### Drop in LIBOR underpinning......>

US DOLLAR LIBOR: ### Drop in LIBOR underpinning the surge higher in Eurodollar

futures, White pack (EDH0-EDZ0) still pricing in just over 3 25 bps cuts by year

end while chances of 50bp cut at any one point increase: Mar 18 chances of 25bp

cut fully priced while chance of 50bp now 27%; Apr 29 fully pricing in a 25bps

cut w/chances of a 50bps cut at 75.5% vs. 34.5% on Thu. Third 25bp cut fully

priced in for Sep 16 through Dec 16 meetings with chances of 50bp cut in the

final three meetings of 2020 running at 22.8% for Sep, 35.5% for Nov and 59.5%

for Dec. Heavy call option buying underscores/anticipated the moves.