Calculated Risk has this classic post by the late Doris Dungey better known as Tanta on what was sub-prime loans.
It is a classic.
In 2007 when I was at a very large Funds Manager the man involved with credit research was most impressed with my knowledge of the US housing market.
I soon put him onto this blog and it became a must read. Consequently they never had any dud CDOs on their books.