SCIx to provide sector and ratings reference points

SCI has launched a family of indices covering the European ABS, CLO and RMBS markets – the SCI Composites Index (SCIx). Utilising SCI’s primary market database and the services of calculation agent MYcx, SCIx provides SCI subscribers with reference points across sectors and rating bands.

The latest Index release – as at end-May 2026 – shows disparate levels of movement over the past year at either end of the capital stack. For example, SCIx AUTO EU AAA remained flat with an identical index level of 69bp in May 2025 and last month, but exhibited a notable amount of volatility in between. Similarly, SCIx AUTO EU BB saw the same fairly volatile pattern over the past 12 months, but edged out from 261bp last May to 267bp now.

Credit card and consumer ABS were subject to greater relative top-end tightening, with the SCIx CC EU AAA narrowing 23bp to 65bp and the SCIx CC EU BB moving in by only 10bp to 285bp. RMBS saw more typical movement, with the bottom of the stack outstripping the top: SCIx RMBS EU AAA tightened by 11bp to 78bp, while SCIx RMBS EU BB narrowed 113bp to 271bp.

Meanwhile, CLOs saw smaller movements in both parts of the capital structure, with seniors remaining fairly steady since May last year. SCIx CLO EU AAA moved in by only 4bp to 128bp, while maintaining a narrow range throughout the period. However, SCIx CLO EU BB moved from 585bp to 556bp May to May, but in between saw a wide of 618bp and a tight of 484bp.

The SCIx is a fixed income index suite that tracks average monthly new-issue pricing spreads for the European structured finance markets. The Index is intended to provide market participants with enhanced sector insights by blending actual new-issue pricing levels into converged, objective, broad-sector reference points to trace primary market trends and variations over time.

The SCIx is divided across major regional securitisation collateral type ‘composites’, including auto asset-backed securities (Auto), credit card/consumer loan ABS (CC), residential mortgage-backed securities (RMBS) and collateralised loan obligations (CLO). The index is further segmented by rating bands using SCI’s proprietary datasets.

To view the Index or for further information, click here. For a demo of the SCI platform at Global ABS next week, e-mail Anna Lepore.