So-called level-three assets, which are classified as hard to value and hard to sell, rose 15.5 per cent from the second quarter, according to analysis by the Market, Credit and Risk Strategies group of Standard & Poor's.
Level-three assets have risen all year for most banks as they have found it virtually impossible to sell mortgage-backed securities and collateralised debt obligations, pools of assets sold in tranches to investors and which often contain mortgages.
“A lot of banks are saying: ‘I am going to move securities to level-three assets because I have more control over, and confidence in, the model used for their valuations',” said Gregg Berman, head of the risk management unit at Risk Metrics.
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