YES BANK adopts Bloomberg’s MARS to support transition to Risk-Free Rates

Bloomberg announced that YES BANK, a leading full service commercial bank in India, has adopted Bloomberg’s Multi-Asset Risk System (MARS) to enhance its risk management technology, and support its transition from LIBOR to Risk-Free Rates (RFR).

YES BANK has integrated Bloomberg’s MARS Front Office and MARS Valuations into its core technology stack. MARS Front Office provides the Bank with Greeks and advanced scenario and stress test capabilities, while MARS Valuations, powered by a high-quality pricing library along with high-quality market data delivers complete valuations for portfolios.

MARS Front Office solutions provide YES BANK with a daily Non-Cumulative Compound Rate (NCCR) for RFR indices that help to support the bank’s Core Banking daily interest calculation. The solution enriched its enterprise position and risk views with additional analytics that help customers easily navigate between LIBOR securities and RFR securities.

In addition, Bloomberg’s MARS Valuation and risk calculations for YES BANK are delivered via an API (Application Programming Interface) for both cash and derivatives securities. Using calculations accessed through MARS API enables firms to interactively and programmatically perform a range of calculation, and thus to understand their profit and loss implications and risk impacts on portfolios under different scenarios, including an early migration to RFRs.

Mr. Mahesh Ramamoorthy, Chief Information Officer, YES BANK, said “As one of India’s fastest growing banks, it is important that we leverage on leading regulatory and compliance tools that reflect our technological prowess. Bloomberg’s MARS solutions have seamlessly been integrated into our Core Banking Platform, facilitating a smooth transition from LIBOR and providing us with risk calibrated calculations across the Bank.”

“Bloomberg is pleased to be supporting YES BANK with advanced risk management technology that provide a competitive edge,”  said Mr. Rajiv Mirwani, Head of Enterprise Sales – South Asia, Bloomberg. “Our comprehensive suite of solutions are designed for seamless risk management across a firm’s investment workflow and we are pleased to support India’s banks manage their LIBOR transition.”

MARS Front Office is part of Bloomberg MARS, a comprehensive suite of risk management tools that delivers consistent, consolidated results across entire firms, powered by Bloomberg’s widely adopted pricing library, market and reference data and mortgage cash flow engine. MARS is also available in the following versions: Market Risk, Credit Risk, Collateral management and XVA. MARS Front Office delivers a comprehensive suite of on-demand risk analytics, advanced scenario and stress test capabilities and term structure of risk as a streamlined workflow solution. MARS Valuations provides credible and complete end-of-day market valuations for enterprise usage and reporting.

Bloomberg delivers a comprehensive suite of solutions to support LIBOR transition, including scenario analysis to determine the impact of transitioning to RFRs on portfolios. Licensed customers can download cash security fallback datasets to help identify relevant fallback language for IBOR-linked securities in their portfolios. Clients can also access fixed income reference data, which provides detailed terms and conditions supporting the new structures and calculations, and corporate actions data. On the Terminal, Bloomberg offers trading services in cash securities and derivatives referencing RFRs. Bloomberg also publishes term and spread adjustments for the ISDA fallbacks. In addition, BSBY, Bloomberg’s Short-Term Bank Yield Index is a series of forward-looking reference rates with embedded risk premia at that measures the yield at which systemically important banks access USD unsecured wholesale funding. For more information, visit Bloomberg.com/Libor.

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