“I know nothing!” pleaded Manuel, the crazed waiter in Fawlty Towers. It is becoming clear that this may be the only reasonable response to valuing the detritus created by the structured credit bubble. It is worth pausing for a moment and dwelling on Merrill Lynch’s warning on Wednesday. The $6.9bn write-off of AAA rated collateralised debt obligations represents a 31 per cent cut in their face value. Within that, so called “CDO-squared” instruments were written down by 57 per cent. These are value changes that one might expect from the very riskiest forms of equity – penny stocks or biotech – not “super-senior” debt.

Valuation problems reflect the lack of reliable market prices, but also inherent subjectivity. A recent Bank of England model posits that, with a roughly 10 percentage point change in expected default and recovery rates, the value of an AA rated tranche of residential mortgage-backed securities (RMBS) could range between 68 and 100 cents on the dollar. Factor in other variables like early repayments and the repackaging to create CDOs, and a taxi driver’s intuition may well be as good as a bulge bracket bank’s model.