In this paper, we develop a framework to measure the credit risk of unlisted infrastructure debt, including the first formulation of “distance to default” in infrastructure project finance. We propose to use the debt service cover ratio, which is routinely collected by project finance lenders, to measure and benchmark credit risk in infrastructure project finance. We have shown that full knowledge of the distribution of the DSCR in infrastructure project finance is sufficient to characterise the credit risk of infrastructure project debt. In this paper we also propose a template to support data collection initiatives and improve the future benchmarking and transparency of infrastructure investments.