Mark Hart / 2011 / Credit
A shared currency, uneven debts.
Mark Hart and the workbook’s European sovereign-credit case.
Before the outcome was obvious.
The sovereign-debt case asks what happens when fiscal obligations and confidence in repayment diverge. The workbook attributes the thesis to fiscal unsustainability and contagion, expressed through sovereign credit protection. The challenge is not merely predicting stress: the investor must understand the contract, the policy response and what legally counts as a credit event. This record is retained as an illustrative workbook case; its reported payoff is not independently verified here.
What could have gone wrong
Restructuring terms, political intervention, basis risk and credit-event definitions can separate economic distress from a contract payout.
Read the settlement terms before assuming a crisis guarantees a payment.
Put the thesis to the test.
Change the assumptions and watch the arithmetic update. These are simplified scenarios; they do not recreate the instrument’s pricing or the path of the trade.
How this model works
Profit ratio = profit ÷ stated position. Exposure ratio = stated position ÷ fund assets. Neither is a measure of maximum loss or a net investor return.
The workbook’s simple annualisation is profit ratio × 365 ÷ duration = 80%. It is linear, not compounded, and is not a repeatable annual return. Fees, financing, collateral, premium carry and changing exposures are not modelled.
What these figures mean.
Source: Legendary Trades Models, Master Comparison!A20:L20; Trade P&L Models, case 17. The following are original workbook inputs, preserved for transparency. They are estimates, not independently audited results.
- Workbook position
- $500m
- Workbook “gross profit”
- $400m
- Workbook duration
- 365 days
- Workbook fund assets
- $500m
- Workbook fund return
- 80%
- Workbook position ROI
- 80%
The fund-return field is a separate source claim, not a calculated result of this trade. Its reporting period and gross/net basis are not independently established here. Model ratios are recalculated from inputs rather than copied from rounded source ROI values.