*** Regarding this morning's drop...>

US DOLLAR LIBOR: *** Regarding this morning's drop in 3M LIBOR settle (-0.0406

to 2.6970%, -0.0356/wk). Dealer research desks still at a loss to fully explain

one of the sharpest down-moves in approximately a decade. RBS strategists said

that while the move is "consistent with broader market fundamentals," the exact

reason why today is still unknown. "Declining financial CP rates had pushed the

differential between 3m financial CP rates and 3m LIBOR to its widest level

since 2018, and FRA/OIS spreads show markets have been pricing for further

narrowing in LIBOR/OIS for some time. Lagging CP issuance vs. prime fund inflows

and the self-fulfilling nature of forward pricing of LIBOR also point toward

further narrowing in LIBOR/OIS into the March expiry. However, none of these

factors alone neatly explains why we saw such a dramatic dip in LIBOR on an

otherwise uneventful Thursday in February."