Fielding a few Qs on the move in LIBOR........>

LIBOR: Fielding a few Qs on the move in LIBOR today after 3m saw the largest 1

day drop since the GFC. This from our FI desk in Chicago:

- 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.