Concept: Transform dirty financial data into actionable market intelligence for commodities

Introduced by Jason Best, Vectr Ventures, jason.best@gmail.com, David Law, SCET Berkeley, dlaw@berkeley.edu, and Anand Gomes, CEO & Founder at RiskEx (http://www.riskex.io/, https://www.linkedin.com/in/anandgomes).

Concept 1: Transform dirty financial data, supplied for regulatory compliance, into actionable market intelligence for commodities (potentially extendable to crypto assets) traders. This will be the first time this type of unbundled service has ever been created in the U.S. financial markets and has the potential for massive adoption within the commodities markets. The result of this project will be a real-time scraping of Swap Data Repository Data to extract relevant and accurate insight on derivative trading volumes for the Over-The-Counter (OTC) Commodity Markets.

Problem: A “Swap Data Repository” (SDR) is an entity created by the Dodd-Frank Act in 2010 in order to provide a central facility for derivative trading data reporting and record-keeping by financial institutions – so regulators have a better idea of the risk held on the financial institution’s balance sheets.

However, the data suffers greatly from a lack of standardization and is extremely difficult to understand (by the regulatory body’s (CFTC’s) own admission -> CFTC Data Cleanup) mainly due to

  • The bespoke nature of the derivatives (tailored to the risk/investment profiles of the participants)
  • Different internal record-keeping conventions for units and instruments (gallons, barrels, MTs, swaps vs futures, different strategy naming conventions)

Further, relative to other financial asset classes, OTC derivatives data has a high degree of dimensionality (Amortization schedule, Collateralization Type, Settlement Type, Day-count conventions, Payment Frequency, Reset Frequency, Strike, Underlying, Term in addition to price, quantity and other attributes). Today, each OTC trading desk tasks a human analyst to “clean-up” the data on a daily / weekly basis which is extremely time-consuming and costly.

To learn more, please click HERE.

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