Key Takeaways
- • MSCI's new Private Credit Holdings Indexes and Direct Lending Loan Indexes provide asset-level transparency into an asset class MSCI estimates at roughly USD 3 trillion in AUM, complementing fund-level benchmarks.
- • In full-year 2025, direct-lending loans returned 14.0% and holdings returned 12.3%, both ahead of the net-of-fees fund-level benchmark; over five years annualized, the holdings index led as non-debt positions contributed.
- • Roughly a quarter of fair value across funds in the MSCI Private Capital Universe sits in equity, warrants, convertibles and other non-debt securities.
- • Health care (16.9%) and information technology (15.6%) were the strongest sectors in 2025 on a holdings basis, though IT marks do not yet reflect early-2026 software repricing due to reporting lags.
- • Large-cap borrowers returned 10.8% annualized over five years, outperforming smaller borrowers by 2 to 3 percentage points, with yields broadly flat across borrower sizes.
Summary
MSCI has published a blog post introducing asset-level indexes for private credit, arguing that fund-level benchmarks, while still the appropriate yardstick for net-of-fees manager evaluation, cannot reveal the drivers of risk and return inside private-credit portfolios. The analysis comes amid heightened scrutiny in early 2026, including redemption requests exceeding stated limits at some evergreen funds and concerns about AI-driven disruption of software business models and sector concentration in private-credit lending.
MSCI's framework includes two sets of gross-of-fees, gross-of-fund-leverage indexes built from manager-reported valuations and cash flows: the MSCI Private Credit Holdings Indexes, which track all assets held by private-credit funds, and the narrower MSCI Direct Lending Loan Indexes, which isolate lending facilities. According to the analysis, roughly a quarter of fair value across funds in the MSCI Private Capital Universe is held in equity, warrants, convertible bonds and other non-debt securities. In 2025, direct-lending loans returned 14.0% and holdings returned 12.3%, both outperforming the net-of-fees fund-level benchmark. Over five years annualized, the relationship inverted, with the holdings index pulling ahead as non-debt positions contributed meaningfully.
By sector, holdings are concentrated in industrials, financials, health care, information technology and consumer discretionary, which together account for 76% of asset fair value, a profile MSCI notes mirrors private-equity buyout funds. Health care returned 16.9% and information technology 15.6% in 2025. MSCI cautions that IT marks do not yet reflect the repricing of listed private-credit vehicles with software exposure in early 2026, given the reporting lag in drawdown funds.
On borrower size, about 57% of lending facilities go to upper-middle-market (EBITDA USD 50 million to 150 million) and large-cap (EBITDA above USD 150 million) borrowers. Large-cap direct loans returned 10.8% annualized over five years, outperforming smaller borrowers by 2 to 3 percentage points. Median net leverage rises from 4.5x in the lower middle market to 5.8x for large caps, yet current yields range only from 9.9% to 10.8% across sizes. MSCI concludes that outperformance likely reflects lower realized losses and fewer write-downs rather than higher income.
MSCI's own note on valuations adds that its MSCI All Country Private Credit Index provides a daily nowcast for investors seeking a more timely read on private-credit marks. The firm estimates the market at USD 3 trillion, while noting that other industry sources, such as the Alternative Credit Council, produce different estimates.
MSCI's framework includes two sets of gross-of-fees, gross-of-fund-leverage indexes built from manager-reported valuations and cash flows: the MSCI Private Credit Holdings Indexes, which track all assets held by private-credit funds, and the narrower MSCI Direct Lending Loan Indexes, which isolate lending facilities. According to the analysis, roughly a quarter of fair value across funds in the MSCI Private Capital Universe is held in equity, warrants, convertible bonds and other non-debt securities. In 2025, direct-lending loans returned 14.0% and holdings returned 12.3%, both outperforming the net-of-fees fund-level benchmark. Over five years annualized, the relationship inverted, with the holdings index pulling ahead as non-debt positions contributed meaningfully.
By sector, holdings are concentrated in industrials, financials, health care, information technology and consumer discretionary, which together account for 76% of asset fair value, a profile MSCI notes mirrors private-equity buyout funds. Health care returned 16.9% and information technology 15.6% in 2025. MSCI cautions that IT marks do not yet reflect the repricing of listed private-credit vehicles with software exposure in early 2026, given the reporting lag in drawdown funds.
On borrower size, about 57% of lending facilities go to upper-middle-market (EBITDA USD 50 million to 150 million) and large-cap (EBITDA above USD 150 million) borrowers. Large-cap direct loans returned 10.8% annualized over five years, outperforming smaller borrowers by 2 to 3 percentage points. Median net leverage rises from 4.5x in the lower middle market to 5.8x for large caps, yet current yields range only from 9.9% to 10.8% across sizes. MSCI concludes that outperformance likely reflects lower realized losses and fewer write-downs rather than higher income.
MSCI's own note on valuations adds that its MSCI All Country Private Credit Index provides a daily nowcast for investors seeking a more timely read on private-credit marks. The firm estimates the market at USD 3 trillion, while noting that other industry sources, such as the Alternative Credit Council, produce different estimates.
Go deeper than the headline
Research every firm in this story, track the ones that matter and get the daily briefing — free for 7 days.