MSCI | Moody’s Private Credit Risk Assessment Independent, standardized credit risk insights for private credit.
- Assess borrower and facility risk consistently
- Benchmark exposures across funds and managers
- Integrate private credit into portfolio analysis
Apply a consistent credit risk framework
Compare borrower, facility and fund-level credit risk using a standardized framework that aims to strengthen consistency across managers.
Strengthen due diligence and manager oversight through independent Probability of Default, Loss Given Default and implied ratings.
Bring private credit exposures into a broader portfolio view to compare private and public risk within one framework.
Why MSCI | Moody’s Private Credit Risk Assessment
Combines Moody’s credit models with MSCI’s private credit data and workflows to provide consistent, independent risk insights.
Independent risk assessment
Access third-party, independently modeled credit risk metrics – not solely based on manager-reported data – to support the evaluation of private credit investments with greater confidence.
Standardized credit insights
Use consistent scoring, implied ratings and risk measures to benchmark exposures across portfolios, managers and strategies.
Integrated portfolio context
Analyze private credit risk within MSCI Private i® today, with planned integration into additional MSCI platforms over time.
Features and capabilities
A standardized credit risk framework combining Moody’s models with MSCI’s private company, loan and fund data.
Company-level probability of default
Probability of Default is calculated at the company level using Moody’s EDF-X credit risk model.
Facility-level loss given default
Loss Given Default is estimated using MSCI loan terms and conditions at the facility level.
Implied ratings
Implied ratings are mapped to Moody’s rating scale using historical default rates to support more intuitive credit interpretation of credit risk.
One workflow
Seamless integration with private i® and Total Plan Manager.
See private credit risk in context
Explore how standardized borrower and facility risk metrics can help support private credit diligence, monitoring and reporting.
Review company-level Probability of Default and implied ratings across private borrowers.
Analyze facility-level Loss Given Default alongside loan terms and underlying exposure data.
Frequently asked questions
Provides borrower-level Probability of Default, facility-level Loss Given Default and implied ratings for private credit investments. These analytics are independently modeled using Moody’s credit risk framework and MSCI’s private markets data.
Research and resources
Private Credit at a Turning Point webinar
Hear experts discuss trends shaping private credit and how investors can bring greater structure to the asset class.
Private Capital Benchmarks Report
Gain insight into private credit performance trends across vintages, strategies and regions.
Bring greater transparency to private credit risk?
Private Credit Solutions
Bring transparency to private credit. Standardized data, credit risk analytics, benchmarks and portfolio tools to support investors as they assess performance, manage risk and integrate private credit within the total portfolio.
