BrokerTec EU Repo VWAP
The BrokerTec European Repo VWAP File provides volume weighted average prices (VWAP) for each ISIN traded in the O/N, T/N and S/N Terms. with daily volume traded as a weighted average over a 20-day period.
BrokerTec is the leading electronic interdealer platform for trading Repo in Europe. The platform offers unparalleled liquidity in a full range of Repo products across Europe, including Specifics, General Collateral (GC) and Sterling Delivery-by-Value (DBV). These are made up of Classic Repos, Buy/Sell Backs, and Floating versus EONIA in the French market.
Dates Available
BTEC EU Repo VWAP Historical data is available from January 2, 2001 to present day.
Instrument Definition
The tables below will help define the Clearing House & “Instrument” Field in the BrokerTec European Repo VWAP File:
Note: This content includes new naming conventions on some Repo Instruments, as of June 3, 2019 trade date.
Sample Files
Dataset | Sample File (.CSV) |
|---|---|
BrokerTec EuroRepo EOD |
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