A series of dynamic rates that measure U.S. Dollar cost of funding in institutional markets
The USD Credit Inclusive Term Rate (CRITR) & Credit Inclusive Term Spread (CRITS) are designed to be a broad-based measure of funding levels for banking institutions funding in U.S. Dollar, in institutional markets, on a senior unsecured basis.
Our USD CRITR & CRITS are the first credit sensitive rates to utilize a wide-ranging constituent base that uses virtually all USD institutional certificate of deposit and commercial paper transactions.
They help firms with the task of minimizing value transfer on legacy USD LIBOR positions, as an add-on to SOFR, a standalone all-in rate, or an alternative to more static fallback rates. It can be used as a proactive strategy to move away from USD LIBOR across fixed income products, loans, CLOs as well as OTC derivative instruments, providing a credit sensitive exposure for those cases where SOFR by itself is not a suitable replacement rate. Note, IHS Markit will not allow for CRITR and CRITS to be licensed for indexation in retail instruments.
The USD CRITR & CRITS rules-based methodology is publicly disclosed. The rates are administered by IHS Markit Benchmark Administration Ltd. (IMBA UK) in compliance with the UK Benchmarks Regulation and the IOSCO Principles for Financial Benchmarks.
- Adoption Flexibility - apply to SOFR compounded, averaged or term SOFR, as well as other benchmarks lacking a dynamic credit component, or use the all-in-rate for simplicity
- Timeliness and Stability - methodology balances stability and reactiveness
- Data Availability - a broad-based, deep dataset to support a robust methodology
Download: USD CRITR & CRITS Index Guide
Download: USD CRITR & CRITS Fact Sheet