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Executive Summary
SIFMA Insights Page | 1
SIFMA Insights: US Fixed Income Market Structure Primer
July 2018
Executive Summary
SIFMA Insights Page | 2
Contents
Executive Summary ................................................................................................................................................................................... 4
Breaking Out the US Fixed Income Markets .............................................................................................................................................. 5
Not One-Size Fits-All .................................................................................................................................................................................. 5
The Electronification of Markets ................................................................................................................................................................. 6
The Role of Primary Dealers ...................................................................................................................................................................... 8
Current Market Landscape ......................................................................................................................................................................... 9
Chartbook ................................................................................................................................................................................................. 10
Market Breakout: US Treasuries .............................................................................................................................................................. 13
Description and Purpose of Markets ........................................................................................................................................................ 13
Current Market Landscape ....................................................................................................................................................................... 13
Chartbook ................................................................................................................................................................................................. 14
Market Breakout: MBS ............................................................................................................................................................................. 23
Description and Purpose of Markets ........................................................................................................................................................ 23
Current Market Landscape ....................................................................................................................................................................... 23
Chartbook ................................................................................................................................................................................................. 24
Market Breakout: Corporates ................................................................................................................................................................... 32
Description and Purpose of Markets ........................................................................................................................................................ 32
Current Market Landscape ....................................................................................................................................................................... 32
Chartbook ................................................................................................................................................................................................. 33
Market Breakout: Munis............................................................................................................................................................................ 40
Description and Purpose of Markets ........................................................................................................................................................ 40
Current Market Landscape ....................................................................................................................................................................... 40
Chartbook ................................................................................................................................................................................................. 41
Market Breakout: Agency ......................................................................................................................................................................... 49
Description and Purpose of Markets ........................................................................................................................................................ 49
Current Market Landscape ....................................................................................................................................................................... 49
Chartbook ................................................................................................................................................................................................. 50
Market Breakout: ABS .............................................................................................................................................................................. 56
Description and Purpose of Markets ........................................................................................................................................................ 56
Current Market Landscape ....................................................................................................................................................................... 56
Chartbook ................................................................................................................................................................................................. 57
Executive Summary
SIFMA Insights Page | 3
Market Breakout: Money Markets ............................................................................................................................................................. 63
Description and Purpose of Markets ........................................................................................................................................................ 63
Current Market Landscape ....................................................................................................................................................................... 64
Chartbook ................................................................................................................................................................................................. 65
Market Breakout: Repo............................................................................................................................................................................. 67
Description and Purpose of Markets ........................................................................................................................................................ 67
Source: Federal Reserve Bank of New York ............................................................................................................................................ 68
Chartbook ................................................................................................................................................................................................. 69
Appendix: Current Primary Dealer List ..................................................................................................................................................... 73
Appendix: Terms to Know ........................................................................................................................................................................ 74
Appendix: Credit Ratings Scale ................................................................................................................................................................ 76
Appendix: Sources and Notes to Data ..................................................................................................................................................... 77
Authors ..................................................................................................................................................................................................... 82
SIFMA is the voice of the U.S. securities industry. We represent the broker-dealers, banks and asset managers whose nearly 1 million
employees provide access to the capital markets, raising over $2.9 trillion for businesses and municipalities in the U.S., serving clients
with over $20 trillion in assets and managing more than $72 trillion in assets for individual and institutional clients including mutual funds
and retirement plans. 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 © 2018
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 primer series, and other Insights reports, can be found at: https://www.sifma.org/insights
Guides for retail investors can be found at http://www.projectinvested.com//markets-explained
Executive Summary
SIFMA Insights Page | 4
Executive Summary
The U.S. fixed income markets are the largest in the world, comprising 39% of the $100 trillion securities
outstanding across the globe, or $39 trillion.
Source: Bank of International Settlements
Note: As of FY17
U.S. capital markets (fixed income and equity) are a critical source of capital for businesses and governments
(federal, state and local), funding 65% of total U.S. economic activity. Debt capital markets – providing a more
efficient, stable and less restrictive form of borrowing for corporations – are the more prevalent fuel for growth in the
U.S., while bank lending prevails in other regions (80%/20% in the U.S., reversed in other developed markets).
Fixed income markets are an integral component to economic growth, providing efficient, long term and cost
effective funding for governments and companies. This enables them to expand, innovate and provide goods and
services society demands.
We have seen a transformation in fixed income markets since the crisis, historically bilateral and performed by
banks. Post-crisis regulatory constraints on balance sheets have forced banks to pull back from some fixed income
activities. This is coupled with volatility at sustained lows across multiple asset classes and a divergence in central
bank policy, as rates begin to rise in the U.S. yet remain low in most other developed nations. To continue servicing
clients’ needs, markets had to be innovative and leverage product innovation and technology. This led to growth in
ETFs and other passive investments as a way for investors to achieve their financial goals. The market landscape
has also enabled the development and adoption of electronic market makers, albeit gradual and varying by type of
security.
US, 39%
EU, 22%
Japan, 13%
China, 12%
UK, 6%
Canada, 2%
EM, 2%
Australia, 2% HK, 0.5%
Other DM, 0.5%
Singapore, 0.4%
$100T Global FI Markets
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 5
Breaking Out the US Fixed Income Markets
Not One-Size Fits-All
In general, fixed income securities are borrowed capital for the issuer, transferring funds from those that have it to
those that need it. These borrowings are used to fund government operations, public projects or corporate
investments, thereby fueling economic growth. The buyer of these securities does not receive ownership in the
issuing entity, as the debt is repaid at a specified time (repayment of principal). The return for investor comes in
interest payments (fee charged for lending the money) at a fixed amount on specified time periods, usually
semiannually. Fixed income markets include debt securities, repo instruments and securitized products based on
underlying debt securities. The diversity of fixed income products both increases the amount of funds available to
borrow and spreads credit risk across multiple market participants.
It is important to note we write fixed income markets as plural for a reason. There is not one market, but several
markets based on multiple subcategories within each main category, which we break out as (listed in order of size of
markets): U.S. Treasuries, mortgage-backed securities (MBS), corporates, munis, agency, asset-backed securities
(ABS) and money markets. The UST and agency markets are referred to as the rates markets, as valuation and
bondholder risk is tied to interest rates. The remaining credit markets bring both interest rate and credit risk, or the
probability of the borrower defaulting. There are also repos, which aid secondary market liquidity for the cash
markets (for example, UST), allowing dealers to act as market makers in a very efficient manner.
Different markets have multiple sub categories – for example, large companies can have over 40 types of bond
(callable, convertible, etc.), and there are public versus private markets for some fixed income segments – which
serve different purposes. Fixed income products do not necessarily trade on exchanges (albeit some products have
moved in this direction, i.e. the electronification of markets) and are not 100% fungible, as investors experience with
U.S. cash equities. For example, a large corporation may have ~1,500 CUSIPs versus only one stock. Therefore,
there is no one-size-fits-all way to describe market structure for fixed income securities.
Primary markets, or new issuance, often dominate secondary market trading volumes, acting as an important piece
of price discovery for markets. While we look at primary and secondary markets separately in this report, they are
symbiotic in nature. Efficiently functioning primary markets maintain the depth and liquidity in secondary markets.
Healthy secondary markets give issuers confidence their needs will be met at a good price level in the markets
when issuing bonds, as they receive a liquidity premium at issuance when there is a liquid secondary market. This
enables new issuance, while less liquid secondary markets act as essentially a tax on issuance., i.e. problems on
one side of the equation could bring negative consequences to the other side.
This report analyzes how the various segments of the fixed income markets have recovered since the financial
crisis. We assess the multiple sub categories within each main category across (when available): outstanding,
issuance and average daily trading volume. We note growth in dollars outstanding is a factor of net new issuance
and market value appreciation. (Please see the Appendix for sources and notes on all data in this report.)
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 6
The Electronification of Markets
Historically, fixed income instruments traded in over-the-counter (OTC) markets, dominated by dealers interacting
with clients by voice (human interaction, not electronic). The markets were segmented by dealer-to-dealer (D2D)
and dealer-to-client (D2C) trading. Clients looking to trade would call up dealers and request available prices, i.e. a
quote-driven market. Trading did not take place on an organized exchange (albeit the New York Stock Exchange
traded government bonds far back in the 1800s). As such, only the counterparties knew deal details (prices,
volumes, etc.), causing prices to range widely across dealers.
Source: Bank for International Settlements (BIS), SIFMA estimates
The electronification of markets (diagramed on the next page) indicates the increasing percentage of trading
performed on electronic trading platforms (ETPs). Electronic trading – the matching of counterparties in the
negotiation or execution stages via an ETP – can take place in various forms, differing by trade protocols and types
of end users. Electronic trading started in the late 1990s in the D2D markets, acting as order-driven markets often
using central limit order book protocols (CLOB; storing bids and offers in a queue which is executed in a priority
sequence). This increased price transparency, while maintaining the anonymity of counterparties. It took two
predominant forms: (1) single-dealer platforms (SDP), an electronic version of the bilateral trading relationship, and
(2) multi-dealer platforms (MDP), enabling clients to request quotes from multiple dealers instantaneously. D2C
trading is generally based on request for quote (RFQ) protocols.
Current growth is in D2C markets, which is enabling the total growth in overall electronification percentages (global
totals shown on the following page): UST 70%, Agency 50%, Repos 50%, IG Corporates 40% and HY Corporates
25%.
Historical OTC Markets
IDB(voice)
DealerDealer
Clients
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 7
Source: Bank for International Settlements (BIS), SIFMA estimates
Note: As of FY15. CDS = credit default swap; FX = foreign exchange; IRS = interest rate swap; EGB = European government bond; IG = investment
grade; HY = high-yield. SDP = single-dealer platform; MDP = multi-dealer platform. Global totals may be greater than US-only figures in certain markets.
SDP MDP
Electronification of Markets
Inter-Dealer Platform
Voice Broker
Principal Trading Firms
DealerDealer
Clients
D2DMarket
D2CMarket
90%
80% 80%
70% 70% 70%
60% 60%55% 55%
50% 50% 50%45%
40% 40%
25%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Fu
ture
s
Cash
Eq
uitie
s
Ind
ex C
DS
Sp
ot
FX
US
T
Sta
nda
rdiz
ed
IR
S
EG
B
Pre
cio
us M
eta
ls
FX
Fo
rwa
rds
FX
Op
tion
s
Ag
en
cy
Cove
red B
on
ds
Rep
os
Sin
gle
-Na
me C
DS
FX
Sw
ap
s
IG C
orp
ora
tes
HY
Corp
ora
tes
Highly Electronic Electronic Becoming Electronic
BIS Global Assessment of Electronification
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 8
The Role of Primary Dealers
Another noteworthy factor in fixed income market structure is the use of primary dealers. As trading counterparties
to the Federal Reserve Bank of New York (NY Fed), primary dealers play a crucial role in open market operations,
which supports the implementation of U.S. monetary policy. These firms are expected to be active counterparties for
the NY Fed’s market operations implementing monetary policy and bid, consistent with their pro rata share of the
market, in all Treasury auctions at “reasonably competitive prices.” If a primary dealer is active in agency debt or
agency MBS, it is also expected to participate in any NY Fed operations in these instruments at a level proportionate
with its share in these markets. Primary dealers are eligible to participate in the NY Fed’s securities lending
program, which is designed to help dealers make markets in Treasury securities. Primary dealers play another
important role by providing the NY Fed insight into market developments and ongoing market trends, which it uses
to support the formulation and implementation of monetary policy.
While the number of primary dealers used to be greater than 40, it has since settled in the low 20s (23 as of July
2018). The number troughed in 2008, at 17, as firms went out of business or failed to meet the NY Fed’s eligibility
criteria.
Source: Federal Reserve Bank of New York
39
27
17
23
199
1
199
2
199
3
199
4
199
5
199
6
199
7
199
8
199
9
200
0
200
1
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
0
5
10
15
20
25
30
35
40# Primary Dealers
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 9
Current Market Landscape
• Product Breakout – As a percent of total outstanding, U.S. fixed income markets are dominated by U.S.
Treasury securities (UST, 35%), then MBS (23%) and corporate bonds (22%). (Remainder: munis 9%,
agency 5%, ABS 4% and MMs 2%.) As a percent of issuance, U.S. fixed income markets are broken out by:
UST 30%, MBS 26%, corporates 22%, agency 10%, ABS 7% and munis 6%.
• Outstanding – Total fixed income outstanding has grown at a 2.8% CAGR from 2008 to 2017, to $40.8
trillion. UST grew at a 9.6% CAGR, to $14.5 trillion, and corporates grew at a 5.0% CAGR, to $8.8 trillion.
MBS have essentially recovered after troughing down 7.7% from the 2008 peak of $9.5 trillion ($9.3 trillion
as of FY17, -1.8% from the 2008 peak). (Remaining CAGRs: Munis +0.5%, ABS -2.3%, Agency -4.9% and
MMs -4.9%.)
• Issuance – Total fixed income issuance has grown at a 1.4% CAGR from 2007 to 2017 (we go back to 2007
because total issuance declined significantly in 2008, -24.1% Y/Y), to $7.5 trillion. As the Fed grew its
balance sheet and corporates capitalized on low interest rates to secure low-cost funding for capital
investments, UST and corporates led issuance growth, +10.4% and +3.4% CAGRs respectively. (Remaining
CAGRs: munis +0.4%, agency -1.2%, MBS -2.1% and ABS -4.5%.)
• ADV – Total fixed income ADV has declined at a 3.1% CAGR from 2008 to 2017, to $764 billion. This was
driven by UST and Agency MBS, -0.9% and -4.9% CAGRs respectively. (Remaining CAGRs: from 2008 to
2017 munis -5.7% and agency -27.6%; from 2011 to 2017 non-agency MBS -7.6% and ABS -0.5%1.)
Note: Data as of FY17.
1 The data set for non-agency MBS and ABS begins in 2011.
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 10
Chartbook
Source: SIFMA. As of FY17. Please see the Appendix for details.
UST, 35%
MBS, 23%
Corporates, 22%
Munis, 9%
Agency, 5%
ABS, 4% MMs, 2%
US FI Outstanding, $41T
0
5
10
15
20
25
30
35
40
45
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets Outstanding ($T)
UST MBS Corporates Munis Agency ABS MMs
16.117.6
18.920.4
22.824.6
27.1
29.331.0
31.933.7 34.2
35.136.2
37.338.3
39.540.8
0
5
10
15
20
25
30
35
40
45
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets Outstanding ($T)
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 11
Source: SIFMA. As of FY17. Please see the Appendix for details.
UST, 30%
MBS, 26%
Corporates, 22%
Agency, 10%
ABS, 7%
Munis, 6%
US FI Issuance, $7.5T
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets Issuance ($B)
UST MBS Corporates Agency ABS Munis
2,553
4,457
5,388
6,942
5,624 5,775
6,273 6,412
4,867
6,988 7,292
6,228
7,329
6,861
6,342
6,840
7,425 7,478
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets Issuance ($B)
Breaking Out the US Fixed Income Markets
SIFMA Insights Page | 12
Source: SIFMA. As of FY17. Please see the Appendix for details.
UST, 66%
Agency MBS, 27%
Corporates, 4%
Munis, 1.4%Agency,
0.5%Non-Agency MBS, 0.3%
ABS, 0.2%
US FI ADV, $764 B
0
200
400
600
800
1,000
1,200
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets ADV ($B)
UST Agency MBS Corporates Munis Agency Non-Agency MBS ABS
358
509
631
752
817
919894
1,0151,042
824
899859 849
816
729 729776 764
0
200
400
600
800
1,000
1,200
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
US Fixed Income Markets ADV ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 13
Market Breakout: US Treasuries
Description and Purpose of Markets
U.S. Treasury securities (UST) are debt obligations of the federal government used to fund operations. Since UST
are backed by the full faith and credit of the U.S. government, these securities are considered by market participants
as the benchmark credit. The U.S. government has a AAA rating, meaning it has essentially no credit risk and can
easily meet its financial obligations on time and in full. In light of this, UST show a diversity of holders, in both
institutional type and foreign holders.
Current Market Landscape
• Product Breakout – Common types of UST include:
o 61% Treasury Notes (T-Notes) – These are fixed-principal securities with maturities of 2, 3, 5, 7 and
10 years. Interest is paid semiannually, with the principal paid at maturity.
o 14% Treasury Bonds (T-Bonds) – These are fixed-principal, long-term securities issued with a
maturity of 30 years. Outstanding T-bonds have remaining maturities of 10 to 30 years. Interest is
paid semiannually, with the principal paid at maturity.
o 14% Treasury Bills (T-Bills) – Non-interest bearing (zero-coupon) short-term securities with
maturities of only a few days or 4, 13, 26 or 52 weeks. They are purchased at a discount to par
(face) value and paid out at par value at maturity.
o 9% Treasury Inflation Protected Securities (TIPS) – These are indexed to inflation, as measured by
the Consumer Price Index, acting as a hedge against the negative effects of inflation. They come in
5, 10 and 30 year maturities, and interest is paid semiannually. TIPS are considered a low-risk
investment since the par value rises with inflation, while the interest rate remains fixed.
o 2% Floating Rate Notes (FRN) – These are debt instruments with a 2 to 5 year maturity and a
variable interest rate. Its interest rate is tied to a benchmark (U.S. T-Bill rate, Fed Funds rate).
• Outstanding – Total UST outstanding has grown at a 9.6% CAGR since 2008, to $14.5 trillion. T-Bonds
grew at a 12.9% CAGR, to 2.0 trillion, and T-Notes grew at a 12.2% CAGR, to 8.8 trillion. (Remaining
CAGRs: TIPS 9.6%, T-Bills 0.5% and FRNs 20.3%, but the data set only began in 2014.)
• Issuance – Per annum net new issuance declined at an 8.0% CAGR since 2008, to $537 billion. T-Bonds
increased at a 12.1% CAGR, while T-Bills and T-Notes declined at 16.7% and 3.2% CAGRs respectively.
• ADV – UST ADV declined at a 1% CAGR since 2008, to $505 billion. TIPS trading grew at a 7.8% CAGR,
and UST greater than 11 years maturity grew at a 2.7% CAGR. (Remaining CAGRs: T-Bills 2.0%, UST 6 to
11 years maturity 0.1%, UST 3 to 6 years maturity -2.4%, UST less than 3 years maturity -3.7% and FRN
9.7%, with the data set only beginning in 2015.)
Note: Data as of FY17.
Market Breakout: US Treasuries
SIFMA Insights Page | 14
Chartbook
Source: SIFMA. Please see the Appendix for details.
3.0 3.0 3.23.6
3.9 4.2 4.3 4.5
5.8
7.3
8.9
9.9
11.0
11.912.5
13.213.9
14.5
0
2
4
6
8
10
12
14
16
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Markets Outstanding ($T)
312 381
572
745 853
746 789 752
1,037
2,075
2,320
2,103
2,305
2,140 2,215
2,122 2,169 2,224
0
500
1,000
1,500
2,000
2,500
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Markets Issuance ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 15
Source: SIFMA. As of FY17. Please see the Appendix for details.
207
298
366
434
499
555525
570553
408
528
568
519545
504490
519 505
0
100
200
300
400
500
600
700
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Markets ADV ($B)
Notes, 61%
Bonds, 14%
Bills, 14%
TIPS, 9%
FRN, 2%
UST Outstanding $14.5 T
0
2
4
6
8
10
12
14
16
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Outstanding by Category ($T)
Notes Bonds Bills TIPS FRN
Market Breakout: US Treasuries
SIFMA Insights Page | 16
Source: SIFMA. Please see the Appendix for details.
2,792
4,181
5,572
6,605
7,327 7,882
8,229 8,457 8,659 8,850
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
10,000
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Outstanding, Notes ($B)
592 718
893
1,064
1,240
1,408
1,576 1,725
1,849 1,993
0
500
1,000
1,500
2,000
2,500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Outstanding, Bonds ($B)
1,861 1,793 1,773
1,521 1,629 1,592
1,458 1,514
1,818 1,956
0
500
1,000
1,500
2,000
2,500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Outstanding, Bills ($B)
530 568
616
739
850
973
1,078
1,168 1,247
1,328
0
200
400
600
800
1,000
1,200
1,400
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Outstanding, TIPS ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 17
Source: SIFMA. Please see the Appendix for details.
191
(45)
527
569
481
343
392
260
483
344
396 363
265
190
286 310
401
172
232
295
349
(11)
197
264 265
(64)
205 227
141
57
133
354
244
(25)
222 255
40 35
192
270
458
-100
0
100
200
300
400
500
600
1Q
08
2Q
08
3Q
08
4Q
08
1Q
09
2Q
09
3Q
09
4Q
09
1Q
10
2Q
10
3Q
10
4Q
10
1Q
11
2Q
11
3Q
11
4Q
11
1Q
12
2Q
12
3Q
12
4Q
12
1Q
13
2Q
13
3Q
13
4Q
13
1Q
14
2Q
14
3Q
14
4Q
14
1Q
15
2Q
15
3Q
15
4Q
15
1Q
16
2Q
16
3Q
16
4Q
16
1Q
17
2Q
17
3Q
17
4Q
17
1Q
18
UST Net Issuance ($B)
Notes, 44%
Bonds, 30%
Bills, 26%
UST Net Issuance $2.2 B
-300
-100
100
300
500
700
900
1,100
1,300
1,500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Net Issuance ($B)
Notes Bonds Bills
Market Breakout: US Treasuries
SIFMA Insights Page | 18
Source: SIFMA. Please see the Appendix for details.
328
1,413 1,417
1,108
792
645 576
457
248 237
0
200
400
600
800
1,000
1,200
1,400
1,600
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Net Issuance - Notes ($B)
52
137
190 195 199 191 191
172
145
162
0
50
100
150
200
250
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Net Issuance - Bonds ($B)
863
(73)(21)
(252)
108
(37)
(134)
56
304
138
-400
-200
0
200
400
600
800
1,000
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST Net Issuance - Bills ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 19
Source: SIFMA. As of FY17. Please see the Appendix for details.
<3 Years, 25%
3-6 Years, 24%
6-11 Years, 22%
T-Bills, 18%
>11 Years, 7%
TIPS, 3%FRN, 1%
UST ADV, $505B
0
100
200
300
400
500
600
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV ($B)
<3 Years 3-6 Years 6-11 Years T-Bills >11 Years TIPS FRN
183
136
163
178
147 147152
134 133125
0
20
40
60
80
100
120
140
160
180
200
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, <3 Years ($B)
151
83
111
135
119130 126
120 123 119
0
20
40
60
80
100
120
140
160
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, 3-6 Years ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 20
Source: SIFMA. Please see the Appendix for details.
111
87
134 137132
140
118 116 120112
0
20
40
60
80
100
120
140
160
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, 6-11 Years ($B)
75 76 7773
7881
65 65
85
92
0
10
20
30
40
50
60
70
80
90
100
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, T-Bills ($B)
29
24
32
3634 35
32
4039 38
0
5
10
15
20
25
30
35
40
45
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, >11 Years ($B)
8.2
5.2
6.4
9.5
10.9
12.411.4
12.8
16.217.3
0
2
4
6
8
10
12
14
16
18
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
UST ADV, TIPS ($B)
Market Breakout: US Treasuries
SIFMA Insights Page | 21
Source: SIFMA. Please see the Appendix for details.
7.50%
0.07%
0.95%
8.55%
1.72% 2.33%
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
199
0
199
1
199
2
199
3
199
4
199
5
199
6
199
7
199
8
199
9
200
0
200
1
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
Historical US Interest Rates
Spread 3-Month 10-Year
2.30%2.39%
3.08%
2.73%
1.65%
2.29%2.18%
2.09%
1.52%1.38%
1.37%
0.15% 0.14% 0.05% 0.07% 0.06% 0.03% 0.05%
0.32%0.95%
3.67%
3.26% 3.21%
2.79%
1.72%
2.35%2.21% 2.14%
1.84%
2.33%
0%
1%
2%
3%
4%
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
Post Crisis US Interest Rates
Spread 3-Month 10-Year
Market Breakout: US Treasuries
SIFMA Insights Page | 22
Source: SIFMA, U.S. Department of the Treasury. As of FY17. Please see the Appendix for details.
38%
15%14%
12%
9%
5% 4%2% 1%
0%
5%
10%
15%
20%
25%
30%
35%
40%
Fo
reig
n
Mo
ne
tary
Au
thori
ty
Pe
nsio
n F
und
s
MF
s
Ind
ivid
uals
Ba
nks
Sta
te &
Lo
ca
lG
ovt.
Insu
ran
ce
O
the
r
Institutional Holders of UST
19%17%
5%4% 4% 4% 4% 4% 3% 3% 2% 2% 2% 2%
25.0%
0%
5%
10%
15%
20%
25%
30%
Chin
a
Ja
pa
n
Ire
lan
d
Bra
zil
Sw
itzerl
and
UK
Caym
an
s
Luxe
mb
ou
rg
Hon
g K
ong
Ta
iwa
n
Ind
ia
Sa
ud
i A
rabia
Be
lgiu
m
Sin
ga
po
re
Oth
er
Foreign Holders of UST
Market Breakout: MBS
SIFMA Insights Page | 23
Market Breakout: MBS
Description and Purpose of Markets
A mortgage is a debt instrument collateralized by a specified real estate property(ies). They are used by individuals
and businesses to make large real estate purchases without paying the entire value of the purchase up front. The
borrower repays the loan plus interest either over or at the end of a specified time period.
Since mortgages are less liquid than other investment vehicles, they can be securitized into mortgage-backed
securities (MBS). Securitization is the process of designing a new a financial instrument by packaging several
underlying assets with the same characteristics. A MBS is a security secured by a mortgage or collection of
mortgages, whether in pass-throughs or collateralized mortgage obligations (CMOs). Pass-throughs are structured
as a trust in which mortgage payments are collected and passed through to investors. CMOs consist of multiple
pools of securities, or tranches, which may be given ratings by credit rating agencies
Current Market Landscape
• Product Breakout – Common terms used for MBS include:
o Residential Mortgage (the R in RMBS) – The collateral is the borrower’s house, with the bank getting
the claim on the house should the borrower default.
o Commercial Mortgage (the C in CMBS) – The collateral is the borrower’s commercial property used
for business purposes (office building, shopping centers, apartment complexes, etc.).
o Fixed-Rate Mortgage – The borrower pays the same interest rate for the life of the loan, i.e. monthly
principal and interest payment never change.
o Adjustable-Rate Mortgage (ARM) – The interest rate is fixed for an initial term, but then it fluctuates
with market rates. Monthly payments may change.
o Agency – A MBS issued by Fannie Mae, Freddie Mac, Ginnie Mae.
o Non-Agency – MBS issued by private entities, such as financial institutions.
• Outstanding – Total MBS outstanding is now essentially flat to 2008, with a -0.2% CAGR, to 9.3 trillion
outstanding. There is a definite split between growing total agency issues (2.5% CAGR) versus declines in
total non-agency (-8.6% CAGR) as the private label markets dried up post crisis. (Remaining CAGRs
include: agency MBS 3.4%, agency CMO -2.0%; non-agency CMBS -4.8%, non-agency RMBS -10.4%.)
• Issuance – Total MBS issuance grew at a 3.3% CAGR since 2008, to $1.9 trillion. CAGRs include: agency
2.6%, non-agency 12.1%; agency MBS 1.8%, agency CMO 7.5%; non-agency CMBS 18.8%, non-agency
RMBS 8.8%.
Note: Data as of FY17.
Market Breakout: MBS
SIFMA Insights Page | 24
Chartbook
Source: SIFMA. Please see the Appendix for details.
4.1
4.7
5.35.7
6.3
7.2
8.4
9.4 9.5 9.4 9.3 9.18.8 8.7 8.8 8.9 9.0
9.3
0
1
2
3
4
5
6
7
8
9
10
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Markets Outstanding ($T)
780
1,817
2,515
3,537
2,428
2,764 2,691
2,434
1,394
2,1722,013
1,725
2,195 2,120
1,440
1,801
2,0441,931
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Markets Issuance ($B)
Market Breakout: MBS
SIFMA Insights Page | 25
Source: SIFMA. Please see the Appendix for details.
69
112
154
206 207
252 255
320
345
300
321
243
280
223
178193
207 209
0
50
100
150
200
250
300
350
400
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency MBS Markets ADV ($B)
4.4 4.5
4.1
3.7
3.12.9
2.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
2011 2012 2013 2014 2015 2016 2017
Non-Agency MBS Markets ADV ($B)
Market Breakout: MBS
SIFMA Insights Page | 26
Source: SIFMA. As of FY17. Please see the Appendix for details.
Agency, 86%
Non-Agency, 14%
MBS Outstanding $9.3T
0
1
2
3
4
5
6
7
8
9
10
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding by Category ($T)
Agency Non-Agency
4,4604,957
5,372 5,481 5,546 5,6575,906 6,008
6,2176,530
6,924
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, Agency MBS ($B)3.6
3.2
2.7
2.4
2.1
1.91.7 1.6
1.51.4 1.3
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, Non-Agency ($T)
Market Breakout: MBS
SIFMA Insights Page | 27
Source: SIFMA. As of FY17. Please see the Appendix for details.
MBS, 86%
CMO, 14%
Agency MBS Outstanding
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
9,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency MBS Outstanding by Category ($B)
MBS CMO
4,4604,957
5,372 5,481 5,546 5,6575,906 6,008
6,2176,530
6,924
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, Agency MBS ($B)
1,341 1,3231,264
1,3531,401
1,304
1,1341,210
1,1501,109 1,081
0
200
400
600
800
1,000
1,200
1,400
1,600
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, Agency CMO ($B)
Market Breakout: MBS
SIFMA Insights Page | 28
Source: SIFMA. As of FY17. Please see the Appendix for details.
RMBS, 61%
CMBS, 39%
Agency MBS Outstanding
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Non Agency MBS Outstanding by Category ($B)
CMBS RMBS
2,714
2,357
1,923
1,677
1,437
1,2391,076
994 925846 783
0
500
1,000
1,500
2,000
2,500
3,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, CMBS ($B)871
831793
747690
638 626 629603
532508
0
100
200
300
400
500
600
700
800
900
1,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Outstanding, RMBS ($B)
Market Breakout: MBS
SIFMA Insights Page | 29
Source: SIFMA. As of FY17. Please see the Appendix for details.
Agency, 89%
Non-Agency, 11%
MBS Issuance by Category
0
500
1,000
1,500
2,000
2,500
3,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance by Category ($B)
Agency Non-Agency
1,4051,324
2,089
1,921
1,653
2,1191,982
1,265
1,601
1,880
1,711
0
500
1,000
1,500
2,000
2,500
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, Agency ($B)
1,029
70 83 91 72 76138
174 199164
220
0
200
400
600
800
1,000
1,200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, Non-Agency ($B)
Market Breakout: MBS
SIFMA Insights Page | 30
Source: SIFMA. As of FY17. Please see the Appendix for details.
MBS, 82%
CMO, 18%
Agency MBS Issuance
0
500
1,000
1,500
2,000
2,500
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency MBS Issuance by Category ($B)
MBS CMO
1,148 1,174
1,777
1,428
1,242
1,759
1,624
989
1,331
1,560
1,402
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, MBS ($B)
257
150
311
493
411
360 358
276 271
321 308
0
100
200
300
400
500
600
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, CMO ($B)
Market Breakout: MBS
SIFMA Insights Page | 31
Source: SIFMA. As of FY17. Please see the Appendix for details.
RMBS, 56%
CMBS, 44%
Non-Agency MBS Issuance
0
200
400
600
800
1,000
1,200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Non-Agency MBS Issuance by Category ($B)
CMBS RMBS
241
17 1125
3448
88101 102
78
97
0
50
100
150
200
250
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, CMBS ($B)
788
53 72 6737 28
5074
97 86123
0
100
200
300
400
500
600
700
800
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
MBS Issuance, RMBS ($B)
Market Breakout: Corporates
SIFMA Insights Page | 32
Market Breakout: Corporates
Description and Purpose of Markets
Corporate bonds (corporates) are debt securities issued by public and private (you do not have to “go public” to
issue debt, unlike in equities) 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. This is a function of future earnings, or
company assets may be used as collateral for the bonds.
Current Market Landscape
• Product Breakout – Common types of corporates include, some of which may be subsectors of others:
o Publicly Traded - Registered bonds traded in the markets.
o 144A Traded - A mechanism for the sale of privately placed bonds, forgoing SEC registration if
certain conditions are met (two-year holding period, minimum level of public-accessible information).
o High-Yield - Bonds rated by the credit rating agencies below BBB, indicating a higher risk of default.
o Investment Grade - Bonds rated by the credit rating agencies as BBB or higher, indicating a
relatively low risk of default.
o Fixed-Rate – These pay the same amount of interest for its entire term, i.e. a guaranteed interest
rate throughout maturity.
o Floating Rate – These pay a variable interest rate, tied to a benchmark rate, such as the U.S.
Treasury bill rate, Fed Funds rate, London Interbank Offered Rate (LIBOR) or the prime rate.
o Callable – These resemble standard bonds, but with an embedded call option sold to the issuer,
which introduces uncertainty into the security. On the call date, the issuer may decide to recall
(retire) the bonds. Otherwise, the bond reties at the originally specified maturity date.
o Non-Callable – These cannot be redeemed early by the issuer except with the payment of a penalty.
o Convertible – These can be converted into a predetermined amount of the underlying company's
equity at certain times during the bond's life, usually at the bondholder’s discretion.
• Outstanding – Corporates grew at a 5.0% CAGR since 2008, to $8.8 trillion. As companies rushed to
secure low interest rates before the Fed began raising rates, corporates outstanding is up 18.5% over the
last five years.
• Issuance – Corporates issuance grew at an 8.8% CAGR since 2008, to $1.7 trillion. Investment grade
corporates grew at a 7.4% CAGR versus 21.1% for high yield, as investors searched for yield. (Remaining
CAGRs include: callable fixed rate 10.8%, callable floating rate 9.8%; non-callable fixed rate 7.5%, non-
callable floating rate 1.3%; convertibles -4.6%.)
• ADV – Corporates ADV grew at an 8.0% CAGR since 2008, to $30.9 billion. CAGRs include: investment
grade 7.6%, high yield 8.6%; publicly traded 6.9%, 144A 13.9%.
Note: Data as of FY17.
Market Breakout: Corporates
SIFMA Insights Page | 33
Chartbook
Source: SIFMA. Please see the Appendix for details.
3.43.8
4.04.3
4.5 4.64.8
5.2 5.4
5.9
6.5 6.67.0
7.47.8
8.18.5
8.8
0
1
2
3
4
5
6
7
8
9
10
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporate Markets Outstanding ($T)
575
771
636
773 776 748
1,0581,137
711
941
1,055 1,021
1,365 1,3771,437
1,4891,528
1,647
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporate Markets Issuance ($B)
Market Breakout: Corporates
SIFMA Insights Page | 34
Source: SIFMA. As of FY17. Please see the Appendix for details.
17.8 18.017.3
16.6 16.9 16.4
14.3
19.9 20.5 20.6
22.6
24.7
26.727.9
29.630.7
0
5
10
15
20
25
30
35
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporate Markets ADV ($B)
Investment Grade, 83%
High Yield, 17%
Corporates Issuance $1.6B
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance by Category ($B)
Investment Grade High-Yield
Market Breakout: Corporates
SIFMA Insights Page | 35
Source: SIFMA. As of FY17. Please see the Appendix for details.
Note: Call = Callable; Float = Floating
669
795 792 797
1,032 1,0421,125
1,2281,288
1,363
0
200
400
600
800
1,000
1,200
1,400
1,600
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Investment Grade ($B)
42
147
262
224
333 334311
262240
284
0
50
100
150
200
250
300
350
400
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, High-Yield ($B)
Call - Fixed, 60%
Non-Call - Fixed, 24%
Call - Float, 9%
Non-Call - Float, 8%
Corporates Issuance
0
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance by Category ($B)
Call - Fixed Non-Call - Fixed Call - Float Non-Call - Float
Market Breakout: Corporates
SIFMA Insights Page | 36
Source: SIFMA. Please see the Appendix for details.
353
616577 585
884
801865
997 1,017983
0
200
400
600
800
1,000
1,200
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Callable - Fixed ($B)
58
610 8
13
24 2231 32
148
0
20
40
60
80
100
120
140
160
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Callable - Floating ($B)
189
272
406
311
415 419 423
380395 390
0
50
100
150
200
250
300
350
400
450
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Non-Callable - Fixed ($B)
111
48
61
117
53
133127
82 83
126
0
20
40
60
80
100
120
140
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Non-Callable - Floating ($B)
Market Breakout: Corporates
SIFMA Insights Page | 37
Source: SIFMA. As of FY17. Please see the Appendix for details.
43
34
29
21 20
3638
2122
27
0
5
10
15
20
25
30
35
40
45
50
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates Issuance, Convertible ($B)
High-Yield63%
Investment Grade37%
Corporates ADV by Category
0
1
2
3
4
5
6
7
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates ADV by Category ($B)
High-Yield Investment Grade
Market Breakout: Corporates
SIFMA Insights Page | 38
Source: SIFMA. As of FY17. Please see the Appendix for details.
5.1
6.6
7.5 7.5
8.7
9.8
11.3 11.5 11.5 11.8
0
2
4
6
8
10
12
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates ADV, High Yield ($B)
12
.7
11
.9
11
.2
10
.2
10
.4
10
.2
9.2
13
.3
12
.9
13
.2
13
.9 14
.9
15
.4 16
.4
18
.5
19
.2
0
2
4
6
8
10
12
14
16
18
20
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
Corporates ADV, Investment Grade ($B)
Publicly Traded79%
144A21%
Corporates ADV by Category
0
5
10
15
20
25
30
35
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates ADV by Category ($B)
Publicly Traded 144A
Market Breakout: Corporates
SIFMA Insights Page | 39
Source: SIFMA. Please see the Appendix for details.
12.6
17.4 17.2 16.918.2
19.7
21.322.1
24.1 24.5
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates ADV, Publicly Traded ($B)
1.7
2.5
3.3
3.8
4.5
5.05.4
5.9 5.9
6.4
0
1
2
3
4
5
6
7
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Corporates ADV, 144A ($B)
9.510.1
9.2
8.3
7.3
8.98.3
8.07.4
8.6
10.2
13.6 13.7
11.8
12.9 12.9
13.6 13.7
14.7
17.0
15.815.3
6
8
10
12
14
16
18
199
6
199
7
199
8
199
9
200
0
200
1
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
Corporates Average Maturity (# Years)
Market Breakout: Munis
SIFMA Insights Page | 40
Market Breakout: Munis
Description and Purpose of Markets
Municipal bonds (munis) are debt securities issued by state or local governments or other government agencies and
public entities, like public utilities or school districts. The money raised funds public projects, predominantly
infrastructure projects such as: roads, bridges, transit systems, water treatment centers, schools, airports or
hospitals. Efficient muni markets enable states and municipalities to borrow at low rates and finance capital
expenditures over a longer period commensurate with useful life.
Munis are categorized based on the source of repayment, interest and principal.
Current Market Landscape
• Product Breakout – Common types of munis include:
o General Obligation Bond (GO) – These are backed by dedicated property taxes or general funds of
the municipality, not by revenue from a specific project.
o Revenue Bond – These are backed by revenue from a specific project.
o Negotiated - An underwriter sells the bonds to its clients, after determining the bond price by
gathering indications of interest during a presale.
o Competitive - Bonds are advertised for sale, and any market participant may bid, with the bonds
going to the bidder offering the lowest interest cost.
o Private - A broker-dealer sells the entire muni bond placement to one of its clients.
o Refunding - Retiring or redeeming an outstanding bond issue at maturity by using the proceeds from
a new debt issue, typically at a lower interest rate.
o New Capital - First issue of a bond, not a refunding.
o Tax-Exempt Bond – The interest earned by investors is generally free from federal income tax and
often state and local income tax.
o Taxable Bond – The interest earned by investors is subject to taxation.
• Outstanding – Munis outstanding is essentially flat since 2008 (0.5% CAGR), at $3.9 trillion.
• Issuance – Munis issuance grew at a 1.4% CAGR since 2008, to $448 billion. CAGRs include: GO 3.9%,
revenue -1.1%; competitive 6.3%, negotiated -0.7%; private placement 28.8%; new capital -0.2%, refunding
3.0%; callable 0.8%, non-callable 5.5%.
Note: Data as of FY17.
Market Breakout: Munis
SIFMA Insights Page | 41
Chartbook
Source: SIFMA. Please see the Appendix for details.
1.51.6
1.81.9
2.9
3.13.3
3.53.7
3.83.9 3.9 3.9 3.8 3.8 3.8 3.8 3.9
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Markets Outstanding ($T)
198
286
356380
358
407386
429
389410
433
295
382
335 339
405
446 448
0
50
100
150
200
250
300
350
400
450
500
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Markets Issuance ($B)
Market Breakout: Munis
SIFMA Insights Page | 42
Source: SIFMA. As of FY17. Please see the Appendix for details.
8.8 8.8
10.7
12.6
14.8
16.9
23.1
25.1
19.4
12.513.3
11.3 11.3 11.29.9
8.6
10.6 10.8
0
5
10
15
20
25
30
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Markets ADV ($B)
Revenue, 55%
GO, 36%
Private, 9%
Muni Issuance $448B
0
50
100
150
200
250
300
350
400
450
500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance by Category ($B)
Revenue GO Private
Market Breakout: Munis
SIFMA Insights Page | 43
Source: SIFMA. As of FY17. Please see the Appendix for details.
Negotiated, 69%
Competitive, 22%
Private, 9%
Muni Issuance by Category
0
50
100
150
200
250
300
350
400
450
500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance by Category ($B)
Negotiated Competitive Private
276
252
283
180
235
188 182
224
248 248
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Revenue ($B)
110
155147
105
135
125133
154
175
161
0
20
40
60
80
100
120
140
160
180
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, GO ($B)
Market Breakout: Munis
SIFMA Insights Page | 44
Source: SIFMA. Please see the Appendix for details.
3 3 3
10
12
2224
27
22
40
0
5
10
15
20
25
30
35
40
45
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Private Placement ($B)
333349 357
226
296
244 243
290
325310
0
50
100
150
200
250
300
350
400
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Negotiated ($B)
5358
73
60
7469 72
87
99 98
0
10
20
30
40
50
60
70
80
90
100
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Competitive ($B)
Market Breakout: Munis
SIFMA Insights Page | 45
Source: SIFMA. As of FY17. Please see the Appendix for details.
Callable, 85%
Non-Callable, 15%
Muni Issuance by Category
0
50
100
150
200
250
300
350
400
450
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance by Category ($B)
Callable Non-Callable
349 353364
248
332
281 285
348
392379
0
50
100
150
200
250
300
350
400
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Callable ($B)
40
56
69
4750
54 5457
54
69
0
10
20
30
40
50
60
70
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Non-Callable ($B)
Market Breakout: Munis
SIFMA Insights Page | 46
Source: SIFMA. As of FY17. Please see the Appendix for details.
Refunding, 55%
New Capital, 45%
Muni Issuance by Category
0
50
100
150
200
250
300
350
400
450
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance by Category ($B)
Refunding New Capital
182
149 154145
234
174194
250
272
245
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, Refunding ($B)
207
261279
150 149161
145155
174
203
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Muni Issuance, New Capital ($B)
Market Breakout: Munis
SIFMA Insights Page | 47
Source: SIFMA. As of FY17. Please see the Appendix for details.
17%
14%
12%
10%
8% 8%
6%
25%
0%
5%
10%
15%
20%
25%
30%
Ed
uca
tio
n
Hea
lth
Utilit
y
Va
rio
us
Tra
nspo
rta
tio
n
Ta
x-R
eve
nue
Ind
ustr
ial
Oth
er
Muni Par Amount ADV by Category
41%
25%
15%14%
5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Individuals MFs Banks Insurance Cos Other
Institutional Holders of Munis
Market Breakout: Munis
SIFMA Insights Page | 48
Source: SIFMA. Please see the Appendix for details.
19.9
19.4
19.8
19.2
19.719.4
19 19.1 19
19.9
21.1 21.1
19.5
16.7
16.2
15.5 15.6
16.216
16.4
16.9
17.5
15
16
17
18
19
20
21
22
199
6
199
7
199
8
199
9
200
0
200
1
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
201
7
Muni Average Final Maturity at Issuance (# Years)
Market Breakout: Agency
SIFMA Insights Page | 49
Market Breakout: Agency
Description and Purpose of Markets
Agency securities are issued by quasi-governmental agencies 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.
Current Market Landscape
• Product Breakout – Common types of agency debt include:
o Federal Government Agency Bonds – These are backed by the full faith and credit of the U.S.
government and include bonds issued by the Small Business Administration (SBA), etc.
o Government-Sponsored Enterprise Bonds (GSE) – These are not backed by the same guarantee as
federal government agencies and are issued by the Federal National Mortgage Association (Fannie
Mae or Fannie), Federal Home Loan Mortgage (Freddie Mac or Freddie), Federal Farm Credit
Banks Funding Corporation (Farm Credit) or the Federal Home Loan Bank (FHLB), Federal
Agricultural Mortgage Corporation (Farmer Mac). Tennessee Valley Authority (TVA) is unique. A
wholly-owned agency of the U.S. government, the TVA is a self-supporting entity whose debt is not
guaranteed by the government, but supported strictly by TVA revenues.
• Outstanding – Agency outstanding declined at a 4.9% CAGR since 2008, to $1.9 trillion. CAGRs include:
Fannie Mae -10.9%, Freddie Mac -9.6%, FHLB -1.9%, Farmer Mac +12.8%, Farm Credit 4.2% and TVA
1.1%.
Note: Data as of FY17.
Market Breakout: Agency
SIFMA Insights Page | 50
Chartbook
Source: SIFMA. Please see the Appendix for details.
1.9
2.2
2.4
2.62.7
2.6 2.6
2.9
3.2
2.7
2.5
2.3
2.1 2.1 2.0 2.0 2.0 1.9
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Markets Outstanding ($T)
447
941
1,042
1,219
878
635692
831
1,121
1,213
1,346
932
823
584530
634
915
730
0
200
400
600
800
1,000
1,200
1,400
1,600
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Markets Issuance ($B)
Market Breakout: Agency
SIFMA Insights Page | 51
Source: SIFMA. As of FY17. Please see the Appendix for details.
72.8
90.2
81.8 81.778.8 78.8
74.4
83.0
104.5
77.7
11.2 9.6 9.76.6 5.3 4.5 5.4 4.1
0
20
40
60
80
100
120
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Markets ADV ($B)
FHLB, 53%
Freddie, 16%
Fannie, 14%
Farm Credit, 14%
TVA, 1%Farmer Mac,
1%
Agency Outstanding by Category
0
500
1,000
1,500
2,000
2,500
3,000
3,500
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding by Category ($B)
FHLB Freddie Fannie Farm Credit TVA Farmer Mac
Market Breakout: Agency
SIFMA Insights Page | 52
Source: SIFMA. Please see the Appendix for details.
595 561 555
578 550
527
449
388 346 337
315
269
0
100
200
300
400
500
600
700
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, FHLB ($B)
77
3
76
0 8
81
82
4
83
9
75
7
63
4
60
4
49
4
43
2
36
5
31
7
0
100
200
300
400
500
600
700
800
900
1,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, Freddie ($B)
774 796
883
786 794 742
622
534
464
389 329
277
0
100
200
300
400
500
600
700
800
900
1,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, Fannie ($B)
744 739
870
805
728 674
552 511
454 418
357 317
0
100
200
300
400
500
600
700
800
900
1,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, Farm Credit ($B)
Market Breakout: Agency
SIFMA Insights Page | 53
Source: SIFMA. Please see the Appendix for details.
27
4
51
3 6
01
36
3
36
3
36
0
39
8 4
83
56
0
70
5
63
8
63
2
0
100
200
300
400
500
600
700
800
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, TVA ($B)
134
154
176 176 188 184
197 208
225 243
258 265
0
50
100
150
200
250
300
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, Farmer Mac ($B)
Long Term73%
< 1 Year27%
Agency Outstanding by Category
0
500
1,000
1,500
2,000
2,500
3,000
3,500
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding by Category ($B)
Long Term < 1 Year
Market Breakout: Agency
SIFMA Insights Page | 54
Source: SIFMA. As of FY17. Please see the Appendix for details.
2,114 2,074 2,085 2,074 1,971
1,810
1,636 1,525
1,393 1,278
1,420 1,406
0
500
1,000
1,500
2,000
2,500
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, Long Term ($B)
518
832
1,124
652
567 517
460 533
636
718
552 529
0
200
400
600
800
1,000
1,200
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Agency Outstanding, < 1 Year ($B)
FHLB, 37%
Freddie, 22%
Fannie, 14%
Other, 26%
Agency ADV
Market Breakout: Agency
SIFMA Insights Page | 55
Source: SIFMA. Please see the Appendix for details.
0
1
2
3
4
5
6
7
8
Ja
n-1
5
Fe
b-1
5
Ma
r-15
Ap
r-15
Ma
y-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Se
p-1
5
Oct-
15
Nov-1
5
Dec-1
5
Ja
n-1
6
Fe
b-1
6
Ma
r-16
Ap
r-16
Ma
y-1
6
Ju
n-1
6
Ju
l-1
6
Au
g-1
6
Se
p-1
6
Oct-
16
Nov-1
6
Dec-1
6
Ja
n-1
7
Fe
b-1
7
Ma
r-17
Ap
r-17
Ma
y-1
7
Ju
n-1
7
Ju
l-1
7
Au
g-1
7
Se
p-1
7
Oct-
17
Nov-1
7
Dec-1
7
Agency ADV ($B)
FHLB Freddie Fannie Other
4.9
3.7 3.6
7.0
5.3
3.4
4.1
0
1
2
3
4
5
6
7
8
Ja
n-1
5
Fe
b-1
5
Ma
r-15
Ap
r-15
Ma
y-1
5
Ju
n-1
5
Ju
l-1
5
Au
g-1
5
Se
p-1
5
Oct-
15
Nov-1
5
Dec-1
5
Ja
n-1
6
Fe
b-1
6
Ma
r-16
Ap
r-16
Ma
y-1
6
Ju
n-1
6
Ju
l-1
6
Au
g-1
6
Se
p-1
6
Oct-
16
Nov-1
6
Dec-1
6
Ja
n-1
7
Fe
b-1
7
Ma
r-17
Ap
r-17
Ma
y-1
7
Ju
n-1
7
Ju
l-1
7
Au
g-1
7
Se
p-1
7
Oct-
17
Nov-1
7
Dec-1
7
Agency ADV ($B)
Total Trend Line
Market Breakout: ABS
SIFMA Insights Page | 56
Market Breakout: ABS
Description and Purpose of Markets
Securitization is a financing technique of pooling similar types of debt obligations and then selling the related cash
flows of the underlying assets to investors. Similar to MBS, an asset-backed security (ABS) is a financial security
collateralized by a pool of assets such as auto loans, student loans, home equity loans, aircraft leases, other loans
and leases, credit card debt (cards), royalties or account receivables.
Typically, the underlying assets of an ABS are illiquid. 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.
Current Market Landscape
• Product Breakout – ABS markets are concentrated in collateralized debt obligations (CDOs), 48% of total
outstanding, followed by: autos 14%, student loans 12%, cards 9%, equipment 4% and other 13%.
• Outstanding – ABS outstanding has declined at a 2.3% CAGR since 2008, to $1.4 trillion. CAGRs include:
CDOs -3.2%, autos 3.8%, student loans -2.9%, cards -8.6%, equipment 2.4% and other 5.2%.
• Issuance – ABS issuance has increased at an 8.8% CAGR since 2008, to $498 billion. CAGRs include:
CDOs 11.5%, autos 11.0%, student loans -5.5%, cards -2.5%, equipment 24.6% and other 19.8%.
Note: Data as of FY17.
Market Breakout: ABS
SIFMA Insights Page | 57
Chartbook
Source: SIFMA. Please see the Appendix for details.
0.70.8
0.91.0
1.1
1.3
1.7
2.0
1.81.7
1.5
1.41.3 1.3
1.3 1.4 1.41.4
0.0
0.5
1.0
1.5
2.0
2.5
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Markets Outstanding ($T)
240261 269
288331
474
658
828
215178
126151
259304
381 388
322
498
0
100
200
300
400
500
600
700
800
900
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Markets Issuance ($B)
Market Breakout: ABS
SIFMA Insights Page | 58
Source: SIFMA. As of FY17. Please see the Appendix for details.
1.51.5
1.3
1.51.4
1.31.4
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2011 2012 2013 2014 2015 2016 2017
ABS Markets ADV ($B)
CDO, 48%
Autos, 14%
Student Loans, 12%
Cards, 9%
Equipment, 4%
Other, 13%
ABS Outstanding by Category
0
400
800
1,200
1,600
2,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding by Category ($B)
CDO Autos Student Loans Cards Equipment Other
Market Breakout: ABS
SIFMA Insights Page | 59
Source: SIFMA. Please see the Appendix for details.
1,053975
891
788
699622 597
632 660 670 702
0
200
400
600
800
1,000
1,200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, CDO ($B)
181
140127
115 115
141
160
178189 194
203
0
50
100
150
200
250
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Autos ($B)
230238 241 242 236 235 230
218202
189177
0
50
100
150
200
250
300
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Student Loans ($B)
325 316301
217
164
128 124136 129 131 129
0
50
100
150
200
250
300
350
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Cards ($B)
Market Breakout: ABS
SIFMA Insights Page | 60
Source: SIFMA. Please see the Appendix for details.
53
44
4036 37
42
48
53 52 51
56
0
10
20
30
40
50
60
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Equipment ($B)
114 109 108101 99
105117
125
143154
181
0
20
40
60
80
100
120
140
160
180
200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Other ($B)
CDO, 49%
Autos, 20%
Cards, 9%
Equipment, 5%
Student Loans, 3% Other,
14%
ABS Issuance by Category
0
100
200
300
400
500
600
700
800
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Issuance by Category ($B)
CDO Autos Cards Equipment Student Loans Other
Market Breakout: ABS
SIFMA Insights Page | 61
Source: SIFMA. Please see the Appendix for details.
1,053975
891
788
699622 597
632 660 670 702
0
200
400
600
800
1,000
1,200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, CDO ($B)
181
140127
115 115
141
160
178189 194
203
0
50
100
150
200
250
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Autos ($B)
325 316301
217
164
128 124136 129 131 129
0
50
100
150
200
250
300
350
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Cards ($B)
53
44
4036 37
42
48
53 52 51
56
0
10
20
30
40
50
60
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Equipment ($B)
Market Breakout: ABS
SIFMA Insights Page | 62
Source: SIFMA. Please see the Appendix for details.
230238 241 242 236 235 230
218202
189177
0
50
100
150
200
250
300
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Student Loans ($B)
114 109 108101 99
105117
125
143154
181
0
20
40
60
80
100
120
140
160
180
200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
ABS Outstanding, Other ($B)
Market Breakout: Money Markets
SIFMA Insights Page | 63
Market Breakout: Money Markets
Description and Purpose of Markets
The money markets involve highly liquid, short maturity (typically overnight to less than one year) financial
instruments, used by investors to borrow and lend in the short term. Common money market instruments include:
negotiable certificates of deposit (CDs), bankers acceptances and commercial paper (CP), among others.
Transactions in the money market are wholesale, taking place only between institutional investors (no individual, or
retail, investors) and for large denominations.
Retail investors access money markets through smaller investment amounts in money market funds (MMF), a type
of mutual fund required by the SEC to invest in low-risk securities. There are several types of MMFs, including ones
investing primarily in government securities, tax-exempt municipal securities or corporate debt (called prime funds).
MMFs are not insured, yet are considered relatively safe and stable investment vehicles, given the low-risk nature of
the underlying financial assets. MMFs seek to maintain a stable net asset value (NAV), the price at which investors
can redeem their shares, at $1.00 per share. While rare, NAV may fall below $1.00 per share causing investor
losses.
During times of market stress, the underlying financial assets may decline in price or become difficult to price.
Investors, then, may seek to redeem their shares at the first sign of risk to their investments. This transforms a
typically stable investment into one subject to shareholder runs, as seen during the financial crisis.
In response to this, in 2014 the SEC adopted structural changes to the regulations of MMFs. The new rules require
institutional prime MMFs to float NAV2, allowing the daily share price to fluctuate along with changes in the market
value of fund assets, while government and retail MMFs continue to seek to maintain a stable NAV3. A muni MMF
would be required to transact at a floating NAV, unless meeting the definition of a retail MMF, in which case it must
seek to maintain a stable NAV.
The rules also provided MMF boards (not applicable to government MMFs, unless they choose to opt in) new tools
to address runs during times of market stress, including:
2 Stable NAV MMFs “penny round” share prices to the nearest 1% (or nearest penny for a fund with a $1.00 share price). To float NAV, MMFs must “basis point round” share prices to the nearest 1/100th of 1% (four decimal places for funds with a $1.0000 share price). 3 Government MMF = 99.5% (formerly 80%) or more of total assets in cash, government securities or repos collateralized solely by government securities or cash. Retail MMF = limit beneficial ownership to “natural persons” (individual investors).
Market Breakout: Money Markets
SIFMA Insights Page | 64
• Liquidity Fees – If weekly liquid assets4 drop below 30% of total assets, the MMF can impose a liquidity fee
of up to 2% on redemptions. If weekly liquid assets drop below 10% of total assets, the MMF is required to
impose a liquidity fee of 1% on all redemptions (unless the MMF determines the fee is not in the best
interest of the fund or that a lower or higher, up to 2%, fee is a better option).
• Redemption Gates – If weekly liquid assets drop below 30% of total assets, the MMF can temporarily
suspend redemptions (gate) for up to 10 business days (can only be performed one time in a 90-day period).
• Prompt Public Disclosure – MMFs must “promptly and publicly” disclose (a) when weekly liquid assets
drop below 10% of total assets or (b) the implementation and removal of liquidity fees or gates.
With these rule changes, the SEC also imposed stronger diversification requirements – aggregation of affiliates for
the 5% of total assets per issuer test; change the 25% diversification limit to 10% for guarantees or demand features
from a single institution; and treat ABS sponsors as guarantors under the 10% limit test (unless not relying on the
sponsor’s financial strength). The rules also sought to improve transparency of MMF risks and operations by
enhancing disclosure and reporting requirements, as well as improving stress testing requirements.
Current Market Landscape
• Product Breakout – Common money markets include:
o Commercial Paper (CP) – A short-term, unsecured debt instrument issued by a corporation, typically
to finance short-term liabilities (accounts receivables, inventories, etc.). Maturities are usually under
270 days. CP is most often issued at a discount from face value and reflects prevailing market
interest rates.
o Certificate of Deposit (CD) – A savings certificate with a fixed maturity date and interest rate, which
restricts access to the funds until the maturity date. CDs are generally issued by commercial banks,
in essentially any denomination, and are insured by the FDIC up to $250,000 per individual.
o Bankers Acceptances – A promised future payment, or time draft, guaranteed by and drawn on a
deposit at the bank. The amount, date and holder of the draft are specified at issuance, at which
time the draft becomes a liability of the bank. The holder of the draft can sell the bankers acceptance
for cash to a buyer who is willing to wait until the maturity date for the funds in the deposit.
• Outstanding – Money markets outstanding declined at a 4.9% CAGR since 2008, to $966 billion.
Note: Data as of FY17.
4 Weekly liquid assets = cash, UST, other government securities with maturities of 60 days or less and securities converting to cash within one week.
Market Breakout: Money Markets
SIFMA Insights Page | 65
Chartbook
Source: SIFMA. As of FY17. Please see the Appendix for details.
1.6
1.51.4
1.31.4
1.6
2.0
1.8
1.6
1.11.1
1.0 1.0 1.0 0.9 0.90.9
1.0
0.0
0.5
1.0
1.5
2.0
2.5
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Money Markets Outstanding ($T)
Financial , 49%
Non-Financial ,
26%
ABCP , 25%
CP Outstanding by Category
-
200
400
600
800
1,000
1,200
1,400
1,600
1,800
2,000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
CP Outstanding by Category ($B)
ABCP Financial Non-Financial
Market Breakout: Money Markets
SIFMA Insights Page | 66
Source: SIFMA. Please see the Appendix for details.
795
714
593 562
472 478 492 472 467
406
475
-
100
200
300
400
500
600
700
800
900
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
CP Outstanding, Financial ($B)
153
181
93
114
146
171
196
227 219 224
252
-
50
100
150
200
250
300
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
CP Outstanding, Non-Financial ($B)
840
704
452
382 351
304 264
231 251 246 240
-
100
200
300
400
500
600
700
800
900
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
CP Outstanding, ABCP ($B)
Market Breakout: Repo
SIFMA Insights Page | 67
Market Breakout: Repo
Description and Purpose of Markets
A repurchase agreement (repo) is a financial transaction in which one party sells an asset to another party with a
promise to repurchase the asset at a pre-specified later date (a reverse repo is the same transaction seen from the
perspective of the security buyer). Repos can be overnight (duration one day) or term (duration up to one year,
albeit some are up to two years and the majority are three months or less). The repo market enables market
participants to provide collateralized loans to one another, and financial institutions predominantly use repos to
manage short-term fluctuations in cash holdings, rather than general balance sheet funding.
In general, repos aid secondary market liquidity for the cash markets (for example, UST), allowing dealers to act as
market makers in a very efficient manner. Market makers stand ready to buy and sell securities, providing liquidity to
markets. These firms must take the other side of trades when there are short-term buy and sell imbalances in
customer orders. Healthy repo markets provide them the necessary cash and access to securities to perform these
actions and keep secondary cash markets running effectively.
Prior to the financial crisis, some financial institutions used repos to fund leveraged position-taking in securities. As
asset prices declined during the crisis, repo lenders increased the amount of collateral required, limiting the level of
repo activity for some investors holding leveraged portfolios. This created a funding shortfall and forced investors to
decrease leverage by selling assets, leading to even lower asset valuations. This fed back into additional asset
sales, and the circle went round and round. Repos backed by government securities also faced stress. Flight to
safety tendencies drove increased demand for these standalone assets, leading to shortages as available collateral
in the repo market.
In light of this, regulators have sought to increase the resiliency of the repo markets, ensuring they become a more
stable source of funding during periods of market stress. While comprehensive data for all segments of this market
are not available, the Federal Reserve Bank of New York (New York Fed) provides data for certain segments of and
specific firms operating in this market. The repo market can be split into two main segments:
• Bilateral Repo – The bilateral repo market has investors and collateral providers directly exchange money
and securities, absent a clearing bank. Bilateral repo transactions can either allow for general collateral or
impose restrictions on eligible securities for collateral. Bilateral repo is preferred when market participants
want to interact directly with each other or if specific collateral is requested.
• Tri-Party Repo – The tri-party repo market is named as such given the role played by clearing banks in
facilitating settlement. The clearing banks (Bank of New York Mellon, JPMorgan) act as an intermediary,
handling the administrative details between the two parties in the repo transaction. Tri-party repo is used to
finance general collateral, with investors accepting any security within a broad class of securities. According
to the New York Fed, market participants view tri-party repo as more cost efficient.
There is also the general collateral finance (GCF) repo market, which is offered by the Fixed Income Clearing
Corporation (FICC), a central clearing counterparty. GCF repo is predominantly used by securities dealers, who
Market Breakout: Repo
SIFMA Insights Page | 68
negotiate the trade on an anonymous basis and then submit it to FICC. FICC then interposes itself as the legal
counterparty to both sides of the repo transaction.
Securities dealers are at the heart of the repo market, operating in all repo market segments. The following shows
the interaction of market participants in both repo market segments described above.
Source: Federal Reserve Bank of New York
Securities
Cash Investors:
-Hedge Funds
-Asset Managers
-Others
Securities
Dealers
-Prime Services Clients
-Hedge Funds
-Others
$ $
Securities
Bilateral Repo
Securities
Cash Investors:
-Money Market Mutual Funds
-Securities Lenders
-Others
Securities
Dealers
Clearing
Banks
$
Tri-Party Repo
Market Breakout: Repo
SIFMA Insights Page | 69
Chartbook
Bilateral Repo Markets
Source: SIFMA. As of FY17. Please see the Appendix for details.
Overnight, 68%
Term, 32%
Avg Daily Outstanding - Repo
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Average Daily Outstanding ($B) - Repo
Overnight Term
Term, 56%Overnight, 44%
Avg Daily Out - Reverse Repo
0
500
1,000
1,500
2,000
2,500
3,000
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Average Daily Outstanding ($B) - Reverse Repo
Term Overnight
Market Breakout: Repo
SIFMA Insights Page | 70
Source: SIFMA. Please see the Appendix for details.
2,633
1,823 1,767 1,835 1,8101,696
1,4751,402 1,453 1,510
0
500
1,000
1,500
2,000
2,500
3,000
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Outstanding ($B) - Repo, Overnight 1,278
746
885 910 922958 931
805747 725
0
200
400
600
800
1,000
1,200
1,400
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Outstanding ($B) - Repo, Term
1,487
1,066
1,180
1,284 1,295
1,1991,108
1,017 1,051984
0
200
400
600
800
1,000
1,200
1,400
1,600
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Outstanding ($B) - Reverse Repo, Term1,103
765
891 905859
799729 739 755
789
0
200
400
600
800
1,000
1,200
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Outstanding ($B) - Reverse Repo, Overnight
Market Breakout: Repo
SIFMA Insights Page | 71
GCF Repo Markets
Source: SIFMA. Please see the Appendix for details.
MBS, 68%
UST, 32%
Avg Daily Outstanding - Repo
0
10
20
30
40
50
60
70
80
90
2010 2011 2012 2013 2014 2015 2016 2017
GCF Repo Total Par Amount ($T)
MBS UST Agency
33.631.1
29.2
21.5
18.5
24.4 24.2
20.9
0
5
10
15
20
25
30
35
40
2010 2011 2012 2013 2014 2015 2016 2017
Total Par Amount ($T) - MBS
40.137.4
35.937.6
27.9 28.3
20.7
9.9
0
5
10
15
20
25
30
35
40
45
2010 2011 2012 2013 2014 2015 2016 2017
Total Par Amount ($T) - UST
Market Breakout: Repo
SIFMA Insights Page | 72
Source: SIFMA. Please see the Appendix for details.
9.59.0
7.7
5.3
4.0
2.5
0
1
2
3
4
5
6
7
8
9
10
2010 2011 2012 2013 2014 2015
Total Par Amount ($T) - MBS
134.3
122.5117.4
86.0
74.1
97.6 96.8
83.8
0
20
40
60
80
100
120
140
160
2010 2011 2012 2013 2014 2015 2016 2017
Daily Par Amount ($B) - MBS
160.4
148.1 144.1150.3
111.7 113.4
82.7
39.6
0
20
40
60
80
100
120
140
160
180
2010 2011 2012 2013 2014 2015 2016 2017
Daily Par Amount ($B) - UST
38.035.5
31.1
21.1
15.9
10.0
0
5
10
15
20
25
30
35
40
2010 2011 2012 2013 2014 2015
Daily Par Amount ($B) - Agency
Appendix: Current Primary Dealer List
SIFMA Insights Page | 73
Appendix: Current Primary Dealer List
The following is the current list of primary dealers, as per the Federal Reserve Bank of New York:
• Bank of Nova Scotia, New York Agency
• BMO Capital Markets Corp.
• BNP Paribas Securities Corp.
• Barclays Capital Inc.
• Cantor Fitzgerald & Co.
• Citigroup Global Markets Inc.
• Credit Suisse AG, New York Branch
• Daiwa Capital Markets America Inc.
• Deutsche Bank Securities Inc.
• Goldman Sachs & Co. LLC
• HSBC Securities (USA) Inc.
• Jefferies LLC
• J.P. Morgan Securities LLC
• Merrill Lynch, Pierce, Fenner & Smith Incorporated
• Mizuho Securities USA LLC
• Morgan Stanley & Co. LLC
• NatWest Markets Securities Inc.
• Nomura Securities International, Inc.
• RBC Capital Markets, LLC
• Société Générale, New York Branch
• TD Securities (USA) LLC
• UBS Securities LLC.
• Wells Fargo Securities, LLC
Appendix: Terms to Know
SIFMA Insights Page | 74
Appendix: Terms to Know
ADV Average Daily Trading Volume
Algo Algorithm (algorithmic trading)
AUM Assets Under Management
BPS Basis Points
CAGR Compound Annual Growth Rate
CUSIP Committee on Uniform Securities Identification Procedures; a nine character security identifier
ETF Exchange-Traded Fund
FICC Fixed Income, Currencies and Commodities
FI Fixed Income
OTC Over-the-Counter
TRS Total Return Swap
D2C Dealer-to-Client
D2D Dealer-to-Dealer
CLOB Central Limit Order Book
ECN Electronic Communications Network
ETP Electronic Trading Platforms
IDB Inter-Dealer Broker
OTC Over-the-Counter
FAMC Farmer Mac/Federal Agricultural Mortgage Corporation
FCS Farm Credit System
FHLB Federal Home Loan Banks
FHLMC Freddie Mac/Federal Home Loan Mortgage Corporation
FNMA Fannie Mae/Federal National Mortgage Association
GNMA Ginnie Mae/Government National Mortgage Association
TVA Tennessee Valley Authority
CD Certificate of Deposit
CDO Collateralized Debt Obligation
CP Commercial Paper
ABCP Asset-Backed Commercial Paper
MMF Money Market Mutual Funds
Appendix: Terms to Know
SIFMA Insights Page | 75
Fed Federal Reserve System
FIMSAC Fixed Income Market Structure Advisory Committee
SEC Securities and Exchange Commission
UST U.S. Treasury Securities
Mortgage Mortgage-Related Securities (GNMA, FNMA & FHLMC MBS & CMOs; private-label MBS & CMOs)
Corporates Corporate Bonds
Munis Municipal Securities
Agency Federal Agency Securities (FNMA, FHLMC, FAMC, FHLB, FCS, TVA, etc.)
ABS Asset-Backed Securities (auto, credit card, home equity, manufacturing, student loans, etc.; CDOs)
MM Money Markets (CP, bankers acceptances, large time deposits)
FRN Floating Rate Note
T-Bill U.S. Treasury Bill
T-Note U.S. Treasury Note
T-Bond U.S. Treasury Bond
TIPS Treasury Inflation Protected Securities
ABS Asset-Backed Security
CMO Collateralized Mortgage Obligation
MBS Mortgage-Backed Security
CMBS Commercial MBS
RMBS Residential MBS
HY High Yield Bond
IG Investment Grade Bond
GO General Obligation Bond
Revenue Revenue Bond
Appendix: Credit Ratings Scale
SIFMA Insights Page | 76
Appendix: Credit Ratings Scale
Long-Term Short-Term Long-Term Short-Term Long-Term Short-Term
Aaa AAA AAA Prime
Aa1 AA+ AA+
Aa2 AA AA
Aa3 AA- AA-
A1 A+ A+
A2 A A
A3 A- A-
Baa1 BBB+ BBB+
Baa2 BBB BBB
Baa3 BBB- BBB-
Ba1 BB+ BB+
Ba2 BB BB
Ba3 BB- BB-
B1 B+ B+
B2 B B
B3 B- B-
Caa1 CCC+ Substantial Risks
Caa2 CCC Extremely Speculative
Caa3 CCC-
CC
C
C DDD
DD
D
Ca
D / //
Default Imminent (low
probability of recovery)
In Default
Not Prime
B B
Speculative
High-Yield
Bonds
Highly Speculative
C CCC C
A-1Upper Medium Grade
P-2 A-2 A-2
Lower Medium GradeP-3 A-3 A-3
Moody's S&P Fitch
Rating Description
P-1
A-1+ A-1+
Investment
Grade Bonds
High Grade
A-1
Appendix: Sources and Notes to Data
SIFMA Insights Page | 77
Appendix: Sources and Notes to Data
Source: SIFMA
The data and statistics sourced to SIFMA throughout this Primer are available at www.sifma.org/research. Explanatory notes follow
below:
US Bond Market Trading Volume
• Daily Trading Figures – Daily trading figures do not include all trades reported for the asset class due to time, trade type, or
trade size cutoffs. Monthly and certain annual averages are derived from daily trading and therefore will often be an
undercount to actual figures.
• Annual Trading Figures – Annual trading figures are sourced from agency annual reports on a 2-year lag.
• Data Sources
o Municipal = MSRB
o Treasury – US Primary Dealer Trading Volumes (NY Fed)
o Agency MBS – Until May 2011, from US primary dealer trading volumes (NY Fed); beginning May 2011, from FINRA
Trace
o Non-Agency MBS – FINRA Trace
o ABS = FINRA Trace
o Corporate = FINRA Trace
o Federal Agency Securities – Until March 2010, from US primary dealer trading volumes (NY Fed); beginning March
2010, from FINRA Trace
• Notes
o Municipal – Annual figures are sourced from daily averages not from MSRB's yearbook.
o Treasury – US Primary Dealer Trading Volumes (NY Fed)
o Agency MBS – Full year 2011 and year to date 2011 average figures are only sourced from FINRA daily volumes.
Annual figures are also sourced from daily figures.
o Non-Agency MBS – Non-Agency MBS trading figures will include CMBS figures; daily figures include 144A trades but
do not include certain subcategories in which there are <5 trades made. New issue transactions are sometimes
included.
o ABS – ABS figures will not include CMBS figures, but also include CDO and Other trading volumes; daily figures
include 144A trades but do not include certain subcategories in which there are <5 trades made. New issue
transactions are sometimes included.
o Corporate – Annual figures are sourced from FINRA's yearbook when available. Monthly figures are sourced from
daily reporting and are subject to 5:15pm cutoff which causes monthly volumes to be understated. For more detailed
data, please visit Corporate Bond Trading Volume sheet on the website.
US Bond Market
• Changes, December 2016 – Large time deposits are no longer reported for the money market category.
• Changes, September 2016 – Risk transfer and single family rentals have been moved from ABS to MBS.
• Changes, Jun 2016 – ABS issuance now includes CDOs marketed in the US.
• Changes, Sep 2014 – Revisions in Flow of Funds methodology for non-financial corporate bonds have reduced outstanding
sizes and are subsequently reflected in the table.
• Changes, Nov 2013 – Home equity and manufactured housing issuance has been moved from ABS to MBS. Overall bond
totals have not changed.
• Issuance
o Treasury – Long-term only, interest bearing marketable coupon public debt. Includes floating rate notes.
Appendix: Sources and Notes to Data
SIFMA Insights Page | 78
o Mortgage-Related – Includes GNMA, FNMA, and FHLMC mortgage-backed securities and CMOs and private-label
MBS/CMOs.
o Corporate Debt – Includes all non-convertible debt, MTNs and Yankee bonds, but excludes CDs and federal agency
debt.
o Federal Agency – Beginning with 2004, Sallie Mae has been excluded due to privatization. Data for Federal Agency
issuance is posted with a month lag.
• Outstanding
o Treasury – Interest bearing marketable coupon public debt.
o Asset-Backed – Includes auto, credit card, home equity, manufacturing, student loans and other; USD-denominated
CDOs are also included.
o Money Markets – Includes commercial paper, bankers acceptances, and large time deposits.
o Mortgage-Related – Includes GNMA, FNMA, and FHLMC mortgage-backed securities and CMOs and private-label
MBS/CMOs.
o Corporate Debt – Includes all non-convertible debt, MTNs and Yankee bonds, but excludes CDs and federal agency
debt.
o Federal Agency – Contains agency debt of Fannie Mae, Freddie Mac, Farmer Mac, FHLB, the Farm Credit System,
and federal budget agencies (e.g., TVA). Beginning with 2004, Sallie Mae has been excluded due to privatization.
Beginning in 2010 Q1, the Federal Reserve Flow of Funds is no longer our source of agency debt going forward due
to FAS 166/167 changes.
o Municipal – Due to the change in underlying sourcing from the Federal Reserve, municipal securities outstanding has
been restated from 2004 onward and revised upward by about $840 billion.
• Sources: Bloomberg, Dealogic, Thomson Reuters Eikon, Thomson Reuters SDC, U.S. Treasury, Fannie Mae, Freddie Mac,
Ginnie Mae, Farmer Mac, Farm Credit, FHLB
US Treasury Issuance and Outstanding
• Issuance & Outstanding – Includes marketable securities only.
• Interest Rates – Averages for the month and year.
• Source: U.S. Treasury, Thomson Reuters
US Treasury Average Daily Trading Volume
• Note – Primary dealer activity
• Source: Federal Reserve Bank of New York
US Corporate Bond Issuance
• Notes – Includes all corporate debt, MTNs and Yankee bonds, but excludes all issues with maturities of one year or less and
CDs. – Average maturity is based on non-convertible debt issuance, rather than outstanding, volumes.
• Source: Thomson Reuters
US Corporate Average Daily Trading Volume
• Notes: Annual and quarterly figures are sourced from FINRA's yearbook when available. Monthly figures are sourced from
daily reporting and are subject to 5:15pm cutoff which causes monthly volumes to be understated. Monthly 144A data is
available only from July 2014 on. – Publicly traded data includes non-convertible corporate debt, MTNs, and Yankee bonds,
but excludes all issues with maturities of one or less and CDs.
• Source: FINRA TRACE, FINRA Fact Book
Appendix: Sources and Notes to Data
SIFMA Insights Page | 79
US Municipal Bond Issuance
• Issuance – All issuance figures are based on deals with maturity of 13 months or greater.
• Average Maturity – Average maturity is based on issuance, rather than outstanding, volumes. Maturity year is based on final
date of maturity of the issue.
• Source: Thomson Reuters
US Municipal Trading
• Source: MSRB EMMA
US Agency Debt
• Changes, 2017 Q3 – Farmer Mac data from 2016: Q4 onward now reflect maturity breakouts based on contractual maturity on
issuance.
• Sources: FNMA, FHLMC, FFCB, FAMC, FHLB, TVA, Federal Reserve archives
• Short and Long Term – Long-term and short-term breakouts are based on contractual maturity on issuance; <1 year debt will
not include long-term debt due within a year except for Farmer Mac prior to 2016: Q4.
• Structured Products – Figures do not include structured products (e.g., student loan ABS from Sallie Mae, MBS from
FNMA/FHLMC, etc.).
• GSEs & Agencies Tracked – FNMA, FHLMC, FFCB, FHLB, TVA, and FAMC. SIFMA does not actively track debt levels of
other US GSEs or agencies.
US Repo and Reverse Repo Data
• Tri-Party
o Data – Subcategories may no longer add up to totals listed due to omission of asset classes with fewer than 3
dealers.
o Source: Federal Reserve Bank of New York
• Primary Dealer
o Data – Primary dealer financing values include both triparty and bilateral agreements. Figures cover financing
involving U.S. government, federal agency, corporate and federal agency MBS securities. Beginning in April 2013,
figures also include equity and other securities; beginning in January 2015, figures also break out ABS.
o Source: Federal Reserve Bank of New York
• GCF Repo
o Data – GCF Repo data are only overnight rates and dollar amounts. Figures are total nominal value of GCF repos
submitted for clearing to FICC.
o Treasury – Treasury securities are containing those securities 30-year or less.
o Agency – Agency debenture securities.
o MBS – 30Y MBS securities issued by Fannie or Freddie.
o Source: DTCC
US Mortgage-Related Issuance and Outstanding
• Mortgage-Related Changes
o 2017 June – Beginning in June 2017, multifamily credit risk transfer has now been broken out in CMBS.
o 2016 September – Risk transfer (agency and non-agency) and single family rental securities have been moved from
ABS to MBS - RMBS for issuance. Outstanding values will reflect this change in the 2016 Q3 reporting.
o 2016 Q2 – Beginning in 2Q'16, all non-agency home equity securitizations have been consolidated in RMBS; a new
non-agency CMBS and RMBS addendum tab has been added for clarity.
Appendix: Sources and Notes to Data
SIFMA Insights Page | 80
o 2015 Q4 – Beginning in 4Q'15, Freddie Mac 1-4 family and multifamily outstanding breakdowns have been changed
to reflect changes in 10K and 10Q filings.
o 2015 June – As of June 2015, all non-agency CMBS and RMBS issuance data has been supplemented with data
from Bloomberg beginning in 2008. Revisions to issuance data will be made quarterly. Sources for CMBS and RMBS
issuance are now Dealogic, Thomson Reuters, and Dealogic.
o 2014 Q3 – As of 2014 Q3, Option ARMs have been included in Alt-A. Outstandings have been changed to reflect the
addition.
• Mortgage-Related Issuance
o Agency Securitizations – Agency issuance includes both agency & residential and multifamily securitizations from
Fannie Mae, Freddie Mac, or Ginnie Mae excluding risk transfer deals. All other government agency or GSE
securitizations/guarantees and GSE risk transfer deals are part of non-agency ABS or MBS.
o CMBS – CMBS resecuritizations and ReREMICs are included in issuance totals.
o NIMs – All NIM deals are included under MBS - Resecuritization.
o Sources: Federal Agencies (FHLMC, FNMA, GNMA, NCUA, and FDIC), Bloomberg, Dealogic, Thomson Reuters
• Mortgage-Related Outstanding
o Non-Agency – Non-agency MBS includes both CMBS and RMBS. Resecuritizations and Re-remics are included and
underlying collateral may overlap.
o Sources: GSEs, Bloomberg, Eikon, Dealogic, Fitch Ratings, Moody’s, S&P, Thomson Reuters, SIFMA
o Sources: Thomson Reuters Eikon, Bloomberg, prospectus filings, Fitch Ratings, Moody's, S&P, SIFMA
• US Agency MBS Issuance and Outstanding
o Issuance – Agency securities include both multi- and single-family. Freddie Mac began issue in 1971, Fannie in 1981.
Fannie Mae CMOs include strip issuance.
o Federal Reserve Differences – Totals may not be exact matches to Federal Reserve totals due to consolidation of
trust data and classification of certain securities; FNMA data reported prior to 2010 to the Fed differ to a greater
extent than the other agencies. MBS values reported in the Federal Reserve may differ slightly from values reported
by FHFA.
o FHLMC – Beginning in 4Q'15, 1-4 family MBS outstanding are single family mortgage-related securities outstandings
of consolidated trusts plus unconsolidated other mortgage-related securities. Multifamily outstandings are from
consolidated trusts as well as unconsolidated K certificates and other unconsolidated securitization products. Totals
may not add up due to rounding.
o Sources: Federal Reserve archives, HUD, FHFA, Fannie Mae, Freddie Mac, Ginnie Mae; data compiled by SIFMA
US ABS
• Recent Changes
o Changes, 2017 April – SBA pools have now been incorporated in ABS issuance under ABS - Other. This change has
been retroactively applied.
o Changes, 2016 Sep. (Issuance) – The housing-related securities category is no longer broken out; risk transfer and
rental securitizations have been moved into MBS. Servicing advances have been moved to ABS - Other. CDOs have
been removed from Other and into its own category. All data have been retroactively revised to reflect these changes.
Outstanding figures will reflect these changes beginning in 2016 Q3.
• Issuance
o Source: Bloomberg, Dealogic, Thomson Reuters
• Outstanding contains
o Auto – Auto (prime, near-prime, subprime) loans and leases; auto dealer floorplans; RV; motorcycle; fleet lease
o Credit Card – Credit cards, resecuritizations of credit card securities
o Equipment – Equipment, resecuritizations of equipment securities. Includes both small and large ticket. As of 2013:
Q1, truck leasing has been moved into equipment and totals subsequently reflect this change; as of 2014: Q4, large
ticket transportation deals (aircraft, container, railcar) have been moved into this category.
Appendix: Sources and Notes to Data
SIFMA Insights Page | 81
o Student Loans – Student loans, public and private. Due to the nature of this particular submarket, student loan ABS
outstandings are an undercount of true totals. Deals may be bucketed within municipal or ABS categories based on
the deal structure and issuer choice of market.
o Other – Anything that does not fit into any of the above categories, including those with mixed asset categories (e.g.,
tax liens, trade receivables, boat loans, etc.)
o CDO – All tranches of CDOs denominated in USD, regardless of collateral source
o Agency Debt – Agency securitizations of ABS securities are included in outstanding totals (e.g., Resolution Trust
Corporation, Sallie Mae pre-privatization, Farm Credit, etc.) with the exceptions of Ginnie Mae, Fannie Mae, and
Freddie Mac.
o Sources: Bloomberg, Dealogic, Thomson Reuters, prospectus filings, Fitch Ratings, Moody's, S&P, SIFMA – All
subcategories are subject to revision.
ABS Outstanding – Addendum
• Notes – Subsets of overall ABS categories are selections and are not designed to add up to totals; only Auto and Student
Loan subcategories do so. Outstanding by ratings are current rating, not rating assigned at issuance.
• Changes, 2016 Q4 – Large time deposits are no longer reported.
• Source: Federal Reserve
US Structured Trading Volume
• Changes
o 2016, March – Beginning Q2 2015, all data in the FINRA Trace Fact Book tabs are based on remaining principal
balance rather than original principal balance. Data that have remaining principal balance information available
beginning Q1 2015 are noted in italics.
• TRACE Data
o Monthly Averages – Monthly averages are derived from daily TRACE reporting and will be an undercount to the
averages reported quarterly from the TRACE Fact Book due to differences in cutoff times, <5 trades, and difference
in reporting values (with or w/o factors applied); see FINRA's Trace's Structured Product Reports FAQ for more
detail.
o CMBS – CMBS trade volumes are aggregated ultimately under our non-agency trading figures. Please note that
agency CMBS trading volumes are, however, reported under CMBS instead of agency CMO.
o * Trades – Trade categories marked as * (<5 trades) are counted as 0 and will affect totals and averages in the daily
and monthly averages.
o Source: FINRA Trace, NY Fed
Authors
SIFMA Insights Page | 82
Authors
Author
Katie Kolchin, CFA
Senior Industry Analyst
SIFMA Insights
Contributors
Rob Toomey
Managing Director, Associate General Counsel
Rates & Repo
Chris Killian
Managing Director
Corporate Credit, MBS & ABS
Michael Decker
Managing Director
Municipal Securities
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