"Midway upon the journey of our life/I find myself within a forest dark/for the straight path had been lost". The opening lines of Dante’s Inferno, written 700 years ago, may well describe the situation that structured credit participants find themselves in today.

Credit markets lost their way in June 2007, as troubles in the US mortgage markets triggered a worldwide financial crisis. The main drivers behind the crisis were credit derivatives that spread exposure to local markets.