1. Hypothetical results, not live trading
All modeled returns, profit-and-loss paths, stress outcomes and portfolio values shown in RatesLab tools are hypothetical. They do not represent actual client investments, audited track records, realised historical returns or verified executable transactions. A Simulation Lab account is an educational shadow account, not a securities account.
2. Pricing assumptions and model error
Results depend on assumed contract values, market closes, projected interest-rate paths, option or strategy valuations, calibration parameters, model structure, the capital base, position sizing and other methodology choices. Changes to any input can materially change the result. Model outputs may be imprecise or wrong even when software calculations execute correctly.
Some private strategy inputs are intentionally not disclosed in public reports. Published aggregate outcomes therefore should not be treated as independently reproducible trade confirmations or executable price quotes.
3. Market-data timing and quality
Market prices and curves may be delayed, stale, missing, interpolated, corrected or supplied by third parties. Simulated end-of-day valuations can differ from live intraday prices and executable levels. Historical and illustrative prices are not guarantees of future market conditions.
4. Scenario uncertainty and tail events
Federal Reserve, investment-bank and internally modeled policy-rate scenarios represent a selected range of possible outcomes. They are not exhaustive, uniformly likely or necessarily current. Events outside the modeled universe—including extreme rate moves, market gaps, funding stress, liquidity shocks and unexpected policy decisions—may cause materially larger losses.
Scenario extrema are the best and worst outcomes among included model scenarios only; they are not statistical worst cases, value-at-risk guarantees or comprehensive tail-risk estimates.
5. Modeled drawdown is not a loss guarantee
A user-selected drawdown budget is an illustrative risk-sizing assumption, not an enforceable stop-loss or a guarantee that losses cannot exceed the selected percentage. A 3% ceiling shown in certain roll-versus-hold model configurations applies only to the specific modeled paths and assumptions, not every possible market outcome.
Realised losses could exceed both estimated and displayed drawdowns, including in adverse markets or when positions cannot be hedged or closed promptly.
6. Collateral income and capital protection
Projected Treasury-bill or other collateral income depends on the assumed instruments, rates, time horizon and reinvestment treatment. It does not make a combined derivative strategy risk-free or principal protected. Cash collateral, derivative obligations and mark-to-market requirements may behave differently under stress.
Displayed returns are not bank deposit interest and are not covered by any deposit guarantee merely because a model includes cash or Treasury collateral.
7. Fees, transaction costs and implementation
Illustrations may include stated execution-cost assumptions. Actual broker commissions, bid–ask spreads, slippage, market impact, financing, margin requirements, taxes, management fees, custody charges and operational costs can differ from assumptions or may be excluded. If excluded or understated, net realised returns would be lower.
8. Six-month roll versus twelve-month hold
Model comparisons involving consecutive shorter-dated structures assume the possibility of replacing the first position at a future roll date. The second structure's market price, volatility, liquidity, policy outlook, fees and available collateral are unknown until that time. A modeled roll advantage is neither an arbitrage guarantee nor a promise that the same yield can be earned on the reinvested capital.
Comparisons must be made on consistent capital, horizon and scenario assumptions. Certain published roll models use a fixed reference drawdown constraint; that figure is not automatically re-sized by other pages' user controls.
9. Interpreting statistics and reports
Annualised returns, modeled volatility, drawdown, Sharpe-type metrics, stress tables and Monte Carlo-like or scenario outputs may use simplified annualisation, limited observation windows, deterministic scenarios or assumed benchmarks. These analytics are not forecasts with established confidence intervals unless explicitly described as such.
Printable Advisor Workspace illustrations and generated Simulation Lab PDFs are educational material. They are not personal financial recommendations, a prospectus, an independently audited statement, a custody report or evidence of actual trade execution.
10. User responsibility
Do not make an investment or regulatory suitability decision solely from these materials. Independent market verification, professional financial advice where appropriate and careful assessment of liquidity, credit, derivatives and legal risks are necessary before any actual investment.