May 17, 2024 09:39 GMT
SOFR Strips Blocked
STIR
The London morning has seen several block trades of SOFR strips. There was a 5K block of the SFRM4-H5 strip, followed by 2K and 1K blocks of the SFRM5-H6 strip. The CME email alerts point to a buyer of the strips, but we note that most of the trades seem to have been conducted around the prevailing mids or through bids.
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