This tool estimates a fair secondary sale price when you cannot redeem at NAV. It returns a range (best case → worst case), not a single quote. Based on the Chapter 9 framework in Liquidity Engineering in Private Equity Funds.
The model only applies when the fund will not pay you out at NAV on request.
How is the fund treating payouts right now?
These numbers describe how long you wait and what the fund holds while you wait.
What is it? The fund’s reported net asset value per share or unit.
Tip: Use 100 to express everything as % of par (easiest to read).
What is it? Total redemption requests waiting in line, as % of fund NAV.
Where to find it: GP investor letter, press release, or regulatory filing after a gating event (e.g. 9.8% means requests equal 9.8% of fund assets).
What is it? Maximum % of NAV the fund may pay out per quarter under its gate.
Where to find it: Fund prospectus / KIID (often 5% per quarter for wealth-channel evergreens).
What is it? Fraction of the portfolio in private equity / real assets (0–1). The rest is the liquid “sleeve”.
Example: 0.85 = 85% illiquid, 15% cash or listed positions.
Where to find it: Factsheet, annual report, or liquidity sleeve disclosure.
What is it? Annual return you expect on the private portfolio while queued (decimal: 0.10 = 10%).
Proxy: LPX50 long-run return, manager guidance, or a conservative stress haircut in bad markets.
What is it? What the liquid sleeve earns per year (decimal: 0.04 = 4%).
Proxy: SARON, SOFR, money-market rate, or short credit yield.
What is it? Annual fee charged on NAV while you wait (decimal: 0.015 = 1.5%).
Where to find it: Prospectus fee table — wealth evergreens often charge 1.25–1.75% on NAV.
A secondary buyer still earns a risk-free rate and demands extra compensation when credit markets are stressed.
What is it? Government bond yield for the currency and horizon of your wait (decimal).
Examples: Swiss 10-year ~1.5% (0.015); US 10-year ~4.5% (0.045).
What is it? Extra annual return a buyer wants for locking capital in an illiquid, gated claim.
Easy proxy: US high-yield OAS spread (decimal: 0.035 ≈ 350 bps). Calm markets ~2–4%; stress ~6–9%. See Annex B grids.
What is it? How much the liquidity premium could swing up or down (decimal). Widens the price range. Typical: 0.005 (±50 bps).
What is it? Execution frictions on a bilateral sale (% of NAV): adviser, legal, platform.
Typical: 0–1% of NAV. Sets the maximum price (no buyer pays above NAV minus costs).
Buyers often pay below reported NAV when they doubt valuations — especially in stress. In the model this is the NAV credibility haircut (θ_A, “theta”).
Plain English: If everything looks credible, how much below NAV might a buyer still demand?
Decimal guide: 0.01 = 1% haircut; 0.04 = 4%.
When low: Big Four audit, independent valuation, calm listed-PE markets.
Annex B calm band: roughly 1–4%.
Plain English: In a stressed sale, how deep a discount to NAV for valuation doubt?
Decimal guide: 0.10 = 10%; 0.25 = 25%.
Proxy: Listed PE / REIT discount to NAV in bad markets.
Annex B stress band: up to 10–25% for severe episodes.
What is it? How much a disclosed, undrawn NAV facility improves buyer confidence (decimal: 0.10 = 10% reduction in the best-case haircut).
Set to 0 if no facility. Deep syndicated lines: up to 0.20.
What is it? How much top-tier governance compresses the best-case haircut (decimal: 0.20 = 20%).
Higher if: ILPA-aligned disclosure, consistent DPI, independent third-party valuation.
Lower / 0 for boutique sponsors with internal marks only.
What is it? Multiplier on wait time if more investors join the queue (1.0 = no growth; 1.5 = moderate stress; 2.0 = run-like).
Rule of thumb: Persistent gating + media coverage → 1.5–2.0.
Even with the same fund, a patient seller clears nearer the best case; a forced seller accepts nearer the worst case. This slider (γ, “gamma”) blends between the two.
At 0.5 you are halfway between an opportunistic and a pressured seller — a common wealth-client scenario.