SIFMA Research Quarterly - 4Q21 - US Fixed Income Markets - Outstanding - Fixed Income Outstanding 4Q21
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Executive Summary
SIFMA Research Quarterly – 4Q21
US Fixed Income Markets – Outstanding
March 2022
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 databases:
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
US Fixed Income Markets - Outstanding Page | 1Executive Summary Contents Executive Summary ................................................................................................................................................................................... 4 US Fixed Income Markets vs. Rest of World .............................................................................................................................................. 4 Quarterly Performance ............................................................................................................................................................................... 5 Chart Book: Total Fixed Income & Agency Securities ................................................................................................................................ 6 Total Fixed Income ..................................................................................................................................................................................... 6 Agency Securities ....................................................................................................................................................................................... 6 Chart Book: US Treasuries (UST) .............................................................................................................................................................. 7 Chart Book: Structured Products (MBS & ABS) ......................................................................................................................................... 8 Mortgage-Backed Securities (MBS) ........................................................................................................................................................... 8 Asset-Backed Securities (ABS) .................................................................................................................................................................. 8 Chart Book: Corporate Bonds (Corporates) ............................................................................................................................................... 9 Chart Book: Municipal Securities (Munis) ................................................................................................................................................. 10 Chart Book: Money Markets (MM)............................................................................................................................................................ 11 Chart Book: Repurchase Agreements (Repo) .......................................................................................................................................... 12 Chart Book: Secured Overnight Financing Rate (SOFR) ......................................................................................................................... 15 Appendix: Fixed Income Securities Definitions & Purpose ....................................................................................................................... 16 Appendix: Terms to Know ........................................................................................................................................................................ 18 Authors ..................................................................................................................................................................................................... 19 US Fixed Income Markets - Outstanding Page | 2
Executive Summary
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 – Issuance and Trading, 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; Primary, Secondary & Post-Trade Markets; Electronic
Trading; U.S. Fixed Income; SOFR, the Transition from LIBOR; U.S. Equity; U.S. Multi-Listed Options; U.S. ETFs; U.S. Capital
Formation and Listings Exchanges; and Evolution of the Fintech Narrative. The primers and other Insights reports can be found
at: www.sifma.org/primers
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 one 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 © 2022
US Fixed Income Markets - Outstanding Page | 3Executive Summary
Executive Summary
US Fixed Income Markets vs. Rest of World
The U.S. fixed income markets are the largest in the world, comprising 38.5% of the $125 trillion securities
outstanding across the globe, or $48 trillion (as of 3Q21). This is 1.9x the next largest market, the EU. U.S. market
share has averaged 38.3% over the last 10 years, troughing at 35.9% in 2011 and peaking at 40.4% in 2016.
US Market Share
Global FI Outstanding US Share of Global FI Markets ($T)
HK World US
Australia EM DM
1.4% 1.1% 0.5% 140
1.9% Singapore
123 125
Canada 0.5%
3.2% 120
105
UK 98 100
5.6% 100 87 87 89
85 85 86
US 80
Japan
10.9% 38.5%
60 48
46
37 39 41
33 34 35 36
40 31 32
China
16.4%
20
EU
20.1% 0
FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 FY20 3Q21
Source: Bank for International Settlements (3Q21, BIS data for all countries has a lag)
Note: Country classification based on World Bank list of economies
US Fixed Income Markets - Outstanding Page | 4Executive Summary Quarterly Performance In this report, we utilized SIFMA Research’s comprehensive fixed income and securitized products databases (www.sifma.org/statistics) 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 Outstanding ($B) 4Q21 3Q21 4Q20 Q/Q Y/Y FY21 FY20 Y/Y Total Market 52,890 51,813 50,151 2.1% 5.5% 52,890 50,151 5.5% UST 22,584 21,873 20,973 3.3% 7.7% 22,584 20,973 7.7% MBS 12,202 11,905 11,214 2.5% 8.8% 12,202 11,214 8.8% Corporates 10,022 10,002 9,772 0.2% 2.6% 10,022 9,772 2.6% Munis 4,050 4,039 3,981 0.3% 1.7% 4,050 3,981 1.7% Agency 1,433 1,447 1,689 -0.9% -15.1% 1,433 1,689 -15.1% ABS 1,585 1,476 1,535 7.4% 3.2% 1,585 1,535 3.2% MM 1,014 1,071 987 -5.3% 2.8% 1,014 987 2.8% US Fixed Income Markets - Outstanding Page | 5
Chart Book: Total Fixed Income & Agency Securities
Chart Book: Total Fixed Income & Agency Securities
Total Fixed Income
• Outstanding: 4Q21 $52.9T, +5.5% Y/Y, +2.1% Q/Q
US FI Outstanding US FI Outstanding ($T)
MM UST MBS Corporates Munis Agency ABS MM
ABS Agency 1.9%
2.7% 60
3.0% 52.9
50.2
50
44.1
Munis 42.3
39.1 40.4
7.7%
40
UST
Corporates 42.7%
30
18.9%
20
10
MBS
23.1% 0
FY16 FY17 FY18 FY19 FY20 FY21
Source: Refinitiv, Bloomberg, The Federal Reserve, US Agencies, US Treasury, SIFMA estimates
Agency Securities
• Outstanding: 4Q21 $1.4T, -15.1% Y/Y, -0.9% Q/Q
US Agency Outstanding US Agency Outstanding ($T)
FHLB FHLMC Farm Credit FNMA Farmer Mac TVA
Farmer Mac TVA 2.5
1.6% 1.4%
2.0 1.9
2.0 1.8
1.7 1.7
FNMA
14.1% 1.4
1.5
FHLB
FHLMC 45.5%
12.7% 1.0
0.5
Farm
Credit
24.6%
0.0
FY16 FY17 FY18 FY19 FY20 FY21
Source: US Agencies, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 6Chart Book: US Treasuries (UST)
Chart Book: US Treasuries (UST)
• Outstanding: 4Q21 $22.6T, +7.7% Y/Y, +3.3% Q/Q
UST Outstanding UST Outstanding ($T)
Bills Notes Bonds TIPS FRN
FRN 25 22.6
2.7% 23 21.0
TIPS 20
Bills
7.7% 16.7
16.7% 18 15.6
13.9 14.5
15
Bonds
15.4% 13
10
8
5
Notes 3
57.6%
0
FY16 FY17 FY18 FY19 FY20 FY21
UST Holders - Institutions UST Holders - Countries
40% 40% 36.6%
30.3%
30% 30%
23.7%
20% 17.4%
20%
14.3%
14.0% 13.5%
8.6%
10%
10% 6.7% 4.5% 4.3% 3.8% 3.6% 3.5% 3.3% 3.3%
5.6%
3.0%
1.6% 1.4% 0%
0%
Belgium
Japan
Ireland
Other
Switzerland
Cayman Is
Brazil
Taiwan
China
UK
Luxembourg
Foreign
Insurance
Other
S/L Govt
Individuals
Pensions
Banks
Mon Auth
MFs
UST Interest Rates (%) Federal Funds Rate (%)
Spread 2-Year 10-Year Target Range Effective Rate
2.93
3.0 3.0
2.44 2.40
2.5 2.24 2.67 2.5
1.92
2.0 1.79 2.0 1.74
1.56 1.59 1.53
1.37
1.5 1.69 1.5 1.23
1.15
0.84 1.36
1.0 1.0 0.70
1.08 0.65
0.53
0.36 0.40
0.5 0.73 0.17 0.5
0.14 0.09 0.07 0.08
0.0 0.0
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
4Q20
1Q21
2Q21
3Q21
4Q21
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
4Q20
1Q21
2Q21
3Q21
4Q21
Sources: US Treasury, New York Federal Reserve, The Federal Reserve, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 7Chart Book: Structured Products (MBS & ABS)
Chart Book: Structured Products (MBS & ABS)
Mortgage-Backed Securities (MBS)
• Outstanding: 4Q21 $12.2T, +8.8% Y/Y, +2.5% Q/Q
US MBS Outstanding US MBS Outstanding ($T)
Agency MBS Non-Agency Agency CMO
14
12.2
Agency 12 11.2
CMO 10.2
9.7
11.4% 10 9.0 9.3
Non-
Agency
12.4% 8
6
4
Agency
MBS 2
76.2%
0
FY16 FY17 FY18 FY19 FY20 FY21
Asset-Backed Securities (ABS)
• Outstanding: 4Q21 $1.6T, +3.2% Y/Y, +7.4% Q/Q
US ABS Outstanding US ABS Outstanding ($T)
CDO/CLO Auto Student Loans CC Equipment Other
1.8 1.6 1.7 1.6
1.5
1.5
1.5 1.4
Other
16.7%
CC 1.3
3.4%
Equip 1.0
ment
5.1% CDO/CLO
0.8
51.7%
Student
Loans 0.5
9.2%
Auto 0.3
13.9%
0.0
FY16 FY17 FY18 FY19 FY20 FY21
US Fixed Income Markets - Outstanding Page | 8Chart Book: Corporate Bonds (Corporates)
Chart Book: Corporate Bonds (Corporates)
• Outstanding: 4Q21 $10.0T, +2.6% Y/Y, +0.2% Q/Q
US Corporate Outstanding ($T) US Corporate Bond Defaults
12 160
146
9.8 10.0 140
10
8.6 8.9
8.4 120
8.0 105
8
100
78
6 80
64
60
4 44
39
40
2
20
0 0
FY16 FY17 FY18 FY19 FY20 FY21 FY16 FY17 FY18 FY19 FY20 FY21
US Corporates Average Maturity at Issuance (# Years) US Corporate Bond Index Yield to Maturity (%)
Spread IG HY
18 10 9.3
17.6 8.6
8.0
17.2 8
17.1 6.6 6.7
6.0 6.0
17 7.0
6
16.6 4.9 4.9
16.3 4.1 4.3
16.3 3.7
4 3.2 3.2
2.9 2.9
2.4 2.4
16
2
2.3
0
15
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
4Q20
1Q21
2Q21
3Q21
4Q21
FY16 FY17 FY18 FY19 FY20 FY21
US Fixed Income Markets - Outstanding Page | 9Chart Book: Municipal Securities (Munis)
Chart Book: Municipal Securities (Munis)
• Outstanding: 4Q21 $4.0T, +1.7% Y/Y, +0.3% Q/Q
US Municipal Outstanding ($T) US Municipal Holders
50%
4.5 41.7%
3.9 4.0 4.0
3.9 3.9 3.9 40%
4.0
3.5 29.4%
30%
3.0
2.5 20%
13.0% 12.1%
2.0
10%
1.5 3.9%
1.0
0%
Insurance
Other
Individuals
Banks
MFs
0.5
0.0
FY16 FY17 FY18 FY19 FY20 FY21
US Municipal Average Maturity at Issuance (# Years) US Municipal Bond Index Yield to Maturity (%)
4.0
18.5
18.1 18.1 3.5
3.5 3.4
18.0 17.8
17.5 3.1
17.4 3.0
17.5
3.0
3.1
17.0 2.8 2.9
16.8
2.5 2.3
16.5 2.4
2.0
16.0
1Q16
2Q16
3Q16
4Q16
1Q17
2Q17
3Q17
4Q17
1Q18
2Q18
3Q18
4Q18
1Q19
2Q19
3Q19
4Q19
1Q20
2Q20
3Q20
4Q20
1Q21
2Q21
3Q21
4Q21
FY16 FY17 FY18 FY19 FY20 FY21
Source: Refinitiv, Bloomberg, The Federal Reserve, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 10Chart Book: Money Markets (MM)
Chart Book: Money Markets (MM)
• Outstanding: 4Q21 $1.0T, +2.8% Y/Y, -5.3% Q/Q
US CP Outstanding US Commercial Paper Outstanding ($T)
Non-Financial Financial ABCP Other
Other 1.2
0.0% 1.05 1.01
0.97 1.00 0.99
1.0 0.88
Non-
Financial
ABCP 0.8
18.9%
27.7%
0.6
0.4
Financial 0.2
53.3%
0.0
FY16 FY17 FY18 FY19 FY20 FY21
Source: The Federal Reserve, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 11Chart Book: Repurchase Agreements (Repo)
Chart Book: Repurchase Agreements (Repo)
• Outstanding: Primary Dealer, 4Q21 $4.5T, -2.0% Y/Y, +7.6% Q/Q; FY21 $4.3B, -5.5% Y/Y
• ADV: GCF, 4Q21 $58.7B, -41.2% Y/Y, -22.0% Q/Q; FY21 $78.5B, -27.6% Y/Y
Primary Dealer Repo
Primary Dealer - Avg Daily Out Primary Dealer - Avg Daily Outstanding ($T)
Repo Reverse Repo
5 4.6
4.5
4.3
4.0 4.0 3.9
4
3
Reverse Repo
42.9%
2
Repo
57.1%
1
0
FY16 FY17 FY18 FY19 FY20 FY21
Collateral - Repo Collateral - Reverse Repo
Agency
Agency ABS
Equities 0.8% ABS Other 0.3% 0.3% Other
0.4% 1.3% Corporate
3.9% 0.8%
Corporate 0.9%
3.0%
TIPS
TIPS 9.6%
7.3%
MBS
9.5%
MBS
15.6%
UST
67.7% UST
78.7%
Source: Federal Reserve Bank of New York, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 12Chart Book: Repurchase Agreements (Repo)
Avg Daily Out - Repo Average Daily Outstanding - Repo ($T)
Overnight Term
3.0
2.6 2.6
2.5
2.5 2.2
2.2 2.2
Term
29.3%
2.0
1.5
1.0
Overnight
70.7% 0.5
0.0
FY16 FY17 FY18 FY19 FY20 FY21
Avg Daily Out - Reverse Repo Average Daily Outstanding - Reverse Repo ($T)
Overnight Term
2.5
2.0 1.9
2.0 1.8 1.8
1.8
1.7
Term 1.5
47.2%
Overnight 1.0
52.8%
0.5
0.0
FY16 FY17 FY18 FY19 FY20 FY21
Source: Federal Reserve Bank of New York, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 13Chart Book: Repurchase Agreements (Repo)
GCF Repo
GCF Repo Total Par Amount GCF Repo Total Par Amount ($T)
UST MBS Agency
50 46.1
45
40
33.3 34.1
MBS 35 30.8
36.3%
30 27.2
25
19.6
20
UST 15
63.7% 10
5
0
FY16 FY17 FY18 FY19 FY20 FY21
GCF Repo Avg Par Amount GCF Repo Avg Par Amount ($B)
UST MBS Agency
200 187
180
160
134 136
MBS 140 123
36.3%
120 108
100
78
80
UST 60
63.7% 40
20
0
FY16 FY17 FY18 FY19 FY20 FY21
Tri-Party Repo by Collateral Tri-Party Repo Cash Investor Median Margin
Non-Agency Agency ABS (Non-IG) 8.0%
ABS & MBS Securities
Corporates Other CMO Private Label (Non-IG) 8.0%
1.6% 0.8%
3.4% 0.9% Corporates (Non-IG) 8.0%
Equities Equities 8.0%
5.2% Municipality Debt 7.0%
ABS (IG) 6.0%
CMO Private Label (IG) 5.0%
Agency Corporates (IG) 5.0%
MBS & Money Market 5.0%
CMOs
International Securities 5.0%
18.0%
Agency CMOs 3.0%
Agency Debentures & Strips 2.0%
UST Agency MBS 2.0%
70.1% UST excl Strips 2.0%
UST Strips 2.0%
0% 2% 4% 6% 8% 10% 12%
Source: The Federal Reserve Bank of New York, The Depository Trust & Clearing Corporation, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 14Chart Book: Secured Overnight Financing Rate (SOFR)
Chart Book: Secured Overnight Financing Rate (SOFR)
• SOFR Rate (90 day rolling average): As of 12/31/21 = 4.91 bps
• Fed Volumes: As of 12/31/21 = $923B
• Market Volumes: As of 10/31/21 = futures $11T, aggregate notional outstanding $155.2T
Historical SOFR Volumes & 90-Day Rolling Average Rate
1,400 Volume ($B) Rate (bps, RHS) 300
1,200 245
250
1,000
200
174
800
150
600 107
100
400
42
50
200
7.41 8.47 4.17 1.58 5.00 4.91
0 0
3/30/17
6/30/17
9/30/17
3/31/18
6/30/18
9/30/18
3/31/19
6/30/19
9/30/19
3/31/20
6/30/20
9/30/20
3/31/21
6/30/21
9/30/21
12/30/16
12/31/17
12/31/18
12/31/19
12/31/20
12/31/21
SOFR Linked Product Growth Since May 2018 Inception ($T)
13 Futures Volume Swaps NO Cash NO 170 Agg NO (RHS)
155.2
12 160
144.1
136.5 150
11 130.3 140
10 124.3
130
9 110.7 120
96.8 110
8
90.5 100
7 79.3 90
6 69.9 80
61.5 70
5 53.9
49.1 60
4 38.6 50
3 32.2 40
24.1
30
2 16.1
7.5 11.2 20
1 0.1 0.4 0.9 2.1 4.1
10
0 0
Jun-18
Jul-18
Jan-19
Jun-19
Jul-19
Jan-20
Jun-20
Jul-20
Jan-21
Jun-21
Jul-21
Feb-19
Mar-19
Feb-20
Mar-20
Feb-21
Mar-21
Aug-18
Sep-18
Nov-18
Dec-18
Aug-19
Sep-19
Nov-19
Dec-19
Aug-20
Sep-20
Nov-20
Dec-20
Aug-21
Sep-21
May-18
Oct-18
Apr-19
May-19
Oct-19
Apr-20
May-20
Oct-20
Apr-21
May-21
Oct-21
Source: The Alternative Reference Rates Committee, Federal Reserve Bank of New York, SIFMA estimates
US Fixed Income Markets - Outstanding Page | 15Appendix: Fixed Income Securities Definitions & Purpose
Appendix: Fixed Income Securities Definitions & Purpose
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.
US Fixed Income Markets - Outstanding Page | 16Appendix: Fixed Income Securities Definitions & Purpose
• 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 - Outstanding Page | 17Appendix: Terms to Know
Appendix: Terms to Know
Y/Y Year-over-Year UST U.S. Treasury Securities
Q/Q Quarter-over-Quarter MBS Mortgage-Backed Security
YTD Year-to-Date Corporates Corporate Bonds
BPS Basis Points Munis Municipal Securities
PPS Percentage Points Agency Federal Agency Securities
CAGR Compound Annual Growth Rate ABS Asset-Backed Securities
CUSIP Committee on Uniform Securities Identification Procedures MM Money Markets
CFTC Commodity Futures Trading Commission FRN Floating Rate Note
SEC Securities and Exchange Commission FRA Forward Rate Agreement
Fed Federal Reserve System T-Bill U.S. Treasury Bill
FRB Federal Reserve Bank T-Note U.S. Treasury Note
NY Fed Federal Reserve Bank of New York T-Bond U.S. Treasury Bond
ARRC Alternative Reference Rates Committee TIPS Treasury Inflation Protected Securities
ADV Average Daily Trading Volume ABS Asset-Backed Security
Algo Algorithm (algorithmic trading) CMO Collateralized Mortgage Obligation
AT Automated Trading MBS Mortgage-Backed Security
ATS Alternative Trading System CMBS Commercial MBS
AUM Assets Under Management RMBS Residential MBS
Best Ex Best Execution
CLOB Central Limit Order Book HY High Yield Bond
D2C Dealer-to-Client IG Investment Grade Bond
D2D Dealer-to-Dealer
ECN Electronic Communications Network GO General Obligation Bond
ETP Electronic Trading Platforms Revenue Revenue Bond
ETD Exchange Traded Derivative
FI Fixed Income CD Certificate of Deposit
FICC Fixed Income, Currencies and Commodities CDO Collateralized Debt Obligation
GCF General Collateral Financing CLO Collateralized Loan Obligation
IDB Inter-Dealer Broker CP Commercial Paper
IIV Intraday Indicative Value ABCP Asset-Backed Commercial Paper
IOI Indication of Interest MMF Money Market Mutual Funds
MM Market Maker
OI Open Interest FAMC Farmer Mac/Federal Agricultural Mortgage Corporation
OTC Over-the-Counter FCS Farm Credit System
VWAP Volume Weighted Average Price FHLB Federal Home Loan Banks
FHLMC Freddie Mac/Federal Home Loan Mortgage Corporation
IBOR Interbank Offered Rate FNMA Fannie Mae/Federal National Mortgage Association
LIBOR London Inter-bank Offered Rate GNMA Ginnie Mae/Government National Mortgage Association
RFR Risk Free Rate TVA Tennessee Valley Authority
SOFR Secured Overnight Financing Rate
DV01 Dollar Value of Basis Point IR Interest Rate
DVP Delivery-versus-Payment IRS Interest Rate Swap
EFFR Effective Fed Funds Rate OIS Overnight Index Swap
PAI Price Alignment Interest TRS Total Return Swap
Repo Repurchase Agreement STIR Short-Term Interest Rate
US Fixed Income Markets - Outstanding Page | 18Authors Authors SIFMA Research Katie Kolchin, CFA, Director of Research Justyna Podziemska research@sifma.org US Fixed Income Markets - Outstanding Page | 19
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