CLO editor for @lcdnews of S&P Global Market Intelligence @spmarketintel. Accidental art investor.
Japan Post Bank updated its latest CLO holdings this AM ~$14 billion but also shows a -$313 million mark-to-market loss on them (~-2.2%) But the Japanese banks have said in the past they intend to hold these to maturity
Have to reiterate here, the bar for a AAA CLO investor to take a principal loss is still very, very high. We're talking defaults having to spike over 3x what the highest rate had been going back to 1999
Japan's Norinchukin Bank holdings of CLOs stay flat (as they wanted to pre-empt) ~$73 billion but still holding nearly 10% of the entire market. The bank cited the Fed's interest rate cuts (CLOs are floating rate) as one of the reasons it has slowed its buying.