sifma research quarterly – 3q19 · 12/3/2019 · since mortgages (a debt instrument...

Executive Summary

US Fixed Income Page | 1

SIFMA Research Quarterly – 3Q19 US Fixed Income Markets

December 2019

Executive Summary


Contents Executive Summary ................................................................................................................................................................................... 4 Quarterly Performance ............................................................................................................................................................................... 5 Chart Book: Total Fixed Income ................................................................................................................................................................. 6 Chart Book: US Treasuires (UST) .............................................................................................................................................................. 7 Chart Book: Mortgage-Backed Securities (MBS) ....................................................................................................................................... 9 Chart Book: Corporate Bonds (Corporates) ............................................................................................................................................. 10 Chart Book: Municipal Securities (Munis) ................................................................................................................................................. 12 Chart Book: Federal Agency Securities (Agency) .................................................................................................................................... 14 Chart Book: Asset-Backed Securities (ABS) ............................................................................................................................................ 15 Chart Book: Money Markets (MM) ............................................................................................................................................................ 16 Chart Book: Repurchase Agreements (Repo) .......................................................................................................................................... 17 Chart Book: Secured Overnight Financing Rate (SOFR) ......................................................................................................................... 20 Appendix: Terms to Know ........................................................................................................................................................................ 21 Authors ..................................................................................................................................................................................................... 22

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 © 2019

Associated Reports

Please also see SIFMA Research Quarterly Report: US Cash Equities, ETFs, Multi-Listed Options and Capital Formation, which can be found at: https://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: https://www.sifma.org/primers

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https://www.sifma.org/research/

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Executive Summary


Executive Summary The U.S. fixed income markets are the largest in the world, comprising 40.2% of the $103 trillion securities outstanding across the globe, or $41 trillion (as of FY18). This is 1.9x the next largest market, the EU (excluding the U.K.). U.S. market share has averaged 39.5% over the last 10 years, troughing at 37.4% in 2011 and peaking at 41.8% in 2015. US Market Share – YTD

US Market Share – Historical Trends

Source: Bank for International Settlements (2018)

US40%

EU2721%

China13%

Japan12%

UK6%

Canada3%

EM2%

Australia2%

HK1%

Singapore0.4%

Other DM0.4%

Global FI Outstanding

81 85 88 90 90 88 89 92 101 103

31 32 33 34 35 36 37 38 40 41

0

20

40

60

80

100

120

FY09 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18

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

Executive Summary


Quarterly Performance In this report, we 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 secured overnight financing rate (SOFR).

Quarterly Highlights

Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Treasury, US Agencies, SIFMA estimates Note: Outstanding data for ABS and MBS as of 1Q19, the latest data available at the time of publication

3Q19 3Q18 Y/Y YTD19 YTD18 Y/Y 2018 2017 Y/YIssuance ($B)UST 876 655 33.8% 2,180 1,897 14.9% 2,685 2,224 20.7%MBS 610 519 17.4% 1,432 1,446 -1.0% 1,899 1,935 -1.9%Corporates 406 323 25.6% 1,142 1,111 2.7% 1,369 1,680 -18.5%Muni 105 142 -25.7% 278 253 9.9% 346 449 -23.0%Agency 284 5,334 -94.7% 729 498 46.4% 654 731 -10.6%ABS 75 129 -42.0% 249 409 -39.1% 517 550 -6.1%

3Q19 3Q18 Y/Y YTD19 YTD18 Y/Y 2018 2017 Y/YTrading (ADV, $B)UST 605 493 22.8% 604 535 13.0% 548 505 8.4%MBS 255 209 22.0% 254 223 13.9% 221 212 4.7%Corporates 33 29 12.8% 36 33 9.9% 33 32 2.3%Muni 10.9 11.4 -4.7% 11.7 11.6 1.4% 11.6 10.8 7.9%Agency 4.2 3.5 22.1% 4.1 3.4 22.1% 3.4 4.1 -16.6%ABS 1.3 1.2 12.7% 1.6 1.5 5.6% 1.4 1.4 0.2%

2Q19 2Q18 Y/Y 2018 2017 Y/YOutstanding ($B)UST 15,922 14,972 6.3% 15,608 14,469 7.9%MBS* 9,817 9,484 3.5% 9,732 9,305 4.6%Corporates 9,467 9,102 4.0% 9,229 9,013 2.4%Muni 3,547 3,866 -8.3% 3,688 3,659 0.8%Agency 1,869 1,900 -1.6% 1,842 1,935 -4.8%ABS* 1,561 1,528 2.2% 1,616 1,458 10.8%MM 1,090 1,052 3.7% 996.0 965.9 3.1%

Chart Book: Total Fixed Income


Chart Book: Total Fixed Income 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.

Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Treasury, US Agencies, SIFMA estimates (MBS/ABS outstanding 1Q19, YTD Sept 2019)

UST36.9%

MBS22.7%

Corporates21.7%

Munis8.4%

Agency4.2%

ABS3.6%

MM2.5%

US FI Outstanding

37.3 38.3 39.6 40.842.7 43.3

0

5

10

15

20

25

30

35

40

45

50

FY14 FY15 FY16 FY17 FY18 2Q19

US FI Outstanding ($T)UST MBS Corporates Munis Agency ABS MM

UST36.3%

MBS23.8%

Corporates19.0%

Muni4.6%

Agency12.1%

ABS4.1%

US FI Issuance

6.46.8

7.5 7.6 7.5

6.0

0

1

2

3

4

5

6

7

8

FY14 FY15 FY16 FY17 FY18 YTD

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

UST66.2%

MBS27.9%

Corporates4.0%

Muni1.3%

Agency0.5%

ABS0.2%

US FI Trading

729 728779 765

818912

0

200

400

600

800

1,000


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

Chart Book: US Treasuires (UST)


Chart Book: US Treasuires (UST) U.S. Treasury securities (UST) are debt obligations of the federal government used to fund 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.

Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates (YTD = Sept 2019)

Notes59.8%

Bills14.5%

Bonds14.2%

TIPS8.9%

FRN2.6%

UST Outstanding

12,505 13,192 13,908 14,469

15,608 16,339

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000


UST Outstanding ($B)Bills Notes Bonds TIPS FRN

Bills75.5%

Notes19.3%

Bonds2.0%

FRN1.9%

TIPS1.3%

UST Issuance

7,030 7,017

8,3018,787

10,491

8,910

0

2,000

4,000

6,000

8,000

10,000

12,000


UST Issuance ($B)Bills Notes Bonds TIPS FRN

Chart Book: US Treasuires (UST)


Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates (YTD = Sept 2019)

Coupons74.7%

Bills21.7%

TIPS3.0%

FRN0.6%

UST Trading, ADV

505 490519 505

548604

0

100

200

300

400

500

600

700


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

37.6%

14.5% 12.9% 11.7% 11.2%

5.1%3.4% 2.0% 1.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Fore

ign

Pen

sion

s

Mon

Aut

h

MFs

Indi

vidu

als

Ban

ks

S/L

Gov

t

Insu

ranc

e

Oth

er

UST Holders - Institutions

16.9%16.3%

5.1% 4.4% 4.0% 3.7% 3.5% 3.4% 3.3% 3.2% 2.8%

33.2%

0%

5%

10%

15%

20%

25%

30%

35%

Japa

n

Chi

na UK

Bra

zil

Irela

nd

Luxe

mbo

urg

Cay

man

Is

Sw

itzer

land HK

Bel

gium

Indi

a

Oth

er

UST Holders - T10 Countries

0.370.51 0.60 0.69

0.84 0.73

1.24 1.36

2.16

2.80

2.131.68

2.772.50

1.972.22

1.921.56

2.452.24

2.753.04

2.34

1.80

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

1Q14 3Q14 1Q15 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19

US Treasury Interest Rates (%)Spread 2-Year 10-Year

0.07 0.10 0.14

0.37 0.45

0.95

1.20

1.74

2.222.40

2.20

0.0

0.5

1.0

1.5

2.0

2.5

1Q14 3Q14 1Q15 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19

Federal Funds Rate (%)Target Range Effective Rate

Chart Book: Mortgage-Backed Securities (MBS)

US Fixed Income Markets Page | 9

Chart Book: 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 mortgage-backed securities (MBS), whether in pass-throughs or collateralized mortgage obligations (CMOs).

Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates (YTD = Sept 2019)

Agency MBS

74.6%

Non-Agency14.1%

Agency CMO

11.3%

US MBS Outstanding

8,842 8,895 9,023 9,305 9,732 9,817

0

2,000

4,000

6,000

8,000

10,000

12,000

FY14 FY15 FY16 FY17 FY18 1Q19

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

Agency MBS

80.5%

Agency CMO

13.7%

Non-Agency5.8%

US MBS Issuance

1,440

1,8012,044

1,935 1,906

1,432

0

500

1,000

1,500

2,000

2,500


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

Agency98.8%

Non-Agency1.2%

US MBS Trading, ADV

182195

212 212 221

254

0

100

200

300


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

Chart Book: Corporate Bonds (Corporates)


Chart Book: Corporate Bonds (Corporates) Corporate bonds (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.

Sources: Refinitiv, Federal Reserve, SIFMA estimates (YTD = Sept 2019)

8,044 8,293

8,696

9,013 9,229

9,467

7,000

7,500

8,000

8,500

9,000

9,500

10,000

FY14 FY15 FY16 FY17 FY18 2Q19

US Corporate Outstanding ($B)

IG76.5%

HY16.9%

Private Placement6.6%

Convertibles0.1%

US Corporate Issuance

1,476 1,515 1,5501,680

1,369

1,143

0

500

1,000

1,500

2,000


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

IG55.1%Private

Placement20.8%

HY20.2%

Convertibles3.9%

US Corporate Trading, ADV

25.927.8

30.7 31.8 32.536.3

0

5

10

15

20

25

30

35

40


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

Chart Book: Corporate Bonds (Corporates)


Source: Refinitiv, Federal Reserve, FINRA, S&P Global Ratings, SIFMA estimates (YTD = Sept 2019)

36.9%

14.8%

7.8% 7.8% 7.0% 5.5% 5.2%

15.1%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Fina

ncia

ls

Ene

rgy

Hea

lthca

re

Tech

nolo

gy

Indu

stria

ls

Con

sum

erS

tapl

es

Ent

erta

inm

ent

Oth

er

US Corporate Issuance

32

66

105

64

4453

0

20

40

60

80

100

120


US Corporate Bond Defaults

14.7

17.0

15.5 15.3

16.9 17.0

13.5

14.0

14.5

15.0

15.5

16.0

16.5

17.0

17.5


US Corporates Average Maturity at Issuance (# Years)

3.2 3.23.7 3.4 3.2

4.1 4.3

3.0

6.26.9

8.9

6.56.0

6.7

8.0

6.4

0

1

2

3

4

5

6

7

8

9

10

1Q14 3Q14 1Q15 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19

US Corporate Bond Index Yield to Maturity (%)Spread IG HY

Chart Book: Municipal Securities (Munis)


Chart Book: Municipal Securities (Munis) Municipal bonds (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.

Source: Refinitiv, Federal Reserve, SIFMA estimates (YTD = Sept 2019)

3,592 3,607

3,724

3,659 3,688

3,547

3,450

3,500

3,550

3,600

3,650

3,700

3,750

FY14 FY15 FY16 FY17 FY18 2Q19

US Municipal Outstanding ($B)

Revenue54.0%

GO42.1%

Private Placement3.8%

US Municipal Issuance

339

405452 449

346

278

0

100

200

300

400

500


US Municipal Issuance ($B)Revenue GO Private Placement

Revenue65.5%

GO26.8%

Other7.7%

US Municipal Trading, ADV

9.98.6

11.1 10.811.6 11.7

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 (YTD = Sept 2019)

27.7%25.7%

15.7%

9.9%7.9%

5.9%2.6%

4.6%

0%

5%

10%

15%

20%

25%

30%

Edu

catio

n

Gen

eral

Tran

spor

tatio

n

Util

ities

Hea

lthca

re

Hou

sing

Pow

er

Oth

er

US Municipal Issuance46.5%

25.5%

12.3% 12.1%

3.6%

0%5%

10%15%20%25%30%35%40%45%50%

Indi

vidu

als

MFs

Ban

ks

Insu

ranc

e

Oth

er

US Municipal Holders

16.0

16.4

16.8

17.5

18.1 18.1

15.5

16.0

16.5

17.0

17.5

18.0

18.5


US Municipal Average Maturity at Issuance (# Years)

3.63.2

2.8

3.43.1

3.5

2.9

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

1Q14 3Q14 1Q15 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19

US Municipal Bond Index Yield to Maturity (%)

Chart Book: Federal Agency Securities (Agency)


Chart Book: 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.

Source: US Agencies, FINRA, SIFMA estimates (YTD = Sept 2019)

FNMA55.2%

FHLMC15.5%

Farm Credit15.4%

FHLB11.7%

Farmer Mac1.2%

TVA1.0%

US Agency Outstanding

2,029 1,995 1,972 1,9351,842 1,830

0

250

500

750

1,000

1,250

1,500

1,750

2,000

2,250


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

FHLB60.8%

FHLMC20.8%

Farm Credit14.9%

FNMA2.5%

Farmer Mac1.0%

US Agency Issuance

559645

928

731654

729

0

200

400

600

800

1,000


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

FHLB 41%

Other 29%

FHLMC 18%

FNMA 13%

US Agency Trading, ADV

5.3

4.5

5.4

4.1

3.4

4.1

0

1

2

3

4

5

6


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

Chart Book: Asset-Backed Securities (ABS)


Chart Book: Asset-Backed Securities (ABS) An asset-backed security (ABS) is a financial security 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.

Source: Refinitiv, Bloomberg, FINRA, SIFMA estimates (YTD = Sept 2019)

CDO/CLO

49.7%

Auto14.7%

Other13.3%

Student Loans10.6%

CC7.6%

Equipment4.0%

US ABS Outstanding

1,349 1,377 1,392 1,458 1,616 1,561

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

FY14 FY15 FY16 FY17 FY18 1Q19

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

Auto36.9%

CDO/CLO28.0%

Other15.3%

CC7.4%

Equipment7.3%

Student Loans4.9%

US ABS Issuance

393

333 325

550517

249

0

200

400

600


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

ABS71.9%

CDO28.1%

US ABS Trading, ADV

1.5 1.41.3

1.4 1.41.6

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8


US ABS Trading, ADV ($B)ABS CDO

Chart Book: Money Markets (MM)


Chart Book: Money Markets (MM) The money markets (MM) 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.

Source: Federal Reserve, SIFMA estimates

930 941 885

966 996 1,090

0

200

400

600

800

1,000

1,200

FY14 FY15 FY16 FY17 FY18 2Q19

US Money Markets Outstanding ($B)

Financial 49.3%

Non-Financial

28.5%

ABCP 22.2%

US CP Outstanding

930 941885

966 9961,090

0

200

400

600

800

1,000

1,200

FY14 FY15 FY16 FY17 FY18 2Q'19

US Commercial Paper Outstanding Non-Financial Financial ABCP Other

Chart Book: Repurchase Agreements (Repo)


Chart Book: Repurchase Agreements (Repo) A repurchase agreement (repo) is a financial transaction 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.

Bilateral Repo

Source: Federal Reserve Bank of New York, SIFMA estimates (YTD = Sept 2019)

Repo56.0%

Reverse Repo44.0%

Bilateral Repo - Avg Daily Out

4.24.0 4.0 4.0 3.9

4.4

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0


Bilateral Repo - Avg Daily Outstanding ($T)Repo Reverse Repo

UST68.0%

MBS17.9%

TIPS6.1%

Corporate2.5%

Equities2.1%

Other1.7%

Agency1.0% ABS

0.7%

Collateral - Repo

UST76.7%

MBS12.1%

TIPS8.2%

Other0.7%

Corporate0.0%

ABS1.2%

Agency0.5%

Equities0.5%

Collateral - Reverse Repo



Source: Federal Reserve Bank of New York, SIFMA estimates (YTD = Sept 2019

Overnight71.3%

Term28.7%

Avg Daily Out - Repo

2.412.21 2.20 2.24 2.19

2.45

0.0

0.5

1.0

1.5

2.0

2.5

3.0


Average Daily Outstanding - Repo ($T)Overnight Term

Overnight54.2%

Term45.8%

Avg Daily Out - Reverse Repo

1.84 1.76 1.81 1.77 1.691.93

0.0

0.5

1.0

1.5

2.0

2.5


Average Daily Outstanding - Reverse Repo ($T)Overnight Term



GCF Repo

Source: Federal Reserve Bank of New York, The Depository Trust & Clearing Corporation, SIFMA estimates (YTD = Sept 2019)

MBS63.9%

UST36.1%

GCF Repo Total Par Amount

50.455.2

46.1

30.833.3

26.3

0

10

20

30

40

50

60


GCF Repo Total Par Amount ($T)MBS UST Agency

MBS63.9%

UST36.1%

GCF Repo Avg Par Amount

202221

187

123134 140

0

50

100

150

200

250


GCF Repo Average Daily Par Amount ($B)MBS UST Agency

UST52.1%Agency

MBS & CMOs33.4%

Equities5.0%

Corporates3.8%

Non-Agency ABS & MBS

2.9%

Other1.5% Agency

Securities1.4%

Tri-Party Repo by Collateral

2.0%2.0%2.0%2.0%

3.9%5.0%5.0%5.0%

7.0%7.0%7.0%

8.0%8.0%8.0%

10.0%

0% 2% 4% 6% 8% 10% 12%

Agency Debentures & StripsAgency MBS

UST excl StripsUST Strips

Agency CMOsCorporates (IG)

International SecuritiesMoney Market

Municipality DebtABS (IG)

CMO Private Label (IG)Equities

CMO Private Label (Non-IG)Corporates (Non-IG)

ABS (Non-IG)

Tri-Party Repo Cash Investor Median Margin

Chart Book: Secured Overnight Financing Rate (SOFR)


Chart Book: Secured Overnight Financing Rate (SOFR) In the U.S., the transition away from London Interbank Offered Rate (LIBOR) to its chosen alternative reference rate, Secured Overnight Financing 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.

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

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

0

5,000

10,000

15,000

20,000

25,000

30,000

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

May-18 Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19

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 Justyna Podziemska Ali Mostafa [email protected]

mailto:[email protected]

sifma research quarterly – 3q19 · 12/3/2019 · since mortgages (a debt instrument...

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