Sifma - Quarterly Report US Fixed Income 2Q23

Executive Summary
Quarterly Report: US Fixed Income, 2Q23

Issuance & Trading Statistics for US Treasuries, Mortgage-Backed Securities,
Corporate Bonds, Municipal Bonds, Agency Securities, & Asset-Backed Securities
August 2023
Key Takeaways from the Quarter
 Total  Agency
o Issuance $2,489.4B, +8.7% Y/Y o Issuance $318.8B, +118.1% Y/Y
o Trading $1,016.9B, +3.7% Y/Y o Trading $3.6B, +38.1% Y/Y
 UST  Munis
o Issuance $1,256.5B, +20.6% Y/Y o Issuance $102.2B, -11.0% Y/Y
o Trading $715.2B, +4.4% Y/Y o Trading $12.4B, -21.8% Y/Y
 MBS  ABS
o Issuance $352.9B, -39.0% Y/Y o Issuance $67.8B, -32.4% Y/Y
o Trading $242.3B, +4.1% Y/Y o Trading $1.6B, -4.9% Y/Y
 Corporates  ESG
o Issuance $391.2B, +26.5% Y/Y o Global Issuance $237.0B, +27.6% Y/Y
o Trading $40.7B, -1.5% Y/Y o US Issuance $33.9B, +133.9% Y/Y
Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 1

Executive Summary
Contents
Executive Summary ................................................................................................................................................................................... 4
US Fixed Income Markets Are the Largest in the World ............................................................................................................................. 4
Quarter & Annual Highlights ....................................................................................................................................................................... 5
Total US Fixed Income ............................................................................................................................................................................... 6
Total US Fixed Income: Review of Quarterly Statistics .............................................................................................................................. 6
Total US Fixed Income: Monthly Trends .................................................................................................................................................... 7
Total US Fixed Income: Annual Statistics Update ...................................................................................................................................... 7
US Treasury Securities (UST) .................................................................................................................................................................... 8
UST: Review of Quarterly Statistics ........................................................................................................................................................... 8
UST: Monthly Trends ............................................................................................................................................................................... 10
UST: Annual Statistics Update ................................................................................................................................................................. 11
Mortgage-Backed Securities (MBS) ......................................................................................................................................................... 12
MBS: Review of Quarterly Statistics ......................................................................................................................................................... 12
MBS: Monthly Trends ............................................................................................................................................................................... 13
MBS: Annual Statistics Update................................................................................................................................................................. 13
Corporate Bonds (Corporates) ................................................................................................................................................................. 14
Corporates: Review of Quarterly Statistics ............................................................................................................................................... 14
Corporates: Monthly Trends ..................................................................................................................................................................... 16
Corporates: Annual Statistics Update ....................................................................................................................................................... 16
Federal Agency Securities (Agency) ........................................................................................................................................................ 17
Agency: Review of Quarterly Statistics ..................................................................................................................................................... 17
Agency: Monthly Trends ........................................................................................................................................................................... 18
Agency: Annual Statistics Update ............................................................................................................................................................ 18
Municipal Bonds (Munis) .......................................................................................................................................................................... 19
Munis: Review of Quarterly Statistics ....................................................................................................................................................... 19
Munis: Monthly Trends ............................................................................................................................................................................. 21
Munis: Annual Statistics Update ............................................................................................................................................................... 21
Asset-Backed Securities (ABS) ................................................................................................................................................................ 22
ABS: Review of Quarterly Statistics ......................................................................................................................................................... 22
ABS: Monthly Trends ............................................................................................................................................................................... 23
ABS: Annual Statistics Update ................................................................................................................................................................. 23
Environmental, Social & Governance (ESG) ............................................................................................................................................ 24
ESG: Review of Quarterly Issuance Statistics .......................................................................................................................................... 24

Executive Summary
ESG: Monthly Issuance Trends ................................................................................................................................................................ 25

ESG: Annual Issuance Update ................................................................................................................................................................. 25
Quarterly Rates Review............................................................................................................................................................................ 26
Volatility (MOVE Index) ............................................................................................................................................................................ 26
UST Rates ................................................................................................................................................................................................ 27
Other Rates .............................................................................................................................................................................................. 30
Curves & Spreads .................................................................................................................................................................................... 31
Appendix: Historical Trends...................................................................................................................................................................... 32
Total Fixed Income Securities .................................................................................................................................................................. 32
US Treasury Securities ............................................................................................................................................................................ 33
Mortgage-Backed Securities .................................................................................................................................................................... 34
Corporate Bonds ...................................................................................................................................................................................... 35
Federal Agency Securities........................................................................................................................................................................ 36
Municipal Bonds ....................................................................................................................................................................................... 37
Asset-Backed Securities........................................................................................................................................................................... 38
Environmental, Social, and Governance (ESG) ....................................................................................................................................... 39
Appendix: Definitions & Purpose .............................................................................................................................................................. 40
Appendix: Terms to Know ........................................................................................................................................................................ 42
Appendix: SIFMA Research Reports ........................................................................................................................................................ 43
Authors ..................................................................................................................................................................................................... 44

Executive Summary
Executive Summary
US Fixed Income Markets Are the Largest in the World
The U.S. fixed income markets are the largest in the world, comprising 40.0% of the $130 trillion securities
outstanding across the globe, or $52 trillion (as of FY22). This is 2.3x the next largest market, the EU. U.S. market
share has averaged 38.9% over the last 10 years, troughing at 37.5% in 2013 and peaking at 40.4% in 2016.
US Fixed Income Market Share – Year End
Global FI Outstanding
DM Singapore HK
Australia
1.0% 0.5% 0.4%
Canada 1.8%
3.1%
UK
3.7%
EM
6.1%
US
Japan 40.0%
9.3%
China
16.7%
EU
17.3%
US Fixed Income Market Share – Historical Trends
US Share of Global FI Markets ($T)

World US
140 127 130
123
120 105
98 100
100
80
60 49 52
46
37 39 41
40
20
0
FY17
FY18
FY19
FY20
FY21
FY22
Source: Bank for International Settlements (4Q22, BIS data for all countries has a lag)
Note: Country classification based on World Bank list of economies, DM = developed markets, EM = emerging markets, EU = 27 member states, HK =
Hong Kong, UK = United Kingdom

Executive Summary
Quarter & Annual Highlights
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). We also analyze trends in ESG issuance for green, social, and sustainability
bonds.
We highlight the following for quarterly and annual metrics:
2Q23 1Q23 2Q22 Q/Q Y/Y YTD23 YTD22 Y/Y

Issuance ($B)
Total Market 2,489.4 2,352.1 2,291.0 5.8% 8.7% 4,680.5 5,381.6 -13.0%
UST 1,256.5 986.2 1,041.5 27.4% 20.6% 1,859.5 2,191.8 -15.2%
MBS 352.9 272.6 578.8 29.4% -39.0% 748.2 1,508.1 -50.4%
Corporates 391.2 454.4 309.4 -13.9% 26.5% 845.6 841.5 0.5%
Agency 318.8 497.3 146.2 -35.9% 118.1% 872.3 378.8 130.3%
Munis 102.2 78.6 114.8 29.9% -11.0% 207.6 246.5 -15.8%
ABS 67.8 62.8 100.4 7.9% -32.4% 147.3 214.9 -31.4%
Trading (ADV, $B)
Total Market 1,016.9 1,124.0 980.4 -9.5% 3.7% 1,070.1 1,052.0 1.7%
UST 715.2 804.1 684.8 -11.1% 4.4% 759.7 734.5 3.4%
MBS - Agency 242.3 251.3 232.7 -3.6% 4.1% 246.8 255.4 -3.4%
MBS - Non Agency 1.2 1.7 1.5 -33.1% -21.1% 1.5 1.5 -0.6%
Corporates 40.7 48.3 41.3 -15.8% -1.5% 44.5 42.3 5.2%
Agency 3.6 3.8 2.6 -4.6% 38.1% 3.7 2.6 43.8%
Munis 12.4 12.9 15.8 -4.0% -21.8% 12.2 14.0 -12.7%
ABS 1.6 1.8 1.7 -12.1% -4.9% 1.7 1.7 -2.3%
Source: Bloomberg, Federal Reserve Bank of New York, FINRA, Municipal Securities Rulemaking Board, Refinitiv, US Agencies, US Treasury,
SIFMA estimates
Note: Issuance = Long-term securities only, UST = U.S. Treasury securities, MBS = mortgage-backed securities, Corporates = corporate bonds, Agency
= federal agency securities, Munis = municipal bonds, ABS = asset=backed securities
2Q23 1Q23 2Q22 Q/Q Y/Y YTD23 YTD22 Y/Y

ESG Issuance ($B)
Global 237.0 224.2 185.8 5.7% 27.6% 461.2 391.3 17.9%
Green 165.2 145.5 127.5 13.5% 29.5% 310.8 247.5 25.6%
Social 32.2 36.0 26.5 -10.6% 21.4% 68.2 62.8 8.6%
Sustainability 39.6 42.6 31.7 -7.1% 24.9% 82.3 81.0 1.5%
US 33.9 26.8 14.5 26.4% 133.9% 60.7 50.9 19.2%
Green 15.3 11.1 3.5 38.0% 335.6% 26.4 16.0 65.3%
Social 0.6 0.4 1.5 30.3% -63.0% 1.0 5.9 -83.1%
Sustainability 18.0 15.3 9.4 17.8% 90.6% 33.2 29.0 14.8%
Source: Dealogic, SIFMA estimates

Total US Fixed Income
Total US Fixed Income: Review of Quarterly Statistics
 Issuance: $2.5T; +5.6% Q/Q, +8.4% Y/Y

 ADV $1,016.9B; -9.5% Q/Q, +3.7% Y/Y
US FI Issuance US FI Issuance ($T)

ABS UST MBS Corporates Agency Muni ABS
Muni
2.7%
4.1%
3.5 3.2 3.1
2.8
3.0
2.5
Agency 2.3 2.4
12.8% 2.5 2.1
2.0 1.7
UST 1.5
Corporates 50.5%
15.7%
1.0
0.5
MBS 0.0
14.2%
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US FI Trading US FI Trading, ADV ($T)
Agency Muni ABS UST MBS Corporates Agency Muni ABS
0.3% 1.1% 0.2% 1.2 1.1 1.1
Corporates
4.2% 1.0 1.0
1.0 0.9 0.9
1.0 0.9
0.8
MBS
23.2%
0.6
0.4
UST 0.2
71.0%
0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Bloomberg, Federal Reserve Bank of New York, FINRA, Municipal Securities Rulemaking Board, Refinitiv, US Agencies,
US Treasury, SIFMA estimates
Note: Issuance = Long-term securities only, UST = U.S. Treasury securities, MBS = mortgage-backed securities, Corporates = corporate bonds, Agency =
federal agency securities, Munis = municipal bonds, ABS = asset=backed securities

Total US Fixed Income: Monthly Trends
 Issuance: $0.6T; -39.0% M/M, -10.5% Y/Y

 ADV: $1,003.0B; -7.2% M/M, +10.0% Y/Y
US FI Issuance ($T) US FI Trading, ADV ($T)

UST MBS Corporates Agency Muni ABS UST MBS Corporates Agency Muni ABS
1.2 1.4
1.0 1.2 1.2
0.9 1.2 1.1 1.1
1.0 0.9 1.0 1.0
0.8 1.0 0.9 0.9 1.0
1.0 0.9 0.9
0.8 0.7 0.7 0.7
0.7 0.6 0.6 0.8
0.8
0.6 0.5 0.5
0.6
0.4
0.4
0.4
0.2 0.2
0.0 0.0
Jun-22
Jul-22
Jan-23
Jun-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Nov-22
Dec-22
Feb-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Feb-23
Mar-23
Mar-23
Oct-22
Apr-23
May-23
Apr-23
May-23
Source: Bloomberg, Federal Reserve Bank of New York, FINRA, Municipal Securities Rulemaking Board, Refinitiv, US Agencies, US Treasury, SIFMA estimates
Total US Fixed Income: Annual Statistics Update
 Issuance: $4.5T; -12.7% Y/Y

 ADV: $1,070.1B; +1.7% Y/Y
US FI Issuance ($T) US FI Trading, ADV ($T)

UST MBS Corporates Agency Muni ABS UST MBS Corporates Agency Muni ABS
16.0 1.2 1.1
13.4 1.0 1.0
14.0 12.5 0.9 0.9
1.0
12.0 0.8
8.9 0.8
10.0 8.3
7.5
8.0 0.6
6.0 4.5 0.4

4.0
0.2
2.0
0.0 0.0
FY18
FY19
FY20
FY21
FY22
FY18
FY19
FY20
FY21
FY22
YTD
YTD

US Treasury Securities (UST)
UST: Review of Quarterly Statistics
 Issuance
o Long Term: $1,256.5B; +27.4% Q/Q, +20.6% Y/Y
o All: $5,646.5; +14.7% Q/Q, +47.4% Y/Y
UST Issuance - Long-Term Only UST Issuance - Long-Term Only ($B)

TIPS Notes Bonds FRN TIPS
FRN
5.4% 2.3% 1,400 1,273 1,241 1,256
1,150
1,200 1,042
986
1,000 919
Bonds
11.6%
800 716
600
400
200
Notes
80.6% 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
UST Issuance - All Tenors UST Issuance - All Tenors ($B)
FRN TIPS Bills Notes Bonds FRN TIPS
Bonds 1.2% 0.5% 6,000 5,647
2.6%
4,762 4,924
4,707 4,532
5,000
4,167 4,202
3,830
Notes 4,000
17.9%
3,000
2,000
1,000
Bills
77.7% 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: US Treasury, SIFMA estimates

Note: FRN = floating rate note, TIPS = Treasury inflation-protected securities

 ADV $715.2B; -11.1% Q/Q, +4.4% Y/Y
UST Trading, ADV UST Trading, ADV ($B)

FRN TIPS Bills Coupons TIPS FRN
0.8% 2.0% 900 804
784
800 715
685
700 655 636 638
Bills 596
22.7% 600
500
400
300
200
Coupons 100
74.5%
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: FINRA, SIFMA estimates

UST: Monthly Trends
 Issuance
o Long Term: $263.0B; -46.7% M/M, -12.7% Y/Y
o All: $1,905.2; +1.6% M/M, +54.4% Y/Y
 ADV $698.0; -9.9% M/M, +18.8% Y/Y
UST Issuance - Long-Term Only ($B) UST Issuance - All Tenors ($B)
Notes Bonds TIPS FRN Bills Notes Bonds TIPS FRN
2,500
600 532
494
1,875 1,905
500 2,000 1,771 1,766
395 1,629 1,589 1,569
400 332 1,343 1,318
318 1,500 1,234 1,255
301 1,203
300 263 267 259 263 1,054
1,000
200 131
124 117
500
100
0 0
Jun-22
Jul-22
Jan-23
Jun-23
Mar-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Feb-23
Apr-23
May-23
Aug-22
Sep-22
Jun-22
Nov-22
Dec-22
Feb-23
Jul-22
Jan-23
Mar-23
Jun-23
Oct-22
Apr-23
May-23
UST Trading, ADV ($B)

Bills Coupons TIPS FRN
1,000
875
900 838
789 774
800 691 698
683 666
700 639 622
587 568
600 503
500
400
300
200
100
0
Feb-23
Mar-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
Source: FINRA, US Treasury, SIFMA estimates


UST: Annual Statistics Update
 Issuance
o Long Term: $1,859.5B; -15.2% Y/Y
o All: $9,907.0B; +18.5% Y/Y
 ADV $759.7B; +3.4% Y/Y
UST Issuance - Long-Term Only ($B) UST Issuance - All Tenors ($B)
Notes Bonds TIPS FRN Bills Notes Bonds TIPS FRN
25,000
6,000
5,139 20,951
19,512
5,000 20,000
16,731
3,896 3,827
4,000
15,000
2,935 12,071
3,000 2,685 10,491 9,907
1,860 10,000
2,000
5,000
1,000
0 0
FY18
FY19
FY20
FY21
FY22
YTD
FY18
FY19
FY20
FY21
FY22
YTD

800 760
685
700 655
625
596
600 548
500
400
300
200
100
0
FY18
FY19
FY20
FY21
FY22
YTD
Source: FINRA, NY Fed, US Treasury, SIFMA estimates

Note: FRN = floating rate note, TIPS = Treasury inflation-protected securities, FY18 UST trading is sourced from the NY Fed primary dealer reporting, data for
FY19 to present is sourced from FINRA

Mortgage-Backed Securities (MBS)
MBS: Review of Quarterly Statistics
 Issuance: $352.9B; +29.4% Q/Q, -39.0% Y/Y

 ADV: $243.5B; -3.8% Q/Q, +3.9% Y/Y
US MBS Issuance US MBS Issuance ($B)

Non-Agency Agency MBS Agency CMO Non-Agency
2.3% 1,200
1,051 1,036
1,000
Agency
CMO 772
12.5% 800
579
600
464
331 353
400 273
200
Agency
MBS
85.2% 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US MBS Trading, ADV US MBS Trading, ADV ($B)
Agency Non-Agency
Non-Agency
0.5% 300 280
264
252 253 243
234 230 225
250
200
150
100
50
0
Agency
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
99.5%
Source: Bloomberg, US Agencies, FINRA, SIFMA estimates

Note: CMO = collateralized mortgage obligation

MBS: Monthly Trends
 Issuance: $130.8B; +8.8% M/M, -27.2% Y/Y

 ADV: $254.6B; +5.8% M/M, +8.3% Y/Y
US MBS Issuance ($B) US MBS Trading, ADV ($B)

Agency MBS Agency CMO Non-Agency Agency Non-Agency
200 180 300 266
180 247 247 255
157 158 235 241 244 234 241
149 250 231 232
160 219
131 199
140 123 120
107 200
120 101 102
94 92
100 86 150
80
60 100
40
50
20
0 0
Feb-23
Mar-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
Jun-22
Jul-22
Jan-23
Feb-23
Mar-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
MBS: Annual Statistics Update
 Issuance: $625.5B; -53.7% Y/Y

 ADV: $248.2B; -3.4% Y/Y
US MBS Issuance ($B) US MBS Trading, ADV ($B)

Agency MBS Agency CMO Non-Agency Agency Non-Agency
5,000 4,584 350
4,271 293
4,500 300 281
4,000 250 242 248
3,500 250 221
3,000 200
2,500 2,119 2,146
1,873 150
2,000
1,500 100
1,000 626
50
500
0 0
FY18
FY19
FY20
FY21
FY22
YTD
YTD
FY18
FY19
FY20
FY21
FY22


Corporate Bonds (Corporates)
Corporates: Review of Quarterly Statistics
 Issuance: $391.2B; -13.9% Q/Q, +26.5% Y/Y

 ADV: $40.7B; -15.8% Q/Q, -1.5% Y/Y
US Corporate Issuance US Corporate Issuance ($B)

Private Convertible IG HY Private Placement Convertible
Placement 0.1% 600 532
6.6%
500 441 454
380 391
HY
400
13.9% 309 304
300
224
200
100
IG
79.5% 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US Corporate Trading, ADV US Corporate Trading, ADV ($B)
Convertible IG HY Private Placement Convertible
4.7% 60
48
50 43
41 41
37 38
40 34 35
Private
Placement
22.9% 30
IG 20
58.6%
HY
10
13.8%
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Refinitiv, FINRA, SIFMA estimates

Note: IG = investment grade, HY = high yield

US Corporate Issuance by Industry US Corporate Bond Defaults

24
Financials 52.2% 25
Energy and Power 14.8% 20
High Technology 6.1%

15
Healthcare 4.8%
10 8
Industrials 4.3% 7 7
6
5
Materials 5 4
3.2% 3
Consumer Staples 2.9%

0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Other 11.8%
US Corporates Average Maturity at Issuance (# Years) US Corporate Bond Index Yield to Maturity (%)
Spread IG HY
21 9.6
19.9 20.1 10
9.0 9.0
20 8.6
19 19.7 8
18.0
17.6 18.9 6.2
18 17.4 5.7 5.5 5.3 6
4.6 4.7 4.9 4.7
17
3.6
16 4
2.1 2.2 2.4
15 14.0
2
14
13 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: ICE Data Indices, Refinitiv, S&P Global Ratings, SIFMA estimates

Corporates: Monthly Trends
 Issuance: $117.2B; -35.4% M/M, +37.0% Y/Y

 ADV: $40.9B; -2.6% M/M, +0.4% Y/Y
US Corporate Issuance ($B) US Corporate Trading, ADV ($B)

IG HY Private Placement Convertible IG HY Private Placement Convertible
200 182 60
176 171
180 49 50
50 46
160 41 41 42 41
39 40 39
140 120 117 40 36 36
115
120 108 32
96 93 91 92
100 86 30
80
20
60
40 10
13
20
0 0
Jul-22
Feb-23
Feb-23
Mar-23
Aug-22
Sep-22
Jun-22
Jul-22
Jan-23
Jun-23
Jun-22
Nov-22
Dec-22
Mar-23
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
Oct-22
Apr-23
May-23
Corporates: Annual Statistics Update
 Issuance: $845.6B; +0.5% Y/Y

 ADV: $44.5B; +5.2% Y/Y
US Corporate Issuance ($B) US Corporate Trading, ADV ($B)

IG HY Private Placement Convertible IG HY Private Placement Convertible
2,500 2,275 50 44
45 41 40
1,961 39
2,000 40 35
33
35
1,378 1,417 1,370
1,500 30
25
1,000 846 20
15
500 10
5
0 0
FY18
FY19
FY20
FY21
FY22
FY18
FY19
FY20
FY21
FY22
YTD
YTD


Federal Agency Securities (Agency)
Agency: Review of Quarterly Statistics
 Issuance: $318.8B; -35.9% Q/Q, +118.1% Y/Y

 ADV: $3.6B; -4.6% Q/Q, +38.1% Y/Y
US Agency Issuance US Agency Issuance ($B)

FNMA FHLB Farm Credit Farmer Mac FHLMC FNMA TVA
Farmer FHLMC 1.0% 600
Mac 6.2%
497
4.0% 500
Farm 400
Credit 319
11.7% 289
300 245
200 158 151 166

146
100
FHLB
77.1%
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US Agency Trading, ADV US Agency Trading, ADV ($B)
FHLB FHLMC FNMA Other
3.8
4.0 3.6
3.5
Other 3.0 2.6

2.5 2.5
2.4 2.4
25.3% 2.5 2.2
FHLB
41.0% 2.0
1.5
FNMA
4.2% 1.0
0.5
FHLMC 0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
29.5%
Source: FINRA, US Agencies, SIFMA estimates

Note: FHLB = The Federal Home Loan Banks, FHLMC = The Federal Home Loan Mortgage Corporation (Freddie Mac), FNMA = The Federal National
Mortgage Association (Fannie Mae), TVA = The Tennessee Valley Authority

Agency: Monthly Trends
 Issuance: $53.2B; -67.5% M/M, -7.5% Y/Y

 ADV: $3.2B; -6.7% M/M, +8.5% Y/Y
US Agency Issuance ($B) US Agency Trading, ADV ($B)

FHLB Farm Credit Farmer Mac FHLMC FNMA TVA FHLB FHLMC FNMA Other
300 268 5.0 4.6
4.4
4.5
250
4.0 3.5 3.4
3.3 3.2
200 3.5 2.9
164 2.8
154 3.0 2.5 2.5
2.3 2.3 2.3
150 2.5
108 98 106 102
85 2.0
100 67 70 75
58 53 1.5
50 1.0
0.5
0 0.0
Jun-22
Jul-22
Jan-23
Jun-23
Feb-23
Mar-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Mar-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
Feb-23
Apr-23
May-23

Agency: Annual Statistics Update
 Issuance: $816.1B; +161.6% Y/Y

 ADV: $3.7B; +43.8% Y/Y
US Agency Issuance ($B) US Agency Trading, ADV ($B)

FHLB Farm Credit Farmer Mac FHLMC FNMA TVA FHLB FHLMC FNMA Other
1,400 1,251 6.0
5.1
1,200
989 5.0
1,000 4.1
846 816 3.7
4.0 3.5
800 654 693
2.8
3.0 2.5
600
2.0
400
200 1.0
0 0.0
FY18
FY19
FY20
FY21
FY22
YTD
FY18
FY19
FY20
FY21
FY22
YTD


Municipal Bonds (Munis)
Munis: Review of Quarterly Statistics
 Issuance: $102.2B; +29.9% Q/Q, -9.0% Y/Y

 ADV: $12.4B; -4.0% Q/Q, -21.8% Y/Y
US Municipal Issuance US Municipal Issuance ($B)

Revenue GO Private Placement
Private Placement
140 127
4.0% 120
115
120
103 102
97
100
75 79
80
GO 60
43.4%
Revenue 40
52.7%
20
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US Municipal Trading, ADV US Municipal Trading, ADV ($B)
Other Revenue GO Other
5.6% 18
16 15
16
13 13
14 12 12
12
GO 9
10
26.4% 8
8
6
Revenue 4
67.9% 2
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Municipal Securities Rulemaking Board, Refinitiv, SIFMA estimates

Note: GO = general obligation

US Municipal Issuance by Use of Proceeds
General Purpose 30.0%
Education 27.9%
Utilities 11.3%
Transportation 8.8%
Housing 7.8%
Electric Power 5.3%
Healthcare 4.0%
Other 4.9%
US Municipal Average Maturity at Issuance (# Years) US Municipal Bond Index Yield to Maturity (%)
21 20.6 5
20.1 4.33
19.6 3.98
20 3.67 3.77
4
18.8 3.24
19 18.5 18.6
18.3 18.3
3
2.35 2.34 2.33
18
2
17
1
16
15 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: ICE Data Indices, Refinitiv, SIFMA estimates

Munis: Monthly Trends
 Issuance: $39.3B; +32.4% M/M, +4.0% Y/Y

 ADV: $12.5B; +3.8% M/M, -14.4% Y/Y
US Municipal Issuance ($B) US Municipal Trading, ADV ($B)

Revenue GO Private Placement Revenue GO Other
45 42 18
39 16 16
38 15
40 16 15 14
34 33 13 13
35 14 13 13 13
29 30 12 12
28 27
30 26 12 10
23
25 20 21 10
20 8
15 6
10 4
5 2
0 0
Feb-23
Mar-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Apr-23
May-23
Jun-22
Jul-22
Jan-23
May-
Jun-23
Nov-22
Dec-22
Feb-23
Mar-23
Oct-22
Apr-23
Aug-
Sep-
22
22
23
Source: Municipal Securities Rulemaking Board, SIFMA estimates
Munis: Annual Statistics Update
 Issuance: 207.6B; -19.2% Y/Y

 ADV: $12.2B; -12.7% Y/Y
US Municipal Issuance ($B) US Municipal Trading, ADV ($B)

Revenue GO Private Placement Revenue GO Other
600 16
14
485 483 14
500 12 12
426 12 11
391 12
400 347
10 9
300 8
208
6
200
4
100
2
0 0
FY18
FY19
FY20
FY21
FY22
FY18
FY19
FY20
FY21
FY22
YTD
YTD
Source: Municipal Securities Rulemaking Board, SIFMA estimates


Asset-Backed Securities (ABS)
ABS: Review of Quarterly Statistics
 Issuance: $67.8B; +7.9% Q/Q, -32.4% Y/Y

 ADV: $1.6B; -12.1% Q/Q, -4.9% Y/Y
US ABS Issuance US ABS Issuance ($B)

Auto CDO/CLO Equipment Credit Cards Student Loans Other
Student 180 162
Loans
1.6% 160 141
Other 140
17.4%
120 100
94
100
Credit
Cards 80 63 63 68
11.7% Auto 60 46
56.1%
40
Equipment 20
8.0%
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
CDO/CLO
5.2%
US ABS Trading US ABS Trading, ADV ($B)

ABS CDO
2.0 1.8
1.8
1.7
1.6 1.6
1.5
1.5 1.3
1.2
CDO
44.4% 1.0
ABS
55.6%
0.5
0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Bloomberg, FINRA, Refinitiv, SIFMA estimates

Note: CDO = collateralized debt obligation, CLO = collateralized loan obligation

ABS: Monthly Trends
 Issuance: $21.2B; -17.6% M/M, -28.4% Y/Y

 ADV: $1.8B; +16.9% M/M, +18.6% Y/Y
US ABS Issuance ($B) US ABS Trading, ADV ($B)

Auto CDO/CLO Equipment Credit Cards Student Loans Other ABS CDO
35 2.5
30 2.1
30 2.0
27 26 1.9
25 2.0 1.8 1.8
1.7
25 21 21 1.5 1.5
20 21 1.5 1.5
19 20 19
20 1.5 1.4
16 1.1 1.1
15 1.0
10
5 0.5
5
0 0.0
Jul-22
Jun-22
Jan-23
Jun-23
Nov-22
Dec-22
Aug-22
Sep-22
Oct-22
Mar-23
Feb-23
May-23
Apr-23
Jun-22
Jul-22
Jan-23
Jun-23
Aug-22
Sep-22
Oct-22
Nov-22
Dec-22
Mar-23
Feb-23
Apr-23
May-23

ABS: Annual Statistics Update
 Issuance: $130.6B; -32.8% Y/Y

 ADV: $1.7B; -2.3% Y/Y
US ABS Issuance ($B) US ABS Trading, ADV ($B)

Auto CDO/CLO Equipment Credit Cards Student Loans Other ABS CDO
700 2.0 1.9
582 1.7
600 1.6
517 1.5
1.4 1.4
500 1.5
435
400
304 303 1.0
300
200 131 0.5

100
0 0.0
FY18
FY19
FY20
FY21
FY22
YTD
FY18
FY19
FY20
FY21
FY22
YTD


Environmental, Social & Governance (ESG)
ESG: Review of Quarterly Issuance Statistics
 Global: $237.0B; +5.7% Q/Q, +27.6% Y/Y

 US: $33.9B; +26.4% Q/Q, 133.9% Y/Y
Global ESG Issuance Global ESG Issuance ($B)

Green Social Sustainability
250 237
224
203 206
200 186 179
176
Sustainability
16.7% 143
150
Social
13.6% 100
50
Green
69.7%
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US ESG Issuance US ESG Issuance ($B)
45
38
40 35 36
34
35 32
30 27
25
Green
45.2% 20
Sustainability 14
53.1% 15 11
10
5
0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Social
1.7%

ESG: Monthly Issuance Trends
 Global: $67.6B; -21.9% M/M, +28.1% Y/Y

 US: $6.0B; -51.6% M/M, +83.1% Y/Y
Global ESG Issuance ($B) US ESG Issuance ($B)

Green Social Sustainability Green Social Sustainability
120 18
15
95 16
100 87 13
86 83 14 13 12
76
80 71 68 12 11
10
9 9
57 53 10
60 53
47
8 6
36
40 6
25 3 3
4
20
2 1 1
0 0
Jul-22
Feb-23
Aug-22
Sep-22
Jan-23
Jun-22
Nov-22
Dec-22
Jan-23
Mar-23
Jun-23
Jun-22
Jul-22
Jun-23
Feb-23
Oct-22
Apr-23
May-23
Aug-22
Sep-22
Nov-22
Dec-22
Mar-23
Oct-22
Apr-23
May-23
ESG: Annual Issuance Update
 Global: $461.2B; +17.9% Y/Y

 US: $60.7B; +19.2% Y/Y
Global ESG Issuance ($B) US ESG Issuance ($B)

Green Social Sustainability Green Social Sustainability
1,000 152
878 160
900 134
140
800 713
700 120
533 93
600 100
461
500 80 63 61
400 298 60 42
300 198
40
200
100 20
0 0
FY18
FY19
FY20
FY21
FY22
YTD
FY18
FY19
FY20
FY21
FY22
YTD

Quarterly Rates Review

Volatility (MOVE Index)
 Quarter end: 110.64

 Quarter average: 125.08
 Quarter Peak: 153.90 on 4/5/23
Volatility - MOVE Index

198.7
200
180
160
140
120
100 110.6
80
60
57.5
40
20
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Bloomberg, SIFMA estimates

UST Rates
Federal Funds Rate (Fed Funds)
 Current: 5.00% (Lower Bound) - 5.25% (Upper Bound, shown in the chart)
(The chart is as of 2Q23 and does not depict the 25 bps hike at the July FOMC meeting; current rate 5.25-5.50%)
 Next FOMC meeting: September 19-20, 2023
Federal Funds Target Rate (%) - Upper Bound

6.0
5.25
5.0
4.0
3.0
2.0
1.0
0.25
0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23

UST by Tenor
 10 Year Benchmark
o Quarter end: 3.81%
o Quarter average: 3.60%
o Quarter Peak: 3.85% on 6/29/23
US Treasury Rate: 10Y
4.5 4.24
3.81
4.0
3.5
3.0
2.5
2.0
1.48
1.5
1.0
0.5
0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
US Treasury Rate: 3M US Treasury Rate: 2Y
6.0 5.55 6.0

5.05 4.87
5.0 5.43 5.0
4.0 4.0
3.0 3.0
2.0 2.0
1.0 1.0
0.06 0.19
0.0 0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23

US Treasury Rate: 5Y US Treasury Rate: 30Y

4.45
4.5 4.13 4.5 4.24
3.81
4.0 4.0
3.5 3.5
3.0 3.0
2.5 2.5
2.0 2.0
1.48
1.5 1.5
0.89
1.0 1.0
0.5 0.5
0.0 0.0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23

Other Rates
30-Year Mortgage Rate
 Quarter end: 6.70%

 Quarter average:6.56%
 Quarter Peak: 6.93% week of 6/1/23
30Y Mortgage Rate
7.5 7.08
6.70
6.5
5.5
4.5
3.5
2.98
2.5
2Q21
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Secured Overnight Financing Rate (SOFR)
 Quarter end (90 day rolling average): 417.22bps

 Fed Volumes: $1,549B
Historical SOFR Volumes & 90-Day Rolling Average Rate

Volume ($B) Rate (bps, RHS)
1,750 500
425.6
450
1,500
400
1,250 350
1,000 300
250
750 200
500 150
100
250
1.6 50
0 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
Source: Federal Reserve Bank of New York, SIFMA estimates

Curves & Spreads
10Y UST vs 2Y UST Spread 10Y UST vs 3M T-Bill Spread

Spread (bps, RHS) 10Y UST 2Y UST Spread (bps, RHS) 10Y UST 3M T-Bill
5 120 6 250
4.4 4.3 5.3
100 200
4 80 5
150
3.8 60
4 100
3 3.6 40 3.8
50
20 3 3.6
0
2 0
1.3 2 -50
-20 1.3
1 -40 -100
1
-60 0.1 -150
0 0.2 -80 0 -200
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
TED Spread (3M Eurodollar vs 3M T-Bill)
Spread (bps, RHS) Eurodollar T-Bill
6 0
5.3
5 -2
5.2
4 -4
3 -6
2 -8
1 0.1 -10
0.0
0 -12
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
IG Corporate vs 10Y UST Spread HY Corporate vs 10Y UST Spread

Spread (bps, RHS) 10Y UST IG Corporate Spread (bps, RHS) 10Y UST HY Corporate
7 250 11 700
9.6
5.7 10
6 5.3 8.6 600
200 9
5 8 500
7
4 150 400
6
4.6
3 3.8 5 300
2.1 3.6 100
4
2 3 3.8 200
3.6
50 2
1 100
1.3 1
1.3
0 0 0 0
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23
3Q21
4Q21
1Q22
2Q22
3Q22
4Q22
1Q23
2Q23

Appendix: Historical Trends
Total Fixed Income Securities
US FI Issuance ($T)
UST MBS Corporates Agency Muni ABS
16
13.4
14 12.5
12
10 8.9
8.3
7.2 7.3 7.5 7.5 7.6 7.5
8 7.0 7.0 6.8
6.3 6.5 6.3 6.4
5.4 5.7 5.8
6 4.5 4.7
4 2.6
2
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US FI Trading, ADV ($T)
UST MBS Corporates Agency Muni ABS
1.2
1.0 1.0
0.9 0.9
1.0
0.8 0.8 0.8
0.8 0.8
0.8 0.7 0.7
0.6 0.6 0.6 0.6
0.6 0.6
0.6 0.5
0.5 0.4
0.4
0.4 0.3
0.2
0.2
0.0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

US Treasury Securities
UST Issuance - Long-Term Only ($B)

Notes Bonds FRN TIPS
6,000
5,139
5,000
3,896 3,827
4,000
2,935
3,000 2,685
2,197 2,320 2,103 2,305 2,140 2,215 2,122 2,169 2,224
2,000
853 1,029
745 746 789 752
1,000 572
313 381
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
UST Issuance - All Tenors ($B)
Bills Notes Bonds FRN TIPS
25,000
20,951
19,512
20,000
16,731
15,000
12,071
10,491
10,000 8,615 8,419 8,301 8,787
7,505 7,929 7,856 7,030 7,017
6,657
4,689 4,362 4,422 4,495
3,808 4,248
5,000
2,038 2,743
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
800
685
700 658
625
596
550 566 553 571 548
600 524 524 547
497 519 505 519 505
490
500 428 410
373
400
298
300
207
200
100
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
Source: FINRA, NY Fed, US Treasury, SIFMA estimates

Note: FRN = floating rate note, TIPS = Treasury inflation-protected securities, UST Trading data pre-FY19 sourced from NY Fed (primary dealer reporting), data
for FY19 and on sourced from FINRA

Mortgage-Backed Securities
US MBS Issuance ($B)

Agency MBS Agency CMO Non-Agency
5,000 4,584
4,271
4,500
4,000 3,537
3,500
2,764 2,691
3,000 2,516 2,428 2,434
2,500 2,173 2,195 2,120 2,044 2,003 2,119 2,146
2,013 1,873
1,817 1,725 1,801
2,000
1,396 1,440
1,500
780
1,000
500
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US MBS Trading, ADV ($B)
Agency Non-Agency
350
284 293
300 281
250 242
250 226 221
212 211
195
200 181
150
100
50
0
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

Corporate Bonds
US Corporate Issuance ($B)

IG HY Private Placement Convertible
2,500 2,275
1,962
2,000
1,677
1,482 1,514 1,550
1,395 1,425 1,378 1,417 1,370
1,500 1,226
1,129 1,089 1,047
976
1,000 857 856 813 784 759
626 669
500
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US Corporate Trading, ADV ($B)
IG HY Private Placement Convertible
45 41
39 40
40 35
35 32 33
31
28
30 26
24
25 21 21 21 21 21 22
20
18 18 18
20 15
15
10
5
0
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

Federal Agency Securities
US Agency Issuance ($B)
1,600 FHLB Farm Credit Farmer Mac FHLMC FNMA TVA

1,362
1,400 1,244 1,251
1,200 1,025 989
925 926 928
1,000 846
731 693
800 653 645 654
559
600
400
200
0
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US Agency Trading, ADV ($B)
FHLB FHLMC FNMA Other
12 11.1
9.6 9.7
10
8
6.6
6 5.3 5.4 5.1

4.5 4.1 4.1
3.5
4 2.8 2.5
0
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

Municipal Bonds
US Municipal Issuance ($B)

Revenue GO Private Placement
600
485 483
500 452 449
429 433 426
407 410 405
380 388 389 383 391
400 357 358 347
335 339
286 295
300
198
200
100
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US Municipal Trading, ADV ($B)
Revenue GO Other
30
25
24
25
20
19
20
13 14
15 12 12
11 11 11 11 11 12 11
10
9 9
10
0
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
Source: Municipal Securities Rulemaking Board, Refinitiv, SIFMA estimates

Asset-Backed Securities
US ABS Issuance ($B)

Auto CDO/CLO Equipment Credit Cards Student Loans Other
900
796
800
658
700
582
600 550
517
474
500 435
393
400 331 333 325
288 304 304 303
261 269 259
300 240 215
178 151
200 126
100
0
FY00
FY01
FY02
FY03
FY04
FY05
FY06
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US ABS Trading, ADV ($B)
ABS CDO
2.0 1.9
1.8 1.6
1.5 1.5 1.5
1.6 1.4 1.4 1.4 1.4
1.3 1.3
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

Environmental, Social, and Governance (ESG)
Global ESG Issuance ($B)

1,000
872
900
800 710
700
600 532
500
400 298
300 198
200 144
90
100 10 34 38
1 0 0 1 0 0
0
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22
US ESG Issuance ($B)
160 150
134
140
120
93
100
80 63
60
42
40
10 13
20 3 6 6
0 0
0
FY07
FY08
FY09
FY10
FY11
FY12
FY13
FY14
FY15
FY16
FY17
FY18
FY19
FY20
FY21
FY22

Appendix: 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.

 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 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.
 Environmental, Social, and Governance (ESG) – Dealogic classifies ESG bonds by:
o Green – Any type of bond instrument where the proceeds will be exclusively applied to finance or
refinance, in part or in full, new and/or existing eligible Green Projects and which are aligned with the four
core components of the Green Bond Principles (GBP)
o Social – Any type of bond instrument where the proceeds will be exclusively applied to finance or refinance
in part or in full new and/or existing eligible Social Projects and which are aligned with the four core
components of the Social Bond Principles (SBP)
o Sustainability – Bonds where the proceeds are exclusively applied to finance or refinance a combination of
both Green and Social Projects
o Region – Deal nationality is a calculated nationality that looks at the business nationality of the issuing
entity with the exception of securitizations that are categorized using the nationality of business of the
originator or if undisclosed the nationality of risk

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

Appendix: SIFMA Research Reports
Appendix: SIFMA Research Reports
SIFMA Research: www.sifma.org/research
 Quarterly Reports
o Equity and related: capital formation (IPOs, other issuance statistics); market performance (index prices);
volatility (VIX); cash equites, ETFs, and multi-listed options volumes; exchange market shares and
landscapes; equity market cap and number of listed companies
o Fixed Income – Issuance & Trading: issuance and trading metrics for U.S. Treasuries, mortgage-backed
securities, corporate bonds, municipal securities, federal agency securities, asset-backed securities, and
secured overnight financing rate (SOFR), as well as statistics on fixed income ESG issuance for green, social,
and sustainability bonds
o Fixed Income – Outstanding: outstanding balances for U.S. Treasuries, mortgage-backed securities, corporate
bonds, municipal securities, federal agency securities, asset-backed securities, money markets, repurchase
agreements, and secured overnight financing rate (SOFR)
o Financial Institutions: financial (income statement and balance sheet metrics) and regulatory (ratios such as
capital levels) data for CCAR firms, essentially a proxy for the financial services industry
 Capital Markets Fact Book: a comprehensive look at capital markets, including

o Global equity and fixed income markets (outstanding, issuance, volumes); investment banking landscape;
international securities transactions
o U.S. equity, fixed income, derivatives and private placement markets (outstanding, issuance, volumes, index
prices); investment banking landscape; mutual fund and ETF statistics
o U.S. investor participation showing household liquid financial asset breakout; household equity ownership; and
holders of equities
o U.S. savings & investment metrics on retirement asset breakout and mix across asset classes; savings rates
and other economic indicators; and federal balance sheet overview
o U.S. securities industry statistics on number of broker-dealers, registered representatives, registered
investment advisors, and branch offices; industry financial overview; and state maps showing number
firms/reps
 U.S. Repo Market Chart Book: a detailed description of the U.S. repurchase agreement (repo) markets and
outstanding and collateral statistics for repo and reverse repo securities in the bilateral, general collateral finance
(GCF), and tri-party repo markets

Authors
Authors
SIFMA Research
Katie Kolchin, CFA, Managing Director, Head of Research
Justyna Podziemska
Dan Song
research@sifma.org
Disclaimer: This document is intended for general informational purposes only and is not intended to serve as investment advice to any individual or entity. The
views in this report and interpretation of the data are that of SIFMA, not necessarily its member firms.
SIFMA is the leading trade association for broker-dealers, investment banks and asset managers operating in the U.S. and global capital markets. On behalf of
our industry's one million employees, we advocate on legislation, regulation and business policy affecting retail and institutional investors, equity and fixed
income markets and related products and services. We serve as an industry coordinating body to promote fair and orderly markets, informed regulatory
compliance, and efficient market operations and resiliency. We also provide a forum for industry policy and professional development. SIFMA, with offices in
New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit
http://www.sifma.org.
This report is subject to the Terms of Use applicable to SIFMA’s website, available at http://www.sifma.org/legal. Copyright © 2023

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Executive Summary

Quarterly Report: US Fixed Income, 2Q23

Key Takeaways from the Quarter

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 1

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 2

ESG: Monthly Issuance Trends ................................................................................................................................................................ 25

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 3

US Fixed Income Markets Are the Largest in the World

US Fixed Income Market Share – Year End

US Fixed Income Market Share – Historical Trends

US Share of Global FI Markets ($T)

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 4

Quarter & Annual Highlights

We highlight the following for quarterly and annual metrics:

2Q23 1Q23 2Q22 Q/Q Y/Y YTD23 YTD22 Y/Y

2Q23 1Q23 2Q22 Q/Q Y/Y YTD23 YTD22 Y/Y

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 5

Total US Fixed Income

Total US Fixed Income: Review of Quarterly Statistics

 Issuance: $2.5T; +5.6% Q/Q, +8.4% Y/Y

US FI Issuance US FI Issuance ($T)

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 6

Total US Fixed Income: Monthly Trends

 Issuance: $0.6T; -39.0% M/M, -10.5% Y/Y

US FI Issuance ($T) US FI Trading, ADV ($T)

Total US Fixed Income: Annual Statistics Update

 Issuance: $4.5T; -12.7% Y/Y

US FI Issuance ($T) US FI Trading, ADV ($T)

6.0 4.5 0.4

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 7

US Treasury Securities (UST)

UST: Review of Quarterly Statistics

UST Issuance - Long-Term Only UST Issuance - Long-Term Only ($B)

Source: US Treasury, SIFMA estimates

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 8

 ADV $715.2B; -11.1% Q/Q, +4.4% Y/Y

UST Trading, ADV UST Trading, ADV ($B)

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 9

UST: Monthly Trends

UST Trading, ADV ($B)

Source: FINRA, US Treasury, SIFMA estimates

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 10

UST: Annual Statistics Update

UST Trading, ADV ($B)

Source: FINRA, NY Fed, US Treasury, SIFMA estimates

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 11

Mortgage-Backed Securities (MBS)

MBS: Review of Quarterly Statistics

 Issuance: $352.9B; +29.4% Q/Q, -39.0% Y/Y

US MBS Issuance US MBS Issuance ($B)

Source: Bloomberg, US Agencies, FINRA, SIFMA estimates

Quarterly Report: US Fixed Income Markets – Issuance & Trading Page | 12

MBS: Monthly Trends

 Issuance: $130.8B; +8.8% M/M, -27.2% Y/Y

US MBS Issuance ($B) US MBS Trading, ADV ($B)

MBS: Annual Statistics Update

 Issuance: $625.5B; -53.7% Y/Y

US MBS Issuance ($B) US MBS Trading, ADV ($B)

Source: Bloomberg, US Agencies, FINRA, SIFMA estimates