Introduction

The train of events that began with the subprime crisis last August has touched almost all asset classes. In credit, most banks have experienced writedowns to some degree over the past few months. The collateralised debt obligation market has all but ground to a halt, while structured investment vehicles are expected to become extinct. Exotic equity derivatives desks have also been hit by rising correlations and a spike in volatility. Even the staple rates market has suffered in recent weeks, as