Hanweck is looking to publish periodic periods of synthetic fees statistics in the future, according to Robert Levy, Head of Business Development, Hanweck.
In March last year, Hanweck launched borrow intensity to provide intraday transparency into US stock/borrow loan rates and inform people of trading and lending opportunities.
Levy noted that the new focus, with the close of last year, is to explore the use of a new metric for looking at broad aggregates of securities over the last two years and to see if there are discernible patterns.
According to Levy, the synthetic fee measure is not intended as a value to be considered on an absolute basis. It cannot be directly be compared to lending fees reported in the physical market.It is a comparative measure of options selected by using the entire traded volume, and then understates by omitting other series that are nearly comparable (for example, a nearby weekly) but not included, Levy revealed.
Commenting on exploring new metrics for the future, Levy said: “The goal is to account for both liquidity and lending fee spreads and objectively base that liquidity on the options that would most likely be used in an actual conversion trade.”
He added: “It’s exciting to find new ways to relate information across the derivatives and cash markets, and Hanweck will look to publish periodic synthetic fees statistics in the future.” To read the full interview with the Securities Lending Times please click here.