text_combined: default rates mark good point moody june 1999 study debt recoveries corporate bankruptcies graph firm level recovery rates year bankruptcy resolution opposed default year reading graph finds data based resolution year study finds average length time spent bankruptcy 1 30 years median 1 15 years standard deviation 1 20 years interesting point slide recovery value 1996 1998 one would wonder mix high yield issuance slanted towards tech companies would yield lower recoveries quick technological obsolescence little tangible recovery value interesting note december 1999 december 2000 change spreads table divides december 2000 spreads december 1999 spreads one would expected pronounced flight safety time frame figures mixed michael tribolet corp enron enron william bradford hou ect ect david gorte hou ect ect vince j kaminski hou ect ect cc subject default rates per discussion see attached impact assumed recovery rates michael tribolet enron 12 11 2000 08 09 william bradford hou ect ect david gorte hou ect ect vince j kaminski hou ect ect mark ruane hou ect ect cc subject default rates please see note jeremy bottom reponse placed mark ruane yields mid november default frequency table note may slight shearing dates concept important market implied cumulative default rates 1 year 5 year 10 year aaa 0 51 5 74 14 54 aa 0 67 6 39 16 61 0 98 8 98 21 03 bbb 1 17 9 88 22 39 bb 3 27 18 62 37 51 b 4 65 24 21 46 27 p historical default rates 1 year 5 year 10 year aaa 0 00 0 13 0 67 aa 0 01 0 33 0 90 0 04 0 47 1 48 bbb 0 21 1 81 3 63 bb 0 91 8 82 14 42 b 5 16 20 95 27 13 looking one year transition rates rough proxy many defaults occur recession 1991 versus average 1981 1999 historical default rates investment grade non investment grade avg 1981 99 0 07 4 21 1991 0 12 10 40 multiple 1 7 x 2 5 x looking market implied default rates divided historicals default rates obtain multiple much severe historical 1 year 5 year 10 year aaa infinite 44 2 x 21 7 x aa 67 0 x 19 4 x 18 5 x 24 5 x 19 1 x 14 2 x bbb 5 6 x 5 5 x 6 2 x bb 3 6 x 2 1 x 2 6 x b 1 1 x 1 2 x 1 7 x 10 year historical figures need careful p static pool figures show definite seasoning lower defaults late years probably due prepayment versus contracts secondly p figures withdrawn ratings usually mean stale loosing information content ask emy set meeting discuss forwarded michael tribolet corp enron 12 11 2000 07 06 jeremy blachman ees 12 10 2000 07 21 michael tribolet corp enron enron cc subject default rates thanks would strongly suggest offsite sooner later handful right people step back design right architecture looking credit deals broken clear killing velocity true capabilities also need look staffing skills sets credit reserve model etc perhaps take crack agenda forwarded jeremy blachman hou ees 12 10 2000 07 08 michael tribolet enron 12 09 2000 03 51 pm jeremy blachman hou ees ees cc subject default rates visited vince kaminski 20 minutes today regarding market implied defaults rates disconnect investment grade land seeing anomaly agreed company need revisit methodology employed calculating implied figures follow report back