Commerz tags €5bn of CLOs as hard-to-value

Buyers’ strike makes mark-to-market pricing impossible for structured credit

When structured credit markets froze up in March, Commerzbank could not find enough real quotes to accurately price its collateralised loan obligations (CLOs). The dearth forced it to shift €4.8 billion worth ($5.2 billion) into the mark-to-model category – reserved for complex, illiquid assets.

The move increased the German lender’s stock of Level 3 assets by 69% quarter-on-quarter to €9.8 billion. As of end-March, they made up 7.2% of all fair value assets, up from 5% at end-2019.

Level 3 is

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