Executive Summary

SIFMA Research Quarterly – 1Q21 US Fixed Income Markets – Issuance & Trading

April 2021

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

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

US Fixed Income Markets – Issuance & Trading Page | 1 Executive Summary

Contents

Executive Summary ...... 4 US Fixed Income Markets vs. Rest of World ...... 4 Quarterly Performance ...... 5 Chart Book: Total Fixed Income ...... 6 Chart Book: US Treasuries (UST) ...... 7 Chart Book: Mortgage-Backed Securities (MBS) ...... 9 Chart Book: Corporate Bonds (Corporates) ...... 10 Chart Book: Municipal Securities (Munis) ...... 12 Chart Book: Federal Agency Securities (Agency) ...... 14 Chart Book: Asset-Backed Securities (ABS) ...... 15 Chart Book: Secured Overnight Financing Rate (SOFR) ...... 16 Appendix: Fixed Income Securities Definitions & Purpose ...... 17 Appendix: Terms to Know ...... 19 Authors ...... 20

US Fixed Income Markets – Issuance & Trading Page | 2 Executive Summary

Associated Reports

Please also see SIFMA Research Quarterly Report: US Cash Equities, ETFs, Multi-Listed Options and Capital Formation & SIFMA Research Quarterly Report: US Fixed Income Markets – Outstanding , which can be found at: www.sifma.org/research

SIFMA Insights Primers: The SIFMA Insights primer series is a reference tool that goes beyond a typical 101 series. By illustrating important technical and regulatory nuances, SIFMA Insights primers provide a fundamental understanding of the marketplace and set the scene to address complex issues arising in today’s markets. The SIFMA Insights market structure primer series includes: Global Capital Markets & Financial Institutions; Electronic Trading; U.S. Fixed Income; SOFR, the Transition from LIBOR; U.S. Equity; U.S. Multi-Listed Options; U.S. ETFs; U.S. Capital Formation and Listings Exchanges; and Evolution of the Fintech Narrative. The primers and other Insights reports can be found at: www.sifma.org/primers

SIFMA is the leading trade association for broker-dealers, investment banks and asset managers operating in the U.S. and global capital markets. On behalf of our industry’s nearly 1 million employees, we advocate on legislation, regulation and business policy, affecting retail and institutional investors, equity and fixed income markets and related products and services. We serve as an industry coordinating body to promote fair and orderly markets, informed regulatory compliance, and efficient market operations and resiliency. We also provide a forum for industry policy and professional development. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit http://www.sifma.org.

This report is subject to the Terms of Use applicable to SIFMA’s website, available at http://www.sifma.org/legal. Copyright © 2021

US Fixed Income Markets – Issuance & Trading Page | 3 Executive Summary

Executive Summary

US Fixed Income Markets vs. Rest of World

The U.S. fixed income markets are the largest in the world, comprising 38.9% of the $119 trillion securities outstanding across the globe, or $46 trillion (as of 3Q20). This is 1.9x the next largest market, the EU. U.S. market share has averaged 38.6% over the last 10 years, troughing at 36.3% in 2011 and peaking at 40.8% in 2016.

US Market Share

Global FI Outstanding US Share of Global FI Markets ($T) Singapore EM DM World US Australia 0.5% 2.0% 1.4% 1.0% 140 Canada HK 119 3.2% 0.5% 120 106 UK 98 101 5.6% 100 88 88 87 90 82 86 86 80 Japan US 11.9% 38.9% 60 46 39 41 34 35 37 38 40 30 31 32 33 China 14.6% 20 EU 20.4% 0 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 3Q20

Source: Bank for International Settlements (3Q20, BIS data for all countries has a lag) Note: Country classification based on World Bank list of economies

US Fixed Income Markets – Issuance & Trading Page | 4 Executive Summary

Quarterly Performance

In this report, we utilized SIFMA Research’s comprehensive fixed income and securitized products databases (www.sifma.org/statistics) to recap statistics for total U.S. fixed income markets, U.S. Treasuries (UST), mortgage- backed securities (MBS), corporate bonds (corporates), municipal securities (munis), federal agency securities (agency), asset-backed securities (ABS), money markets (MM), repurchase agreements (repos) and the secured overnight financing rate (SOFR).

Quarterly Highlights

Issuance ($B) 1Q21 4Q20 1Q20 Q/Q Y/Y 2020 2019 Y/Y Total Market 3,525 3,496 2,483 0.8% 41.9% 12,458 8,451 47.4% UST 1,289 1,173 758 9.8% 70.1% 3,896 2,935 32.7% MBS 1,263 1,558 617 -18.9% 104.9% 4,243 2,243 89.2% Corporates 596 323 567 84.5% 5.2% 2,279 1,423 60.2% Agency 209 233 373 -10.3% -43.9% 1,251 989 26.5% Munis 104 129 95 -20.0% 8.8% 484 426 13.6% ABS 64 78 74 -18.3% -13.6% 304 435 -30.0%

Trading (ADV, $B) 1Q21 4Q20 1Q20 Q/Q Y/Y 2020 2019 Y/Y Total Market 1,078 894 1,078 20.6% 0.0% 956 896 6.7% UST 681 548 686 24.2% -0.7% 603 594 1.6% MBS - Agency 332 293 318 13.3% 4.2% 290 248 17.0% MBS - Non Agency 3.0 2.4 4.3 21.4% -31.0% 3.2 2.7 15.6% Corporates 47 36 45 31.1% 4.6% 41 35 16.2% Agency 3.9 3.7 5.5 2.8% -29.5% 5.1 4.1 25.8% Munis 9.6 9.4 16.2 2.3% -40.6% 12.0 11.5 4.2%

ABS 1.7 1.5 2.5 12.8% -31.6% 1.9 1.5 23.2%

Sources: Bloomberg, Federal Reserve Bank of New York, FINRA, Municipal Securities Rulemaking Board, Refinitiv, US Agencies, US Treasury, SIFMA estimates Note: Issuance = LT securities only

US Fixed Income Markets – Issuance & Trading Page | 5 Chart Book: Total Fixed Income

Chart Book: Total Fixed Income

• Issuance: 1Q21 $3.5T, +41.9% Y/Y, +0.8% Q/Q; FY20 $12.5T, +47.4% Y/Y • ADV: 1Q21 $1,078B, +.02% Y/Y, +20.6% Q/Q; FY20 $957B, +6.7% Y/Y

US FI Issuance US FI Issuance ($T) UST MBS Corporates Agency Muni ABS Muni ABS 2.9% 1.8% 14 Agency 12.5 5.9% 12

10 UST 8.5 7.5 7.6 7.5 36.6% 8 Corporates 16.9% 6 3.5 4

2 MBS 35.8% 0 FY16 FY17 FY18 FY19 FY20 YTD

US FI Trading US FI Trading, ADV ($B) Muni ABS UST MBS Corporates Agency Muni ABS Agency 0.9% 0.2% 1,200 Corporates 0.4% 1,078 4.4% 956 1,000 896 817 777 765 800 MBS 31.1% 600

400 UST 63.2% 200

0 FY16 FY17 FY18 FY19 FY20 YTD

Sources: Bloomberg, Federal Reserve Bank of New York, FINRA, Municipal Securities Rulemaking Board, Refinitiv, US Agencies, US Treasury, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 6 Chart Book: US Treasuries (UST)

Chart Book: US Treasuries (UST)

• Issuance: o LT 1Q21 $1.3T, +70.1% Y/Y, +9.8% Q/Q; FY20 $3.9T, +32.7% Y/Y o All 1Q21 $4.9T, +48.8% Y/Y, -10.0% Q/Q; FY20 $21.0T, +73.6% Y/Y • ADV: 1Q21 $680.8B, -0.7% Y/Y, +24.2% Q/Q; FY20 $603.2B, +1.6% Y/Y

UST Issuance - LT Issuance UST Issuance - LT Issuance ($B) Notes Bonds TIPS FRN 4,500 TIPS 3,896 4,000 3.1% FRN 3,500 6.5% 2,935 3,000 2,685 Bonds 13.7% 2,500 2,169 2,224 2,000

1,500 1,289

1,000 Notes 76.7% 500

0 FY16 FY17 FY18 FY19 FY20 YTD

UST Issuance - All Issuance UST Issuance - All Issuance ($B) Bills Notes Bonds TIPS FRN TIPS FRN 22,500 20,951 Bonds 0.8% 1.7% 3.6% 20,000 17,500

15,000 Notes 12,071 20.2% 12,500 10,491 10,000 8,301 8,787 7,500 4,900 5,000 Bills 73.7% 2,500

0 FY16 FY17 FY18 FY19 FY20 YTD

Sources: US Treasury, SIFMA estimates Note: All issuance includes T-Bills

US Fixed Income Markets – Issuance & Trading Page | 7 Chart Book: US Treasuries (UST)

UST Trading, ADV UST Trading, ADV ($B) Bills Coupons TIPS FRN FRN 800 TIPS 0.5% 3.8% 681 700 594 603 600 548 Bills 519 505 22.5% 500

400

300

200 Coupons 73.3% 100

0 FY16 FY17 FY18 FY19 FY20 YTD

UST Interest Rates (%) Federal Funds Rate (%) Spread 2-Year 10-Year Target Range Effective Rate 2.93 3.0 3.0 2.44 2.40 2.5 2.24 2.67 2.5 1.92 2.0 1.79 2.0 1.56 1.74 1.38 1.5 1.32 1.5 1.26 1.68 1.15 1.36 0.86 1.0 0.84 1.0 1.10 0.70 0.36 0.40 0.5 0.73 0.5 0.13 0.09 0.08

0.0 0.0

1Q16 1Q16

2Q16 2Q16

3Q16 3Q16

4Q16 4Q16

1Q17 1Q17

2Q17 2Q17

3Q17 3Q17

4Q17 4Q17

1Q18 1Q18

2Q18 2Q18

3Q18 3Q18

1Q19 1Q19

2Q19 2Q19

3Q19 3Q19

4Q19 4Q19

1Q20 1Q20

2Q20 2Q20

3Q20 3Q20

4Q20 4Q20 1Q21 1Q21

Sources: Federal Reserve Bank of New York, US Treasury, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 8 Chart Book: Mortgage-Backed Securities (MBS)

Chart Book: Mortgage-Backed Securities (MBS)

• Issuance: 1Q21 $1,263B, +104.9% Y/Y, -12% Q/Q; FY20 $4.1T, +87.3% Y/Y • ADV: o Agency 1Q21 $332B, +4.2% Y/Y, +13.3% Q/Q; FY20 $290B, +17.0% Y/Y o Non-Agency 1Q21 $3B, -31.0% Y/Y, +21.4% Q/Q; FY20 $3.2B, +15.6% Y/Y

US MBS Issuance US MBS Issuance ($B) Non- Agency MBS Agency CMO Non-Agency Agency 4,243 1.4% 4,500 4,000 Agency CMO 3,500 10.4% 3,000

2,500 2,243 2,044 2,003 1,873 2,000

1,500 1,263

1,000 Agency MBS 500 88.3% 0 FY16 FY17 FY18 FY19 FY20 YTD

US MBS Trading, ADV US MBS Trading, ADV ($B) Agency Non-Agency Non-Agency 0.9% 400 335 350 293 300 250 250 221 209 212 200

150

100

Agency 50 99.1% 0 FY16 FY17 FY18 FY19 FY20 YTD

Sources: Bloomberg, US Agencies, FINRA, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 9 Chart Book: Corporate Bonds (Corporates)

Chart Book: Corporate Bonds (Corporates)

• Issuance: 1Q21 $596B, +5.2% Y/Y, +84.5% Q/Q; FY20 $2.3T, +60.2% Y/Y • ADV: 1Q21 $47B, +4.6% Y/Y, +31.1% Q/Q; FY20 $41, +16.2% Y/Y

US Corporate Issuance US Corporate Issuance ($B) IG HY Private Placement Convertibles Convertibles Private Placement 2,500 2,279 8.6% 0.1% 2,250 2,000 1,676 1,750 1,553 1,423 1,500 1,376 HY 24.6% 1,250 1,000

IG 750 596 66.7% 500 250 0 FY16 FY17 FY18 FY19 FY20 YTD

US Corporate Trading, ADV US Corporate Trading, ADV ($B) IG HY Private Placement Convertibles Convertibles 50 47 5.7% 45 41

40 35 33 35 31 32 Private 30 Placement 25 25.3% IG 20 51.0% 15 10 HY 18.1% 5 0 FY16 FY17 FY18 FY19 FY20 YTD

Sources: Refinitiv, FINRA, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 10 Chart Book: Corporate Bonds (Corporates)

US Corporate Issuance US Corporate Bond Defaults 50% 160 38.4% 146 40% 140

30% 120 105 100 20% 15.9% 78 11.1% 10.9% 80 10% 7.7% 7.6% 64 4.6% 3.7% 60 44 0% 40

Other 14

Retail 20

High

Power

Financials

Industrials

cations

Healthcare Energy and Energy

Technology 0 Telecommuni FY16 FY17 FY18 FY19 FY20 YTD

US Corporates Average Maturity at Issuance (# Years) US Corporate Bond Index Yield to Maturity (%) 10 Spread IG HY 9.3 8.6 18 9 17.6 8.0 8 17.2 6.6 6.7 17.1 7 6.0 6.0 7.0 17 6 4.9 16.6 5 4.1 4.3 16.3 3.7 4 3.2 3.2 2.9 2.9 3 2.4 16 2 15.5 2.3 1 0

15

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

3Q17

4Q17

1Q18

2Q18

3Q18

4Q18

1Q19

2Q19

3Q19

4Q19

1Q20

2Q20

3Q20 4Q20 FY16 FY17 FY18 FY19 FY20 YTD 1Q21

Source: Bloomberg, Refinitiv, S&P Global Ratings, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 11 Chart Book: Municipal Securities (Munis)

Chart Book: Municipal Securities (Munis)

• Issuance: 1Q21 $103.6B, +8.8% Y/Y, -20.0% Q/Q; FY20 $484B, +13.6% Y/Y • ADV: 1Q21 $9.6B, +2.3% Y/Y, -40.6% Q/Q; FY20 $12.0B, +4.2% Y/Y

US Municipal Issuance US Municipal Issuance ($B) Revenue GO Private Placement Private Placement 600 1.4% 484 500 452 449 426

400 347 GO 39.9% 300

Revenue 200 58.7% 104 100

0 FY16 FY17 FY18 FY19 FY20 YTD

US Municipal Trading, ADV US Municipal Trading, ADV ($B) Revenue GO Other Other 14 8.0% 12.0 11.7 11.5 12 11.0 10.7 9.6 10

8 GO 28.2% 6

Revenue 4 63.8% 2

0 FY16 FY17 FY18 FY19 FY20 YTD

Source: Municipal Securities Rulemaking Board, Refinitiv, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 12 Chart Book: Municipal Securities (Munis)

US Municipal Issuance 40%

29.7% 29.4% 30%

20% 13.9% 9.6% 10% 6.5% 3.8% 3.3% 3.8%

0%

Other

Utilities

Public

General

Housing

Purpose

Facilities

Education Healthcare

Transportation

US Municipal Average Maturity at Issuance (# Years) US Municipal Bond Index Yield to Maturity (%) 4.0 18.5 18.1 18.1 3.5 3.4 18.0 3.5

17.5 3.1 17.4 3.0 17.5 3.0 17.2 3.1

17.0 2.8 2.9 16.8 2.5 2.5

16.5 2.4

2.0 16.0

FY16 FY17 FY18 FY19 FY20 YTD

1Q16

2Q16

3Q16

4Q16

1Q17

2Q17

3Q17

4Q17

1Q18

2Q18

3Q18

4Q18

1Q19

2Q19

3Q19

4Q19

1Q20

2Q20

3Q20 4Q20 1Q21

Source: Bloomberg, Refinitiv, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 13 Chart Book: Federal Agency Securities (Agency)

Chart Book: Federal Agency Securities (Agency)

• Issuance: 1Q21 $209.2B, -43.9% Y/Y, -10.3% Q/Q; FY20 $1,251B, +26.5% Y/Y • ADV: 1Q21 $3.9B, -29.5% Y/Y, +2.8% Q/Q; FY20 $5.1B, +25.8% Y/Y

US Agency Issuance US Agency Issuance ($B) FHLB FHLMC Farm Credit FNMA Farmer Mac TVA Farmer Mac 6.6% 1,400 FNMA 1,251 1.3% 1,200 989 1,000 928 Farm Credit 22.1% 800 731 654

600

FHLB 400 FHLMC 59.3% 209 10.7% 200

0 FY16 FY17 FY18 FY19 FY20 YTD

US Agency Trading, ADV US Agency Trading, ADV ($B) FHLB FHLMC FNMA Other 6 5.4 5.1 5 4.1 4.1 3.9 Other 4 3.5 28.9% FHLB 41.2% 3

2

1 FNMA 15.5% FHLMC 14.4% 0 FY16 FY17 FY18 FY19 FY20 YTD

Source: FINRA, US Agencies, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 14 Chart Book: Asset-Backed Securities (ABS)

Chart Book: Asset-Backed Securities (ABS)

• Issuance: 1Q21 $64B, -13.6% Y/Y, -18.3% Q/Q; FY20 $304B, -30.0% Y/Y • ADV: 1Q21 $1.7B, -31.6% Y/Y, +12.8% Q/Q; FY20 $1.9B, +23.2% Y/Y

US ABS Issuance US ABS Issuance ($B) CDO/CLO Auto CDO/CLO Equipment Student Loans CC Other CC 6.3% 2.0% 600 550 517 Student Loans 500 8.3% 435

400 325 304 Auto 300 Equipment 49.1% 14.4% 200

100 64 Other 19.9% 0 FY16 FY17 FY18 FY19 FY20 YTD

US ABS Trading US ABS Trading, ADV ($B) ABS CDO 2.0 1.9 1.8 1.7 1.5 1.6 1.4 1.4 1.3 1.4 CDO 1.2 39.7% 1.0 0.8 ABS 60.3% 0.6 0.4 0.2 0.0 FY16 FY17 FY18 FY19 FY20 YTD

Source: Bloomberg, FINRA, Refinitiv, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 15 Chart Book: Secured Overnight Financing Rate (SOFR)

Chart Book: Secured Overnight Financing Rate (SOFR)

• SOFR Rate (90 day rolling average): As of 3/31/21 = 6 bps • Fed Volumes: As of 3/31/21 = $931B • Market Volumes: As of 2/28/21 = futures $6.2T, aggregate notional outstanding $96.8T

Historical SOFR Volumes & 90-Day Rolling Average Rate

1,400 Volume ($B) Rate (bps, RHS) 300

1,200 245 250

1,000 200

800 158 150

600 107 100 400

42 50 200 6 9 6

0 0

3/30/17 6/30/17 9/30/17 3/31/18 6/30/18 9/30/18 3/31/19 6/30/19 9/30/19 3/31/20 6/30/20 9/30/20 3/31/21

12/30/16 12/31/17 12/31/18 12/31/19 12/31/20

SOFR Linked Product Growth Since May 2018 Inception ($B)

96,753 10,000 Futures Volume Swaps NO Cash NO Agg NO (RHS) 100,000 90,504 9,000 90,000 79,250 8,000 80,000 69,888 7,000 70,000 61,528 6,000 53,911 60,000 49,080 5,000 50,000 38,594 4,000 32,185 40,000 3,000 24,097 30,000

2,000 16,060 20,000 11,182 7,529 1,000 4,053 10,000 97 405 942 2,058

0 0

Jul-18 Jul-19 Jul-20

Oct-18 Apr-19 Oct-19 Apr-20 Oct-20

Jan-19 Jun-18 Jun-19 Jan-20 Jun-20 Jan-21

Mar-19 Mar-20

Feb-19 Feb-20 Feb-21

Sep-18 Aug-18 Nov-18 Dec-18 Aug-19 Sep-19 Nov-19 Dec-19 Aug-20 Sep-20 Nov-20 Dec-20

May-18 May-19 May-20 Source: The Alternative Reference Rates Committee, Federal Reserve Bank of New York, SIFMA estimates

US Fixed Income Markets – Issuance & Trading Page | 16 Appendix: Fixed Income Securities Definitions & Purpose

Appendix: Fixed Income Securities Definitions & Purpose

In general, fixed income securities are borrowed capital for the issuer to fund government operations, public projects or corporate investments, thereby fueling economic growth. The diversity of fixed income products both increases the amount of funds available to borrow and spreads credit risk across multiple market participants.

• U.S. Treasury Securities (UST) – UST are debt obligations of the federal government used to fund its operations. Since UST are backed by the full faith and credit of the U.S. government, these securities are considered by market participants as the benchmark credit. The U.S. government has a AAA rating, meaning it has essentially no credit risk and can easily meet its financial obligations on time and in full. In light of this, UST show a diversity of holders, in both institutional type and foreign holders.

• Mortgage-Backed Securities (MBS) – Since mortgages (a debt instrument collateralized by a specified real estate property) are less liquid than other investment vehicles, they can be securitized into MBS, whether in pass-throughs or collateralized mortgage obligations (CMOs).

• Corporate Bonds (Corporates) – Corporates are debt securities issued by public and private corporations. They are issued to raise money to fund investments or expansion plans. Corporates are considered riskier than UST, and receive ratings by credit ratings agencies to determine creditworthiness, i.e. probability of repayment of debt in a timely manner.

• Municipal Bonds (Munis) – Munis are debt securities issued by state/local governments or government agencies and public entities (utilities, school districts) to fund public projects, predominantly infrastructure related. Efficient muni markets enable states and municipalities to borrow at low rates and finance capital expenditures over a longer time period.

• Federal Agency Securities (Agency) – Agency securities are issued by quasi-governmental agencies (federal government, government sponsored enterprises) to fund operations. Unlike UST or munis, these securities are not always fully guaranteed by the U.S. or a municipal government. As such, they can hold credit and default risk.

• Asset-Backed Securities (ABS) – ABS are financial securities collateralized by a pool of typically illiquid assets such as auto loans, student loans, credit cards, etc. Pooling these assets creates a more liquid investment vehicle, with a valuation based on the cash flows of the underlying and the structure of the transaction.

• Money Markets (MM) – MMs involve highly liquid, short maturity (typically overnight to less than one year) financial instruments (certificates of deposit/CDs, bankers acceptances, commercial paper/CP, etc.), used by investors to borrow and lend in the short term. Transactions in the money markets are wholesale, taking place only between institutional investors (no individual investors) and for large denominations.

US Fixed Income Markets – Issuance & Trading Page | 17 Appendix: Fixed Income Securities Definitions & Purpose

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

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

US Fixed Income Markets – Issuance & Trading Page | 18 Appendix: Terms to Know

Appendix: Terms to Know

Y/Y Year-over-Year UST U.S. Treasury Securities Q/Q Quarter-over-Quarter MBS Mortgage-Backed Security YTD Year-to-Date Corporates Corporate Bonds BPS Basis Points Munis Municipal Securities PPS Percentage Points Agency Federal Agency Securities CAGR Compound Annual Growth Rate ABS Asset-Backed Securities CUSIP Committee on Uniform Securities Identification Procedures MM Money Markets

CFTC Commodity Futures Trading Commission FRN Floating Rate Note SEC Securities and Exchange Commission FRA Forward Rate Agreement Fed Federal Reserve System T-Bill U.S. Treasury Bill FRB Federal Reserve Bank T-Note U.S. Treasury Note NY Fed Federal Reserve Bank of New York T-Bond U.S. Treasury Bond ARRC Alternative Reference Rates Committee TIPS Treasury Inflation Protected Securities

ADV Average Daily Trading Volume ABS Asset-Backed Security Algo Algorithm (algorithmic trading) CMO Collateralized Mortgage Obligation AT Automated Trading MBS Mortgage-Backed Security ATS Alternative Trading System CMBS Commercial MBS AUM Assets Under Management RMBS Residential MBS Best Ex Best Execution CLOB Central Limit Order Book HY High Yield Bond D2C Dealer-to-Client IG Investment Grade Bond D2D Dealer-to-Dealer ECN Electronic Communications Network GO General Obligation Bond ETP Electronic Trading Platforms Revenue Revenue Bond ETD Exchange Traded Derivative FI Fixed Income CD Certificate of Deposit FICC Fixed Income, Currencies and Commodities CDO Collateralized Debt Obligation GCF General Collateral Financing CLO Collateralized Loan Obligation IDB Inter-Dealer Broker CP Commercial Paper IIV Intraday Indicative Value ABCP Asset-Backed Commercial Paper IOI Indication of Interest MMF Money Market Mutual Funds MM Market Maker OI Open Interest FAMC Farmer Mac/Federal Agricultural Mortgage Corporation OTC Over-the-Counter FCS Farm Credit System VWAP Volume Weighted Average Price FHLB Federal Home Loan Banks FHLMC Freddie Mac/Federal Home Loan Mortgage Corporation IBOR Interbank Offered Rate FNMA Fannie Mae/Federal National Mortgage Association LIBOR London Inter-bank Offered Rate GNMA Ginnie Mae/Government National Mortgage Association RFR Risk Free Rate TVA Tennessee Valley Authority SOFR Secured Overnight Financing Rate DV01 Dollar Value of Basis Point IR Interest Rate DVP Delivery-versus-Payment IRS Interest Rate Swap EFFR Effective Fed Funds Rate OIS Overnight Index Swap PAI Price Alignment Interest TRS Total Return Swap Repo Repurchase Agreement STIR Short-Term Interest Rate

US Fixed Income Markets – Issuance & Trading Page | 19 Authors

Authors

SIFMA Research Katie Kolchin, CFA, Director of Research Justyna Podziemska Ali Mostafa [email protected]

US Fixed Income Markets – Issuance & Trading Page | 20