Accessible Version
Private Credit: Characteristics and Risks, Accessible Data
Figure 1. Growth in Private Debt Allocations
Fig 1a. (Left Figure) All Private Debt Strategies
Dollars (Billions)
| Date | Assets Under Management | Invested Capital | Dry Powder |
|---|---|---|---|
| 2000-12-31 | 41.5 | 28 | 13.5 |
| 2001-12-31 | 49.7 | 26.9 | 22.8 |
| 2002-12-31 | 57.6 | 31.1 | 26.6 |
| 2003-12-31 | 72.6 | 35.7 | 36.9 |
| 2004-12-31 | 76.4 | 40.5 | 35.9 |
| 2005-12-31 | 91.3 | 51.6 | 39.7 |
| 2006-12-31 | 134.1 | 71.5 | 62.6 |
| 2007-12-31 | 189.3 | 100.2 | 89.1 |
| 2008-12-31 | 231.2 | 127 | 104.2 |
| 2009-12-31 | 262 | 164.2 | 97.8 |
| 2010-12-31 | 309.4 | 201.1 | 108.4 |
| 2011-12-31 | 339.6 | 220.9 | 118.8 |
| 2012-12-31 | 370.8 | 246.6 | 124.1 |
| 2013-12-31 | 436.1 | 254.7 | 181.3 |
| 2014-12-31 | 446 | 281.5 | 164.5 |
| 2015-12-31 | 506.1 | 313.8 | 192.3 |
| 2016-12-31 | 560 | 365.1 | 194.9 |
| 2017-12-31 | 621.4 | 395.4 | 226 |
| 2018-12-31 | 725.7 | 444.9 | 280.8 |
| 2019-12-31 | 830.2 | 565.1 | 265.1 |
| 2020-12-31 | 1033.8 | 673.2 | 360.6 |
| 2021-12-31 | 1236.4 | 840.6 | 395.8 |
| 2022-12-31 | 1489 | 1073.7 | 415.3 |
| 2023-06-29 | 1715.9 | 1212.3 | 503.6 |
Fig 1b. (Right Figure) Direct Lending
Dollars (Billions)
| Date | Assets Under Management Direct Lending | Invested Capital Direct Lending | Dry Powder Direct Lending |
|---|---|---|---|
| 2000-12-31 | 0 | 0 | 0 |
| 2001-12-31 | 0.5 | 0.1 | 0.4 |
| 2002-12-31 | 0.5 | 0.2 | 0.3 |
| 2003-12-31 | 0.5 | 0.2 | 0.2 |
| 2004-12-31 | 2.1 | 0.6 | 1.6 |
| 2005-12-31 | 3.3 | 1.3 | 2.1 |
| 2006-12-31 | 5.6 | 2.4 | 3.2 |
| 2007-12-31 | 13.8 | 4.9 | 8.8 |
| 2008-12-31 | 31.6 | 14.1 | 17.5 |
| 2009-12-31 | 33.1 | 19.7 | 13.4 |
| 2010-12-31 | 40.8 | 22.5 | 18.3 |
| 2011-12-31 | 47.5 | 27.2 | 20.4 |
| 2012-12-31 | 52.4 | 28.7 | 23.7 |
| 2013-12-31 | 95.4 | 34.8 | 60.6 |
| 2014-12-31 | 102.2 | 46.3 | 55.8 |
| 2015-12-31 | 127.1 | 69.2 | 57.9 |
| 2016-12-31 | 158.1 | 99.6 | 58.6 |
| 2017-12-31 | 199.2 | 118.2 | 80.9 |
| 2018-12-31 | 260.4 | 150 | 110.3 |
| 2019-12-31 | 322.4 | 222.6 | 99.8 |
| 2020-12-31 | 416.3 | 265 | 151.3 |
| 2021-12-31 | 528.2 | 337.6 | 190.7 |
| 2022-12-31 | 676.2 | 492 | 184.2 |
| 2023-06-29 | 793.7 | 573.8 | 220 |
Note: ‘Dry Powder’ refers to committed but not invested capital. Invested capital is committed & invested capital (typically in the form of loans). Assets under management is the sum of invested capital and dry powder. Data as of June 2023. AUM data reported with a 6-month lag.
Source: Preqin
Figure 2. Top 20 Private Debt Managers
Fig 2a. (Left Figure) All Private Debt Strategies
Dollars (Billions)
| Lender | Called Capital | Dry Powder |
|---|---|---|
| Oaktree Capital Management | 104.423 | 14.919 |
| Goldman Sachs Asset Management | 73.287 | 16.931 |
| Ares Management | 61.206 | 28.656 |
| HPS Investment Partners | 61.223 | 16.764 |
| Blackstone Group | 54.578 | 17.784 |
| Clearlake Capital Group | 26.527 | 7.237 |
| Fortress Investment Group | 29.717 | 4.015 |
| Crescent Capital Group | 28.065 | 4.09 |
| Barings | 25.157 | 4.5 |
| Bain Capital | 24.689 | 4.72 |
| Blue Owl Capital | 25.19 | 1.615 |
| Sixth Street | 18.417 | 7.902 |
| Apollo Global Management | 22.316 | 3.877 |
| Cerberus Capital Management | 25.245 | 0.942 |
| Avenue Capital Group | 24.447 | 1.052 |
| KKR | 20.418 | 4.866 |
| BlackRock | 19.978 | 5.281 |
| Golub Capital | 19.677 | 5.426 |
| AB CarVal Investors | 19.604 | 3.059 |
| TPG Angelo Gordon | 15.15 | 3.153 |
Fig 2b. (Right Figure) Direct Lending
Dollars (Billions)
| Lender | Called Capital | Dry Powder Direct Lending |
|---|---|---|
| Oaktree Capital Management | 11.255 | 5.582 |
| Ares Management | 50.023 | 19.281 |
| HPS Investment Partners | 31.021 | 5.072 |
| Blackstone Group | 18.838 | 14.536 |
| Crescent Capital Group | 7.533 | 1.604 |
| Barings | 18.746 | 4.075 |
| Blue Owl Capital | 25.19 | 1.615 |
| Sixth Street | 4.687 | 4.569 |
| Apollo Global Management | 13.922 | 1.396 |
| Cerberus Capital Management | 7.39 | 0.772 |
| BlackRock | 19.797 | 5.2 |
| Golub Capital | 19.677 | 5.426 |
| Neuberger Berman | 12.545 | 5.043 |
| Carlyle Group | 10.729 | 0.804 |
| Goldman Sachs AIMS Group | 10.632 | 0.107 |
| Antares Capital | 3.995 | 5.005 |
| Audax Private Debt | 6.115 | 2.475 |
| Monroe Capital | 7.25 | 1.212 |
| Benefit Street Partners | 7.765 | 0.125 |
| Kayne Anderson Capital Advisors | 5.577 | 1.835 |
Note: This chart plots aggregate assets under management (split by called capital or invested capital, and dry powder) sorted by private credit firm. For each firm, all fund level private credit funds are aggregated.
Source: Preqin
Figure 3. Number of Loans in Pitchbook
Number of Loans
| Year | Number of Loans in Pitchbook |
|---|---|
| 2013 | 927 |
| 2014 | 1342 |
| 2015 | 864 |
| 2016 | 848 |
| 2017 | 1199 |
| 2018 | 2027 |
| 2019 | 1932 |
| 2020 | 1600 |
| 2021 | 3105 |
| 2022 | 2494 |
| 2023 | 974 |
Note: This chart reports the raw number of newly originated loans in a given year.
Source: Pitchbook
Figure 4. Average Deal and Loan Size
Dollars (Millions)
| Year | Average Loan Size | Average Deal Size |
|---|---|---|
| 2013 | 43 | 200 |
| 2014 | 45 | 247 |
| 2015 | 57 | 280 |
| 2016 | 76 | 436 |
| 2017 | 78 | 320 |
| 2018 | 66 | 260 |
| 2019 | 50 | 199 |
| 2020 | 60 | 301 |
| 2021 | 76 | 330 |
| 2022 | 66 | 327 |
| 2023 | 79 | 395 |
Note: This chart reports the mean deal and loan size across the loan-year distribution.
Source: Pitchbook and authors' calculations
Figure 5. Loan Type
| Loan Type | Percentage (%) |
|---|---|
| Term Loan Amortizing Delayed | 4.0% |
| Term Loan | 68.0% |
| Revolving Credit | 9.0% |
| Hybrid Loan Second Lien | 0.0% |
| Hybrid Loan Pari Passu | 15.0% |
| Term Loan Institutional | 3.0% |
| Others | 1.0% |
Note: Hybrid Loans refer to loan facilities where senior and subordinated debt is combined into one single loan facility, with a blended interest rate that falls between the two debt types.
Source: Pitchbook
Figure 6. Credit Spreads
Basis Points
| Year | Private Credit | Leveraged Loan (Institutional Term Loan B) |
|---|---|---|
| 2013 | 750.80 | 400.44 |
| 2014 | 710.95 | 423.30 |
| 2015 | 699.17 | 432.38 |
| 2016 | 696.74 | 423.23 |
| 2017 | 638.57 | 362.71 |
| 2018 | 573.39 | 357.91 |
| 2019 | 577.92 | 403.68 |
| 2020 | 595.77 | 411.88 |
| 2021 | 566.75 | 384.29 |
| 2022 | 655.11 | 444.29 |
| 2023 | 651.10 | 405.45 |
Note: This chart plots average spreads above a benchmark interest rate (LIBOR or SOFR, mostly SOFR from 2022 onwards) in a given year for private credit and leveraged loans.
Source: Pitchbook and authors' calculations
Figure 7. Maturity Wall in Private Credit
| Year | Percentage (%) |
|---|---|
| 2024 | 15.8 |
| 2025 | 16.1 |
| 2026 | 18.4 |
| 2027 | 16.9 |
| 2028 | 21.4 |
| 2029 | 8.5 |
| 2030 | 2.2 |
| 2031 | 0.6 |
| 2032 | 0.1 |
Note: This chart reports the share of loans (in dollar value) that will mature, based on maturity date provided for a single loan facility in Pitchbook.
Source: Pitchbook and authors' calculations
Figure 8. Average Maturity in Private Credit
Years
| Year | Maturity Date |
|---|---|
| 2013 | 5.29 |
| 2014 | 5.44 |
| 2015 | 5.38 |
| 2016 | 5.31 |
| 2017 | 5.45 |
| 2018 | 5.36 |
| 2019 | 5.32 |
| 2020 | 5.38 |
| 2021 | 5.59 |
| 2022 | 5.32 |
| 2023 | 4.40 |
Source: Pitchbook and authors' calculations
Figure 9. Deal Types
Percent
| Loan Amount by Deal Type | |
|---|---|
| PE Growth/Expansion | 5.44% |
| PE Buyout/LBO | 25.80% |
| Debt - General | 47.24% |
| Merger/Acquisition | 0.25% |
| Debt Refinancing | 21.27% |
Source: Pitchbook and authors' calculations
Figure 10. Average Loan Spread By Deal Type
Basis Points
| Year | PE Growth/Expansion | PE Buyout/LBO | Debt - General | Debt Refinancing |
|---|---|---|---|---|
| 2013 | 767.64 | 765.73 | 761.82 | 613.62 |
| 2014 | 730.15 | 733.04 | 706.63 | 600.66 |
| 2015 | 692.80 | 732.14 | 687.46 | 634.31 |
| 2016 | 679.90 | 716.87 | 709.89 | 571.93 |
| 2017 | 676.15 | 663.58 | 641.54 | 538.79 |
| 2018 | 662.92 | 580.39 | 582.62 | 451.99 |
| 2019 | 602.23 | 568.51 | 586.86 | 500.42 |
| 2020 | 625.00 | 628.85 | 593.34 | 506.20 |
| 2021 | 602.38 | 580.30 | 567.63 | 509.39 |
| 2022 | 775.98 | 700.70 | 642.23 | 559.99 |
| 2023 | 814.05 | 708.57 | 641.68 | 521.72 |
Note: This chart plots average loan spreads on private credit loans split by deal type.
Source: Pitchbook and authors' calculations
Figure 11. Average Number of Lenders in a single loan facility
| Year | Lenders Per Facility |
|---|---|
| 2013 | 1.21 |
| 2014 | 1.27 |
| 2015 | 1.49 |
| 2016 | 1.71 |
| 2017 | 1.77 |
| 2018 | 2.01 |
| 2019 | 1.91 |
| 2020 | 2.15 |
| 2021 | 2.33 |
| 2022 | 2.39 |
| 2023 | 2.53 |
Note: This chart reports the number of lenders in a given loan facility, which are identified directly by looking at the identity of each lender.
Source: Pitchbook and authors' calculations
Figure 12. Interest Coverage Ratio has declined
| Date | Interest Coverage Ratio |
|---|---|
| 2021-06-30 | 3.1 |
| 2021-09-30 | 2.65 |
| 2021-12-31 | 3 |
| 2022-03-31 | 3.06 |
| 2022-06-30 | 3.1 |
| 2022-09-30 | 2.2 |
| 2022-12-31 | 1.9 |
| 2023-03-31 | 2 |
| 2023-06-30 | 2.1 |
| 2023-09-30 | 2 |
Note: This chart plots average interest coverage ratio across the distribution of borrowers covered by KBRA in a given quarter.
Source: KBRA DLD
Figure 13. Year-to-Date Default Rate (As of Oct, 2023)
| Asset Class | Default Rate (%) |
|---|---|
| Direct Lending | 1.6 |
| HY Bonds | 3.3 |
| Syndicated Loans | 5 |
Note: This chart plots year-to-date default rates across various asset classes in 2023 as reported by KBRA DLD.
Source: KBRA DLD
Figure 14. Share of Loans with 1st Liens
Percentage (%)
| Year | 1st Lien | Unsecured or 2nd Lien |
|---|---|---|
| 2013 | 26.7% | 29.0% |
| 2014 | 34.7% | 25.7% |
| 2015 | 51.7% | 21.2% |
| 2016 | 59.5% | 19.0% |
| 2017 | 61.3% | 22.8% |
| 2018 | 69.3% | 16.5% |
| 2019 | 78.1% | 8.8% |
| 2020 | 80.6% | 7.5% |
| 2021 | 78.8% | 8.9% |
| 2022 | 84.7% | 4.7% |
| 2023 | 85.7% | 2.5% |
Note: This chart reports the share of loans with a 1st lien for a given private credit loan facility as reported in Pitchbook in the navy blue line. The orange line reports the share of unsecured or 2nd lien loans. For a small share of loans, Pitchbook only reports if the loan is secured or not, thus the total of the two line will not necessarily add to 100 percent.
Source: Pitchbook and authors' calculations
Figure 15. Recovery Rate
Percentage (%)
| Category | Direct Lending | Syndicated Loans | High Yield Bonds |
|---|---|---|---|
| 1 Year Pre-Default | 76 | 80 | 71.2 |
| 6 Months Pre-Default | 70.5 | 66.1 | 54 |
| 3 Months Pre-Default | 63.5 | 60.9 | 48.7 |
| Default Date | 33.7 | 54.4 | 40 |
| 30-Day Post Default | 33.7 | 51.9 | 38.7 |
Source: KBRA DLD
Figure 16. Share of Lower Collateral Sectors
| Sector | Percentage (%) |
|---|---|
| Media | 0.7% |
| Other | 1.1% |
| Energy Services | 1.5% |
| Non-Financial Services | 2.7% |
| Financial Services | 3.3% |
| IT Services | 3.3% |
| Healthcare Services | 8.0% |
| Software | 15.2% |
| Commercial Services | 16.7% |
| Industries with High Collateral | 47.6% |
Note: Pitchbook reports one primary sector for a given borrower. Staff made conservative assumption when identifying sectors that likely have relatively lower tangible assets, and grouped all others into a category called 'Industry with High Collateral'. Thus, for sectors where asset tangibility is not fully clear, staff categorized it as a 'high collateral sector'.
Source: Pitchbook and authors' calculations