---
hedgefund: 1
name: Example credit book
currency: USD
nav: 100000000
updated: 2026-11-01
---

# Example credit book

A made-up credit book: a list of credits and their spreads, a private loan tape and a sleeve behind a redemption gate. Hypothetical carry is the easy number to read. The tails and the ladder show what it leaves out. Every number is made up.

The numbers in this file are the author's own. A run describes only these numbers. It is not a forecast, an offer, a record of real trading or advice. It isn't a fund document, and it isn't for investors or clients. Format: https://hedgefund.md/spec.md Terms: https://hedgefund.md/terms

## Limits

```json
{
  "max_gross_pct": 120,
  "max_net_pct": 120,
  "max_vol_pct": 10,
  "max_tail_sum_pct": 20,
  "min_liquid_90d_pct": 60,
  "needs_yes_over_pct_nav": 3
}
```

## Correlation

```json
0.5
```

## Sleeves

### credit_carry

```json
{
  "model": "credit_carry",
  "capital_pct": 45,
  "assumed": { "vol_pct": 7, "liquidity_days": 30 },
  "inputs": {
    "nav": 10000000,
    "credits": [
      {
        "name": "Credit A",
        "notional": 4000000,
        "spread_bps": 120,
        "recovery_pct": 40,
        "spread_duration_years": 4.5,
        "real_world_pd_pct": 0.5
      },
      {
        "name": "Credit B",
        "notional": 2000000,
        "spread_bps": 250,
        "recovery_pct": 40,
        "spread_duration_years": 4,
        "real_world_pd_pct": 1.5
      },
      {
        "name": "Credit C",
        "notional": 2000000,
        "spread_bps": 420,
        "recovery_pct": 35,
        "spread_duration_years": 3.5,
        "real_world_pd_pct": 3
      },
      {
        "name": "Credit D",
        "notional": 1000000,
        "spread_bps": 650,
        "recovery_pct": 30,
        "spread_duration_years": 3,
        "real_world_pd_pct": 10
      },
      {
        "name": "Credit E",
        "notional": 1000000,
        "spread_bps": 900,
        "recovery_pct": 25,
        "spread_duration_years": 2.5
      }
    ],
    "widening_bps": [25, 50, 100, 200, 400]
  }
}
```

### loan_tape

```json
{
  "model": "private_credit_tape",
  "capital_pct": 35,
  "assumed": { "vol_pct": 8, "liquidity_days": 720 },
  "inputs": {
    "loans": [
      {
        "name": "Loan 1",
        "balance": 20000000,
        "rate_pct": 9,
        "pd_annual_pct": 1.5,
        "lgd_pct": 40
      },
      {
        "name": "Loan 2",
        "balance": 12000000,
        "rate_pct": 10,
        "pd_annual_pct": 2,
        "lgd_pct": 45
      },
      {
        "name": "Loan 3",
        "balance": 10000000,
        "rate_pct": 10,
        "pd_annual_pct": 2,
        "lgd_pct": 45
      },
      {
        "name": "Loan 4",
        "balance": 10000000,
        "rate_pct": 11,
        "pd_annual_pct": 3,
        "lgd_pct": 50
      },
      {
        "name": "Loan 5",
        "balance": 8000000,
        "rate_pct": 11,
        "pd_annual_pct": 3,
        "lgd_pct": 50
      },
      {
        "name": "Loan 6",
        "balance": 8000000,
        "rate_pct": 12,
        "pd_annual_pct": 4,
        "lgd_pct": 55
      },
      {
        "name": "Loan 7",
        "balance": 8000000,
        "rate_pct": 12,
        "pd_annual_pct": 4,
        "lgd_pct": 55
      },
      {
        "name": "Loan 8",
        "balance": 6000000,
        "rate_pct": 13,
        "pd_annual_pct": 5,
        "lgd_pct": 60
      },
      {
        "name": "Loan 9",
        "balance": 6000000,
        "rate_pct": 13,
        "pd_annual_pct": 5,
        "lgd_pct": 60
      },
      {
        "name": "Loan 10",
        "balance": 5000000,
        "rate_pct": 14,
        "pd_annual_pct": 6,
        "lgd_pct": 60
      },
      {
        "name": "Loan 11",
        "balance": 4000000,
        "rate_pct": 15,
        "pd_annual_pct": 8,
        "lgd_pct": 65
      },
      {
        "name": "Loan 12",
        "balance": 3000000,
        "rate_pct": 16,
        "pd_annual_pct": 10,
        "lgd_pct": 70
      }
    ],
    "tranches": [
      { "name": "Senior", "size_pct": 75, "coupon_pct": 6.5 },
      { "name": "Mezzanine", "size_pct": 15, "coupon_pct": 10 },
      { "name": "Junior", "size_pct": 10, "coupon_pct": 12 }
    ],
    "asset_correlation_pct": 20,
    "horizon_years": 3,
    "servicing_bps": 50,
    "sims": 5000,
    "seed": 7
  }
}
```

### gated_sleeve

```json
{
  "model": "redemption_gates",
  "capital_pct": 15,
  "assumed": { "vol_pct": 9, "gross_pct": 100, "net_pct": 100, "carry_pct": 6 },
  "inputs": {
    "assets": [
      { "name": "Cash", "value": 5000000, "days_to_cash": 0, "haircut_pct": 0 },
      { "name": "Bill 90d", "value": 10000000, "days_to_cash": 2, "haircut_pct": 0 },
      { "name": "Stock basket A", "value": 15000000, "days_to_cash": 10, "haircut_pct": 1 },
      { "name": "Loan book B", "value": 40000000, "days_to_cash": 180, "haircut_pct": 6 },
      {
        "name": "Office tower A tokens",
        "value": 30000000,
        "days_to_cash": 365,
        "haircut_pct": 20
      }
    ],
    "redemption_request_pct": 40,
    "notice_days": 30,
    "frequency_days": 30,
    "gate_pct_per_period": 10
  }
}
```