Japan Post marks down CLOs by ¥122bn

Japan Post Bank disclosed a ¥121.9 billion ($1.2 billion) paper loss on a ¥1.77 trillion ($16.3 billion) portfolio of US collateralised loan obligations (CLO) as of end-March, more than 14 times the loss it reported at end-2019.

The bank, along with Japanese peers Norinchukin, MUFG and Mizuho, is a major buyer of the securities, and has increased its holdings 76% by book value since Q4 2018.

The CLOs all have AAA credit ratings. But the US leveraged loan market, which provides the raw material

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