Bloomberg Selects SCI Valuations’ daily CLO pricing data for Liquidity Assessment Tool
25 March 2021
SCI Valuations announced today that it has been selected by Bloomberg’s Enterprise Data business to provide daily pricing of CLO debt securities to integrate with Bloomberg’s award-winning Liquidity Assessment (LQA) tool.
In an exceptionally complex sector, transparency and access to data is crucial for investors. Unlike other asset classes, CLOs require a tiered approach to determine their fair value that includes assessing the credit quality of the underlying loans, the CLO’s structural features and the manager’s performance. SCI Valuations’ CLO pricing service aggregates and organizes these levels of data as well as uses a multi-factor deep dive algorithm to analyse it, taking into account all of these different factors. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios.
John Owen Waller, Managing Director of SCI Valuations, comments: “SCI Valuations’ has come a long way in a short span of time and we were thrilled to be working with Bloomberg’s sophisticated Enterprise Data business to provide daily CLO Valuations for LQA. Our team of experienced former traders and our financial engineers have put all their experience to play in developing a robust, complex and market-tested algorithm to satisfy the valuations requirements of market participants across the CLO sector.”
Highlights of SCI Valuations’ service include:
- SCI Valuations employs sophisticated proprietary algorithms leveraging the many years of primary and secondary markets experience of its analysts
- These algorithms take into account refi/reset effects, manager performance, bond margin and many other relevant performance metrics to generate Price, DMs and WALs
- Market data is an especially important required input; SCI Valuations monitors the BWIC and new issue market daily and calibrates inputs accordingly
- The product also deploys a multi-factor deep dive algorithm that takes into context credit and liquidity/MV factors along with the idiosyncratic nature of CLO debt securities.
Brad Foster, Global Head of Enterprise Content at Bloomberg, said: “Our award winning LQA tool is key to providing our clients with the accurate, timely liquidity and risk data they need for investment decision-making, even more so in this rapidly-changing market environment. SCI Valuations’ CLO data service is very good in terms of its depth, breadth and speed of delivery and integrating it across our offering will enable us to better serve our clients.”
Bloomberg’s leading solution for Liquidity Assessment (LQA) provides the ability to quantitatively evaluate market liquidity across multiple asset classes using a data driven approach. LQA assists firms with both enhanced fund reporting compliance and in building a comprehensive Liquidity Risk Management (LRM) framework. Bloomberg LQA leverages a robust financial dataset coupled with a big-data framework to ensure the relevant factors influencing liquidity are considered. This unique approach allows for liquidity estimation even for instruments with limited trading activity.
About SCI Valuations
SCI Valuations is an offering of Structured Credit Investor (SCI) that provides automated valuations for USD & EUR CLO debt, as well as bespoke pricing for CLO equity and European ABS/MBS. SCI, founded in 2006, is the leading resource for news, research and data on the global securitisation markets.