CLOs

The anticipated losses follow a hit to investors in a U.S. CMBS last month. Buyers of the AAA portion of a note backed by the mortgage on a building in midtown Manhattan got less than three-quarters of their original investment back after the loan was sold at a steep discount.

KKR is buying CCC loans as they are "purged" from fund managers with less risk appetite. Since so much demand has been sucked out of the market, Sheldon and Reback said they believe some parts of the CCC markets are "oversold."

Much of that growth appears to have happened since the beginning of the year. JAAA's AUM was $5.3 billion at the end of 2023, suggesting a 94% increase.

The Japanese banking giant's sub foresees vibrant 2024 and expanding CLO interest from Asian investors.

Macro, credit and securitized products and equities will each contribute 25% to 30% of the growth, with the remaining 15% coming from wealth management.

The top five issuers in the pool represent 4.73% of the pool, which is noticeably more diversified compared with the 12.50% concentration, according to Fitch's stressed portfolio at initial expected matrix point.

The venture, dubbed Sculptor Loan Financing Partners, will manage investments in the equity tranches of Sculptor's own CLOs in the U.S. and Europe.

Griffin was a managing director at J.P.Morgan Securities, where he ran the global primary collateralized loan obligation (CLO) business.

The group works on complex deal structures including rated funds and CLO equity funds and is on an expansion bid.

As life insurers increase their investment in CLOs, regulators are asking questions about how the firms manage risk-based capital.