### POV: INTERMEETING RATE CUT...>

US EURODLR OPTIONS: ### POV: INTERMEETING RATE CUT CHATTER:

* With the sharp drop in US LIBOR rates and resulting increase in rate hike

chances (see below), chatter over emergency rate cut from the Fed getting

louder. Earlier in week, WH adv Kudlow posited virus effect on markets unlikely

to spur any fed action. StL Fed pres Bullard now says "more rate cuts are NOT

baseline case this year". Nevertheless, markets are anticipating consistent rise

in rate cut chances, w/50bp on the rise. Now desks asking about chances of an

intermeeting move from the Fed.

* Incidentally, last time Fed acted between moves: January 22, 2008 when the cut

75bp to 3.5 to calm mkts (prior move was mid-Aug the prior year).

* Eurodlr Whites (EDH0-EDZ0) pricing in just over 3 25 bps cuts by yr end while

chances of 50bp cut 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.