Executive Summary

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Key Takeaways for November 2019:

  • Trading was relatively calm in November, with volumesup slightly and volatility lower than both October and the year-to-date average.
  • Marketwide electronic trading levels dropped due largely to the market calm, with electronic market makers seeing fewer opportunities to trade.
  • FENICS UST reached a milestone, seeing its first month as the No. 2 order-bookdriven platformonly behind market leader CME BrokerTec.
  • Open interest in SOFR futures continued their trek upward,as Libor conversation heats up leading into 2020.

Greenwich Associates continuously gathers data and insights from U.S. Treasury market participants including asset managers, hedge funds, primary dealers, market makers, and trading platforms. The data, once aggregated, normalized and enhanced, is analyzed by our market structure research team who identify key areas of change and the likely direction of volume, holdings, market share and other trends in the coming months.