DM Rates PCA Model: AUD Curve Flagging Dislocation
- By Henry Occleston
- 5 min read
Summary
- DM PCA rates model performance continues to recover, with 78% of open trades in-the-money (70% last week). Gains remain decently larger than the losses.
- The model has ceased flagging 2s10s gilts steepening after the trade gave up much of the gain seen last week – it closes roughly flat.
- We have reintroduced the corrected AUD curve (based on 3M out to 4Y). It is flagging some strong dislocation.
Summary
- DM PCA rates model performance continues to recover, with 78% of open trades in-the-money (70% last week). Gains remain decently larger than the losses.
- The model has ceased flagging 2s10s gilts steepening after the trade gave up much of the gain seen last week – it closes roughly flat.
- We have reintroduced the corrected AUD curve (based on 3M out to 4Y). It is flagging some strong dislocation.
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