15% defaults would be brutal but honestly not that surprising.

AQR's 2026 capital market assumptions (1) had U.S. buyout returns at 4.2% vs 3.9% for public equities. A 30bp premium for years of lockup.

Way too much capital chased the same trades and now the risk is showing up. Did some research recently (2) about how the illiquidity premium got arbitraged away.

(1) https://www.aqr.com/Insights/Research/Alternative-Thinking/2...

(2) https://philippdubach.com/posts/is-private-equity-just-beta-...