Monthly pattern in IL_1M

[Kevin Schmit]

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.

 

[Slow Learning Elf]

Bloomberg does not seem to have these jumps, so I am guessing it’s bad data.

 

[Kevin Schmit]

Bloomberg does not seem to have these jumps, so I am guessing it’s bad data.

Thanks!

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