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Backport PR #39161: Fix regression in loc setitem raising KeyError when enlarging df with multiindex

@lumberbot-app lumberbot-app bot added this to the 1.2.1 milestone Jan 15, 2021
@jreback jreback added Indexing Related to indexing on series/frames, not to indexes themselves MultiIndex labels Jan 15, 2021
@simonjayhawkins simonjayhawkins merged commit 6d599cb into pandas-dev:1.2.x Jan 15, 2021
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