What is the BrokerTec European Repo VWAP Data File Structure?

How many files are available per day?

1 individual file is available daily

What time are the files available each day on DataMine?

Approximately 12:35 EST.

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). 

Do you have sample files available?

Yes, see the Sample Files section above.

Are there any anomalies in the data?

Please 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:

• September 1, 2020 - Volume field was changed to reflect a 20-day average volume from a daily volume.             
• January 18, 2021 – Migration of BTEC EU to CME Globex.

Format changes:

1. csv file no longer has commas if the value is greater than or equal to 1000
2. csv file no longer has quotations on the values
3. xls file no longer has a blank line at the top of the file.
4. xls file no longer has the footer line at the bottom of the file.
5. xls file headers no longer be in bold type.
6. 20-Day Avg Vol column header will have an uppercase ‘D’, instead of lowercase “d”.

Calculation changes:

• As of January 18, 2021, the processing for 20-day Average Volume, looks back 20 weekdays. If there are no trades for any EU Repos on a given day, that day will be excluded from the calculation. For example, if there is a European bank holiday resulting in no EU Repo trades on one of the 20 days, the average will be over 19 days (sum(volume)/19). If a particular instrument/term combination has no volume on a given day, but that day does have trades in other instruments, then it is treated as zero volume for that day when computing the average.
• Prior to the Migration on January 18, 2021, the 20-day Average Volume looked back 20 working days and excluded target bank holidays. For example, if there was a bank holiday in the past four weeks it would look back one extra working day. The 20-Day volume was the sum of the volume for each instrument/term divided by 20. If a particular instrument/term combination had no volume on a given business day, it was treated as zero volume for that day when computing the average.

What format is the file delivered in?

Data is provided in .csv format (comma separated values)

Are files compressed?

No, files are in .csv format.

What is the source of data?

The source of data is BrokerTec.

What countries are included in the file?

Austria, Belgium, Finland, Ireland, Netherlands, Portugal, France, Germany, UK, Italy, Spain

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 is 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.

What is a special?

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.  

What is the weighted average rate?

Weighted Average Rate is calculated based on completed repo trades that occurred during that day, starting at the EU Repo Market Open to EU Repo Market close (London time).