glossary · what it means in a filing
also called dispersion · co-lender gap · mark dispersion
A valuation gap is the difference, in basis points of par, between the highest and lowest fair value that different lenders report for the same private loan on the same reporting date.
It never appears in a filing. Each lender publishes its own fair value for its own position, in its own Schedule of Investments, and no filing mentions the others. The gap exists only once the same tranche has been located across several filings — which is the work, and the reason nobody publishes the number.
Across 1,038 loans held by 90 managers as of 31 March 2026, the median gap is 83.7 basis points, and 41% of the assets tracked sit in loans more than 200 basis points apart.