IHS Markit is publishing a series of forward-looking dynamic term rates that measure the daily US Dollar (USD) cost of funding in institutional markets.
These rates include the IHS Markit USD Credit Inclusive Term Rate (CRITR) and the IHS Markit USD Credit Inclusive Term Spread (CRITS), which are designed to provide banking institutions a broad measure of USD funding costs on a senior unsecured basis.
The newly available CRITR and CRITS rates will be updated daily at 8am ET, in alignment with SIFMA’s holiday calendar.
IHS Markit explains the rates are available in the following tenors: overnight, 1-month, 3-month, 6-month, and 12-month. Historical data for the rates is available back to the start of 2015.
According to IHS Markit, CRITR and CRITS are the first credit sensitive rates based on extensive constituent bases.
They track most USD institutional certificate of deposit, commercial paper and short-term corporate bond transactions using a publicly disclosed, rules-based methodology and compliance framework.
The methodology was developed and refined by working closely with market and industry participants.
A recent announcement from the UK FCA on future London Interbank Offered Rate (LIBOR) cessation confirmed that the industry should accelerate its transition away from USD LIBOR.
USD Secured Overnight Financing Rate (SOFR) is the risk-free rate recommended by the Alternative Reference Rates Committee (ARRC), but many segments of the loans and fixed income markets are struggling with the use of an overnight, non-credit sensitive rate.
IHS Markit’s all-in rate (CRITR) and spread adjustment (CRITS) can help facilitate the transition for firms that want a term rate with credit sensitivity, either as an add-on to SOFR, or a single-rate.
The rates will be administered by IHS Markit Benchmark Administration in compliance with the UK Benchmark Regulation and the International Organisation of Securities Commissions Principles for Financial Benchmarks.
“CRITR and CRITS offer a straightforward and robust solution for firms that are keen to transition their exposure away from USD LIBOR before its publication ceases. Going forward, we anticipate the market will transition to a multi-rate environment and we are proud to support this evolving ecosystem,” says Julien Rey, executive director and head of the LIBOR Transition Program at IHS Markit.
Rey notes: “Our rates have been created through an extensive development process and as we mark this key milestone, we would like to thank each market and industry participant for their collaboration.”
