Column: Nigel Sillis

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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