sifma research quarterly – 4q19...mar 27, 2020 · sifma is the leading trade association for...
TRANSCRIPT
Executive Summary
US Fixed Income Page | 1
SIFMA Research Quarterly – 4Q19 US Fixed Income Markets
March 2020
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: Money Markets (MM) ............................................................................................................................................................ 17 Chart Book: Repurchase Agreements (Repo) .......................................................................................................................................... 18 Chart Book: Secured Overnight Financing Rate (SOFR) ......................................................................................................................... 21 Appendix: Terms to Know ........................................................................................................................................................................ 22 Authors ..................................................................................................................................................................................................... 23
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, 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
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.
• 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
Executive Summary
US Fixed Income Page | 5
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 39.4% of the $103 trillion securities outstanding across the globe, or $41 trillion (as of 3Q19). This is 1.9x the next largest market, the EU. U.S. market share has averaged 39.4% over the last 10 years, troughing at 37.4% in 2011 and peaking at 41.8% in 2015. US Market Share
Source: Bank for International Settlements (3Q19, data for all countries has a one quarter lag).
US39%
EU21%
China13%
Japan12%
UK6%
Canada3%
EM2%
Australia2%
HK1%
Singapore0.5%
Other DM0.3%
Global FI Outstanding
81 85 88 90 90 88 89 92 101 102 103
31 32 33 34 35 36 37 38 39 40 41
0
20
40
60
80
100
120
FY09 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 3Q19
US Share of Global FI Markets ($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 Treasury, US Agencies, SIFMA estimates Note: Issuance = LT securities only; corporates ex- convertible bonds. *MBS/ABS outstanding data has a one quarter lag.
4Q19 3Q19 4Q18 Q/Q Y/Y 2019 2018 Y/YIssuance ($B) 2,173 2,358 1,824 -7.9% 19.1% 8,186 7,440 10.0%UST 756 876 787 -13.8% -4.0% 2,935 2,685 9.3%MBS 677 611 460 10.9% 47.3% 2,110 1,906 10.7%Corporates 273 406 222 -32.8% 23.0% 1,415 1,333 6.2%Muni 146 107 93 35.9% 56.8% 426 346 23.1%Agency 261 284 155 -8.1% 68.4% 989 654 51.4%ABS 61 75 108 -18.3% -43.5% 310 517 -40.0%
4Q19 3Q19 4Q18 Q/Q Y/Y 2019 2018 Y/YTrading (ADV, $B)UST 561 604 588 -7.1% -4.6% 594 548 8.4%MBS - Agency 237 254 214 -6.4% 10.9% 248 218 13.5%MBS - Non Agency 3 2 2 8.3% 13.9% 3 2 13.0%Corporates 32 32 31 -1.2% 3.9% 35 33 8.3%Muni 11 11 12 -1.2% -9.3% 12 12 -0.6%Agency 3.9 4.2 3.6 -7.0% 7.7% 4.1 3.5 17.5%ABS 1.5 1.3 1.5 9.7% -3.2% 1.5 1.4 7.5%
4Q19 3Q19 4Q18 Q/Q Y/Y 2019 2018 Y/YOutstanding ($B) 45,129 44,191 42,862 2.1% 5.3% 45,129 42,862 5.3%UST 16,673 16,339 15,608 2.0% 6.8% 16,673 15,608 6.8%MBS* 10,334 9,881 9,732 4.6% 6.2% 10,334 9,732 6.2%Corporates 9,598 9,608 9,233 -0.1% 3.9% 9,598 9,233 3.9%Muni 3,854 3,815 3,835 1.0% 0.5% 3,854 3,835 0.5%Agency 1,826 1,830 1,842 -0.2% -0.9% 1,826 1,842 -0.9%ABS* 1,799 1,644 1,616 9.4% 11.4% 1,799 1,616 11.4%MM 1,045 1,075 996 -2.8% 4.9% 1,045 996 4.9%
Chart Book: Total Fixed Income
US Fixed Income Page | 7
Chart Book: Total Fixed Income • Outstanding: FY19 $45.1T, +5.3% Y/Y; 4Q19 $45.1T, +5.3% Y/Y, +2.1% Q/Q • Issuance: FY19 $8.2T, +10.0% Y/Y; 4Q19 $2.2T, +19.1% Y/Y, -7.9% Q/Q
Sources: Bloomberg, Dealogic, Federal Reserve, Refinitiv, US Treasury, US Agencies, SIFMA estimates (outstanding 3Q19).
UST, 36.9%
MBS, 22.9%
Corporates, 21.3%
Munis, 8.5%
Agency, 4.0%
ABS, 4.0%
MM, 2.3%
US FI Outstanding
37.5 38.5 39.8 41.0 42.9 45.1
0
5
10
15
20
25
30
35
40
45
50
FY14 FY15 FY16 FY17 FY18 FY19
US FI Outstanding ($T)UST MBS Corporates Munis Agency ABS MM
UST35.9%
MBS25.8%
Corporates17.3%
Agency12.1%
Muni5.2%
ABS3.8%
US FI Issuance
6.46.8
7.4 7.5 7.48.2
0
1
2
3
4
5
6
7
8
9
FY14 FY15 FY16 FY17 FY18 FY19
US FI Issuance ($T)UST MBS Corporates Muni Agency ABS
UST66.2%
MBS27.9%
Corporates3.9%
Muni1.3%
Agency0.5% ABS
0.2%
US FI Trading
729 729777 765
817896
0
200
400
600
800
1,000
FY14 FY15 FY16 FY17 FY18 FY19
US FI Trading, ADV ($B)UST MBS Corporates Muni Agency ABS
Chart Book: US Treasuries (UST)
US Fixed Income Page | 8
Chart Book: US Treasuries (UST) • Outstanding: FY19 $16.7T, +6.8% Y/Y; 4Q19 $16.7T, +6.8% Y/Y, +2.0% Q/Q • Issuance (LT only): FY19 $2.9T, +9.3% Y/Y; 4Q19 $756B, -4.0% Y/Y, -13.8% Q/Q • ADV: FY19 $594B, +8. 4%; 4Q19 $561B, -4. 6% Y/Y, -7.1% Q/Q
Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates.
12,505 13,192
13,908 14,469 15,608
16,673
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
18,000
FY14 FY15 FY16 FY17 FY18 FY19
UST Outstanding ($B)Bills Notes Bonds TIPS FRN
Notes59.6%
Bills14.5%
Bonds14.3%
TIPS9.0%
FRN2.6%
UST Outstanding
Notes, 78.7%
Bonds, 8.1%
FRN, 7.8%
TIPS, 5.4%
UST Issuance - LT Issuance
2,215 2,122 2,169 2,224
2,685 2,935
0
500
1,000
1,500
2,000
2,500
3,000
3,500
FY14 FY15 FY16 FY17 FY18 FY19
UST Issuance - LT Issuance ($B)Notes Bonds TIPS FRN
Bills, 75.7%
Notes, 19.1%
Bonds, 2.0%
FRN, 1.9% TIPS,
1.3%
UST Issuance - All Issuance
7,030 7,0178,301 8,787
10,491
12,071
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
FY14 FY15 FY16 FY17 FY18 FY19
UST Issuance - All Issuance ($B)Bills Notes Bonds TIPS FRN
Chart Book: US Treasuries (UST)
US Fixed Income Page | 9
Sources: US Treasury, New York Federal Reserve, Federal Reserve, SIFMA estimates.
Coupons74.5%
Bills21.9%
TIPS3.0%
FRN0.6%
UST Trading, ADV
505490
519505
548594
0
100
200
300
400
500
600
700
FY14 FY15 FY16 FY17 FY18 FY19
UST Trading, ADV ($B)Bills Coupons TIPS FRN
35.3%
15.7%13.2% 13.3%
10.2%
5.4%3.4%
1.9% 1.6%
0%
5%
10%
15%
20%
25%
30%
35%
40%
Fore
ign
Pens
ions
Mon
Aut
h
MFs
Indi
vidu
als
Bank
s
S/L
Gov
t
Insu
ranc
e
Oth
er
UST Holders - Institutions
17.2% 16.0%
5.0% 4.2% 4.2% 3.8% 3.4% 3.5% 3.3% 3.1% 2.9%
33.2%
0%
5%
10%
15%
20%
25%
30%
35%
Japa
n
Chi
na UK
Braz
il
Irela
nd
Luxe
mbo
urg
Cay
man
Is
Switz
erla
nd HK
Belg
ium
Taiw
an
Oth
er
UST Holders - Countries
0.60 0.690.84 0.73
1.24 1.36
2.16
2.80
2.13
1.68 1.59
1.972.22
1.921.56
2.452.24
2.753.04
2.34
1.801.79
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
UST Interest Rates (%)Spread 2-Year 10-Year
0.090.11 0.16
0.370.45
0.95
1.201.74
1.92
2.22
0.0
0.5
1.0
1.5
2.0
2.5
1Q15
2Q15
3Q15
4Q15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
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) • Outstanding: FY19 (as of 3Q19) $10.3T, +6.2% Y/Y; 3Q19 $10.3T, +6.2% Y/Y, +4.6% Q/Q • Issuance: FY19 $2.1T, +10.7% Y/Y; 4Q19 $677B, +47.3% Y/Y, +10.9% Q/Q • ADV: Agency FY19 $248B, +13.5% Y/Y; 4Q19 $237B, +10.9% Y/Y, -6.4% Q/Q // Non Agency FY19 $2.7B,
+13.0% Y/Y; 4Q19 $2.6B, +13.9% Y/Y, +8.3% Q/Q
Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates.
Agency MBS
72.7%
Non-Agency16.5%
Agency CMO
10.8%
US MBS Outstanding
8,842 8,895 9,023 9,305 9,732 10,334
0
2,000
4,000
6,000
8,000
10,000
12,000
FY14 FY15 FY16 FY17 FY18 3Q19
US MBS Outstanding ($B)Agency MBS Agency CMO Non-Agency
Agency MBS
80.7%
Agency CMO
13.7%
Non-Agency5.6%
US MBS Issuance
1,440
1,801
2,0441,935 1,906
2,110
0
500
1,000
1,500
2,000
2,500
FY14 FY15 FY16 FY17 FY18 FY19
US MBS Issuance ($B)Agency MBS Agency CMO Non-Agency
Agency98.9%
Non-Agency1.1%
US MBS Trading, ADV
182196
210 212 221
250
0
100
200
300
FY14 FY15 FY16 FY17 FY18 FY19
US MBS Trading, ADV ($B)Agency Non-Agency
Chart Book: Corporate Bonds (Corporates)
US Fixed Income Markets Page | 11
Chart Book: Corporate Bonds (Corporates) • Outstanding: FY19 $9.6T, +3.9% Y/Y; 4Q19 $9.6T, +3.9% Y/Y, -0.1% Q/Q • Issuance (non-convertible bonds): FY19 $1.4T, +6.2% Y/Y; 4Q19 $273B, +23.0% Y/Y, -32.8% Q/Q • ADV: FY19 $35B, +8.3% Y/Y; 4Q19 $32B, +3.9$ Y/Y, -1.2% Q/Q
Sources: Refinitiv, Federal Reserve, SIFMA estimates.
8,0478,296
8,699
9,0189,233
9,598
7,000
7,500
8,000
8,500
9,000
9,500
10,000
FY14 FY15 FY16 FY17 FY18 FY19
US Corporate Outstanding ($B)
IG74.3%
HY17.7%
Private Placement7.9%
Convertibles0.1%
US Corporate Issuance
1,472 1,511 1,5421,669
1,3721,416
0
500
1,000
1,500
2,000
FY14 FY15 FY16 FY17 FY18 FY19
US Corporate Issuance ($B)IG HY Private Placement Convertibles
IG54.8%
Private Placement
21.3%
HY20.0%
Convertibles3.9%
US Corporate Trading, ADV
25.927.8
30.7 31.832.5
35.3
0
5
10
15
20
25
30
35
40
FY14 FY15 FY16 FY17 FY18 FY19
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.
36.3%
15.1%10.5%
7.8% 6.4% 5.8% 4.8%
13.3%
0%
5%
10%
15%
20%
25%
30%
35%
40%
Fina
ncia
ls
Ener
gy
Con
sum
erSt
aple
s
Hea
lthca
re
Indu
stria
ls
Tech
nolo
gy
Ente
rtain
men
t
Oth
er
US Corporate Issuance
32
66
105
64
44
73
0
20
40
60
80
100
120
FY14 FY15 FY16 FY17 FY18 FY19
US Corporate Bond Defaults
14.7
17.0
15.5 15.3
16.916.8
13.5
14.0
14.5
15.0
15.5
16.0
16.5
17.0
17.5
FY14 FY15 FY16 FY17 FY18 2Q19
US Corporates Average Maturity at Issuance (# Years)
3.2 3.2 3.7 3.4 3.24.1 4.3
3.3 2.9
6.26.9
8.9
6.56.0
6.7
8.0
6.5 6.0
0
1
2
3
4
5
6
7
8
9
101Q
142Q
143Q
144Q
141Q
152Q
153Q
154Q
151Q
162Q
163Q
164Q
161Q
172Q
173Q
174Q
171Q
182Q
183Q
184Q
181Q
192Q
193Q
194Q
19
US Corporate Bond Index Yield to Maturity (%)Spread IG HY
Chart Book: Municipal Securities (Munis)
US Fixed Income Markets Page | 13
Chart Book: Municipal Securities (Munis) • Outstanding: FY19 $3.9T, +0.5% Y/Y; 4Q19 $3.9T, +0.5% Y/Y, +1.0% Q/Q • Issuance: FY19 $426B, +23.1% Y/Y; 4Q19 $146B, +56.8% Y/Y, +35.9% Q/Q • ADV: FY19 $12B, -0.6% Y/Y; 4Q19 $11B, -9.3% Y/Y, -1.2% Q/Q
Source: Refinitiv, Federal Reserve, SIFMA estimates.
3,814
3,830
3,876 3,890
3,835
3,854
3,760
3,780
3,800
3,820
3,840
3,860
3,880
3,900
FY14 FY15 FY16 FY17 FY18 FY19
US Municipal Outstanding ($B)
Revenue57.8%
GO37.7%
Private Placement4.5%
US Municipal Issuance
339
405452 449
346
426
0
100
200
300
400
500
FY14 FY15 FY16 FY17 FY18 FY19
US Municipal Issuance ($B)Revenue GO Private Placement
Revenue66.5%
GO25.9%
Other7.6%
US Municipal Trading, ADV
9.98.6
11.1 10.811.6 11.5
0
2
4
6
8
10
12
14
FY14 FY15 FY16 FY17 FY18 FY19
US Municipal Trading, ADV ($B)Revenue GO Other
Chart Book: Municipal Securities (Munis)
US Fixed Income Markets Page | 14
Source: Refinitiv, Bloomberg, Municipal Securities Rulemaking Board, SIFMA estimates.
26.7%23.7%
16.7%
10.8%8.5%
5.8%2.6%
5.1%
0%
5%
10%
15%
20%
25%
30%
Educ
atio
n
Gen
eral
Tran
spor
tatio
n
Utili
ties
Hea
lthca
re
Hou
sing
Powe
r
Oth
er
US Municipal Issuance45.7%
26.8%
12.0% 12.0%
3.6%
0%5%
10%15%20%25%30%35%40%45%50%
Indi
vidu
als
MFs
Bank
s
Insu
ranc
e
Oth
er
US Municipal Holders
16.0
16.5
16.9
17.5
18.1 18.2
15.5
16.0
16.5
17.0
17.5
18.0
18.5
FY14 FY15 FY16 FY17 FY18 FY19
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
4.01Q
142Q
143Q
144Q
141Q
152Q
153Q
154Q
151Q
162Q
163Q
164Q
161Q
172Q
173Q
174Q
171Q
182Q
183Q
184Q
181Q
192Q
193Q
194Q
19
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) • Outstanding: FY19 $1.8T, -0.9% Y/Y; 4Q19 $1.8T, -0.9% Y/Y, -0.2% Q/Q • Issuance: FY19 $989B, +51.4% Y/Y; 4Q19 $261B, +68.4% Y/Y, -8.1% Q/Q • ADV: FY19 $4.1B, 17.5% Y/Y; 4Q19 $3.9B, +7.7% Y/Y, -7.0% Q/Q
Source: US Agencies, FINRA, SIFMA estimates.
FNMA56.2%FHLMC
16.1%
Farm Credit15.5%
FHLB10.0%
Farmer Mac1.2%
TVA1.0%
US Agency Outstanding
2,029 1,995 1,972 1,935 1,842 1,826
0
250
500
750
1,000
1,250
1,500
1,750
2,000
2,250
FY14 FY15 FY16 FY17 FY18 FY19
US Agency Outstanding ($B)FNMA FHLMC FHLB Farm Credit Farmer Mac TVA
FHLB62.0%
FHLMC18.8%
Farm Credit15.9%
FNMA2.2%
Farmer Mac1.0%
US Agency Issuance
559645
928
731654
989
0
200
400
600
800
1,000
1,200
FY14 FY15 FY16 FY17 FY18 FY19
US Agency Issuance ($B)FNMA FHLMC FHLB Farm Credit Farmer Mac TVA
FHLB 40%
Other 29%
FHLMC 18%
FNMA 13%
US Agency Trading, ADV
5.3
4.5
5.4
4.1
3.5
4.1
0
1
2
3
4
5
6
FY14 FY15 FY16 FY17 FY18 FY19
US Agency Trading, ADV ($B) FNMA FHLMC FHLB Other
Chart Book: Asset-Backed Securities (ABS)
US Fixed Income Markets Page | 16
Chart Book: Asset-Backed Securities (ABS) • Outstanding: FY19 (as of 3Q19) $1.8T, 11.4% Y/Y; 3Q19 $1.8T, +11.4 Y/Y, +9.4% Q/Q • Issuance: FY19 $310B, -40.0% Y/Y; 4Q19 $61B, -43.5% Y/Y, -18.3% Q/Q • ADV: FY19 $1.5B, +7.5% Y/Y; 4Q19 $1.5B, -3.2% Y/Y, +9.7% Q/Q
Source: Refinitiv, Bloomberg, FINRA, SIFMA estimates.
CDO/CLO45.2%
Other19.7%
Auto13.9%
Student Loans9.6% CC
7.1%
Equipment4.5%
US ABS Outstanding
1,349 1,377 1,392 1,458 1,616
1,799
0200400600800
1,0001,2001,4001,6001,8002,000
FY14 FY15 FY16 FY17 FY18 3Q19
US ABS Outstanding ($B)Auto CDO/CLO CC Equipment Other Student Loans
Auto38.3%
CDO/CLO23.1%
Other16.6%
Equipment10.4%
Student Loans5.1%
US ABS Issuance
393333 325
550517
310
0
200
400
600
FY14 FY15 FY16 FY17 FY18 FY19
US ABS Issuance ($B)Auto CDO/CLO CC Equipment Other Student Loans
ABS71.2%
CDO28.8%
US ABS Trading, ADV
1.5 1.41.3
1.4 1.41.5
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
FY14 FY15 FY16 FY17 FY18 FY19
US ABS Trading, ADV ($B)ABS CDO
Chart Book: Money Markets (MM)
US Fixed Income Markets Page | 17
Chart Book: Money Markets (MM) • Outstanding: FY19 $1.0T, +4.9% Y/Y; 4Q19 $1.0T, +4.9% Y/Y, -2.8% Q/Q
Source: Federal Reserve, SIFMA estimates.
930 941
885
966996
1045
800
850
900
950
1,000
1,050
1,100
FY14 FY15 FY16 FY17 FY18 FY19
US Money Markets Outstanding ($B)
Financial 51.4%
Non-Financial
24.1%
ABCP 24.4%
US CP Outstanding
930 941885
966 996 1,045
0
200
400
600
800
1,000
1,200
FY14 FY15 FY16 FY17 FY18 FY19
US Commercial Paper Outstanding Non-Financial Financial ABCP Other
Chart Book: Repurchase Agreements (Repo)
US Fixed Income Markets Page | 18
Chart Book: Repurchase Agreements (Repo) • Outstanding, Bilateral: FY19 $4.5T, +15.4% Y/Y • Outstanding, GCF: FY19 $34.1T, +2.4% Y/Y
Bilateral Repo
Source: As of FY19. Federal Reserve Bank of New York, SIFMA estimates.
Repo56.2%
Reverse Repo43.8%
Bilateral Repo - Avg Daily Out
4.24.0 4.0 4.0 3.9
4.5
0.00.51.01.52.02.53.03.54.04.55.0
FY14 FY15 FY16 FY17 FY18 FY19
Bilateral Repo - Avg Daily Outstanding ($T)Repo Reverse Repo
UST67.7%
MBS18.3%
TIPS6.1%
Corporate2.5%
Equities2.1%
Other1.7%
Agency1.0% ABS
0.7%
Collateral - Repo
UST76.6%
MBS12.4%
TIPS8.2%
Other1.2%
Corporate0.7%
ABS0.5% Agency…
Equities0.0%
Collateral - Reverse Repo
Chart Book: Repurchase Agreements (Repo)
US Fixed Income Markets Page | 19
Source: Federal Reserve Bank of New York, SIFMA estimates. .
Overnight70.3%
Term29.7%
Avg Daily Out - Repo
2.412.21 2.20 2.24 2.19
2.50
0.0
0.5
1.0
1.5
2.0
2.5
3.0
FY14 FY15 FY16 FY17 FY18 FY19
Average Daily Outstanding - Repo ($T)Overnight Term
Term54.8%
Overnight45.2%
Avg Daily Out - Reverse Repo
1.84 1.76 1.81 1.77 1.69
1.96
0.0
0.5
1.0
1.5
2.0
2.5
FY14 FY15 FY16 FY17 FY18 FY19
Average Daily Outstanding - Reverse Repo ($T)Overnight Term
Chart Book: Repurchase Agreements (Repo)
US Fixed Income Markets Page | 20
GCF Repo
Source: As of FY19. Federal Reserve Bank of New York, The Depository Trust & Clearing Corporation, SIFMA estimates.
MBS63.4%
UST36.6%
GCF Repo Total Par Amount
50.455.2
46.1
30.833.3 34.1
0
10
20
30
40
50
60
FY14 FY15 FY16 FY17 FY18 FY19
GCF Repo Total Par Amount ($T)MBS UST Agency
MBS, 63.4%
UST, 36.6%
GCF Repo Avg Par Amount
202221
187
123134 136
0
50
100
150
200
250
FY14 FY15 FY16 FY17 FY18 FY19
GCF Repo Average Daily Par Amount ($B)MBS UST Agency
UST50.5%Agency
MBS & CMOs34.6%
Equities4.9%
Corporates4.1%
Non-Agency ABS & MBS
3.0%
Other1.5% Agency
Securities1.3%
Tri-Party Repo by Collateral
2.0%2.0%2.0%2.0%
3.0%5.0%5.0%5.0%5.0%
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)
US Fixed Income Markets Page | 21
Chart Book: Secured Overnight Financing Rate (SOFR) • SOFR Rate: As of 12/31/19 = 184 bps, 90 day rolling average • Fed Volumes: As of 12/31/19 = $1.0T • Market Volumes: As of 12/31/19 = futures $4.6T, aggregate notional outstanding $40.9T
Source: The Alternative Reference Rates Committee, Federal Reserve Bank of New York, SIFMA estimates. Note: SOFR rate = 90 day rolling average
.
0
50
100
150
200
250
0
200
400
600
800
1,000
1,200
12/3
0/14
3/30
/15
6/30
/15
9/30
/15
12/3
1/15
3/31
/16
6/30
/16
9/30
/16
12/3
1/16
3/31
/17
6/30
/17
9/30
/17
12/3
1/17
3/31
/18
6/30
/18
9/30
/18
12/3
1/18
3/31
/19
6/30
/19
9/30
/19
12/3
1/19
Historical SOFR Volumes & RateVolume ($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
0
5,000
10,000
15,000
20,000
25,000
30,000
35,000
40,000
45,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
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
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 | 22
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 | 23
Authors SIFMA Research Katie Kolchin, CFA Justyna Podziemska Ali Mostafa [email protected]