Bloomberg Enhances MARS Market Risk Support of Derivatives Risk Regulations

Published: February 06, 2025

Bloomberg’s Multi-Asset Risk System (MARS) Market Risk solution today announced expansions of its regulatory offerings to support clients as they comply with global buyside derivatives risk regulations.

First implemented in 2022, SEC Rule 18f-4 requires the implementation of a derivatives risk management program. The Rule imposes a strict limit on a fund’s leverage risk, as measured through a set of prescribed Value-at-Risk (VaR) calculations. MARS Market Risk first introduced support for SEC 18f-4 in 2021 and has since expanded support to clients in scope for similar risk regulations such as the European regulatory requirements AIFMD, UCITS and NI 81-102 overseen by Canada’s Ontario Securities Commission (OSC).

MARS Market Risk calculates VaR for the Relative and Absolute VaR tests in accordance with SEC 18f-4 guidance enabling clients to determine leverage risk. In addition, clients can access out-of-the-box VaR model backtesting with a configurable time horizon. Bloomberg MARS provides a full market risk workflow including the ability to identify the risks embedded in the market variables affecting the valuation of any instrument. The solution delivers a comprehensive set of stress test types, including historical stress tests, asset class level stress tests, custom stress tests, and predictive stress tests based on correlation. In the SEC 18f-4 setting, the combination of VaR tests and stress testing capabilities gives fund managers all the components of a derivatives risk management program as required by the Rule.

“In the lead up to the implementation of Rule 18f-4, we were confident our firm was well prepared because of our adoption of MARS in 2022,” said Ben Wallach, Head of Product Development & ESG at WisdomTree. “Bloomberg has been an excellent solutions partner to us, and MARS provides us with a holistic risk offering that enables us to continue delivering on our mission to create products that provide access, transparency and an enhanced user experience.”

“We are focused on continuing to enhance our solutions to meet the changing regulatory environment and are proud of the support we’ve provided clients to fulfil compliance mandates such as SEC Rule 18f-4,” said Dharrini Bala Gadiyaram, Global Head of Buy-Side Risk, Compliance and Treasury Solutions. “MARS Market Risk is a comprehensive offering that brings together the latest market data, technology and an end-to-end risk system that integrates seamlessly into our clients’ workflows to help them meet their regulatory obligations in a complex regulatory environment.”

Bloomberg’s suite of Multi-Asset Risk Solutions (MARS), which are delivered on the Bloomberg Terminal and via APIs, provide risk analytics for cash and derivatives securities. Bloomberg MARS is used by more than 1,100 professionals, including traders, portfolio and risk managers at over 900 client firms to access real-time analytics, cutting edge derivatives pricing libraries and comprehensive market data coverage. The suite offers front office risk, market risk, counterparty risk, credit risk, hedge accounting, collateral management, regulatory capital and other metrics so firms have a unified and consistent front-to-back view of their businesses.