Background

SABRE, also known as Surveillance Analysis of Business Reporting, includes a database of market transactions collected from authorised firms, regulated investment exchanges and settlement systems. The transaction database holds reportable equity, debt, and associated derivative trades (both on-exchange and over the counter). This system underpins our arrangements for monitoring firms, protects the investor and supports central work to detect and deter market abuse and financial crime.

We are currently refining SABRE and, in particular, its ability to collect and analyze end-of-day transaction reports from investment firms. These reports will include information on transactions in a wide range of financial instruments. The improved system (i.e. SABRE II) will significantly improve our ability to extract, manipulate and analyse transaction data. Also, the SABRE II information will potentially be the most comprehensive picture of market transactions available in the UK.

Objective

The objective of this project is to identify new ways in which we can best use transaction level reporting data collected through our SABRE system to increase our effectiveness in the areas of:

  1. markets policy development;
  2. enforcement; and
  3. prudential supervision.

This system will undergo significant refinements over the next year, all of which are designed to broaden the types of data collected and the system's operating features and analytical capabilities. The project will focus on proposing frameworks for measuring and evaluating market efficiency, market abuse and execution quality.

Method

In developing proposals, we will rely heavily on the existing research on, for example, the uses of market data by both regulators and academics to address key policy issues. These proposals should include not only a discussion of relevant findings, but also an evaluation of the underlying research methods and how manageable they are for us to use. Some examples of how SABRE II could be used include:

  1. identifying the factors that contribute to market efficiency;
  2. measuring/defining market efficiency;
  3. identifying the factors that contribute to market liquidity;
  4. measuring/defining market liquidity;
  5. identifying methods/tools for assessing the impact of different regulatory approaches to various asset classes;
  6. identifying the major participants in key markets;
  7. determining the trading characteristics of major participants (e.g., size of trades, frequency of trades, active versus passive);
  8. gauging the impact of different market micro-structures on relevant measures (e.g., order books, block trading facilities, OTC dealer markets); and
  9. determining whether transactions data are helpful for signalling/confirming changes in firms' risk profiles.