The Significant Risk Transfer Index

Introduction

The SRTx™ (the Index) is a fixed income benchmark rate index that measures the estimated prevailing new-issue price spread for generic private market risk transfer transactions. The Index is comprised of two theoretical deal structures with standardised, pre-defined characteristics across the corporate and SME sectors – the two most widely utilised SRT deal types. The principle of the index is to canvas prevailing opinion on the price of such generic deals.

Published by SCI [and independently administered, calculated and re-balanced monthly by MF&Co (Mark Fontanilla & Co)] the SRTx provides market participants with a benchmark reference point for pricing in the private risk transfer market and will act as a useful method of aggregating thoughts among issuers and investors on where deals are pricing in this most opaque of sectors. (NB for contributors: no proprietary information will be revealed as all contributors are pricing identical deal structures to provide a generic benchmark price.)

Below you will find more information about the index, how to participate, and how to subscribe to the underlying index data

Utility

There are several compelling benefits of contributing to the index. The index helps further validate what for ‘outsiders’ is still largely an opaque sector, one that for many institutional investors is hard to judge the performance and success of. The SRTx solves that by providing an instant barometer of monthly performance, one that investors and issuers can compare their deals against. The index also provides a fully independent benchmark price for all the SRT sector’s stakeholders, it provides issuers with a benchmark price to compare their deals against, and will provide a useful historical dataset of index prices. 

Market participants may license the SRTx underlying data and/or brand for pricing/public benchmarking purposes.

Contributing

Contributors are invited to provide end-of-month pricing on theoretical deals covering Corporate and SME deals in Europe and the US. 

As an incentive to contribute, regular contributors are given access to the high-low pricing spread each month to understand how they price relative to the cohort. The survey also asks a further three questions each month covering prevailing attitudes to liquidity, credit appetite and risk (see below). 

The index went live with pricing as of 28 February 2023.

Survey

As well as submitting price thoughts you will be asked to respond to a further three questions:

  • SRT Spread Volatility - Where do you think spread volatility levels are going over the next few months?
  • SRT Liquidity Conditions - How do you think SRT execution conditions look like for successfully completing transactions over the next few months?
  • SRT Credit Risk Outlook - What do you think fundamental SRT reference pool/portfolio credit risk will look like over the next few months?

Registering your interest as a contributor

Visit: SRTx™ Index Survey Submission Form

Once registered we will provide you with details of the generic deal structure, and details of how to become a contributor. 

Accessing the SRTx Index data and/or deal structure

For all inquiries about the SRTx please contact John Owen Waller at SCI

 




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