Yield-X: The Market Works
The workings of the Yield-X yield curves,
products and Calm margining system.
Rogan Etheredge
07 February 2005
Programme
• Introduction to Yield-X
• Yield curves
• Products
• Margining
Quant Financial Research
06 Feb 2005
2
Yield-X Products
•
•
•
•
•
•
•
•
•
jBonds: liquid RSA bonds (in Govi)
jCarries: 1 and 13 weeks on jBonds
jFutures: futures on jBonds
jTRIs and jGOVI: futures on Total Return Indices
jSwaps: bond lookalike swaps
jRods: swaps against overnight interest rate
jNotes: futures on notional swaps
jFRAs: futures on FRAs / Jibar
jOptions: options on all futures
Quant Financial Research
06 Feb 2005
3
Yield-X Products
Physical
Futures
Underlying: R194, R153, R201, R157, R203, R186
jBonds
jFutures
jCarries
jGOVI
Real and notional interest rate swaps on Jibar and RODI
jSwaps
jNotes
jRods
jFRAs
jOptions
Implicit mark-to-market
Quant Financial Research
Explicit mark-to-market
06 Feb 2005
4
Explicit mark-to-market
Loss
Profit
Total
margin
Market and Position
Quant Financial Research
06 Feb 2005
5
Implicit mark-to-market
Loss
Profit
Unrealised
loss
Total
margin
Market
Quant Financial Research
06 Feb 2005
Position
6
Trading on Yield-X
• Screen-based central order book
• Yield to three decimal places (1/10th basis point)
• Central counterparty:
– settlement guaranteed
– margining
• Report-only trades:
– derivatives fall within risk positions and are guaranteed
– jBonds only if both Clearing members agree
Quant Financial Research
06 Feb 2005
7
Mark-to-market
Closing
yields
Quant Financial Research
Yield
curves
Market
yields
06 Feb 2005
Futures
and
options
Mark
to
market
8
Margining
All positions
All instruments: full offset.
Estimate maximum loss which position can suffer:
next 24 hours, 99.95% confidence.
Loss is potential exposure of the Exchange:
take the amount in margin now!
Margin earns interest at wholesale rates;
re-estimated daily; returned when position is closed.
Quant Financial Research
06 Feb 2005
9
Daily cashflows
•
•
•
•
•
•
•
Explicit mark-to-markets
Change in margin
Settlements of spot bonds
Net interest payments on jSwaps and jRods
Conversion payments
Interest on margin
Booking fees
Quant Financial Research
06 Feb 2005
10
Yield curve methodology
• BEASSA
• Perfect fit
• Available on website daily to 30 years
Quant Financial Research
06 Feb 2005
11
Four curves
• Yield-X Curve
– RODI, 3 mth Jibar, jFRAs, jNotes
• jBonds curve
– RODI, 1 and 13 week jCarries, jBonds
• jSwaps curve
– RODI, 3 mth Jibar, jSwaps
• jRods curve
– RODI, jRods
Quant Financial Research
06 Feb 2005
12
Spreads
• Market price paramount
• Instruments in generating set have zero spreads
• Others have spreads calculated so that the Curve +
Spread prices them back to the market
• Instruments without market prices priced off their
curve, using their latest recorded spread
Quant Financial Research
06 Feb 2005
13
Use of curves
• Market information
• Pricing illiquid instruments
• Resets
• Close-out prices of jFRAs and jNotes
• Margining
Quant Financial Research
06 Feb 2005
14
jBonds
•
•
•
•
•
•
R194, R153, R201, R157, R203, R186
Quoted on yield to maturity
Bond pricing formula ("BPF")
Spot: t+3
Forward: settlement date by agreement
On-screen through central order book:
– included in Risk Positions;
– settlement guaranteed
• Report only:
– both Clearing Members must explicitly agree
• Guaranteed forwards subject to yield resets
• Settlement margins
Quant Financial Research
06 Feb 2005
15
jCarries
• On all jBonds
• 1st leg settled on t+3
– priced at current market price, using BPF
• 2nd leg settled 1week or 13 weeks after t+3
• Quoted on carry rate as a simple yield between settlement
dates
– quoted rate converted to ccr to find price of 2nd leg
• jCarries are on-screen through the central order book:
– included in risk positions
– settlement of both legs guaranteed
• 2nd leg subject to yield resets
• Settlement margins
Quant Financial Research
06 Feb 2005
16
jFutures
•
•
•
•
•
•
•
•
On all jBonds
Expire 1st business Thursday of Feb, May, Aug and Nov
Physically settled on t+3 of expiry date
Quoted on yield to maturity
Priced using BPF for settlement date
Settlement guaranteed
Settlement margins
Safex positions will be carried over
to Yield-X
Quant Financial Research
06 Feb 2005
17
jSwaps
• Bond lookalike swaps on all jBonds
– j194, j153, j201, j157, j203, j186
•
•
•
•
•
•
•
•
•
Expire on parent bonds' (mid) redemption dates
Semi-annual interest payments on same days as parent bonds'
Floating rate is 3-mth Jibar, compounded at mid interest period
Quoted on fixed rate: yield for the period
Standard fixed rate, reset on interest payment dates (or when market
has moved) to market rate, rounded to 25 bps
Dealt positions are converted to the standard rate
Conversion payments: PV off jSwaps Curve (+ spread) of difference in
fixed interest payments
Interest payments net through the Exchange
Guaranteed by the Exchange
Quant Financial Research
06 Feb 2005
18
jSwap Interest Calculations
Floating interest
payments at f
(known or implied)
L  100  1  fi1  Ti  t i1    1  fi 2  t i  Ti    1
X  100  x   t i  t i1 
Fixed interest
payments at x
3-mth Jibar: f i1
Last interest
date,
di-1,ti-1
Quant Financial Research
3-mth Jibar: f i2
Mid-period
reset date,
Di,Ti
06 Feb 2005
Next interest
date,
di,ti
19
jSwap Equation
n


  z1    t 1
V  N 1  f1 T1  t 0   1  f 2 t 1  T1   e
  x t i  t i 1   e   z i   t i  e   z n   t n 
i 1


Quant Financial Research
06 Feb 2005
20
jRods
•
•
•
•
•
•
•
•
•
•
Swaps of floating RODI against fixed 3-mth rate
Expire monthly on last business day of each month
Quarterly interest payments on last business day of month
Floating rate is jRODI (RODI converted from nacm to nacd),
compounded daily
Quoted on fixed rate: yield for the period
Standard fixed rate, reset on interest payment dates (or when market
has moved) to market rate, rounded to 25 bps
Dealt positions are converted to the standard rate
Conversion payments: PV off jRods Curve (+ spread) of difference in
fixed interest payments
Interest payments net through the Exchange
Guaranteed by the Exchange
Quant Financial Research
06 Feb 2005
21
jRod Interest Calculations
Floating interest
payments at f
(known or implied)
 m1 
f  
L  100    1  j   1
365  
 j0 
X  100  x   t i  t i1 
Fixed interest
payments at x
jRODIs: f j
j: 0 1 2 3 …
j
Last interest
date,
di-1,ti-1
Quant Financial Research
m1m
Next interest
date,
di,ti
06 Feb 2005
22
The jRod Equation
n
 l 1
fj
  Z1    T1
  zi   t i
  zn   t n 
V  N  1  365  e
 x  t i  t i 1 e
e

i 1
 j 0


Quant Financial Research

06 Feb 2005
23
jNotes
• Futures on notional swaps
• Expire 1st business Thursday of Feb, May, Aug
and Nov
• Swaps are for 2, 5 and 10 years from expiry date
• Quarterly interest payments on 1bThu 2, 5, 8, 11
cycle
• Floating rate is 3-mth Jibar
• Quoted on fixed rate: yield for the period
• Marked-to-market at closing fixed rate
• Cash settled on expiry off the Yield-X Curve
Quant Financial Research
06 Feb 2005
24
jNote Interest Calculations
Floating interest
payments at f
(known or implied)
L  100  fi   ti  t i1 
X  100  x   t i  t i1 
Fixed interest
payments at x
3-mth Jibar: f i
Last interest
date,
di-1,ti-1
Quant Financial Research
Next interest
date,
di,ti
06 Feb 2005
25
jFRAs
• Futures on FRAs / Jibar
• Expire 1st business Thursday of Feb, May, Aug
and Nov
• FRA interest payment date is 3 months from
expiry on 1bThu 2, 5, 8, 11 cycle
• Floating rate is 3-mth Jibar
• Quoted on fixed rate: yield for the period
• Marked-to-market at closing fixed rate
• Cash settled on expiry off the Yield-X
Curve / 3 mth Jibar
Quant Financial Research
06 Feb 2005
26
jFRA Interest Calculations
Floating interest
payment at f
(known or implied)
L  100  f1   t1  t0 
X  100  x   t1  t0 
Fixed interest
payment at x
3-mth Jibar: f 1
Contact expiry
date,
d0,t0
Quant Financial Research
Interest date,
d1,t1
06 Feb 2005
27
jOptions
•
•
•
•
•
•
•
•
•
•
•
•
On all futures contracts
American calls and puts
Expire on underlying future's expiry date
Strike prices in same units as future's quote
Each option on one futures contract
Fully margined: premium not paid up-front, but realised over the life of the
option through the mark-to-market process
Naked options traded on price
Options with delta traded on volatility
Early exercise allowed but never optimal
Automatic exercise of options more than 2.5% in
the money on expiry
Long options may be abandoned
Pricing via Modified Black Option Formula
Quant Financial Research
06 Feb 2005
28
Volatilities and Skews
• Time structure: each expiry has its own atm vol
• Skew: Moneyedness grid defines additive skew
for various degrees of moneyedness:
Vol = Atm Vol + S[Moneyedness]
• Grid and atm vol found by weighted linear
regressions of traded volatilities:
– weight by vega * number of options
– atm vol also weighted by time since trade
– historical trades also brought forward,
with decay factor
• Manual override possible
Quant Financial Research
06 Feb 2005
29
Yield-X Margining
• Comprehensive
• All-embracing
• Logical
• Margining
Calm
Quant Financial Research
06 Feb 2005
30
Two prerequisites
• Logical: all interest rate instruments may be
valued by reference to a single construct:
The yield curve
• Technical: the existence of reliable yield
curves
Quant Financial Research
06 Feb 2005
31
The two stages of margining
Historical
market
data
Mark-tomarket data
for the day
Margining Factors
Program
Positions
of
participants
Margin Calculator
Margining
Statistical analysis of
historical data to create
margining factors
factors
Calculation of value-at-risk
of positions
Margins
of
participants
Quant Financial Research
06 Feb 2005
32
Data
• Zero coupon yield curves from 08 May
2002: 685 days
– Data cleaned
– Extend backwards
– Yield-X Curve when available
• 1d, 1w, 1m, 3m-12m, 18m-60m, 6y-30y
Quant Financial Research
06 Feb 2005
33
Historical yields
Historical Yields
14.0
13.0
12.0
Yield (ccr)
11.0
1d
60m
30.00y
10.0
9.0
8.0
7.0
6.0
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
34
Yield changes
• Compare today’s yields with yesterday’s
forwards one day
• Log of ratio
• Basic unit: Trading day
Quant Financial Research
06 Feb 2005
35
Yield changes – 1d rates
LPR1
6.0%
4.0%
2.0%
0.0%
-2.0%
-4.0%
1d
-6.0%
-8.0%
-10.0%
-12.0%
-14.0%
-16.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
36
Yield changes – 60m rates
LPR15
4.0%
3.0%
2.0%
1.0%
0.0%
60m
-1.0%
-2.0%
-3.0%
-4.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
37
Yield changes – 30y rates
LPR40
8.0%
6.0%
4.0%
2.0%
0.0%
-2.0%
30.00y
-4.0%
-6.0%
-8.0%
-10.0%
-12.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
38
30 day exponential weighting
30 day Exponential Weights
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
13-Jun-03
13-Jul-03
Quant Financial Research
12-Aug-03
11-Sep-03
11-Oct-03
10-Nov-03
10-Dec-03
06 Feb 2005
09-Jan-04
08-Feb-04
09-Mar-04
39
750 day exponential weighting
750 day Exponential Weights
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
13-Jun-03
13-Jul-03
Quant Financial Research
12-Aug-03
11-Sep-03
11-Oct-03
10-Nov-03
10-Dec-03
06 Feb 2005
09-Jan-04
08-Feb-04
09-Mar-04
40
Double exponential weighting
Double Exponential Weights
1.0
0.9
0.8
0.7
0.6
w1
750 day
0.5
Combined
0.4
0.3
0.2
0.1
0.0
13-Jun-03
13-Jul-03
Quant Financial Research
12-Aug-03
11-Sep-03
11-Oct-03
10-Nov-03
10-Dec-03
06 Feb 2005
09-Jan-04
08-Feb-04
09-Mar-04
41
Vols – 1d
1d Vols: alpha = 0.7
50.0%
45.0%
40.0%
35.0%
30.0%
xVol30
xVol750
xVol
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
42
Vols – 60m
60m Vols: alpha = 0.7
25.0%
20.0%
15.0%
xVol30
xVol750
xVol
10.0%
5.0%
0.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
43
Vols – 30y
30.00y Vols: wt = 0.7
50.0%
45.0%
40.0%
35.0%
30.0%
yVol30
yVol750
yVol
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
44
Correlations: 1d vs 30y
Corrs: 1d vs 30.00y; Wt = 0.7
1.00
0.80
0.60
0.40
0.20
Corr30
Corr750
Corr
0.00
-0.20
-0.40
-0.60
-0.80
-1.00
08-05-02
Quant Financial Research
08-11-02
08-05-03
06 Feb 2005
08-11-03
08-05-04
45
Principal Components Analysis
• “The curse of dimensionality”
• PCA reduces it:
–
–
–
–
–
Find variance / covariance matrix for latest day
Find its eigenvectors: the components
First n eigenvectors: the principal components
Eigenvalues are variances of components
First n account for most of the variance
Quant Financial Research
06 Feb 2005
46
Vols: Curves and Components
Volatilities: Bondsbd (Swaps): 04-Jun-04
(67.3%, 84.1%, 91.8%, 97.2%, 98.9%)
80.0%
70.0%
60.0%
50.0%
PCs
Ycs
40.0%
30.0%
20.0%
10.0%
0.0%
Quant Financial Research
06 Feb 2005
47
First component
The First Component: 68%
1.5%
1.0%
Yield %age change
0.5%
PC1
PC2
PC3
PC4
PC5
0.0%
-0.5%
-1.0%
-1.5%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Term
Quant Financial Research
06 Feb 2005
48
Second component
The Second Component: 16%
1.5%
1.0%
Yield %age change
0.5%
PC1
PC2
PC3
PC4
PC5
0.0%
-0.5%
-1.0%
-1.5%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Term
Quant Financial Research
06 Feb 2005
49
Third component
The Third Component: 8.5%
1.5%
1.0%
Yield %age change
0.5%
PC1
PC2
PC3
PC4
PC5
0.0%
-0.5%
-1.0%
-1.5%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Term
Quant Financial Research
06 Feb 2005
50
Fourth component
The Fourth Component: 5%
1.5%
1.0%
Yield %age change
0.5%
PC1
PC2
PC3
PC4
PC5
0.0%
-0.5%
-1.0%
-1.5%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Term
Quant Financial Research
06 Feb 2005
51
Fifth component
The Fifth Component: 1.5%
1.5%
1.0%
Yield %age change
0.5%
PC1
PC2
PC3
PC4
PC5
0.0%
-0.5%
-1.0%
-1.5%
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Term
Quant Financial Research
06 Feb 2005
52
Construct historical components
1
n
1
1
n
1
1
1 1
Yield
changes
*
n
n
Eigen
matrix
=
Historical
component
changes
n
m
Quant Financial Research
n
06 Feb 2005
53
Vols - PC1
PC1 Vols: alpha = 0.7
140.0%
120.0%
100.0%
80.0%
xVol30
xVol750
xVol
60.0%
40.0%
20.0%
0.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
54
PC3: Yield Changes
pc3
25.0%
20.0%
15.0%
14 Jun 02:
+100 pts
10.0%
13 Sep 02:
+100 pts
5.0%
0.0%
pc3
-5.0%
12 Dec 03:
-50 pts
15 Aug 03:
-100 pts
-10.0%
-15.0%
13 Jun 03:
-150 pts
-20.0%
11 Sep 03:
-100 pts
06 Feb 2005
08-Apr-04
08-Mar-04
08-Feb-04
08-Jan-04
08-Dec-03
08-Nov-03
08-Sep-03
08-Aug-03
08-Jul-03
08-Jun-03
08-May-03
08-Apr-03
08-Mar-03
08-Feb-03
08-Jan-03
08-Dec-02
08-Nov-02
08-Oct-02
08-Sep-02
08-Aug-02
08-Jul-02
08-Jun-02
08-May-02
Quant Financial Research
08-Oct-03
17 Oct 03:
-150 pts
-25.0%
55
Vols – PC3
PC3 Vols: wt = 0.7
80.0%
70.0%
60.0%
50.0%
yVol30
yVol750
yVol
40.0%
30.0%
20.0%
10.0%
0.0%
08-May-02
Quant Financial Research
08-Nov-02
08-May-03
06 Feb 2005
08-Nov-03
08-May-04
56
Correlations: PC1 vs PC3
Corrs: PC1 vs PC3; Wt = 0.7
1.00
0.80
0.60
0.40
0.20
Corr30
Corr750
Corr
0.00
-0.20
-0.40
-0.60
-0.80
-1.00
08-05-02
Quant Financial Research
08-11-02
08-05-03
06 Feb 2005
08-11-03
08-05-04
57
PC1 distribution
PC1
Vol = 77.6%; Skew = 0.07; Kurt = 11.2
16
14
12
10
8
6
4
2
0
-32.7%
-28.8%
Quant Financial Research
-24.9%
-21.0%
-17.1%
-13.1%
-9.2%
-5.3%
-1.4%
2.5%
06 Feb 2005
6.4%
10.4%
14.3%
18.2%
22.1%
26.0%
29.9%
33.9%
58
PC1: Smoothed distribution
Quant Financial Research
06 Feb 2005
59
ReproBars
• Choose 5 percentile ranges:
– 5%, 25%, 40%, 25%, 5%
– Find expected value in each range from
smoothed distribution
• Get a discrete distribution with just 5 points
Quant Financial Research
06 Feb 2005
60
PC5: Reprobars
PC5: 5-bar repro
-4.0%
-3.3%
Quant Financial Research
-2.7%
-2.0%
-1.3%
-0.6%
0.03%
0.7%
06 Feb 2005
1.4%
2.1%
2.7%
3.4%
61
Construction of scenario curves
• All 5*5*5*5*5 = 3125 combinations of 5
abscissae/ordinates from 5 PC distributions
• Each combination is a set of 5 independent
component changes, and has its own probability
• Apply the changes to the base curve to get 3125
scenario curves, each with its own probability.
Quant Financial Research
06 Feb 2005
62
Valuation of positions
• Value position 3125 times, to get 3125
values, each with its own probability
• Smooth the resulting distribution
• Find EWCV at .05% over 1 trading day
Quant Financial Research
06 Feb 2005
63
Expected worst case value
P&L Distribution
ETL: expected
loss, given that
loss is more than
.05%
Cuttoff:
.05%
-4
Quant Financial Research
-3
-2
-1
0
06 Feb 2005
1
2
3
4
64
Margin
"On the one day in 2,000 when things are
really bad, just how bad are they likely to
be?"
Quant Financial Research
06 Feb 2005
65
Calm Results
• Assumptions:
–
–
–
–
–
Positions as at 28 Jan 2005
Yield curve and bond yields as at same date
Settlement day is 02 Feb 2005
Margining valuations for 31 Jan 2005
Margins calculated as the one-trading-day
Value-at-Risk (VAR) of the position at 99.95%
confidence level
Quant Financial Research
06 Feb 2005
66
Physical Bonds
• (NB: settlement margins are ignored. Once a deal
has been irrevocably committed to, it falls out of
the risk position.)
Instrument
Spot R153
Spot R157
Spot R186
Quant Financial Research
Position
+R1m
-R1m
+R1m
-R1m
+R1m
-R1m
06 Feb 2005
Margin
15,806
17,665
28,470
30,507
49,029
51,378
67
Forward Bonds
Instrument
R153
Quant Financial Research
Settlement
Position
04-May-2005 +R1m
-R1m
02-Feb-2006 +R1m
-R1m
06 Feb 2005
Margin
15,985
17,692
14,344
15,415
68
Carries
Instrument
R153
R153
Settlement
02-Feb-2005
09-Feb-2005
Position
-R1m
+R1m
R153
R153
02-Feb-2005
02-Feb-2006
-R1m
+R1m
Quant Financial Research
06 Feb 2005
Margin
101
4,318
69
Compound Spot Position
Instrument
R153
R157
R186
Quant Financial Research
Settlement
02-Feb-2005
02-Feb-2005
02-Feb-2005
06 Feb 2005
Position
-R1m
+R2m
-R1m
Margin
16,443
70
Positions with Futures
Instrument Settlement
May 05 R153
May 05 R153
Spot R153
02-May-2005
Quant Financial Research
06 Feb 2005
Position
-1
-1
+R1m
Margin
18,087
669
71
Positions with jSwaps
Instrument Settlement
j153 7.5 swap
j153 7.5 swap
May 05 R153
Quant Financial Research
Position
+R1m
+R1m
1
06 Feb 2005
Margin
15,743
3,268
72
jNotes
Instrument
May 05 jN02
Position
+1
Margin
6,642
Aug 05 jN05
+1
13,777
Nov 05 jN10
+1
22,251
Quant Financial Research
Settlement
06 Feb 2005
73
Distribution of Scenario Values
Scenario Values: May 05 jN02
(6,923
(6,091
(5,259
Quant Financial Research
(4,427
(3,595
(2,762
(1,930
(1,098
(266)
566
1,399
06 Feb 2005
2,231
3,063
3,895
4,727
5,560
6,392
7,224
74
Quant Financial Research
06 Feb 2005
13
,6
09
11
,9
62
10
,3
14
6
8,
66
8
7,
01
0
5,
37
2
3,
72
4
2,
07
6
42
2)
,2
2
(1
9)
,8
6
(2
7)
,5
1
(4
5)
,1
6
(6
3)
,8
1
(7
1)
,4
6
(9
)
1,
10
9
(1
)
)
2,
75
7
(1
4,
40
5
(1
Scenario Values: jN05
Scenario Values: Aug 05 jN05
75
Quant Financial Research
06 Feb 2005
23
,3
92
20
,6
39
17
,8
85
15
,1
32
12
,3
78
5
9,
62
1
6,
87
8
4,
11
4
1,
36
9)
,3
8
(1
3)
,1
4
(4
6)
,8
9
(6
0)
,6
5
(9
)
2,
40
3
(1
)
)
5,
15
7
(1
7,
91
0
(1
)
)
0,
66
4
(2
3,
41
7
(2
Scenario Values: jN10
Scenario Values: Nov 05 jN10
76
jFRAs
Instrument
May 05 jFRA
Settlement
Position
+1
Margin
751
May 06 jFRA
+1
1,052
Nov 06 jFRA
+1
1,034
Quant Financial Research
06 Feb 2005
77
jRods
Instrument
Jun 05 jRod
Settlement
Jan 06 jRod
Quant Financial Research
Position
+R1m
+R1m
06 Feb 2005
Margin
1,007
2,939
78
jGovi
Instrument Settlement
May 05 jGOVI
Position
+1
Margin
30,307
May 05 jGOVI
R152
R194
R153
R201
R157
R203
R186
+100
-R14m
-R39m
-R55m
-R14m
-R30m
-R3m
-R17m
39,578
Quant Financial Research
02-Feb-2005
02-Feb-2005
02-Feb-2005
02-Feb-2005
02-Feb-2005
02-Feb-2005
02-Feb-2005
06 Feb 2005
79
Questions