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Heavy Volume On LIBOR Transition, Positioning


Futures traded mostly weaker after the bell, Reds steady to mildly higher amid heavy volume (EDH2>560k), due to spreads traded to mitigate/adjust for risk ahead LIBOR benchmark retirement at end of 2021. Current levels:

Dec 20 -0.007 at 99.745
Mar 21 -0.005 at 99.780
Jun 21 -0.005 at 99.785
Sep 21 steady at 99.785
Red Pack (Dec 21-Sep 22) steady to +0.010
Green Pack (Dec 22-Sep 23) -0.005 to -0.015
Blue Pack (Dec 23-Sep 24) -0.02
Gold Pack (Dec 24-Sep 25) -0.02 to -0.025

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