This page describes BrokerTec European Repo Trade data available from CME DataMine.

BrokerTec European Repo Trade data is sourced directly from CME’s BrokerTec EU Repo trading platform, offering unparalleled liquidity in a full range of Repo Products across Europe, including Specifics, General Collateral (GC) and Sterling Delivery-by-Value (DBV).

Info
The BrokerTec European Repo Trade files are available for bulk history purchases, per month of data, on a month delay; for example, if the current date is May 15, and I wanted a month of data, I would receive the history for March 15 – April 15.

The data can be used for data analysis, market insight into past behavior of EU Repo Markets, and back testing to aid in potentially trading a given market.

Contents

Table of Contents

maxLevel	4
exclude	Contents

Other Datasets

Child pages (Children Display)

page	CME DataMine Datasets

Resources

Dates Available

BrokerTec EU Repo Trades files start on January 2, 2003.

[Top]

Sample Files
Anchor
Sample Files
Sample Files

Dataset	Sample File
Pre-migration	1/11/2021
Post-migration	1/13/2023

[Top]

Layout Guides
Anchor
Layout Guides
Layout Guides

Expand

title	BrokerTec EU Repo Trades CSV file format

Data File Structure

Anchor

	Data File Structure
	Data File Structure

BROKERTEC EU REPO TRADES FIELD LIST Post-Migration (after January 18, 2021)
Field	Description
Timestamp	Date & Time of Trade UTC (yyyy-mm-dd hh:mm:ss)
Instrument	Security description, coupon, maturity month and year
ISIN	Instrument Identification number
Start Date	Start Date of Instrument
End Date	End Date of Instrument
Term	O=Overnight, T-N=Tom Next, S-N=Spot Next, Dated Repo will have C-Date, S-M=Spot Month, C=Calendar Week, C-XW=Calendar Week specific to 2W or 3W
Country	Specific country; AT=Austria, BE=Belgium, DE=Germany, ES=Spain, FI=Finland, FR=France, IE=Ireland, IT=Italy, NL=Netherlands, GB=Great Britain, PT=Portugal, SI=Slovenia
Market	MIC Codes: BTAM=CME Amsterdam B.V; BTEE=BrokerTec Europe Limited
Instrument Group	Type of Repo (please refer to instrument group list)
Price	Deal Price
Volume	Quantity of Trade
Aggressive	1=yes, 0=no
Bid or Ask	Side: B=Bid; A=Ask

BROKERTEC EU REPO TRADES FIELD LIST Pre-Migration (before January 18, 2021)
Field	Description
Timestamp	Date & Time of Trade UTC (yyyy-mm-dd Thh:mm:ss ± UTC offset)
Instrument	Security description, coupon, maturity month and year
ISIN	Instrument Identification number
Start Date	Start Date of Instrument
End Date	End Date of Instrument
Term	O=Overnight, T-N=Tom Next, S-N=Spot Next, Dated Repo will have C-Date, S-M=Spot Month, C=Calendar Week, C-XW=Calendar Week specific to 2W or 3W
Country	25=Europe
Market	See

Market

BrokerTec EU Repo Trades#Market Definition list
Instrument Group	Type of Repo (please refer to instrument group list)
Price	Deal Price
Volume	Quantity of Trade
Aggressive	1=yes, 0=no
Bid or Ask	Side: B=Bid; A=Ask

Instrument Group List

Anchor

	Instrument Group List
	Instrument Group List

Instrument Group (post migration, after January 18, 2021)

Description

Instrument Group (Pre-migration, before January 18, 2021)

ATGSA

AUSTRIA GC SA

42/44

BEBUSA

Belgian Special CCP Repo Bills

44

BEDUSA

Belgian Special CCP Repo Bonds

44

BEGSA

BELGIUM GC SA

42

DEBUSA

German Special CCP Repo Bills

44

EGSA10

SPAIN GC SA SUB 10YR

45

EUDCSA

European Corp LCH Ltd Repo Bonds

44

FGC10

FRANCE GC FIXED SUB 10YR

42

FGC30

FRANCE GC FIXED SUB 30YR

42

FIBUSA

Finnish Special Repo Bills SA

44

FIDUSA

Finnish Special Repo Bonds SA

44

ITBUSA

Italian Special CCP Repo Bills

44

ITDUSA

Italian Special CCP Repo Bonds

44

NLDUSA

Dutch Special CCP Repo Bonds

42

SIDUSA

Slovenian Special Repo Bonds

44

DBVLCH

DBV LTD TERM

44

DBVBIL

DBV Bilateral

44

UKDCLS

UK Gilt CCP Special Repo Bonds

44

ATDUSA

Austrian Special CCP Repo Bonds

42/44

ATGS10

GC SA AUSTRIA SUB 10YR

42

BEGS10

BELGIUM GC SA SUB 10YR

42/44

BGSA30

BELGIUM GC SA SUB 30YR

42

DEDUSA

German Special CCP Repo Bonds

44

DGSA

GERMAN GC SA

42

DGSA10

GERMAN GC SA SUB 10YR

42

ESBBL

Spanish Euro CCP Buy Sell Back Bills

44

ESDBL

Spanish Euro CCP Buy Sell Back

46

FGCFIX

FRANCE GC FIXED

42

FGCNL

FRANCE GC FIXED NO LINKERS

42

FIGS10

FINLAND GC SA SUB 10YR

42

FRBUSA

French Special CCP Repo Bills

44

FRDUSA

French Special CCP Repo Bonds

44

IEDUSA

Irish Special CCP Repo Bonds

44

ITSAGC

ITALY GC SA ALL BONDS

42

NGSA10

GC SA NETHERLANDS SUB 10YR

42

NLBUSA

Dutch Special CCP Repo Bills

44

PTBUSA

Portuguese Special Repo Bills

44

PTDUSA

Portuguese Special Repo Bonds

42/44

Market Definition

Anchor

	Market Definition
	Market Definition

Table (this is valid for pre-migration files – prior to January 18, 2021)

3

European Fixed Income

90

CDS Options

4

European Fixed Income CNET

91

CDS Ref instrument

71

European CCP Repos

92

EIB GBP Repo Market

72

European Corporate Bonds

93

WCLK UK GILT Market

73

European Corporate Bond Repo

94

European Bilateral Repo

74

European Pfandbriefe

95

EONIA

75

European Pfandbriefe Repo

96

Euro Bilat Clearstream Triparty

76

UK GILT Market

101

Reset Bonds

77

UK GILT Bilat Repo

102

Butlers UK GILT Market

78

LIFFE

106

UK GILT Bilat Term DBV

79

Euro Bilat Euroclear

107

UK GILT CCP Term DBV

80

PTF Market

110

European Bilateral Eonia Repo

81

Eurex Clearing

111

EGB Hybrid Market

82

UK GILT CCP Repo

115

RFR Repo Index

83

US Supra Sovereigns

116

EUROGC Plus

84

Euro Bilateral Eonia Repo

120

CCP Repos LCH SA

85

UK GILT Bilateral Stipulate Repo

156

Clock

86

Credit Default Swaps Single

254

Production Real Time Verification

87

Credit Default Swaps Index

[Top]

FAQ

Expand

title	BrokerTec European Repo Trades Format

How is data calculated?

The data is not calculated and is reflective of the trades sourced directly from the BrokerTec EU Repo platform.

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No

Expand

title	BrokerTec European Repo Trades Availability

How many files are available per day?

Bulk history files are available for the certain amount of time requested. One file is produced per day.

How far back do you maintain these records?

History start date: January 2, 2003

Do you have sample files available?

Yes, see the Sample BrokerTec EU Repo Trades#Sample Files section above.

Are there any dates for which files cannot be produced?

All dates are available

What European countries are available in this file?

Austria, Belgium, Finland, Ireland, Netherlands, Portugal, Slovenia, France, Germany, Great Britain (UK), Italy, Spain

What Repo terms are available?

O = Overnight; T-N = Tom Next; S-N = Spot Next; S-M = Spot Month; C-Calendar Week; C-xW = Calendar week specific to 2W or 3W. (Some dated Repo will have C-date to show a specific term date)

Are there any anomalies or changes in the data?

See the notes below regarding any changes to the historical data:

June 3, 2019 - Market naming convention changes on Specific and GC Repo Clearing House & Instruments:

PRIOR TO JUNE 3, 2019	AS OF JUNE 3, 2019
R_	LTD_
R_LCH_	LTD_
LCH_	LTD_
GC_LCH_	GC_LTD_
DBV_LCH_TERM	DBV_LTD_TERM
CNET_	SA_
GC_CNET_	GC_SA_
GC_ITALY_CCP_	GC_SA_ITALY_
GC_IT_CCP	GC_SA_IT_
BSB_SPGB_	BIL_BSB_SPGB_
BSB_SGLT_	BIL_BSB_SGLT_
EO_BTF_	SA_EO_BTF_
EO_OAT_	SA_EO_OAT_
FIXED_BTF_	SA_FIXED_BTF_
FIXED_OAT_	SA_FIXED_OAT_
BSB_CNET_SPGB_	BSB_SA_SPGB_
BSB_CNET_SGLT_	BSB_SA_SGLT_

Pre-migration (before January 18, 2021) timestamps in the file have a “T” before the time (Thh:mm:ss:sss). ISO8601 standard format “dateTtime[± UTC offset]. +1 means at certain times of the year, due to daylight savings, London is either +1 hour from UTC Time [i.e. British Summer Time] or the same time
January 18, 2021 – Migration of BTEC EU to CME Globex
Post-migration (after January 18, 2021) timestamps in file do not have a “T” before the time (hh:mm:ss) and is only in UTC time zone

Expand

title	BrokerTec European Repo Trades Delivery

When are these files delivered?

Files are available for purchase as bulk history, per month of data.

title

Info

Note

BrokerTec EU Repo Trade Files are available with a month delay; for example, if a customer were to purchase one month of data, on May 15, the customer would be getting the data on a month delay so they would get data for March 15 – April 15.

Expand

title	BrokerTec European Repo Trades Interpretation

How large are the average daily files?

Daily files average 2-4 MB

Where can I find collateral on how to understand this data?

See Data File Structure

Is there a certain process I must follow to be able to use the data?

No

What is a Repo?

Repo is a generic term for repurchase. One party sells a fixed income security to another party at a price and commits to repurchase the same asset from the second party at a different price at a future date. The difference between the price paid by the buyer at the start of a repo and the price received at the end is the return on the cash they have effectively lent to the seller. The return is quoted as a percentage per annum rate called repo rate.

What is general collateral (GC)?

General Collateral is a basket of securities which trade in the repo market at the same or similar repo rate. Buyers of GC repo are indifferent to which security they will receive. The basket of securities belongs to the same class (government bonds) specific to currency, example: Austria, or sub-class, specific to currency and tenor, example: Austria SUB 10YR.

General Collateral Markets

Austria, Belgium, Finland, Ireland, Netherlands, Portugal	GC_COUNTRY NAME_BASKET CRITERIA	LCHSA
	GC_BIL_COUNTRY NAME_BASKET CRITERIA	Bilateral
France	GC_FRANCE_BASKET CRITERIA	All baskets are LCH SA
Germany	GC_SA_GERMAN_BASKET CRITERIA	LCHSA
Germany	GC_BIL_GERMAN_BASKET CRITERIA	Bilateral
UK Gilts	GC_GILT_LCH_BASKET CRITERIA or DBV_LCH	LCH LTD
UK Gilts	GC_GILT_BIL_BASKET CRITERIA or DBV_BIL	Bilateral
Italy	GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_	LCHSA
Italy	GC_ITALY_BILBASKET CRITERIA	Bilateral
Spain	GC_SA_SPAIN_BASKET CRITERIA	LCHSA
Spain	GC_SPAIN_BSB_BASKET CRITERIA	Bilateral
All Currencies	_SUB_5YR	Bonds/Bills with a maximum maturity of 5 Years
	_SUB_10YR	Bonds/Bills with a maximum maturity of 10 Years
	_SUB_15YR	Bonds/Bills with a maximum maturity of 15 Years
	_SUB_20YR	Bonds/Bills with a maximum maturity of 20 Years
	_SUB_30YR	Bonds/Bills with a maximum maturity of 30 Years
	_LINK_	Overnight Index Linked repos
	_NO_LINKERS	Does not include overnight Index Linked repos
	GC_SA_EU	European Crop LCH SA
	_INCL_FRNS	FRNs included
	_NO_BILLS	Basket does not include Bills
	BTF	French Fixed rate short term discount bills
	BUBILL	German discount bills
	CCT	Common Customs Tariff
	BSB	Spanish Buy-sell back transaction
	LETRAS	Spanish short-term fixed income instruments
	BTPS	Government securities indexed to Italian rate of inflation

What is a special/specific?

A special is an issue that is in high demand in both the repo and cash markets compared with similar issues. A buyer of a special repo rate is only interested in a particular security.

Specifics/Specials

Austria, Belgium, Finland, Ireland, Netherlands, Portugal	SA_	LCHSA
	BIL_	Bilateral
France	SA_ (No Bilateral Markets)	LCH SA
	SA_ESTR_	Floating Rate - fixed vs ESTR each day
	SA_FIXED_BTF	Fixed rate short term discount bills
Germany	SA_	LCHSA
Germany	BIL_	Bilateral
UK Gilts	LTD_	LCH LTD
	BIL_	Bilateral
	DBV_	Delivery-by-Value
Italy	SA_	LCHSA
Spain	SA_BSB	LCHSA
Spain	BIL_BSB_	Bilateral

Expand

title	BrokerTec European Repo Trades Support

CME Group provides a number of customer service teams to assist DataMine users, including Technical support and Data Transfer processes.

[Top]

Version	Old Version 1	New Version Current
Changes made by	Space Sync for Confluence	Space Sync for Confluence
Saved on	Dec 21, 2024	Dec 27, 2024

Versions Compared

Key

Dates Available

Sample Files
Anchor
Sample Files
Sample Files

Layout Guides
Anchor
Layout Guides
Layout Guides

FAQ

Note

Page Comparison

Versions Compared

Key

Dates Available

Sample Files AnchorSample FilesSample Files

Layout Guides AnchorLayout GuidesLayout Guides

FAQ

Note

Sample Files
Anchor
Sample Files
Sample Files

Layout Guides
Anchor
Layout Guides
Layout Guides