It's unusual that I see anything from Harvard in my space, if its from Harvard it usually is of interest to my wife! (of which a little more later). But this is interesting allright, more than that its really good;-

The Alchemy of CDO Credit Ratings by Efraim Benmelech (Harvard University and NBER)
Jennifer Dlugosz (Harvard University and Harvard Business School)

ABSTRACT

Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried up. Similar to other structured finance products, investors in CLOs rely heavily on credit rating provided by the rating agencies, yet little is known about CLO rating practices. This paper attempts to fill that gap. Using novel hand-collected data on 3,912 tranches of Collateralized Loan Obligations (CLO) we document the rating practices of CLOs and analyze their existing structures.

http://www.economics.harvard.edu/faculty/benmelech/files/Benmelech_...