Column: Nigel Sillis
An anomaly in S&P's CDO Evaluator would have us believe that a AAA rated CDO is more likely to default than a AA+ corporate - fine in today's market, not so good in theory
Here's an experiment that we can all do at our desks. Open up your copy of Standard & Poor's CDO Evaluator v3.2 (it's free to download from the S&P website) and, in the Assets worksheet, type in the collateral pool for a five-year maturity synthetic CDO. It won't take long to do this; I'm only asking you to type in one line of collateral to make up the entire asset side of this hypothetical structure.
That one line of collateral is going to be a AA+ rated obligor from a AAA rated country - BP Plc
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