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USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS)

IHS Markit does not currently offer any licences that allow for use of these rates.
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.

When available, our USD CRITR & CRITS will be 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 will help firms with the task of minimizing value transfer on legacy USD LIBOR positions at LIBOR cessation date, as an add-on to SOFR, or a standalone all-in rate, and an alternative to more static fallback rates. It can also 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.

The USD CRITR & CRITS rules-based methodology will be publicly disclosed. IHS Markit plans for these rates to be administered by IHS Markit Benchmark Administration Ltd. (IMBA UK) in compliance with the UK Benchmark Regulation and the IOSCO Principles for Financial Benchmarks, subject to necessary regulatory and internal approvals.

Key benefits:
  • 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
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LIBOR Transition & Credit Products

IHS Markit as a credit franchise is committed to providing transparency and tools for credit markets along side our commitment of helping the industry navigate through the IBOR transition

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Experts

Julien Rey

Mr. Rey leads Sellside Strategic Development for Americas for IHS Markit Derivatives Data and Valuation Services and is Global Lead for the LIBOR Transition. He is based in our New York office. He joined IHS Markit in 2016. With over a decade of experience in the risk and valuations space, he partners with industry participants in financial markets to develop innovative solutions for the industry. He frequently speaks at industry conferences, to financial media and with industry participants in the OTC derivative markets. He focuses on interest rate derivatives valuations, XVA, funding considerations and the LIBOR transition.Prior to joining IHS Markit, Mr. Rey was Head of the EMEA Rates Valuations team at Nomura in London. He began his career at HSBC in Paris where he held various roles in SSA Origination, Market Risk and Valuations.Mr. Rey holds a Master of Science with a dual degree in Econometrics and Quantitative Finance from the Université Paris-Dauphine, France.

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Tasha Gonska

Ms. Gonska has been with IHS Markit since 2012, and is currently responsible for product and commercial strategy for the IHS Markit Pricing, Valuations and Reference Data business in the Americas. She partners with customers to grow existing services and develop new solutions that benefit financial market participants across the Buy Side, Sell Side, Asset Servicers and Auditors. She also serves as the Global Head of Portfolio Valuations Product Services, the group she joined when she started at the firm. Portfolio Valuations is an award winning widely used service for derivative valuations from very vanilla to highly exotic instruments. Ms. Gonska frequently participates in industry events and speaks to financial media on behalf of IHS Markit. Prior to joining IHS Markit, Ms. Gonska was at Bank of America Merrill Lynch in the Interest Rate Derivative Origination Group covering corporate clients in the Technology, Media and Telecom space. At Bank of America Merrill Lynch, she assisted clients with their interest rate risk management and helped devise and implement hedging strategies associated with corporate events such as mergers and acquisitions and bond issuances. Ms. Gonska holds a BS in Economics from Duke University.

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