Probability-weighted expected credit loss: EL = PD × LGD × EAD. Realized credit loss is computed as Loss = EAD × (1 - Recovery Rate). For US middle-market direct senior secured loans, long-run averages are PD ≈ 2–3%, recovery ≈ 70%, giving an annualized expected loss of roughly 60–90 bps — comparable to broadly-syndicated leveraged loans despite the smaller borrower base.