BrokerTec EU Repo Trades
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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).
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
- 1 Dates Available
- 2 Sample Files
- 3 Layout Guides
- 4 FAQ
- 4.1 Note
Dates Available
BrokerTec EU Repo Trades files start on January 2, 2003.
Layout Guides
BROKERTEC EU REPO TRADES FIELD LIST Post-Migration (after January 18, 2021) |
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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) |
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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 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 (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 |
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 | |||
FAQ
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
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 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 |
|---|
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
When are these files delivered?
Files are available for purchase as bulk history, per month of data.
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.
How large are the average daily files?
Daily files average 2-4 MB
Where can I find collateral on how to understand this data?
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, | 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 |
GC_BIL_GERMAN_BASKET CRITERIA | Bilateral | |
UK Gilts
| GC_GILT_LCH_BASKET CRITERIA or DBV_LCH | LCH LTD |
GC_GILT_BIL_BASKET CRITERIA or DBV_BIL | Bilateral | |
Italy | GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_ | LCHSA |
GC_ITALY_BILBASKET CRITERIA | Bilateral | |
Spain | GC_SA_SPAIN_BASKET CRITERIA | LCHSA |
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, | 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 |
BIL_ | Bilateral | |
UK Gilts
| LTD_ | LCH LTD |
BIL_ | Bilateral | |
DBV_ | Delivery-by-Value | |
Italy | SA_ | LCHSA |
Spain | SA_BSB | LCHSA |
BIL_BSB_ | Bilateral |
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