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Reg Cap/SRT Transactions: Analyzing Expected Returns

By Aidan Mckeown, Portfolio Manager

Expanding on our "A Primer on the Regulatory Capital/SRT Market" whitepaper, Magnetar provides insights into Regulatory Capital/SRT performance analysis, focusing on transaction pricing and expected returns across different market segments, especially between large corporate and granular SME transactions. This examination is crucial for conducting a thorough expected return analysis, which helps evaluate the overall relative value of Regulatory Capital/SRT transactions. The analysis reveals that the underlying risk of the portfolio, the transaction's structure, and other unique characteristics should inform the assessment and pricing of Corporate or SME Regulatory Capital/SRT transactions to accurately determine their relative value.

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