Valuation Considerations for Private Credit Fund Managers

COVID-19's impact on the primary and secondary loan markets has been unprecedented. For the week ended March 27, 2020, the weighted average bid of the S&P/LSTA Leveraged Loan Index plummeted 770 bps over a two-week period to 82.37 from 90.13. According to S&P LCD, the spread between the average bid and ask LSTA Leveraged Loan Index widened to 333 bps over the same time period as the market broadly remained in price discovery mode.

In this alert—the fourth in a series of alerts—we discuss specific valuation considerations for private credit fund managers as they estimate the fair value of their investments in these turbulent times.

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Cindy Ma Managing Director, Global Head of Portfolio Valuation and Fund Advisory Services
Terence Tchen Managing Director
Rittik Chakrabarti Managing Director
Hugh Nelson Director

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