glossary · what it means in a filing
also called unobservable input · model-priced · mark to model
A level 3 asset is one whose fair value rests on inputs that cannot be observed in a market — the price comes from a model, and the model belongs to whoever built it.
Most private credit sits here. A single loan held by six funds can carry six independent level 3 valuations, each with its own price and no obligation to agree — and nothing in any of the six filings reveals that the other five exist.
Level 3 loans in the panel show a median gap of 105 basis points between their holders, against 27 on level 2 loans — measured on 1,192 and 766 loans respectively.