Q1 2024 · median valuation gap
98bps▼ -14%
As of 31 March 2024, the median gap between the highest and lowest fair value reported for the same private loan by different lenders was 98 basis points, measured across 566 loans held by 71 managers, from Schedules of Investments filed with the US Securities and Exchange Commission (Kanonstone, Q1 2024).
as of 31 March 2024 · CC BY 4.0 · source: SEC EDGAR
- Loans measured
- 566
- Middle half spans
- 25.1 bps
- Managers reporting
- 71
- Vehicles
- 116
- Assets covered
- $84.7bn
- Source filings
- 116
- Reconciled to balance sheet
- 53 / 128
the panel behind the figure
The Q1 2024 reading is built from 116 SEC filings covering 116 funds and $84.7bn of private loans, as of 31 March 2024.
How Q1 2024 compares with Q4 2023
The median gap narrowed from 114.6 basis points in Q4 2023 to 98 basis points in Q1 2024, a change of -14% measured on a panel that went from 484 to 566 loans over the same period (Kanonstone, from public SEC filings, as of 31 March 2024).
Is it the whole holder set, or one reporter?
a highest-minus-lowest gap cannot tell the two apart · the middle half can
25.1
bps across the middle half
against 98 between the extremes
22%
one reporter away from the rest
the middle half covers under a quarter of the gap
28%
the whole holder set disagrees
the middle half covers more than three fifths
Half of the loans measured in Q1 2024 sit within 25.1 basis points across their middle half, against 98 between their extremes. On 22% of loans the gap comes down to a single reporter standing away from the others; on 28% the disagreement runs through the whole holder set (Kanonstone, from public SEC filings, as of 31 March 2024).
Between Q4 2023 and Q1 2024 the gap between the extremes moved -14% and the middle half moved -45%. 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 566 loans sat in Q1 2024
the median says where the middle is; the tail says what is at stake
147
within 25 bps
$13.5bn
82
25 to 50 bps
$7.3bn
59
50 to 100 bps
$10.8bn
115
100 to 200 bps
$21.3bn
104
200 to 500 bps
$20.8bn
59
more than 500 bps
$11bn
Of the 566 loans measured in Q1 2024, 147 were valued within 25 basis points of each other, 104 were between 200 and 500 basis points apart, and 59 were more than 500 basis points apart, as of 31 March 2024.
In Q1 2024, 36% of the private credit Kanonstone tracks — $31.8bn across 163 loans — sat in loans where two lenders reported values more than 200 basis points apart on 31 March 2024, 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, 2,059 basis points apart, in Q1 2024
the same tranche, the same reporting date, two filings
80.41¢
Apollo Debt Solutions Bdc
Apollo
101¢
Fs Kkr Capital Corp
FS/KKR
As of 31 March 2024, Zendesk Inc., a $1,942m private loan held by 23 funds across 10 managers, was reported at 80.41 cents on the dollar by Apollo Debt Solutions Bdc and 101 cents by Fs Kkr Capital Corp — a gap of 2,059 basis points — each figure taken from the funds' own filings with the SEC.
How the Q1 2024 figure was built
the limitations are published with the same weight as the finding
For Q1 2024, 53 of 128 funds reconciled their Schedule of Investments to their own balance sheet within 0.5% and were therefore publishable, covering $131.8bn of $414.6bn of reported assets as of 31 March 2024.
The reported all-in rate is held out of the matching key and used as an independent check; it dropped 14.1% of candidate loan groups in Q1 2024, and the groups that survived it still showed a 77.5 basis point median gap as of 31 March 2024.
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 Q1 2024 figure of 98 basis points as of 31 March 2024 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 114.6 basis points in Q4 2023 to 98 basis points in Q1 2024, a change of -14% measured on a panel that went from 484 to 566 loans over the same period (Kanonstone, from public SEC filings, as of 31 March 2024).
Kanonstone (2024). Private Credit Valuation Dispersion Index, Q1 2024 (as of 31 March 2024). https://kanonstone.com/quarterly/2024-q1
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 March 2024).
machine-readable
{
"publisher": "Kanonstone",
"dataset": "Private Credit Valuation Dispersion Index",
"quarter": "Q1 2024",
"asOf": "2024-03-31",
"medianGapBps": 98,
"unit": "basis points",
"loans": 566,
"managers": 71,
"filings": 116,
"assetsCoveredUsdBn": 84.7,
"source": "SEC EDGAR",
"license": "CC BY 4.0",
"url": "https://kanonstone.com/quarterly/2024-q1"
}