Monthly pattern in IL_1M

Discussion in 'Fixed Income' started by Kevin Schmit, May 19, 2024.

  1. Odd pattern in 1 Month tenor, see attached png. Not present in the 3 Month.
    Anyone have any idea of what is going on? Bad data/supplier? Doesn't exactly
    match up to calendar months but once the eom rise starts, prints exactly the
    same numbers. Monthly_Pattern_IL_1M.png
     
  2. Bloomberg does not seem to have these jumps, so I am guessing it’s bad data.
     
  3. Thanks!

    Ended up removing that series, along with a few other similarly bad single-source cc/tenor series from my design matrices inputs.
     
    Slow Learning Elf likes this.