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Rule 18f-4 Derivatives Risk Management

Implement an end-to-end 18f-4 compliance program leveraging FactSet’s leading multi-asset class risk models and portfolio analytics suite of products

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Who Needs to Comply*




Mutual Funds


Closed-end Funds


Business Development Companies

 *funds with “derivatives exposure” less than 10% of net assets must measure and report the level of exposure

Key Requirements

We have identified 6 key requirements below that underly the new SEC Rule 18f4

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How Can FactSet Help

Utilize FactSet’s multi-asset class risk models and portfolio analytics tools to implement an 18f-4 compliance operating model. FactSet enables relative and absolute VaR tests, stress testing, and backtesting, with associated monitoring and reporting capabilities on a single platform, supported by risk and regulatory subject matter experts.

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Benefit from our catalog of multi-asset class risk models to drive your risk calculations and analysis including VaR, with the option to include your own custom models. Have the ability to backtest and stress test each fund in your program as demanded by the new regulation from a list of pre-set options or customize your own.

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Highlight key changes in leverage and risk profiles using the heatmap feature on your dashboard view. Drill into individual funds’ underlying positions using our Portfolio Analysis tool to see contributions, risk, stress, P&L, and more on the portfolio, group, and security level.


Meet the increased requirement of weekly reports with our flexile reporting options from a PDF for each fund for a high-level overview of the fund’s risk profile to our upgraded N-PORT flat file including all calculations required by 18f4.

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Optimize your workflow by utilizing FactSet’s managed services to perform data quality checks on your portfolio and resolve time-sensitive issues.

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In this article, we review the principal features of Rule 18f-4—its motivation, the in-scope funds, and key requirements—and discuss the impact on funds with respect to data and system requirements.