From data to dollars: Harnessing intraday data for superior securities lending
18 March 2025
Matthew Chessum, director of securities finance at S&P Global Market Intelligence, explores the use of intraday data and what it brings to securities lending
Image: Shutterstock
The securities lending market has long been a cornerstone of financial markets, providing liquidity and facilitating short selling, hedging, and other investment strategies. As the market evolves, the introduction of intraday data has emerged as a significant advancement, offering numerous benefits to market participants. This development enhances the ability to manage risk, optimise strategies, and improve overall market efficiency.
Intraday data refers to the availability to receive multiple data points at continuous intervals throughout the trading day, as opposed to traditional end-of-day data delivery. This granular level of data provides a more accurate and timely reflection of market conditions, allowing participants to make informed decisions based on the most current information available. The growing adoption of intraday data in the securities lending market is driven by its ability to offer a clearer picture of market dynamics and enhance risk management capabilities.
A recent analysis of intraday data by S&P Global Market Intelligence showed a significant improvement in the ability to generate alpha signals through the use of the intraday data service. The study showed that a hypothetical US equity long-short strategy based on semi-monthly rebalancing, for two weeks between two public short interest dissemination dates, yielded an annualised return of 15.4 per cent and an information ratio of 0.99 using both early and intraday data files.
An information ratio of 0.99 suggests strong risk-adjusted performance for the hypothetical long-short strategy. This result represents an improvement of 23 per cent over using just the traditional early file data alone, which itself showed a 43 per cent improvement over using just public short interest data. These results underscore the value of intraday data in enhancing investment strategies and optimising returns.
One of the primary benefits of intraday data is its impact on risk management. By providing near real-time data, market participants can better assess the value of their collateral and the securities they are lending or borrowing. This is particularly important in volatile markets, where prices can fluctuate significantly within a single trading day. With intraday data, lenders and borrowers can adjust their positions more swiftly in response to market movements, reducing the risk of collateral shortfalls or overexposure.
Intraday data also facilitates more efficient portfolio management. By having access to up-to-date data information, portfolio managers can make more informed decisions about which securities to lend or borrow, and at what rates. The ability to monitor market conditions in real-time allows for more dynamic and responsive portfolio adjustments, aligning with the fast-paced nature of modern financial markets.
Moreover, intraday data contributes to greater transparency in the securities lending market. With more frequent data points, market participants can gain insights into intraday trends and patterns that may not be apparent when looking at end-of-day data sets alone. This transparency can lead to more comprehensive dataset and improved market confidence, as participants have a clearer understanding of supply and demand dynamics.
The introduction of intraday data also supports regulatory
compliance and reporting requirements. As regulators increasingly focus on transparency and risk management in financial markets, the ability to provide detailed and almost real-time data can help market participants meet these demands. Intraday data allows for more accurate reporting of positions and exposures, reducing the risk of regulatory breaches and enhancing overall market integrity.
In addition to risk management and transparency, intraday data continues to enhance liquidity in the securities lending market. By providing a more accurate reflection of current market conditions, intraday data can attract a wider range of participants, including those who may have been hesitant to engage in securities lending due to concerns about price volatility and risk. This increased participation can lead to deeper and more liquid markets, benefiting all participants.
Advances in technology are significantly transforming the securities lending market, making it more dynamic and efficient, particularly through the growing adoption of intraday data. Innovations such as blockchain, artificial intelligence, and advanced data analytics are streamlining processes, enhancing transparency, and improving risk management. Ultimately, these technological advancements, coupled with the benefits of intraday data, are not only increasing the speed and efficiency of transactions but also expanding market access, fostering a more robust and competitive securities lending environment.
Intraday data refers to the availability to receive multiple data points at continuous intervals throughout the trading day, as opposed to traditional end-of-day data delivery. This granular level of data provides a more accurate and timely reflection of market conditions, allowing participants to make informed decisions based on the most current information available. The growing adoption of intraday data in the securities lending market is driven by its ability to offer a clearer picture of market dynamics and enhance risk management capabilities.
A recent analysis of intraday data by S&P Global Market Intelligence showed a significant improvement in the ability to generate alpha signals through the use of the intraday data service. The study showed that a hypothetical US equity long-short strategy based on semi-monthly rebalancing, for two weeks between two public short interest dissemination dates, yielded an annualised return of 15.4 per cent and an information ratio of 0.99 using both early and intraday data files.
An information ratio of 0.99 suggests strong risk-adjusted performance for the hypothetical long-short strategy. This result represents an improvement of 23 per cent over using just the traditional early file data alone, which itself showed a 43 per cent improvement over using just public short interest data. These results underscore the value of intraday data in enhancing investment strategies and optimising returns.
One of the primary benefits of intraday data is its impact on risk management. By providing near real-time data, market participants can better assess the value of their collateral and the securities they are lending or borrowing. This is particularly important in volatile markets, where prices can fluctuate significantly within a single trading day. With intraday data, lenders and borrowers can adjust their positions more swiftly in response to market movements, reducing the risk of collateral shortfalls or overexposure.
Intraday data also facilitates more efficient portfolio management. By having access to up-to-date data information, portfolio managers can make more informed decisions about which securities to lend or borrow, and at what rates. The ability to monitor market conditions in real-time allows for more dynamic and responsive portfolio adjustments, aligning with the fast-paced nature of modern financial markets.
Moreover, intraday data contributes to greater transparency in the securities lending market. With more frequent data points, market participants can gain insights into intraday trends and patterns that may not be apparent when looking at end-of-day data sets alone. This transparency can lead to more comprehensive dataset and improved market confidence, as participants have a clearer understanding of supply and demand dynamics.
The introduction of intraday data also supports regulatory
compliance and reporting requirements. As regulators increasingly focus on transparency and risk management in financial markets, the ability to provide detailed and almost real-time data can help market participants meet these demands. Intraday data allows for more accurate reporting of positions and exposures, reducing the risk of regulatory breaches and enhancing overall market integrity.
In addition to risk management and transparency, intraday data continues to enhance liquidity in the securities lending market. By providing a more accurate reflection of current market conditions, intraday data can attract a wider range of participants, including those who may have been hesitant to engage in securities lending due to concerns about price volatility and risk. This increased participation can lead to deeper and more liquid markets, benefiting all participants.
Advances in technology are significantly transforming the securities lending market, making it more dynamic and efficient, particularly through the growing adoption of intraday data. Innovations such as blockchain, artificial intelligence, and advanced data analytics are streamlining processes, enhancing transparency, and improving risk management. Ultimately, these technological advancements, coupled with the benefits of intraday data, are not only increasing the speed and efficiency of transactions but also expanding market access, fostering a more robust and competitive securities lending environment.
← Previous data feature
How stock market volatility fuels securities lending, but uncertainty stifles it
How stock market volatility fuels securities lending, but uncertainty stifles it
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