DM Rates PCA Model: Gilt Steepeners Performing Well
- By Henry Occleston
- 5 min read
Summary
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- DM PCA rates model performance is recovering after having suffered from recent rates weakness. The proportion of in-the-money open flags has risen to 70% (from 55% last week). Gains remain decently larger than the losses.
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- We have added some more background to the model’s specification and how it is run.
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- We have temporarily dropped the AUD curve – it was calculated on the 6M-based swaps curve. We will be shifting to the 3M-based one.
Summary
-
- DM PCA rates model performance is recovering after having suffered from recent rates weakness. The proportion of in-the-money open flags has risen to 70% (from 55% last week). Gains remain decently larger than the losses.
-
- We have added some more background to the model’s specification and how it is run.
-
- We have temporarily dropped the AUD curve – it was calculated on the 6M-based swaps curve. We will be shifting to the 3M-based one.
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