Beyond just a price: deep-dive, independent and transparent valuations analysis for hard-to-price, illiquid and unrated structured credit positions.
SCI Valuations’ approach is to adopt a synthesis of market pricing and mark-to-model. Marks are based on recent trading observations if available with appropriate adjustments eg traded prices of comparable securities, market spread movements and any new investor reporting. Where no recent trade exists we adopt a mark to model approach by running multiple default and prepayment scenarios on each position and perform a dynamic cashflow analysis on the bond. Inputs to the model are benchmarked either from the historic performance of the bond e.g. cdrs, cprs etc.; or inputs are calibrated to the market e.g. spreads or yields, to arrive at a risk adjusted price. If key inputs are missing from the investor reports we are able to use our experience and market knowledge to supply our own informed estimates.
Investment Funds and Banks use our service to add much needed credibility to valuations throughout the capital structure with particular emphasis on illiquid/distressed/pre-crisis and mezz/equity positions where there are issues getting transparent and reliable prices and where another opinion on a bond is required.
Staffed by ex-traders, our analysts know your structures intimately because they traded these bonds. This gives you full confidence when defending your prices.
Providing you with a full analysis of each valuation, we run multiple default and prepayment scenarios on each position and use dynamic cashflow modelling to arrive at a risk adjusted price.
Valuations are calibrated to BWIC trade prices and primary spreads, and informed by market commentary from the SCI News & Data service
Why SCI Valuations?
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SCI Valuations offers true independence: we're not part of a broker-dealer, and are not axed in any positions. Regulators, naturally, value such independence.
Which problems does SCI Valuations address?
A recent SCI poll of over 100 fixed income pricing executives showed that structured credit remains one of the most difficult asset classes for which to get reliable, transparent and timely valuations.
35% of those polled cited problems associated with pricing structured credit assets in general including ABS, RMBS, CMBS, CLO, CDOs and CDS
17% of respondents alluded to specific challenges associated with accessing reliable and/or timely structured credit valuations
20% of respondents specified that illiquid structured credit assets, equity tranches or Level 3 assets were particularly problematic to value
17% noted dissatisfaction with transparency into pricing vendor assumptions for structured credit, particularly equity tranches of CLOs
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Accurately pricing junior tranches and other hard-to-price bonds using a generic, spread driven approach is not always appropriate. SCI’s team of seasoned ex-traders delivers valuations bond-by-bond: bespoke, hands-on, credible, transparent and informed valuation advice across CLO Mezz/Equity, NC RMBS, CDO of ABS and Pre-Crisis positions