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Volume Spike, More LIBOR Retirement Positioning?

US EURODLR FUTURES

over -50,000 EDH2 at 99.71-.705 last few minutes.

  • Reminder: massive volumes centered in Eurodollar Reds (EDZ1-EDU2) both outright and on spreads recorded this month most likely due to LIBOR transition to the Secured Overnight Financing Rate (SOFR) positioning and risk mitigation.
  • Expect volume pick-up to continue as myriad entities that use Eurodollar futures (real$, bank & insurance portfolios, global macro, etc) start to adjust to retirement of LIBOR benchmark at end of 2021, particularly 3M of which Eurodollar futures are based on. Transition from the traditional LIBOR benchmark to SOFR has been relatively slow, partially due liquidity and fallback provisions costs.

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