What PD Actually Measures

March 2024. A lender walked me through their pricing model for a fintech partnership. Clean deck, confident team, tier structure that looked defensible at first glance. Then they showed me the input that drove the whole thing: a credit score from a major bureau, mapped directly to loan rates. 680 gets 12%, 720 gets 9%, no other adjustment. "This is our PD input," the credit lead said. It wasn't. A credit score is a rank-ordering tool. It tells you who is riskier relative to other borrowers in the same pool at the same moment. It does not tell you the probability that a specific borrower will default over a defined horizon. Those are different questions, and treating them as interchangeable breaks pricing from the ground up.