Level-Three Valuation Evidence Director — Private Credit

The mandate

The manager holds senior, unitranche and subordinated positions whose observable evidence weakened after amend-and-extend transactions, covenant resets and uneven borrower performance. Investment teams update forecasts and risk grades, while Fund Finance rolls forward models from prior marks. The valuation committee cannot consistently see which new information changed cash flow, probability, discount rate, recovery or instrument-specific calibration.

The engagement deliverable is a Level-Three Valuation Evidence Framework and Sample Portfolio Challenge Pack covering twenty-five positions. It will define instrument and rights, unit of account, observable transaction, calibration date, forecast source, scenario probability, discount or spread input, recovery hierarchy, model change, override, review, disclosure and difference from credit-risk or impairment decisions.

Milestone one at week three supplies asset stratification, source inventory and consequence-ranked gaps. Week six concludes milestone two with methodology maps, calibration rules and evidence standards. At week nine, milestone three delivers the twenty-five-position challenge and committee rehearsal. The accepted framework, model-control library, disclosure bridge and internal reviewer playbook close milestone four at week thirteen.

Acceptance requires internal reviewers to reproduce sampled marks from contractual cash flows through assumptions and governance; three unseen events—covenant waiver, distressed secondary quote and sponsor support—must be treated consistently; and Compliance and external audit coordination must confirm evidence accessibility. The committee chair signs after client reviewers challenge one model without consultant workpapers beyond the accepted archive.

The client will provide instrument documents, borrower forecasts, covenant and amendment records, risk grades, valuation models, observable quotes and trades, committee papers, disclosures and access to investment and external specialist teams. Management retains every reported fair-value conclusion. The engagement excludes audit or valuation opinion, investment recommendation, impairment determination, legal advice, tax advice and model implementation.

Why this is external work

Investment teams know borrower reality and Fund Finance knows reporting, but both helped create the marks under review and have limited capacity before year end. External work supplies independent method challenge and durable evidence design without signing a valuation, auditing financial statements or directing portfolio action.

What you will own

• Segment instruments by contractual complexity, observability, borrower condition, amendment history, security and valuation technique.
• Reconcile legal cash flows, management forecasts, downside cases, sponsor support, collateral and recovery waterfall into model inputs.
• Define calibration rules for origination, syndication, amendment, secondary quote, comparable instrument and subsequent performance evidence.
• Challenge discount rates, spreads, probabilities, overrides and model changes for internal consistency and unsupported smoothing.
• Distinguish fair value, credit monitoring, expected loss, covenant classification and investment thesis in committee materials.
• Build disclosure and sensitivity bridges that show which unobservable assumptions genuinely drive portfolio movement.
• Transfer sample selection, challenge documentation and reviewer qualification to permanent Valuation Control owners.

Candidate qualifications

• Led private-credit, structured-credit or illiquid-instrument valuation control across audited funds with material Level Three exposure.
• Reconstructed marks through contractual rights, amendments, borrower forecasts, market calibration, scenarios, discount rates and recovery waterfalls.
• Challenged stale origination anchors and thin secondary quotes without substituting unsupported judgement for observable evidence.
• Distinguished fair-value measurement from impairment, credit grade and investment recommendation under committee and auditor scrutiny.
• Designed model-change, override and disclosure controls that internal reviewers could reproduce across heterogeneous instruments.
• Delivered independent valuation-framework work while preserving management, external valuer and auditor opinion boundaries.

Non-negotiables

• The named director must lead Luxembourg committee challenge and remain available through year-end framework acceptance.
• No current mandate or financial interest may involve sampled borrowers, sponsors, competing funds or appointed valuers.
• Management retains all reported fair-value conclusions and investment decisions; auditors retain independent judgement.
• Audit opinion, signed valuation, legal or tax advice, investment recommendation and production implementation are excluded.

1. 49 words maximum. Describe an illiquid credit mark that changed after an amendment was recalibrated rather than merely rolled forward.
2. 49 words maximum. How would you treat a distressed quote that is observable but not representative of the unit of account?
3. 49 words maximum. Which client records are essential before challenging recovery and sponsor-support assumptions?