Dataset Name: s3_partners

Group: short_interest

Vendor: S3 Partners

Data Starts at: 2015-01-05 00:00:00

Symbol Set: US Equities

Asset Class: Equity

Data Update Time(s): 8:35 AM EST

Data Update Frequency: day

S3 Partners Short Interest Enhanced Risk Analytics & Securities Financing Data

By Symbol

Accurate Short Interest analytics to identify crowded long and short trades. S3 data provides transparency to the true spread of the borrow / loan market, with the only independent and unbiased bid, offer, and last rates for Securities Finance.Accurate Short Interest analytics to identify crowded long and short trades. S3 data provides transparency to the true spread of the borrow / loan market, with the only independent and unbiased bid, offer, and last rates for Securities Finance.

Data Description - Short

S3 Partners provides the highest quality and most timely data for market Financing Rates (bid/ask/last), Short Interest, Float, and Proprietary Predictive Analytics (Short Squeeze, Crowded Shorts, Momentum). S3 Partners has cultivated an enormous data lake of aggregated and anonymized holdings, cash balance, derivatives, short interest and securities finance data that is built on $3+ trillion of assets under advisement and we cover more than 65,000 global securities. In addition to standard data from exchanges and regulators, aggregated and anonymized inputs for S3´s data lake include complex OTC financial data that is stored in disparate formats across a maze of prime brokers, custodian banks and swap dealers. We live stream 5 million transactions across our $3+ trillion asset base every day, which allows us to observe the number of shares shorted directly (and in real time) rather than infer the amount from the number of borrowed shares.

Data Description - Long

S3 Partners is a leading technology and financial data analytics company that allows Buy and Sell Side market participants to obtain a clear and accurate picture of capital markets trading activity in real-time. S3 Partners provides the highest quality and most timely data for market Financing Rates (bid/ask/last), Short Interest, Float, and Proprietary Predictive Analytics (Short Squeeze, Crowded Shorts, Momentum). S3 Partners has cultivated an enormous data lake of aggregated and anonymized holdings, cash balance, derivatives, short interest and securities finance data that is built on $3+ trillion of assets under advisement and we cover more than 65,000 global securities. In addition to standard data from exchanges and regulators, aggregated and anonymized inputs for S3´s data lake include complex OTC financial data that is stored in disparate formats across a maze of prime brokers, custodian banks and swap dealers. We live stream 5 million transactions across our $3+ trillion asset base every day, which allows us to observe the number of shares shorted directly (and in real time) rather than infer the amount from the number of borrowed shares.

Predictive Analytics

As recent events have demonstrated, short squeeze events have the potential to introduce significant (and often unexpected) volatility. S3 Partners´ proprietary Squeeze Risk and Crowded scores can help you manage this risk and capitalize on opportunities. Each score comprises a multi-factor model that produces a numeric rating from 0 (lowest) to 100 (highest). The score gives the user a normalized way to comparatively consider the Crowdedness or Squeeze Risk in a universe of 65,000+ stocks that differ greatly by market cap, geography, or sector. The intention is that when a company´s stock has a score of 50, the 50 represents the same amount of Crowdedness or Squeeze Risk whether considering a small cap US-based technology company or a large cap EMEA based industrials firm.

Crowded Score Overview

The Crowded score is calculated using a multi-factor model that helps identify "crowded" shorts:

1. Total dollar amount of short position in a company´s stock
2. Liquidity in the stock loan market
3. Trading capacity (Average Daily Volume)
4. Short interest as a true percentage of a company´s tradeable float

Users can leverage the Crowded score to identify the relative crowdedness of the short position in any given company, on a scale of 0-100. This data point can be leveraged in risk models that seek to identify/reduce exposure to crowded trades and stocks at greater risk of outsized volatility. It offers investment professionals and trading desks the opportunity to quickly filter for situations with crowded shorts to make better informed decisions as it relates to their workflow. Squeeze Risk Score Overview

The Squeeze Risk Score highlights the risk (on a 0-100 scale) that shorts could be forced to reduce or liquidate a short position. The Squeeze Risk Score leverages all four factors of the Crowded Score and introduces two additional components (which are significant indicators that could force a short seller out of a position):

1. Increased stock lending costs
2. Mark-to-market losses

We overlay the associated profit & losses with a short position in a company across multiple durations to accentuate the larger impact of recent profits & losses on investment decisions. Clients can use the Squeeze Risk Score to screen for stocks that are at risk of a potential short squeeze. A higher Squeeze Risk Score forecasts increased volatility, identifying binary trading decisions, an alert for short sellers to cover their positions, and an alert for long buyers to identify names with momentum.

How to Apply the Scores

• Go Short / Underweight when the Squeeze Risk is less than Crowded Score: If the Squeeze Risk score is LOWER than the Crowded score, momentum is FOR the short sellers.
• Go Long / Overweight when the Squeeze Risk is greater than Crowded Score: If the Squeeze Risk score is HIGHER than the Crowded score, momentum is AGAINST the short sellers.

Stock Borrowing Rates: Bid/Ask/Last

• Offer Rate - Market composite of financing fee paid for existing short positions
• Bid Rate - Borrow Cost Market composite of lending fee earned for existing shares on loan by long holders
• Last Rate - Borrow Cost Market composite of lending fee earned for incremental shares loaned on that date (Spot Rate)

Last Rate is updated intraday on a regular basis. Offer and bid rate are updated daily at 8am EST.

Float and Short Interest

• Short Interest - Shares Demand Real-time short interest expressed in shares
• Short Interest Notional- Real-time short interest x Price of security
• Short Interest % - Real-time short interest expressed as a % of float
• S3 Float - The number of tradeable shares, which includes synthetic longs created by short shelling
• S3 Short Interest % - Real time short interest / S3 Float

Investable Universe

We cover more than 65,000 securities across developed and emerging markets. Below is a breakdown of our coverage:

Most data points are delivered daily and not updated intra-day. Our ´Last Rate´ field can be provided hourly from 9am-5pm EST.

Data Contained in this Dataset

Important Dataset Notes

This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.