Warm coat at last to save whale (5)
I believe the answer is:
minke
'whale' is the definition.
(minke whale is a kind of whale)
'warm coat at last to save' is the wordplay.
I cannot quite understand how this works, but
'coat' could be 'mink' (mink coat is a kind of coat) and 'mink' is found within the answer.
A single letter 'e' remains which might be clued in a way I don't see.
This may be the basis of the clue (or it may be nonsense).
Can you help me to learn more?
(Other definitions for minke that I've seen before include "Aquatic creature" , "mammal" , "Small baleen whale" .)