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IHS Markit Begins Publishing Daily Credit Inclusive Term Rate (CRITR) and Credit Inclusive Term Spread (CRITS) for US Dollar Funding

01 June 2021

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

IHS Markit is now 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 CRITR and CRITS rates will be updated daily at 8am ET, in alignment with SIFMA's holiday calendar. The rates are available in the following tenors: overnight, 1-month, 3-month, 6-month, and 12-months. Historical data for the rates is available back to the start of 2015.

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, robust rules-based methodology and compliance framework. The methodology was developed and refined by working closely with market and industry participants.

"CRITR and CRITS, once available for use and subject to regulatory approval, will 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," said Julien Rey, Executive Director and Head of the LIBOR Transition Program at IHS Markit. "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."

A recent announcement from the UK FCA on future LIBOR cessation confirmed that the industry should accelerate its transition away from USD LIBOR. USD 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.

The all-in rate (CRITR) and spread adjustment (CRITS) from IHS Markit 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.

These rates are published now to allow market participants to better assess their calculation and functioning. IHS Markit doesn't currently licence these rates for use. The rates once available for use and subject to regulatory approval, will be administered by IHS Markit Benchmark Administration Ltd. (IMBA UK) in compliance with the UK Benchmark Regulation and the IOSCO Principles for Financial Benchmarks.

For more information on how IHS Markit is supporting the LIBOR transition, visit our product website.

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