  We propose a top-down model for cash CLO. This model can consistently price
cash CLO tranches both within the same deal and across different deals.
Meaningful risk measures for cash CLO tranches can also be defined and
computed. This method is self-consistent, easy to implement and computationally
efficient. It has the potential to bring the much needed pricing transparency
to the cash CLO markets; and it could also greatly improve the risk management
of cash instruments.
