CLO Learning Hub
Structured Credit · Fixed Income
Learning Series

Collateralised Loan
Obligations

A self-contained set of guides covering CLO structure, mechanics, and valuation — from first principles through to cashflow modelling.

Guide · 10 sections
CLO 101

A first-principles introduction to Collateralised Loan Obligations. Covers what CLOs are, how they are structured, how cash flows move through the capital stack, and how each tranche is rated and valued.

  • What is a CLO and who are the key participants
  • Leveraged loans and the SPV structure
  • Tranches, ratings, and credit enhancement
  • The cash flow waterfall and OC / IC tests
  • Valuation — discount margin and equity IRR
  • Key metrics from the trustee report
  • Risk factors by tranche
Worked example · 10 sections
CLO Valuation

A detailed numerical walkthrough of how a £500m CLO is valued using the waterfall cashflow method. Each tranche — senior, mezzanine, junior, and equity — is priced separately under realistic market assumptions.

  • Full capital structure with all-in rates
  • Step-by-step quarterly interest waterfall (Q1)
  • OC and IC test calculations for all six classes
  • Discount margin pricing for senior and mezzanine
  • Junior tranche stressed DM scenarios
  • Equity IRR across CDR × recovery scenario matrix
  • Consolidated mark-to-market summary
Python · Quarto · 8 steps
CLO Waterfall Model

Executable Python implementation of a full $600m US BSL CLO waterfall. absbox + Hastructure engine, synthetic 250-loan tape, Polars DataFrames, and great_tables output — rendered as a Quarto HTML document.

  • 250-loan synthetic US BSL tape (SOFR3M floaters)
  • 7 tranches — Class A–F + equity residual
  • Sequential waterfall with fees (senior + sub mgmt)
  • Base case: CDR 2%, CPR 15%, Recovery 65%
  • Per-tranche WAL, IRR, and OC ratio timeline
  • All outputs as Polars DataFrames + great_tables
Implementation Plan · 8 sections
CLO Model — absbox

A step-by-step implementation plan for building a full $600m US CLO cashflow waterfall model using the absbox Python library, the Hastructure Haskell engine via Docker, and Polars DataFrames.

  • Deal architecture — Blackstone BSL CLO 2024-1 ($600m, 7 tranches)
  • Synthetic US loan tape construction (LSTA/LCD conventions)
  • absbox API primer — Pool, Bond, Deal, runDeal()
  • Waterfall logic — 8-step priority of payments with OC/IC tests
  • Three stress scenarios — Base, Mild, Severe
  • Outputs as Polars DataFrames — WAL, IRR, OC timeline