SIFMA Research Quarterly – 4Q19...Mar 27, 2020 · SIFMA is the leading trade association for...

Executive Summary

US Fixed Income Page | 1

SIFMA Research Quarterly – 4Q19 US Fixed Income Markets

March 2020

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: 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


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

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

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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.

• 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


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


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%

http://www.sifma.org/research

Chart Book: Total Fixed Income


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


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


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

Chart Book: US Treasuries (UST)


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


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


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


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

Chart Book: US Treasuries (UST)


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


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


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


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

Chart Book: Corporate Bonds (Corporates)


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


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


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


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.

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


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)


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


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


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


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

Chart Book: Municipal Securities (Munis)


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


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)


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


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


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


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

Chart Book: Asset-Backed Securities (ABS)


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


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


US ABS Trading, ADV ($B)ABS CDO

Chart Book: Money Markets (MM)


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


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


US Commercial Paper Outstanding Non-Financial Financial ABCP Other

Chart Book: Repurchase Agreements (Repo)


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


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



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


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


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



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


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


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)


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


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 – 4Q19...Mar 27, 2020 · SIFMA is the leading trade association for...

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