Last summer a team of financial whizzkids at ABN Amro, the investment bank, developed a new debt product that has since taken the markets by storm. Using complex mathematics, the designers had wanted to create an instrument that would pay the same high interest rate as a "junk" bond but be as free from risk as a bank deposit.

The new credit product was not a bond, nor a stock, nor anything anyone had seen before. A fantastically complex instrument that used a mathematical strategy to make a highly leveraged bet on a pool of credit derivatives, it was given the ungainly title of a constant proportion debt obligation, or CPDO.