 · 2020. 10. 13. · • Asset-Backed Securities (ABS) – ABS are financial securities collateralized by a pool of typically illiquid assets such

Executive Summary

US Fixed Income Page | 1

SIFMA Research Quarterly – 3Q20 US Fixed Income Markets – Issuance & Trading

October 2020

The SIFMA Research Quarterlies contain data 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

http://www.sifma.org/research/

Executive Summary


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


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

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Executive Summary


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


• 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 39.9% of the $106 trillion securities outstanding across the globe, or $42 trillion (as of 1Q20). This is 2.0x the next largest market, the EU. U.S. market share has averaged 38.6% 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 (1Q20, BIS data for all countries has a lag) Note: Country classification based on World Bank list of economies

US39.9%

EU20.3%

China14.1%

Japan12.1%

UK5.5%

Canada3.0%

Australia1.6%

EM1.4%

DM1.0%

HK0.5% Singapore

0.4%

Global FI Outstanding

82 8688 88 86 87 90

98 101106 106

30 31 32 33 3435 37 38 39

41 42

0

20

40

60

80

100

120

FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 1Q20

US Share of Global FI Markets ($T)World US

Executive Summary


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

Issuance ($B) 3Q20 2Q20 3Q19 Q/Q Y/Y 2019 2018 Y/YTotal Market 3,249 3,127 2,362 3.9% 37.5% 8,200 7,449 10.1%UST 1,066 898 876 18.7% 21.6% 2,935 2,685 9.3%MBS 1,124 892 610 26.0% 84.1% 2,116 1,875 12.9%Corporates 508 874 410 -41.9% 23.8% 1,423 1,372 3.7%Agency 340 311 284 9.3% 19.8% 989 654 51.4%Munis 141 112 107 25.3% 31.3% 426 347 22.9%ABS 71 40 75 78.2% -5.4% 310 517 -40.0%

Trading (ADV, $B) 3Q20 2Q20 3Q19 Q/Q Y/Y 2019 2018 Y/YTotal Market 861 1,001 909 -14.0% -5.3% 897 818 9.7%UST 521 664 604 -21.4% -13.7% 594 548 8.4%MBS - Agency 284 265 253 7.2% 12.3% 248 218 13.5%MBS - Non Agency 2.6 3.4 2.4 -26.0% 6.3% 2.7 2.4 13.0%Corporates 36 49 33 -28.1% 7.1% 36 33 8.4%Agency 5.2 6.1 4.2 -14.2% 23.7% 4.1 3.5 18.0%Munis 10 12 11 -13.5% -4.3% 12 12 -0.6%ABS 1.6 1.9 1.3 -16.0% 22.1% 1.5 1.4 7.5%

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Chart Book: Total Fixed Income


Chart Book: Total Fixed Income • Issuance: 3Q20 $3.2T, +37.5% Y/Y, +3.9% Q/Q; FY19 $8.2T, +10.1% Y/Y • ADV: 3Q20 $972B, -5.3% Y/Y, -14.0% Q/Q; FY19 $897B, +9.7% Y/Y

Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Agencies, US Treasury, SIFMA estimates

UST30.9%

MBS29.5%

Corporates22.1%

Agency11.6%

Muni3.9%

ABS2.0%

US FI Issuance

6.87.5 7.6 7.4

8.28.8

0

1

2

3

4

5

6

7

8

9

FY15 FY16 FY17 FY18 FY19 YTD

US FI Issuance ($T)UST MBS Corporates Agency Muni ABS

UST63.4%

MBS30.1%

Corporates4.5%

Agency0.6%

Muni1.3%

ABS0.2%

US FI Trading

729777 766

818897

972

0

200

400

600

800

1,000

1,200


US FI Trading, ADV ($B)UST MBS Corporates Agency Muni ABS

Chart Book: US Treasuries (UST)


Chart Book: US Treasuries (UST) • Issuance:

o LT 3Q20 $1,066B, +21.6% Y/Y, +18.7% Q/Q; FY19 $2.9T, +9.3% Y/Y o All 3Q20 $5.2, +67.3% Y/Y, -25.6% Q/Q; FY19 $12.1T, +15.1% Y/Y

• ADV: 3Q20 $521B, -13.7% Y/Y, -21.4% Q/Q; FY19 $594B, +8.4% Y/Y

Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates Note: All issuance includes T-Bills

Notes76.4%

Bonds12.1%

TIPS4.5% FRN

7.1%

UST Issuance - LT Issuance

2,122 2,169 2,224

2,6852,935

2,722

0

500

1,000

1,500

2,000

2,500

3,000

3,500


UST Issuance - LT Issuance ($B)Notes Bonds TIPS FRN

Bills82.4%

Notes13.4%

Bonds2.1%

TIPS0.8%

FRN1.2%

UST Issuance - All Issuance

7,0178,301 8,787

10,49112,071

15,505

0

2,500

5,000

7,500

10,000

12,500

15,000

17,500


UST Issuance - All Issuance ($B)Bills Notes Bonds TIPS FRN

Chart Book: US Treasuries (UST)


Sources: Federal Reserve, New York Federal Reserve, US Treasury, SIFMA estimates

Bills27.8%

Coupons69.2%

TIPS2.5%

FRN0.6%

UST Trading, ADV

490519 505

548594 616

0

100

200

300

400

500

600

700


UST Trading, ADV ($B)Bills Coupons TIPS FRN

0.600.84 0.73

1.36

2.67

1.68

1.10

0.14

1.972.22

1.56

2.442.24

2.93

1.79

1.38

0.65

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

1Q19

2Q19

3Q19

4Q19

1Q20

2Q20

3Q20

UST Interest Rates (%)Spread 2-Year 10-Year

0.11 0.160.40

0.70

1.15

1.74

2.40

1.26

0.09

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

1Q19

2Q19

3Q19

4Q19

1Q20

2Q20

3Q20

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: 3Q20 $1,124B, +84.1% Y/Y, +26.0% Q/Q; FY19 $2.1T, +12.8% Y/Y • ADV:

o Agency 3Q20 $284B, +12.3% Y/Y, +7.2% Q/Q; FY19 $248B, +13.5% Y/Y o Non-Agency 3Q20 $2.6B, +6.3% Y/Y, -26.0% Q/Q; FY19 $2.7B, +12.9% Y/Y

Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates

Agency MBS

86.5%

Agency CMO

11.8%

Non-Agency1.7%

US MBS Issuance

1,8012,044 1,935 1,875

2,116

2,603

0

500

1,000

1,500

2,000

2,500

3,000


US MBS Issuance ($B)Agency MBS Agency CMO Non-Agency

Agency98.8%

Non-Agency1.2%

US MBS Trading, ADV

196209 212 221

250

292

0

50

100

150

200

250

300

350


US MBS Trading, ADV ($B)Agency Non-Agency

Chart Book: Corporate Bonds (Corporates)


Chart Book: Corporate Bonds (Corporates) • Issuance: 3Q20 $508B, +23.8% Y/Y, -41.9% Q/Q; FY19 $1.4T, +3.7% Y/Y • ADV: 3Q20 $36B, +7.1% Y/Y, -28.1% Q/Q; FY19 $36, +8.4% Y/Y

Sources: Refinitiv, Federal Reserve, SIFMA estimates

IG77.2%

HY15.8%

Private Placement7.0%

Convertibles0.1%

US Corporate Issuance

1,511 1,5501,671

1,372 1,423

1,945

0

250

500

750

1,000

1,250

1,500

1,750

2,000


US Corporate Issuance ($B)IG HY Private Placement Convertibles

IG51.0%

HY20.2%

Private Placement

24.1%

Convertibles4.7%

US Corporate Trading, ADV

2831 32

3336

44

0

5

10

15

20

25

30

35

40

45

50


US Corporate Trading, ADV ($B)IG HY Private Placement Convertibles

Chart Book: Corporate Bonds (Corporates)


Source: Refinitiv, Federal Reserve, FINRA, S&P Global Ratings, SIFMA estimates

32.7%

13.5%10.2%

8.2% 7.0% 5.8% 5.0%

17.5%

0%

10%

20%

30%

40%

Fina

ncia

ls

Ener

gy a

ndPo

wer

Indu

stria

ls

Hig

hTe

chno

logy

Hea

lthca

re

Con

sum

erSt

aple

s

Med

ia a

ndEn

terta

inm

ent

Oth

er

US Corporate Issuance

66

105

64

44

74

108

0

20

40

60

80

100

120


US Corporate Bond Defaults

17.5

16.6

16.2

17.217.0

18.1

15

16

17

18

19


US Corporates Average Maturity at Issuance (# Years)

3.03.7

2.93.4 3.2

4.1 4.3

2.93.7

2.3

2.1

6.6

8.9

6.66.0

6.7

8.0

6.0

9.3

7.06.1

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

2Q20

3Q20

US Corporate Bond Index Yield to Maturity (%)

Chart Book: Municipal Securities (Munis)


Chart Book: Municipal Securities (Munis) • Issuance: 3Q20 $140B, +31.3% Y/Y, +25.3% Q/Q; FY19 $426B, +22.9% Y/Y • ADV: 3Q20 $10.4B, -4.3% Y/Y, -13.5% Q/Q; FY19 $12B, -0.6% Y/Y

Source: Refinitiv, Federal Reserve, SIFMA estimates

Revenue56.4%

GO38.8%

Private Placement4.9%

US Municipal Issuance

405

452 449

347

426

347

0

100

200

300

400

500


US Municipal Issuance ($B)Revenue GO Private Placement

Revenue67.8%

GO24.9%

Other7.3%

US Municipal Trading, ADV

8.6

11.1 10.811.6 11.5

12.8

0

2

4

6

8

10

12

14


US Municipal Trading, ADV ($B)Revenue GO Other

Chart Book: Municipal Securities (Munis)


Source: Refinitiv, Bloomberg, Municipal Securities Rulemaking Board, SIFMA estimates

30.2%26.3%

13.8%11.2%

6.6%4.6%

2.7%4.6%

0%

10%

20%

30%

40%

Educ

atio

n

Gen

eral

Purp

ose

Tran

spor

tatio

n

Util

ities

Hea

lthca

re

Hou

sing

Dev

elop

men

t

Oth

er

US Municipal Issuance

16.4

16.8

17.5

18.1 18.1

17.5

15.5

16.0

16.5

17.0

17.5

18.0

18.5


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

2.0

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

2Q20

3Q20

US Municipal Bond Index Yield to Maturity (%)

Chart Book: Federal Agency Securities (Agency)


Chart Book: Federal Agency Securities (Agency) • Issuance: 3Q20 $340B, +19.8% Y/Y, +9.3% Q/Q; FY19 $989B, +51.4% Y/Y • ADV: 3Q20 $5.2B, +23.7% Y/Y, -14.2% Q/Q; FY19 $4.1B, +18.0% Y/Y

Source: US Agencies, FINRA, SIFMA estimates

FHLB39.9%

FHLMC26.2%

Farm Credit17.3%

FNMA15.4%

Farmer Mac1.0%

TVA0.1%

US Agency Issuance

645

928

731654

989 1,023

0

200

400

600

800

1,000

1,200


US Agency Issuance ($B)FHLB FHLMC Farm Credit FNMA Farmer Mac TVA

FHLB25.4%

FHLMC25.2%FNMA

20.1%

Other29.3%

US Agency Trading, ADV

4.5

5.4

4.1

3.5

4.1

5.6

0

1

2

3

4

5

6


US Agency Trading, ADV ($B)FHLB FHLMC FNMA Other

Chart Book: Asset-Backed Securities (ABS)


Chart Book: Asset-Backed Securities (ABS) • Issuance: 3Q20 $70.7B, -5.4% Y/Y, +78.2% Q/Q; FY19 $310B, -40.0% Y/Y • ADV: 3Q20 $1.6B, +22.1% Y/Y, -16.0% Q/Q; FY19 $1.5B, +7.5% Y/Y

Source: Refinitiv, Bloomberg, FINRA, SIFMA estimates

Auto49.9%

CDO/CLO17.4%

Student Loans7.9%

Equipment8.8%

CC0.9%

Other15.2%

US ABS Issuance

333 325

550517

310

179

0

100

200

300

400

500

600


US ABS Issuance ($B)Auto CDO/CLO Student Loans Equipment CC Other

ABS60.7%

CDO39.3%

US ABS Trading

1.41.3 1.4

1.41.5

2.0

0.0

0.5

1.0

1.5

2.0

2.5


US ABS Trading, ADV ($B)ABS CDO

Chart Book: Secured Overnight Financing Rate (SOFR)


Chart Book: Secured Overnight Financing Rate (SOFR) • SOFR Rate: As of 9/30/20 = 9 bps, 90 day rolling average • Fed Volumes: As of 9/30/20 = $975B • Market Volumes: As of 8/31/20 = futures $4.0T, aggregate notional outstanding $66.9T

Source: The Alternative Reference Rates Committee, Federal Reserve Bank of New York, SIFMA estimates

8

42

107

245

158

8

0

50

100

150

200

250

0

200

400

600

800

1,000

1,200

12/3

1/14

3/31

/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

6/30

/20

9/30

/20

Historical SOFR Volumes & 90-Day Rolling Average Rate

Volume ($B) Rate (bps, RHS)

97 406 943 2,064 4,065

7,560 11,323

16,322

24,433

32,751

39,361

50,108 55,172

62,970 66,939

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

0

2,000

4,000

6,000

8,000

10,000

12,000

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

Apr-2

0

May

-20

Jun-

20

Jul-2

0

Aug-

20

SOFR Linked Product Growth Since May 2018 Inception ($B)

Futures Volume Swaps NO Cash NO Agg NO (RHS)

Appendix: Terms to Know


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


Authors SIFMA Research Katie Kolchin, CFA, Director of Research Justyna Podziemska Ali Mostafa [email protected]

mailto:[email protected]

Executive SummaryUS Fixed Income Markets vs. Rest of WorldQuarterly Performance

Chart Book: Total Fixed IncomeChart Book: US Treasuries (UST)Chart Book: Mortgage-Backed Securities (MBS)Chart Book: Corporate Bonds (Corporates)Chart Book: Municipal Securities (Munis)Chart Book: Federal Agency Securities (Agency)Chart Book: Asset-Backed Securities (ABS)Chart Book: Secured Overnight Financing Rate (SOFR)Appendix: Terms to KnowAuthors

Documents

SIFMA Research Quarterly – 3Q20 · 2020. 10. 13. · • Asset-Backed Securities (ABS) – ABS are financial securities collateralized by a pool of typically illiquid assets such