The book's own figures

1. The_Reverse_Stress_Test_Blank.xlsx  (Chapter 21, Fund IV, and Appendix L)

   1. The Inputs!B5   Net asset value                                                 310   book
   1. The Inputs!B6   Commitment-method leverage                                      1.4   book
   1. The Inputs!B7   Bucket 1: cash and short-dated                                  0.11   book
   1. The Inputs!B8   Bucket 2: liquid syndicated loans, within a month               0.09   book
   1. The Inputs!B9   Bucket 3: realisable within six months                          0.24   book
   1. The Inputs!B10  Bucket 4: twelve months or more                                 0.56   book
   1. The Inputs!B11  Discount on bucket 3, ordinary                                  0.055   book
   1. The Inputs!B12  Gate threshold, as amended                                      0.04   book
   1. The Inputs!B13  Stressed discount, bucket 2                                     0.06   ADDED
   1. The Inputs!B14  Stressed discount, bucket 3                                     0.14   ADDED
   1. The Inputs!B15  Share of bucket 3 realisable inside 90 days, stressed           0.4   ADDED
   1. The Inputs!B16  Facility advance rate on collateral                             0.5   ADDED
   1. The Inputs!B17  Stressed markdown on bucket 4                                   0.1   ADDED
   1. The Inputs!B18  Undrawn borrower commitments                                    38   ADDED
   1. The Inputs!B19  Stressed draw rate on them, per quarter                         0.45   ADDED
   1. The Inputs!B20  Ordinary draw rate                                              0.15   ADDED
   1. The Inputs!B21  Loan book cash coupon                                           0.09   ADDED
   1. The Inputs!B22  Non-accrual share, stressed                                     0.06   ADDED
   1. The Inputs!B23  Scheduled amortisation, per quarter                             0.5   ADDED
   1. The Inputs!B24  Prepayments, per year — ordinary / stressed                     0.12   ADDED
   1. The Inputs!B25    stressed                                                      0.03   ADDED
   1. The Inputs!B26  Operating cash buffer, share of NAV                             0.015   ADDED
   1. The Inputs!B27  Fees and facility interest, per quarter                         2.97   ADDED
   1. The Inputs!B28  Ordinary discount, bucket 2                                     0.02   ADDED
   1. The Inputs!B29  Release price on disposals: 1 = the lender takes its advance r  1   ADDED

   Result: reverse stress level 22.5 per cent of net asset value, plus or minus 3.8 points;
   headroom under the borrowing base 69.1, no call; ordinary capacity 23.3 to 39.2 per cent.

2. Fund_Scoping_Table_Blank.xlsx, Chapter 21's Meridian funds (Fund V has no figures)

   Row                           Fund I   Fund II  Fund III   Fund IV
   6 Net asset value                900       346       420       310
   7 Exposure / NAV                 2.1      2.65       1.0       1.4
   8 Covered borrowing                0       180         0         0
   9 Open-ended                       0         0         0         1
   10 Strategy: originate             1         1         0         0
   11 Originated loans                                193.2     220.1
   12 Constituted pre-15/4/24         1         1                    
   13 Capital raised since            0         1                    
   14 Leverage trigger                                           1.68
   15 Origination trigger                              0.45          
   16 Largest fin. exposure                                          
   17 Capital                                                        

   Fund II: 346 of net assets is what Chapter 21's two figures imply (265 per cent, less a 180 line, is
   213 per cent). Fund III: exposure 1.0 is ADDED, the book gives none. Blank cells: the book does not say.
   Result: Fund II at 213.0 per cent breaks the 300 cap only at a 20.4 per cent markdown; Fund IV's 168
   trigger leaves 5.6 per cent before 175; Fund III has 16.8 of room under 50 per cent, used up by a 14.8
   per cent write-down on the rest of its portfolio.
