*** Lead quarterly Jun...........>

US EURODLR FUTURES: *** Lead quarterly Jun Eurodollar futures seeing some decent

volatility today, first rallying on the back of this morning's 3M LIBOR drop

(-0.1305 to 0.5561%, -0.3310/wk). 

- EDM0 has since inexplicably reversed course w/ initial speculation over

precipitous 3M LIBOR drop is overdone w/ futures anticipating a rebound. Key to

move is in FRB Main St lending program details where program loans will be based

on LIBOR instead of SOFR. 

- Under FAQ section, page 13: " Although financial institutions are

transitioning to more robust reference rates, LIBOR remains the most common base

rate used in business lending, even though firms cannot rely on LIBOR being

published after the end of 2021. Consistent with the recommendations of the

Alternative Reference Rates Committee, Eligible Lenders and Eligible Borrowers

should include fallback contract language to be used should LIBOR become

unavailable during the term of the loan."

- With more focus back on LIBOR now, any slack in sets' is likely to be reduced.