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

Other Datasets

Resources

Dates Available

BrokerTec EU Repo Trades files start on January 2, 2003.

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Sample Files

Dataset	Sample File

Dataset	Sample File
Pre-migration	1/11/2021
Post-migration	1/13/2023

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Layout Guides

Data File Structure

BROKERTEC EU REPO TRADES FIELD LIST Post-Migration (after January 18, 2021)

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)

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 List

Instrument Group List
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

Market Definition Table (this is valid for pre-migration files – prior to January 18, 2021)

Market Definition Table (this is valid for pre-migration files – prior to January 18, 2021)
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

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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?

See Data File Structure

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, Netherlands, Portugal	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
Germany	GC_BIL_GERMAN_BASKET CRITERIA	Bilateral
UK Gilts	GC_GILT_LCH_BASKET CRITERIA or DBV_LCH	LCH LTD
UK Gilts	GC_GILT_BIL_BASKET CRITERIA or DBV_BIL	Bilateral
Italy	GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_	LCHSA
Italy	GC_ITALY_BILBASKET CRITERIA	Bilateral
Spain	GC_SA_SPAIN_BASKET CRITERIA	LCHSA
Spain	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, Netherlands, Portugal	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
Germany	BIL_	Bilateral
UK Gilts	LTD_	LCH LTD
	BIL_	Bilateral
	DBV_	Delivery-by-Value
Italy	SA_	LCHSA
Spain	SA_BSB	LCHSA
Spain	BIL_BSB_	Bilateral

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