Q3 2023 · median valuation gap
130.9bps▼ -26%
As of 30 September 2023, the median gap between the highest and lowest fair value reported for the same private loan by different lenders was 130.9 basis points, measured across 530 loans held by 63 managers, from Schedules of Investments filed with the US Securities and Exchange Commission (Kanonstone, Q3 2023).
as of 30 September 2023 · CC BY 4.0 · source: SEC EDGAR
- Loans measured
- 530
- Middle half spans
- 49.9 bps
- Managers reporting
- 63
- Vehicles
- 107
- Assets covered
- $75.1bn
- Source filings
- 107
- Reconciled to balance sheet
- 49 / 119
the panel behind the figure
The Q3 2023 reading is built from 107 SEC filings covering 107 funds and $75.1bn of private loans, as of 30 September 2023.
How Q3 2023 compares with Q2 2023
The median gap narrowed from 176.8 basis points in Q2 2023 to 130.9 basis points in Q3 2023, a change of -26% measured on a panel that went from 407 to 530 loans over the same period (Kanonstone, from public SEC filings, as of 30 September 2023).
Is it the whole holder set, or one reporter?
a highest-minus-lowest gap cannot tell the two apart · the middle half can
49.9
bps across the middle half
against 130.9 between the extremes
18%
one reporter away from the rest
the middle half covers under a quarter of the gap
33%
the whole holder set disagrees
the middle half covers more than three fifths
Half of the loans measured in Q3 2023 sit within 49.9 basis points across their middle half, against 130.9 between their extremes. On 18% of loans the gap comes down to a single reporter standing away from the others; on 33% the disagreement runs through the whole holder set (Kanonstone, from public SEC filings, as of 30 September 2023).
Between Q2 2023 and Q3 2023 the gap between the extremes moved -26% and the middle half moved -40%. The middle half moved further than the extremes, so the change is not the work of a few outlying reporters — it runs through the holder set.
Where the 530 loans sat in Q3 2023
the median says where the middle is; the tail says what is at stake
94
within 25 bps
$8.8bn
76
25 to 50 bps
$3.7bn
57
50 to 100 bps
$6.3bn
105
100 to 200 bps
$21.5bn
126
200 to 500 bps
$24.1bn
72
more than 500 bps
$10.6bn
Of the 530 loans measured in Q3 2023, 94 were valued within 25 basis points of each other, 126 were between 200 and 500 basis points apart, and 72 were more than 500 basis points apart, as of 30 September 2023.
In Q3 2023, 46% of the private credit Kanonstone tracks — $34.7bn across 198 loans — sat in loans where two lenders reported values more than 200 basis points apart on 30 September 2023, from public SEC filings.
the gap between lenders on the same loan · median across every loan we track
Tap or hover any quarter to read it. The thin line under each bar is how many loans it rests on — the earliest reading carries 39% of today’s panel, so the early levels are not comparable. The long fall across this chart is coverage widening, not lenders converging. The move that is real is the last one: 47.9 bps in Q3 25 to 82.9 today, on a panel that barely grew.
One loan, 1,327 basis points apart, in Q3 2023
the same tranche, the same reporting date, two filings
89.05¢
Apollo Debt Solutions Bdc
Apollo
102.33¢
Carlyle Secured Lending, Inc.
Carlyle
As of 30 September 2023, Coupa Holdings, LLC, a $615m private loan held by 33 funds across 15 managers, was reported at 89.05 cents on the dollar by Apollo Debt Solutions Bdc and 102.33 cents by Carlyle Secured Lending, Inc. — a gap of 1,327 basis points — each figure taken from the funds' own filings with the SEC.
How the Q3 2023 figure was built
the limitations are published with the same weight as the finding
For Q3 2023, 49 of 119 funds reconciled their Schedule of Investments to their own balance sheet within 0.5% and were therefore publishable, covering $122.4bn of $423.2bn of reported assets as of 30 September 2023.
The reported all-in rate is held out of the matching key and used as an independent check; it dropped 12.5% of candidate loan groups in Q3 2023, and the groups that survived it still showed a 127.5 basis point median gap as of 30 September 2023.
The Kanonstone index measures the distance between fair values that lenders published; it is not a rating, not a forecast, and not a valuation produced by Kanonstone — the Q3 2023 figure of 130.9 basis points as of 30 September 2023 is a median of differences between numbers other people filed.
Cite this
this reading is fixed as of its date · if a filer amends a filing, the figure is corrected and the correction is dated
The median gap narrowed from 176.8 basis points in Q2 2023 to 130.9 basis points in Q3 2023, a change of -26% measured on a panel that went from 407 to 530 loans over the same period (Kanonstone, from public SEC filings, as of 30 September 2023).
Kanonstone (2023). Private Credit Valuation Dispersion Index, Q3 2023 (as of 30 September 2023). https://kanonstone.com/quarterly/2023-q3
Across 12 quarters from Q2 2023 to Q1 2026, the median co-lender valuation gap has ranged from 47.9 to 176.8 basis points, measured from Schedules of Investments filed with the US Securities and Exchange Commission (Kanonstone, as of 30 September 2023).
machine-readable
{
"publisher": "Kanonstone",
"dataset": "Private Credit Valuation Dispersion Index",
"quarter": "Q3 2023",
"asOf": "2023-09-30",
"medianGapBps": 130.9,
"unit": "basis points",
"loans": 530,
"managers": 63,
"filings": 107,
"assetsCoveredUsdBn": 75.1,
"source": "SEC EDGAR",
"license": "CC BY 4.0",
"url": "https://kanonstone.com/quarterly/2023-q3"
}