Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London

"What is the point of SCI PriceABS?"

SCI's proprietary pricing methodology offers calculations for DM/Yield and WAL against BWIC Covers, which, when combined with an insightful daily market commentary from SCI's analysts, offers you a unique combination of market colour:

  • Independent daily DMs on Debt, and Yields on Equity
  • Proprietary methodologies already deployed on client ABS/CLO valuations
  • Timely daily market commentaries and trends
  • History of DMs and Yields fully exposed
  • Access to analysts for specific trade colour / assumptions
  • Service available as an app via Bloomberg: GO
  • Further functionality and pricing visualisation on the way

 "I often see DMs from broker-dealers, isn’t that enough?"

- A question we are often asked. Our response is an unequivocal 'no':

Relying on dealer DMs is not a thorough pricing solution. You will not have visibility or access to the dealer that sent the DM and therefore you don't know what assumptions the Dealer made. Dealers do not back out DMs for all debt tranches, they only do it when they have time since it is not a core activity, whereas it is a core activity for SCI . Dealers never publish their calculated yields on CLO equity; SCI calculates those for its customers and stores all such proprietary data points in an organised relational database that can be queried if you want evidence to back up your period-end valuations or if you want to see trends or do further analyses. Finally, since these DMs/Yields are the fundamental basis on which all trading and valuation takes place it would be a more thorough workflow process involving less risk to see more than one set of numbers. Independent DMs/Yields for pricing processes in this regard are better still, and safer for you.

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