The Great Financial Crisis fuelled a broad-based expansion of financial statistics. A second, much larger wave of data hits the shores as central banks and the financial sector embrace Big Data. Collecting more data or dots is necessary, but connecting the dots is the critical step for understanding the implications for financial stability. It is the lens that matters: it takes purposeful analysis to turn data into useful information. Financial markets are flush with data, yet the bigger picture can slip out of sight. This is where policymakers and market participants fall short time and again: in run-ups to previous crises, simple aggregates would signal problems yet warnings went unheeded. The onset of a crisis then sharpens the focus on critical data for the management and resolution of the crisis. Later, when the financial cycle turns again, innovation and changing structure make financial risks harder to locate using the existing data.