http://www.moodys.com/cust/content/...search/documents/current/2007000000474979.pdf Take a look at these default rates going back... Superimpose the numbers on page 16 and 18 and imagine those liabilities between counterparties multiplied times 10, or even 50+ ... We are SOOOO early in this cycle. One big investment grade default, which I imagine every fixed income quant has rated as 'riskless' ... is all it will take.