An Investor's Guide to Collateralized Loan Obligations (CLOs)
by Western Asset Management
An asset manager's primer on how CLOs are assembled and managed: the loan collateral pool, the rated debt tranches from AAA down to BB, the first-loss equity position, and why the structure carries little interest-rate risk.
More resources on Structured Finance & Securitization
World Bank PPP Knowledge Lab
A World Bank reference site for public-private partnerships, holding sample concession agreements and contract clauses, risk allocation matrices, standard bidding documents and country-level PPP frameworks — useful for seeing how infrastructure deals allocate risk in practice.
Creditflux – CLO and Structured Credit Publication
Trade publication tracking the CLO and structured credit markets: new issue and refinancing activity, manager performance league tables, loan defaults, and European versus US market divergence. Reading it regularly builds familiarity with how practitioners actually discuss deals.
AbsBox – Open-Source ABS/MBS Cashflow Modeling Library
Open-source Python library, released under Apache 2.0, that wraps the Hastructure cashflow engine for structured finance. It models pools of mortgages, auto loans, leases and corporate loans, defines deal waterfalls in readable code, and runs pool-performance sensitivities to forecast and price ABS and MBS tranches.
FINRA TRACE (Trade Reporting and Compliance Engine)
FINRA's mandatory reporting system for over-the-counter fixed income trades, covering corporate and agency bonds, Treasuries, and mortgage- and asset-backed securities. Its public data shows execution prices, yields and volumes, letting learners see how actively individual bonds and securitized deals trade.
NY Fed Staff Report – Understanding the Securitization of Subprime Mortgage Credit (Ashcraft & Schuermann)
A staff report tracing the subprime mortgage securitization chain participant by participant — borrower, originator, arranger, servicer, rating agency, investor — and identifying the frictions and misaligned incentives at each handoff that fed the 2007 collapse.
BIS Joint Forum Report on Asset Securitization
The Joint Forum's 2009 study of special purpose entities across banking, securities and insurance, describing the structures used, why firms set them up, and the credit, liquidity and event risks the 2007 crisis exposed.