Lesson 24 of 25 · 6 min
Building a one-page stress from the March statement
Four scenarios, one trigger, one multiple, and every figure recomputable from the document above.
The statement above is the first copy. A one-page stress is four more copies, each of them the same four figures — market value, lending value, market LTV, headroom or shortfall — plus the two numbers that do not come from prices: the trigger of $2,655,090.67 and the forced-sale multiple of 3.333….
The four restatements, read against that trigger:
- Uniform 19 percent: market value $4,886,563.95, lending value $2,654,573.52, LTV 38.03 percent, headroom 45.67 percent, shortfall $0.
- Calder −37 percent: market value $5,351,993.15, lending value $3,038,970.60, LTV 34.73 percent, headroom 50.39 percent, shortfall $0.
- Both: market value $4,555,363.05, lending value $2,538,653.20, LTV 40.80 percent, headroom 41.72 percent, shortfall $0.
- Uniform 60 percent: market value $2,413,118.00, lending value $1,310,900.50, LTV 77.02 percent, shortfall $241,972.67, sale to cure $806,575.57.
Two more lines sit under the four, and they are the ones a price table does not print. Haircut widening, Calder 35 to 20, prices still: lending value $3,001,250.50, market LTV unchanged at 30.81 percent. Nineteen days of accrual at 7.22 percent: trigger $2,665,208.04, and the 60 percent shortfall widens to $252,090.04. A one-page stress that omitted those two lines would describe only the holdings side of the facility.
Every figure on the page is a restatement of a figure already on the March document. Units, advance rates, the closing balance, the 70 percent threshold, the 7.22 percent rate, the Act/360 basis. The stress does not invent collateral. It replaces selected inputs and refuses to change the others. That refusal is what makes the page checkable.
Key terms
- One-page stress
- A short table of restated market value, lending value, LTV and headroom or shortfall, plus the trigger and the multiple.
- Checkable page
- A stress whose every figure can be rebuilt from the statement's units, prices, advance rates, balance and threshold.
- Holdings-side only
- A table that restates prices and omits haircut revisions and accrual. It describes half of the facility.
Worked example
The page, compressed to the figures that decide the test
March close as the first column. Four price stresses. Trigger $2,655,090.67 and multiple 3.333… on every column.
- Columns that still pass
- 19 percent, Calder −37, both
- Column that fails
- 60 percent
- Sale on the failing column
- $806,575.57
- Line the price table omits: Calder 35 to 20
- LV $3,001,250.50
- Line the price table omits: 19 days of 7.22 percent
- Trigger $2,665,208.04
Shortfall $0 on each.
Shortfall $241,972.67.
$241,972.67 × 10/3.
Market LTV still 30.81 percent.
Four price columns, one trigger, one multiple, two off-table lines. The March document already contained every input.
Check yourself
A one-page stress of the March statement lists a 19 percent book, a Calder-only 37 percent, both, and a 60 percent book. Which column produces a shortfall, what is that shortfall, and what sale closes it?
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Educational only. Nothing in this lesson is investment, legal or tax advice, or a recommendation to enter into any transaction. Figures are illustrative and computed from the inputs stated in the lesson.