BMO FICC writes that it's likely....>

US DOLLAR LIBOR: BMO FICC writes that it's likely 3M LIBOR (latest print:

36.25bps) breaks the record low print (22.2bps) in the coming quarters.

- Decomposing LIBOR into OIS + bank credit risk, they cite low FFR expectations

keeping lid on OIS (around 5bps), and more moderate bank credit risk (CDS of

GSIB LIBOR submitting banks is not particularly elevated).

- Money markets "are approaching a post-crisis inflection point" in which t-bill

and repo rates rise slightly and LIBOR-OIS spreads tighten, BMO writes.

- With 2010-2015 era LIBOR-OIS typically being 10-15bps, and OIS assumed to

remain around 5bps, "all it would take is a return to the post-2008-crisis

environment to achieve all-time record low 3-month LIBOR".

- BMO: "The combination of ongoing QE, expectations of the Fed keeping the

target range at the effective lower bound for an extended period, and lagged

stimulative consequences of the crisis facilities all support this thesis. As a

result, our baseline is that 3-month LIBOR will fall below 20 bp at some point

in the next few quarters, even if the path there will not be perfectly smooth.

- BMO suggests to position for this via FRA/OIS.