Index to provide pricing guide for corporate, SME CRTs

SCI is set to launch SRTx (Significant Risk Transfer Index), a fixed income benchmark rate index that measures the estimated prevailing new-issue price spread for generic private market risk transfer transactions. The index aims to provide a benchmark for deal and fund performance, provide a guide to pricing deals and to act as an additional validation of the SRT market for would-be issuers and investors.

The index comprises two theoretical deal structures with standardised, pre-defined characteristics across the large corporate and SME sectors in Europe, the UK and North America. Both structures have five-year terms and two-year replenishment periods, with tranche attachment/detachment points of 0.0%-7% and 0.5%-7.5% for the corporate and SME deals respectively.

Calculated and rebalanced on a monthly basis by Mark Fontanilla & Co, the SRTx provides market participants with a benchmark reference point for pricing in the private risk transfer market by aggregating issuer and investor views on pricing. No proprietary information will be revealed, since contributors are pricing identical deal structures to provide a generic benchmark price.

Contributors provide end-of-month pricing on the theoretical deals and, in return, gain access to the high-low pricing spread each month to understand how they price relative to the cohort. Prices are provided on a survey basis, with additional questions covering attitudes to liquidity, credit appetite and risk.

Market participants may license the SRTx underlying data for pricing and benchmarking purposes.

To register your interest as a contributor to the index, click here. For all other enquiries, email SCI.