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Regarding Thursday morning's drop...>

US DOLLAR LIBOR
US DOLLAR LIBOR: Regarding Thursday 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."
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