Executive Summary

US Fixed Income Page | 1

SIFMA Research Quarterly – 1Q20 US Fixed Income Markets – Issuance & Trading

June 2020

The SIFMA Research Quarterlies contain brief commentary and statistics on U.S. markets. The fixed income reports are split into two – (1) issuance and trading, (2) outstanding – given a delay in the reporting of outstanding data. The reports cover data on total U.S. fixed income markets, as captured in the SIFMA Research database: U.S. Treasuries, mortgage-backed securities, corporate bonds, municipal securities, federal agency securities, asset-backed securities, money markets (outstanding only), repurchase agreements (outstanding only) and secured overnight financing rate.

All reports, including the equity quarterly, and corresponding databases can be found at: www.sifma.org/research

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: Secured Overnight Financing Rate (SOFR) ......................................................................................................................... 17 Appendix: Terms to Know ........................................................................................................................................................................ 18 Authors ..................................................................................................................................................................................................... 19

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 & SIFMA Research Quarterly Report: US Fixed Income Markets – Outstanding , which can be found at: www.sifma.org/research

SIFMA Insights Primers: The SIFMA Insights primer series is a reference tool that goes beyond a typical 101 series. By illustrating important technical and regulatory nuances, SIFMA Insights primers provide a fundamental understanding of the marketplace and set the scene to address complex issues arising in today’s markets. The SIFMA Insights market structure primer series includes: global capital markets & financial institutions; U.S. fixed income markets; U.S. equity markets; U.S. multi-listed options markets; U.S. ETF markets; and U.S. capital formation and listings exchanges. The primers and other Insights reports can be found at: www.sifma.org/primers

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.

Executive Summary

US Fixed Income Page | 5

• Repurchase Agreements (Repos) – Repos are financial transactions in which one party sells an asset to another party with a promise to repurchase the asset at a pre-specified later date (a reverse repo is the same transaction seen from the perspective of the security buyer). Repos can be overnight (duration one day) or term (duration up to one year, albeit some are up to two years and the majority are three months or less). The repo market enables market participants to provide collateralized loans to one another, and financial institutions predominantly use repos to manage short-term fluctuations in cash holdings, rather than general balance sheet funding. Repos aid secondary market liquidity for the cash markets (ex: UST), allowing dealers to act as market makers in a very efficient manner.

• Secured Overnight Financing Rate (SOFR) – In the U.S., the transition away from London Interbank Offered Rate (LIBOR) to its chosen alternative reference rate, SOFR, is underway. While LIBOR is not fully transaction based, SOFR is based on the overnight repo markets with ~ $1 trillion of transactions per day. Publication of the SOFR rate began in April 2018. Trading and clearing of SOFR based swaps and futures began in May 2018.

US Fixed Income Markets vs. Rest of World The U.S. fixed income markets are the largest in the world, comprising 38.9% of the $106 trillion securities outstanding across the globe, or $41 trillion (as of FY19). This is 1.9x the next largest market, the EU. U.S. market share has averaged 39.6% over the last 10 years, troughing at 36.3% in 2011 and peaking at 40.9% in 2015. US Market Share

Source: Bank for International Settlements (4Q19, data for all countries has a one quarter lag).

US39%

EU21%

China14%

Japan12%

UK6%

Canada3%

EM2%

Australia2%

HK1%

Singapore0.5%

Other DM0.4%

Global FI Outstanding

82 86 88 88 86 87 9098 101

106

30 31 32 33 34 35 37 38 39 41

0

20

40

60

80

100

120

FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19

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 Agencies, US Treasury, SIFMA estimates. Note: Issuance = LT securities only; corporates ex- convertible bonds.

1Q20 4Q19 1Q19 Q/Q Y/Y 2019 2018 Y/YIssuance ($B) 2,439 2,112 1,756 15.5% 38.9% 8,187 7,483 9.4%UST 758 756 580 0.3% 30.7% 2,935 2,685 9.3%MBS 593 683 374 -13.2% 58.6% 2,110 1,906 10.7%Corporates 557 273 390 103.9% 42.9% 1,417 1,375 3.0%Agency 373 261 192 42.9% 94.3% 989 654 51.4%Muni 93 79 146 17.2% -36.0% 426 346 23.1%ABS 65 59 75 9.3% -13.4% 310 517 -40.0%

1Q20 4Q19 1Q19 Q/Q Y/Y 2019 2018 Y/YTrading (ADV, $B) 1,078 849 923 26.8% 16.7% 896 817 9.7%UST 686 561 612 22.2% 12.0% 594 548 8.4%MBS - Agency 318 237 250 34.1% 27.1% 248 218 13.5%MBS - Non Agency 4 3 3 65.4% 53.6% 3 2 13.0%Corporates 45 32 41 40.1% 11.3% 35 33 8.3%Agency 5 4 4 38.1% 40.9% 4 3 17.5%Muni 16 11 12 46.8% 34.6% 12 11.6 -0.6%ABS 2 1 2 70.8% 46.7% 2 1.4 7.5%

Chart Book: Total Fixed Income

US Fixed Income Page | 7

Chart Book: Total Fixed Income • Issuance: 1Q20 $2.4T, +38.9% Y/Y, +15.5% Q/Q; FY19 $8.2T, +9.4% Y/Y • ADV: 1Q20 $1,078B, +16.7% Y/Y, +26.8% Q/Q; FY19 $896B, +9.7% Y/Y

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

UST31.2%

MBS24.4%

Corporates22.6%

Agency15.3%

Munis3.8%

ABS2.7%

US FI Issuance

6.87.5 7.6 7.5

8.2

2.4

0

1

2

3

4

5

6

7

8

9

FY15 FY16 FY17 FY18 FY19 1Q20

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

UST63.6%

MBS29.9%

Corporates4.2%

Agency0.5%

Muni1.5%

ABS0.2%

US FI Trading

729777 765

817896

1,078

0

200

400

600

800

1,000

1,200

FY15 FY16 FY17 FY18 FY19 1Q20

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

Chart Book: US Treasuries (UST)

US Fixed Income Page | 8

Chart Book: US Treasuries (UST) • Issuance:

o LT 1Q20 $758B, +30.7% Y/Y, +0.3% Q/Q; FY19 $2.9T, +9.3% Y/Y o All 1Q20 $3.3T, +12.0% Y/Y, +4.2% Q/Q; FY19 $12.1T, +15.1% Y/Y

• ADV: 1Q20 $686B, +12.0% Y/Y, +22.2% Q/Q; FY19 $594B, +8.4% Y/Y

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

Notes79.5%

Bonds7.9%

FRN7.7%

TIPS4.9%

UST Issuance - LT Issuance

2,122 2,169 2,224

2,6842,935

758

0

500

1,000

1,500

2,000

2,500

3,000

3,500

FY15 FY16 FY17 FY18 FY19 1Q20

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

Bills77.0%

Notes18.3%

Bonds1.8%

FRN1.8%

TIPS1.1%

UST Issuance - All Issuance

7,017

8,301 8,787

10,490

12,071

3,294

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

FY15 FY16 FY17 FY18 FY19 1Q20

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

Chart Book: US Treasuries (UST)

US Fixed Income Page | 9

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

Bills18.8%

Coupons77.8%

TIPS3.3%

FRN0.7%

UST Trading, ADV

490 519 505548

594

686

0

100

200

300

400

500

600

700

800

FY15 FY16 FY17 FY18 FY19 1Q20

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

0.600.84 0.73

1.36

2.80

1.68

1.08

1.972.22

1.56

2.452.24

3.04

1.79

1.37

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

1Q20

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

0.11 0.160.40

0.70

1.16

1.74

2.40

1.23

0.0

0.5

1.0

1.5

2.0

2.5

3.0

1Q15

2Q15

3Q15

4Q15

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

3Q17

4Q17

1Q18

2Q18

3Q18

4Q18

1Q19

2Q19

3Q19

4Q19

1Q20

Federal Funds Rate (%)Target Range Effective Rate

Chart Book: Mortgage-Backed Securities (MBS)

US Fixed Income Markets Page | 10

Chart Book: Mortgage-Backed Securities (MBS) • Issuance: 1Q20 $593B, +58.6% Y/Y, -12.4% Q/Q; FY19 $2.1T, +10.7% Y/Y • ADV:

o Agency 1Q20 $318B, +27.1% Y/Y, +34.1% Q/Q; FY19 $248B, +13.5% Y/Y o Non-Agency 1Q20 $4B, +53.6% Y/Y, +65.4% Q/Q; FY19 $2.7B, +13.0% Y/Y

Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates.

Agency MBS

82.8%

Agency CMO

13.1%

Non-Agency4.1%

US MBS Issuance

1,801

2,0441,935 1,906

2,110

593

0

500

1,000

1,500

2,000

2,500

FY15 FY16 FY17 FY18 FY19 1Q20

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

Agency98.7%

Non-Agency1.3%

US MBS Trading, ADV

196210 212 221

250

323

0

50

100

150

200

250

300

350

FY15 FY16 FY17 FY18 FY19 1Q20

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

Chart Book: Corporate Bonds (Corporates)

US Fixed Income Markets Page | 11

Chart Book: Corporate Bonds (Corporates) • Issuance: 1Q20 $559B, +429% Y/Y, +103.9% Q/Q; FY19 $1.4T, +3.0% Y/Y • ADV: 1Q20 $45B, +11.3% Y/Y, +40.1% Q/Q; FY19 $35B, +8.3% Y/Y

Sources: Refinitiv, Federal Reserve, SIFMA estimates.

IG84.4%

HY12.1%

Private Placement3.3% Convertibles

0.3%

US Corporate Issuance

1,511 1,5501,671

1,375 1,417

559

0

250

500

750

1,000

1,250

1,500

1,750

2,000

FY15 FY16 FY17 FY18 FY19 1Q20

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

IG4.1%

HY1.8%

Private Placement

1.9%

Convertibles0.3%

US Corporate Trading, ADV

2831 32 33

35

45

0

5

10

15

20

25

30

35

40

45

50

FY15 FY16 FY17 FY18 FY19 1Q20

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.

37.2%

15.0%

8.7% 7.7% 7.7% 6.7% 6.5%10.4%

0%

10%

20%

30%

40%

Fina

ncia

ls

Ener

gy

Tech

nolo

gy

Indu

stria

ls

Ret

ail

Con

sum

erSt

aple

s

Hea

lthca

re

Oth

er

US Corporate Issuance

66

105

64

44

74

19

0

20

40

60

80

100

120

FY15 FY16 FY17 FY18 FY19 1Q20

US Corporate Bond Defaults

10.6 10.3 10.111.0 11.5

21.5

8

10

12

14

16

18

20

22

24

FY15 FY16 FY17 FY18 FY19 1Q20

US Corporates Average Maturity at Issuance (# Years)

3.03.7

2.93.4 3.2

4.1 4.3

2.93.7

6.6

8.9

6.66.0

6.7

8.0

6.0

9.3

0

1

2

3

4

5

6

7

8

9

10

1Q15

2Q15

3Q15

4Q15

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

3Q17

4Q17

1Q18

2Q18

3Q18

4Q18

1Q19

2Q19

3Q19

4Q19

1Q20

US Corporate Bond Index Yield to Maturity (%)

Chart Book: Municipal Securities (Munis)

US Fixed Income Markets Page | 13

Chart Book: Municipal Securities (Munis) • Issuance: 1Q20 $93B, +17.2% Y/Y, -36.0% Q/Q; FY19 $426B, +23.1% Y/Y • ADV: 1Q20 $16B, +34.6% Y/Y, +46.8% Q/Q; FY19 $12B, -0.6% Y/Y

Source: Refinitiv, Federal Reserve, SIFMA estimates.

Revenue56.7%

GO37.7%

Private Placement5.6%

US Municipal Issuance

405

452 449

346

426

93

0

100

200

300

400

500

FY15 FY16 FY17 FY18 FY19 1Q20

US Municipal Issuance ($B)Revenue GO Private Placement

Revenue69.3%

GO24.0%

Other6.8%

US Municipal Trading, ADV

8.6

11.1 10.811.6 11.5

16.5

0

2

4

6

8

10

12

14

16

18

FY15 FY16 FY17 FY18 FY19 1Q20

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.

37.2%

15.0%

8.7% 7.7% 7.7% 6.7% 6.5%10.4%

0%

10%

20%

30%

40%

Educ

atio

n

Gen

eral

Tran

spor

tatio

n

Util

ities

Hea

lthca

re

Hou

sing

Dev

elop

men

t

Oth

er

US Municipal Issuance

16.5

16.9

17.5

18.1 18.2

17.7

15.5

16.0

16.5

17.0

17.5

18.0

18.5

FY15 FY16 FY17 FY18 FY19 1Q20

US Municipal Average Maturity at Issuance (# Years)

3.2

3.4

2.8

3.4

3.1

3.5

2.9

3.0

2.5

3.0

3.5

4.0

1Q15

2Q15

3Q15

4Q15

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

3Q17

4Q17

1Q18

2Q18

3Q18

4Q18

1Q19

2Q19

3Q19

4Q19

1Q20

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) • Issuance: 1Q20 $373B, +94.3.4% Y/Y, +42.9% Q/Q; FY19 $989B, +51.4% Y/Y • ADV: 1Q20 $5B, +40.9% Y/Y, +38.1% Q/Q; FY19 $4.1B, +17.5% Y/Y

Source: US Agencies, FINRA, SIFMA estimates.

FHLB49.2%

FHLMC22.1%

Farm Credit17.5%

FNMA10.2%

Farmer Mac1.0%

US Agency Issuance

645

928

731 654

989

373

0

200

400

600

800

1,000

1,200

FY15 FY16 FY17 FY18 FY19 1Q20

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

FHLB 33.3%

FHLMC 18.5%

FNMA 16.7%

Other 31.5%

US Agency Trading, ADV

4.5

5.4

4.1

3.5

4.1

5.4

0

1

2

3

4

5

6

FY15 FY16 FY17 FY18 FY19 1Q20

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

Chart Book: Asset-Backed Securities (ABS)

US Fixed Income Markets Page | 16

Chart Book: Asset-Backed Securities (ABS) • Issuance: 1Q20 $65B, -15.6% Y/Y, +6.2% Q/Q; FY19 $310B, -40.0% Y/Y • ADV: 1Q20 $2B, +46.7% Y/Y, +70.8% Q/Q; FY19 $2B, +7.5% Y/Y

Source: Refinitiv, Bloomberg, FINRA, SIFMA estimates.

Auto43.2%

CDO/CLO26.8%

Student Loans9.6%

Equipment8.2%

CC2.0%

Other10.2%

US ABS Issuance

333 325

550517

310

65

0

100

200

300

400

500

600

FY15 FY16 FY17 FY18 FY19 1Q20

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

ABS62.7%

CDO37.3%

US ABS Trading

1.4 1.3 1.4 1.4 1.5

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

FY15 FY16 FY17 FY18 FY19 1Q20

US ABS Trading, ADV ($B)ABS CDO

Chart Book: Secured Overnight Financing Rate (SOFR)

US Fixed Income Markets Page | 17

Chart Book: Secured Overnight Financing Rate (SOFR) • SOFR Rate: As of 3/31/20 = 133 bps, 90 day rolling average • Fed Volumes: As of 3/31/20 = $1.1T • Market Volumes: As of 3/31/20 = futures $7.7T, aggregate notional outstanding $64.4T

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

3/31

/20

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 45,498

52,049

59,748

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

May

-18

Jun-

18

Jul-1

8

Aug-

18

Sep-

18

Oct

-18

Nov

-18

Dec

-18

Jan-

19

Feb-

19

Mar

-19

Apr-1

9

May

-19

Jun-

19

Jul-1

9

Aug-

19

Sep-

19

Oct

-19

Nov

-19

Dec

-19

Jan-

20

Feb-

20

Mar

-20

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 | 18

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 | 19

Authors SIFMA Research Katie Kolchin, CFA, Director of Research Justyna Podziemska Ali Mostafa research@sifma.org