SCI/MF&Co SRTx™
Significant Risk Transfer Index
The SRTx™ (Significant Risk Transfer Index) is a surveyed fixed income index suite that tracks estimated new-issue pricing spreads and market sentiment for the significant risk transfer markets in major global regions. The Index suite is comprised of a quantitative spread index, which is based on survey estimates for a representative transaction (the “SRTx™ Benchmark Deal”) containing specified terms for structure and pool/portfolio composition, and several qualitative indexes, which measure market sentiment on pricing volatility, transaction liquidity, and credit risk. The Index coverage includes the large corporate, and small & medium-sized enterprise (SME) reference pool/portfolio types, and spans the European Union (EU) and U.S. economic regions. Surveyed and recalculated monthly, the Index provides market participants with new, added transparency for the significant risk transfer market.
UPDATES & NOTICES:
Next SRTx™ Fixing Date: 2024-05
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Survey Submission Window: CLOSED
- 2024-05 FINAL fixings here...
SRTx™ Benchmark Deal:
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SME EU/US attachment/ detachment points revised to 0.5%-7.5%
SCI/MF&Co SRTx™ Index Suite
SRTx™ Spread Indexes – Measures the average estimated [Fixed Spread] pricing (in basis points) of a new representative SRT transaction compiled from contributor survey responses, which are provided based on generic standardized transaction terms (the SRTx™ Benchmark Deal):
- SRTx™ CORP EU (Large Corporate/European Union/€EUR)
- SRTx™ CORP US (Large Corporate/United States/$USD)
- SRTx™ SME EU (Small and Medium-Sized Enterprises/European Union/€EUR)
- SRTx™ SME US (Small and Medium-Sized Enterprises/United States/$USD)
SRTx™ Volatility Indexes – Gauges market sentiment, compiled from contributor survey responses, for the magnitude of fixed-spread pricing volatility over the near-term based on generic standardized transaction terms (the SRTx™ Benchmark Deal). Index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating volatility moving higher:
- SRTx™ CORP VOL EU (Volatility/Large Corporate/European Union/€EUR)
- SRTx™ CORP VOL US (Volatility/Large Corporate/United States/$USD)
- SRTx™ SME VOL EU (Volatility/Small and Medium-Sized Enterprises/European Union/€EUR)
- SRTx™ SME VOL US (Volatility/Small and Medium-Sized Enterprises/United States/$USD)
SRTx™ Liquidity Indexes – Gauges market sentiment, compiled from contributor survey responses, for what SRT execution conditions look like for successfully completing a deal over the near-term, based on generic standardized transaction terms (the SRTx™ Benchmark Deal). Index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating liquidity worsening:
- SRTx™ CORP LIQ EU (Liquidity/Large Corporate/European Union/€EUR)
- SRTx™ CORP LIQ US (Liquidity/Large Corporate/United States/$USD)
- SRTx™ SME LIQ EU (Liquidity/Small and Medium-Sized Enterprises/European Union/€EUR)
- SRTx™ SME LIQ US (Liquidity/Small and Medium-Sized Enterprises/United States/$USD)
SRTx™ Credit Risk Indexes – Gauges market sentiment, compiled from contributor survey responses, on the direction of fundamental SRT reference pool/portfolio credit risk over the near-term, based on generic standardized transaction terms (the SRTx™ Benchmark Deal). Index scale is 0-100, with levels above 50 indicating a higher proportion of respondents estimating credit risk worsening:
- SRTx™ CORP RISK EU (Credit Risk/Large Corporate/European Union/€EUR)
- SRTx™ CORP RISK US (Credit Risk/Large Corporate/United States/$USD)
- SRTx™ SME RISK EU (Credit Risk/Small and Medium-Sized Enterprises/European Union/€EUR)
- SRTx™ SME RISK US (Credit Risk/Small and Medium-Sized Enterprises/United States/$USD)
For information on data access, licensing, usage and redistribution of the SCI/MFCo SRTx™ Index Suite, please contact:
Mark Fontanilla John Owen Waller
Mark Fontanilla & Co., LLC SCI
255 W MLK Blvd 10 Bolt Court
Suite 2402 London
Charlotte, NC 28202 EC4A 3DA
C: (201) 213-7168 +44 (0) 7971071944
O: (704) 405-0575
mark@markfontanilla.com jow@structuredcreditinvestor.com
www.markfontanilla.com www.structuredcreditinvestor.com
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