The Collateral Market Value message is sent for Repo markets. This message maps to the CollateralMarketValue template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|---|---|---|---|---|
| 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 | |