Active Start To Week, Heavy Month End Rebalance

Nice start to the week, a definite pick-up in action after last week's Thanksgiving holiday torpor.

• Eurodollar futures volume surged (EDH2 over 585k) after the Fed annc to extend LIBOR transition from end of 2021 to June 2023. Nevertheless, "agencies encourage banks to cease entering into new contracts that use USD LIBOR as a reference rate as soon as practicable and in any event by December 31, 2021, in order to facilitate an orderly—and safe and sound— LIBOR transition."
• Choppy Tsy futures despite expected lending facility extension of four emergency lending facility annc that Tsy Sec Mnuchin requested back on Nov 19. Tsy futures volumes spiked again on the closing bell on Heavy month end rebalancing w/near 500k TYH in last 20 minutes (1.565M total/day), 225k FVH, 95k USH and 75k WNH over same period.
• The 2-Yr yield is down 0.6bps at 0.1466%, 5-Yr is down 0.2bps at 0.3624%, 10-Yr is up 1bps at 0.8471%, and 30-Yr is up 0.7bps at 1.5771%.