Private Credit & Structured Debt
Valuation, credit analytics, and portfolio monitoring for India's private credit market — NCDs, mezzanine, market-linked debentures, and AIF-originated structured debt.
Market context and instrument landscape.
India's private credit market has emerged as a significant alternative to bank lending, with Category II AIFs, HFCs, and structured lenders deploying into real estate credit, infrastructure, MSME, and corporate structured debt. SEBI requires quarterly independent valuation of AIF portfolio instruments; Ind AS 109 demands ECL treatment for institutional holders. Yields of 12–18% on structured credit draw both borrowers bypassing constrained bank lending and investors seeking premium over public market equivalents — achievable only with rigorous credit selection and active monitoring.
- ▸Non-Convertible Debentures (NCDs) — listed and unlisted
- ▸Market-Linked Debentures (MLDs)
- ▸Mezzanine Debt Instruments
- ▸Venture Debt
- ▸Convertible Notes and Structured Equity
- ▸Co-lending Pool Analytics
- ▸Real Estate Credit Instruments
- ▸Infrastructure Debt
What practitioners face in this market.
Fair value under SEBI requirements
Quarterly independent fair value for bilateral NCDs and mezzanine demands defensible methodology without observable pricing. Heterogeneous portfolios — fixed-rate, floating with floors, convertibles, co-investments — each require distinct frameworks that must remain internally consistent under LP scrutiny.
Ind AS 109 staging and ECL
Standard SICR triggers — DPD, rating migration — don't translate to bilateral structured instruments where covenant compliance, DSCR, and collateral value are the relevant signals. Incorrect staging has direct P&L and regulatory capital consequences.
Credit covenant monitoring
Private credit instruments carry financial maintenance covenants whose breaches are frequently resolved by negotiated waivers. Undisclosed waiver accumulation creates audit and regulatory risk. Robust monitoring tracks trajectory, not just breach status.
Exit path analytics
Mezzanine and structured equity exits — puts, drag-alongs, IPO scenarios — require probability-weighted modelling. Put options are most valuable precisely when the borrower is least able to honour them; robust analytics must price this correlation.
Concentration and portfolio construction
Category II AIF portfolios concentrate by sector, borrower type, or maturity. SEBI's diversification norms set floors, but real estate or infrastructure concentration compounds in stress — simultaneous covenant breaches, same buyer universe for recovery.
Documentation and structural integrity
Bilateral documentation quality varies widely. Charge registration, mortgage perfection, and pledge documentation are frequently deficient outside major legal advisers — invisible during performing periods, critical at enforcement.
Arrowbanc's work in this asset class.
Instrument-level DCF valuation
Bottom-up valuation from contractual cashflows; discount rate built from observable references layered with credit, liquidity, and structural adjustments. Calibrated to NCD market spreads, peer transactions, and rating-implied defaults, with explicit sensitivity tables.
SEBI-compliant fair value reporting
Quarterly valuation memoranda aligned to SEBI's 2023 AIF circular — instrument-level detail, methodology disclosure, prior-quarter comparison. LP-ready and audit-supportable.
Credit monitoring dashboards
Systematic covenant, trigger, and credit-signal tracking across the portfolio — early warning rather than post-event discovery. Exception reports include a recommended action based on severity and trajectory.
Portfolio analytics
Yield attribution, concentration, vintage performance, and return distribution — formatted for LP reports, investment committee presentations, and regulatory filings. Includes IRR by vintage and scenario analysis of NAV under macro stress.
Exit path and holding return modelling
Scenario-based modelling of exit timing, put option value, drag-along mechanics, and secondary sale proceeds — a quantified framework for managing maturities and LP communications on realisation.
Ind AS 109 ECL for private credit
Bespoke SICR frameworks for structured instruments — DSCR trajectory, LTV deterioration, covenant history — aligned to RBI's guidance on complex instruments and defensible during regulatory inspection.
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