Q4 2023 · median valuation gap
114.6bps▼ -12%
As of 31 December 2023, the median gap between the highest and lowest fair value reported for the same private loan by different lenders was 114.6 basis points, measured across 484 loans held by 70 managers, from Schedules of Investments filed with the US Securities and Exchange Commission (Kanonstone, Q4 2023).
as of 31 December 2023 · CC BY 4.0 · source: SEC EDGAR
- Loans measured
- 484
- Managers reporting
- 70
- Vehicles
- 117
- Assets covered
- $72bn
- Source filings
- 117
- Reconciled to balance sheet
- 48 / 128
the panel behind the figure
The Q4 2023 reading is built from 117 SEC filings covering 117 funds and $72bn of private loans, as of 31 December 2023.
How Q4 2023 compares with Q3 2023
The median gap narrowed from 130.9 basis points in Q3 2023 to 114.6 basis points in Q4 2023, a change of -12% measured on a panel that went from 530 to 484 loans over the same period (Kanonstone, from public SEC filings, as of 31 December 2023).
Where the 484 loans sat in Q4 2023
the median says where the middle is; the tail says what is at stake
84
within 25 bps
$4.3bn
83
25 to 50 bps
$6.4bn
49
50 to 100 bps
$9.2bn
101
100 to 200 bps
$22.3bn
103
200 to 500 bps
$19.8bn
64
more than 500 bps
$10bn
Of the 484 loans measured in Q4 2023, 84 were valued within 25 basis points of each other, 103 were between 200 and 500 basis points apart, and 64 were more than 500 basis points apart, as of 31 December 2023.
In Q4 2023, 41% of the private credit Kanonstone tracks — $29.8bn across 167 loans — sat in loans where two lenders reported values more than 200 basis points apart on 31 December 2023, from public SEC filings.
the gap between lenders on the same loan · median across every loan we hold
Tap or hover any quarter to read it. The thin line under each bar is how many loans it rests on — the early quarters carry a third of today’s panel, so their level is not comparable. The long fall across this chart is coverage widening, not lenders converging. The move that is real is the last one: 47.6 bps in Q3 25 to 83.7 today, on a panel that barely grew.
One loan, 1,966 basis points apart, in Q4 2023
the same tranche, the same reporting date, two filings
80.41¢
Apollo Debt Solutions Bdc
Apollo
100.08¢
Hps Corporate Lending Fund
HPS
As of 31 December 2023, Zendesk Zendesk, Inc., a $1,760m private loan held by 14 funds across 8 managers, was reported at 80.41 cents on the dollar by Apollo Debt Solutions Bdc and 100.08 cents by Hps Corporate Lending Fund — a gap of 1,966 basis points — each figure taken from the funds' own filings with the SEC.
How the Q4 2023 figure was built
the limitations are published with the same weight as the finding
For Q4 2023, 48 of 128 funds reconciled their Schedule of Investments to their own balance sheet within 0.5% and were therefore publishable, covering $123.2bn of $405.9bn of reported assets as of 31 December 2023.
The reported all-in rate is held out of the matching key and used as an independent check; it dropped 14.9% of candidate loan groups in Q4 2023, and the groups that survived it still showed a 103.9 basis point median gap as of 31 December 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 Q4 2023 figure of 114.6 basis points as of 31 December 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 130.9 basis points in Q3 2023 to 114.6 basis points in Q4 2023, a change of -12% measured on a panel that went from 530 to 484 loans over the same period (Kanonstone, from public SEC filings, as of 31 December 2023).
Kanonstone (2023). Private Credit Valuation Dispersion Index, Q4 2023 (as of 31 December 2023). https://kanonstone.com/quarterly/2023-q4
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 31 December 2023).
machine-readable
{
"publisher": "Kanonstone",
"dataset": "Private Credit Valuation Dispersion Index",
"quarter": "Q4 2023",
"asOf": "2023-12-31",
"medianGapBps": 114.6,
"unit": "basis points",
"loans": 484,
"managers": 70,
"filings": 117,
"assetsCoveredUsdBn": 72,
"source": "SEC EDGAR",
"license": "CC BY 4.0",
"url": "https://kanonstone.com/quarterly/2023-q4"
}