Markit plans SOFR credit spread add-on using CDS data

Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor

IHS_Markit_London
IHS Markit's London headquarters

Another benchmark provider is vying to put its own spin on the secured overnight financing rate, the Federal Reserve’s preferred US dollar Libor replacement.

IHS Markit is developing a dynamic credit spread that can be bolted on to SOFR for dollar loans, Risk.net has learned – adding a third player to a field that already includes Ameribor and the Ice Bank Yield Index. 

According to four sources, Markit’s new benchmark will be constructed using its huge pool of proprietary credit reference

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