The Collateral Market Value message is sent for Repo markets. This message maps to the CollateralMarketValue template in the SBE MDP Core schema.
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Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
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60 | TransactTime | uInt64 | UTCTimestamp | | Time of execution/order creation; expressed in UTC. | 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | 10000000 - all collateral messages will have this value | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event
Bit 0: (least significant bit) Last Trade Summary message for a given event Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event | Repeating Group 1 | 268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →458 | UnderlyingSecurityAltID | String12 | String | | Will contain either CUSIP or ISIN value identifying REPO collateral security | →459 | UnderlyingSecurityAltIDSource | SecurityAltIDSource | int | 1=CUSIP
4=ISIN | Identifies class or source of the UnderlyingSecurityAltID (458) value | →2689 | CollateralMarketPrice | PRICE9 | Price | | Market price of the collateral, either from external market sources or a result of trading activity on the platform. Clean price | →37001 | DirtyPrice | PRICE9 | Price | | Dirty Price | →37519 | UnderlyingInstrumentGUID | uInt64 | int | | Underlying Instrument GUID. Collateral security identifier in Reference Data API services | →1500 | MDStreamID | PriceSource | int | | Source of the Clean Price |
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