Podcast: Behind the headlines: Private credit defaults, recoveries and AI risk

The Private Capital Call podcast series hosted by Randy Schwimmer, Vice Chairman and Chief Investment Strategist at Churchill, features conversations with top decision-makers in asset management, institutional and private wealth investing.

This week, we're joined by William (Bill) Cox and Eric Rosenthal from KBRA. Bill serves as Chief Rating Officer, leading KBRA's global ratings platform and is widely recognized as the driving force behind the firm's private credit and private markets initiatives. Eric is Head of Default Research at KBRA DLD, where he focuses on default analysis across private credit, leveraged loan, and high yield markets, and publishes the monthly Direct Lending Default Report, the most comprehensive default publication in the private credit space.

In this episode, Bill and Eric cut through the noise surrounding private credit to share what the data is actually telling us. They break down KBRA's 2026 default rate forecast and explain why it stands in sharp contrast to the double-digit predictions making headlines. They also discuss how methodology differences are driving wildly different default numbers across the market, which sectors deserve the closest attention right now — including a deep dive into AI risk within the software space — and why declining recovery rates may be a bigger concern for investors than the default rate itself. They close with guidance for both institutional and retail investors on how to evaluate private credit managers and cut through misleading market commentary.