SRTx Performance Data

The SRTx is a fixed income benchmark rate index that measures the estimated prevailing new-issue price spread for generic private market risk transfer transactions. 

The SRTx provides market participants with a regularly updated benchmark reference point for pricing in the private risk transfer market and so provides a useful pricing tool for anyone active in the sector by aggregating thoughts among issuers and investors on where deals are currently pricing. 
 
The index also provides a fully independent benchmark price for the SRT sector’s stakeholders and offer an historical dataset of index prices. The SRTx went live on 28 February 2023.
 
Market participants may license the SRTx underlying data for pricing/public benchmarking purposes. 
 
Contributors
Industry practitioners are invited to contribute to the SRTx and so 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 will be given access to the high-low pricing spread each month to understand how they price relative to the cohort. Become a contributor.

 

SRTx™ Index Suite (as of Valuation Date)
02/05/2023
               
SRTx™ SPREAD INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP EU Spread (bps) Large Corporate EU 1,155 1,100 +55 +5.0%
SRTx™ CORP US US 935 929 +5 +0.6%
SRTx™ SME EU Small and Medium-Sized Enterprises (SMEs) EU 1,310 1,233 +77 +6.2%
SRTx™ SME US US 1,285 1,139 +146 +12.8%
               
SRTx™ VOLATILITY INDEXES (0=Significantly lower, 100=Significantly Higher)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP VOL EU Market Sentiment (Scale 0-100) Large Corporate EU 54 55 -1 -2.6%
SRTx™ CORP VOL US US 50 56 -6 -11.1%
SRTx™ SME VOL EU Small and Medium-Sized Enterprises (SMEs) EU 38 44 -6 -14.3%
SRTx™ SME VOL US US 67 55 +12 +21.2%
               
SRTx™ LIQUIDITY INDEXES (0=Significantly Better, 100=Significantly Worse)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP LIQ EU Market Sentiment (Scale 0-100) Large Corporate EU 50 65 -15 -23.1%
SRTx™ CORP LIQ US US 60 70 -10 -14.3%
SRTx™ SME LIQ EU Small and Medium-Sized Enterprises (SMEs) EU 50 65 -15 -23.1%
SRTx™ SME LIQ US US 63 70 -8 -10.7%
               
SRTx™ CREDIT RISK INDEXES (0=Significantly Better, 100=Significantly Worse)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP RISK EU Market Sentiment (Scale 0-100) Large Corporate EU 64 70 -6 -8.2%
SRTx™ CORP RISK US US 70 75 -5 -6.7%
SRTx™ SME RISK EU Small and Medium-Sized Enterprises (SMEs) EU 64 70 -6 -8.2%
SRTx™ SME RISK US US 75 75 - 0.0%

 

 

SRTx™ Index Suite (as of Valuation Date)
03/04/2023
               
SRTx™ SPREAD INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP EU Spread (bps) Large Corporate EU 1,100 1,094 +6 +0.6%
SRTx™ CORP US US 929 863 +67 +7.7%
SRTx™ SME EU Small and Medium-Sized Enterprises (SMEs) EU 1,233 1275 -42 -3.3%
SRTx™ SME US US 1,139 1117 +22 +2.0%
               
SRTx™ VOLATILITY INDEXES (0=Significantly lower, 100=Significantly Higher)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP VOL EU Market Sentiment (Scale 0-100) Large Corporate EU 55 50 +5 +10.0%
SRTx™ CORP VOL US US 56 63 -6 -10.0%
SRTx™ SME VOL EU Small and Medium-Sized Enterprises (SMEs) EU 44 56 -13 -22.2%
SRTx™ SME VOL US US 55 67 -12 -17.5%
               
SRTx™ LIQUIDITY INDEXES (0=Significantly Better, 100=Significantly Worse)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP LIQ EU Market Sentiment (Scale 0-100) Large Corporate EU 65 50 +15 +30.0%
SRTx™ CORP LIQ US US 70 63 +8 +12.0%
SRTx™ SME LIQ EU Small and Medium-Sized Enterprises (SMEs) EU 65 56 +9 +15.6%
SRTx™ SME LIQ US US 70 58 +12 +20.0%
               
SRTx™ CREDIT RISK INDEXES (0=Significantly Better, 100=Significantly Worse)
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP RISK EU Market Sentiment (Scale 0-100) Large Corporate EU 70 69 +1 +1.8%
SRTx™ CORP RISK US US 75 69 +6 +9.1%
SRTx™ SME RISK EU Small and Medium-Sized Enterprises (SMEs) EU 70 81 -11 -13.8%
SRTx™ SME RISK US US 75 75 - 0.0%

 

 

SRTx™ Index Suite (as of Valuation Date)
01/03/2023
    corrected 23 March 2023          
SRTx™ SPREAD INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP EU Spread (bps) Large Corporate EU 1,094 - - -
SRTx™ CORP US US 863 - - -
SRTx™ SME EU Small and Medium-Sized Enterprises (SMEs) EU 1,275 - - -
SRTx™ SME US US 1,117 - - -
               
SRTx™ VOLATILITY INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP VOL EU Market Sentiment (Scale 0-100) Large Corporate EU 50 - - -
SRTx™ CORP VOL US US 63 - - -
SRTx™ SME VOL EU Small and Medium-Sized Enterprises (SMEs) EU 56 - - -
SRTx™ SME VOL US US 67 - - -
               
SRTx™ LIQUIDITY INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP LIQ EU Market Sentiment (Scale 0-100) Large Corporate EU 50 - - -
SRTx™ CORP LIQ US US 63 - - -
SRTx™ SME LIQ EU Small and Medium-Sized Enterprises (SMEs) EU 56 - - -
SRTx™ SME LIQ US US 58 - - -
               
SRTx™ CREDIT RISK INDEXES
Index Short Name Index Style SRT Category Region Index Value Last Chg % Chg
SRTx™ CORP RISK EU Market Sentiment (Scale 0-100) Large Corporate EU 69 - - -
SRTx™ CORP RISK US US 69 - - -
SRTx™ SME RISK EU Small and Medium-Sized Enterprises (SMEs) EU 81 - - -
SRTx™ SME RISK US US 75 - - -

KEY:

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)




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