CME STP FIX - General Collateral Repo Use Cases for BrokerTec Trades

This page describes the Use Cases related to General Collateral Repo instruments for BrokerTec US and EU.

Introduction

General Collateral (GC) Repo is a Repo instrument whose underlying collateral is a basket of instruments unlike a Special Repo where underlying collateral is known prior to Trading.

Upon executing a trade on a GC Repo, the Seller of the Repo instrument, using the GC Allocator API or GC Allocator UI, will query for and allocate instruments from the basket of instruments applicable to the traded GC Rep

CME STP FIX will publish tag 35-MsgType=BA when a collateral is Allocated or Substituted. The Collateral(s) may be cancelled if the GC Repo Trade is cancelled and will be reflected in the tag 35-MsgType=BA.

Collateral Substitutions are ONLY applicable to US General Collateral Repo instrument on the BrokerTec US Repo Market.

Use Case

Below table lists a US GC Repo trade, allocation and substitution(s) of that allocation, highlighting the FIX tag and their values

Action

MsgType

TrdID2 (1040)

LastQty (32) Qty (53)

TransTyp (20012)

Stat (910)

TrdCollStat (20015)

CollID (20048)

OrigCollID (20051)

CollNo (20049)

OrigCollNo (20052)

SubInd (20028)

SubRmng (20031)

Trade

Trade Capture Report (35= AE)

175FBB1A2160001D1558

500

-

CollateralReport (35=BA)

175FBB1A2160001D1558

500

1-Trade Reg

0-Unassigned

0-Unalloc

175FBB1A2160001D1558

-

Allocation

CollateralReport (35=BA)

175FBB1A2160001D1558

500

2-Alloc Reg

3-Assigned

2-Fully Alloc

175FC1522A65JGBG2D4

-

1

-

2-Original

5

Substitution

CollateralReport (35=BA)

175FBB1A2160001D1558

100

3-Sub Reg

3-Assigned

2-Fully Alloc

175FC1522A65JGBG748

175FC1522A65JGBG2D4

2

1

3-Sub

4

CollateralReport (35=BA)

175FBB1A2160001D1558

400

3-Sub Reg

3-Assigned

2-Fully Alloc

175FC1522A65JGBG74C

175FC1522A65JGBG2D4

3

1

4-Remain

5

Substitution

CollateralReport (35=BA)

175FBB1A2160001D1558

100

3-Sub Reg

3-Assigned

2-Fully Alloc

175FC1522A65JGBG75C

175FC1522A65JGBG748

4

2

3-Sub

3

Sample Messages

Trade

8=FIX.4.4|9=915|35=AE|34=120|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.924|56=john_fund|571=175FBB1A2160001D15585522984420519311|487=0|856=101|568=AB-STP-TEST-NR|828=0|820=710062766|880=42133944|17=4296:M:3735TN0219038|423=9|55=UTGC30:XRZKU3T5MSYB|48=UTGC30|22=H|454=1|455=371488AR8|456=1|167=REPO|762=GC|207=BTUS|107=GC<30Y C-1Y 5R|916=20201127|917=20211122|32=500|31=2.100000000|75=20201127|715=20201127|442=1|60=20201127-17:47:40.184981989Z|64=20201127|552=1|54=2|37=421956704|11=EFH4|453=5|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=BTUS1|452=44|448=EFH|452=55|578=GLBX|1016=1|1012=20201127-17:47:40.184981989Z|1013=1|1057=Y|779=20201127-17:47:40.385000000Z|1003=92872|1040=175FBB1A2160001D1558|939=0|1430=E|10026=USD|1832=1|37513=848693951125146369|10053=N|20056=G0000048102|20011=48102|2490=219038|30=BTEC|10=099|

Collateral Shell

8=FIX.4.4|9=631|35=BA|34=121|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.925|56=john_fund|453=3|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|55=UTGC30:XRZKU3T5MSYB|48=UTGC30|22=H|167=REPO|107=GC<30Y C-1Y 5R|37513=848693951125146369|916=20201127|917=20211122|908=175FBB1A2160001D15585522984420519311|894=AB-STP-TEST-NR|20048=175FBB1A2160001D1558|60=20201127-17:47:40.184981989Z|779=20201127-17:47:40.385000000Z|20012=1|910=0|20015=0|1040=175FBB1A2160001D1558|53=500|54=2|44=2.100000000|715=20201127|75=20201127|20056=G0000048102|30=BTEC|10=242|

Trade quantity of 500 is fully allocated with one allocation

8=FIX.4.4|9=845|35=BA|34=132|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.937|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828ZV5|22=1|167=TNOTE|107=1/2_06/27|37513=966514698841557082|916=20201127|917=20211122|1647=1|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|908=175FC1522A65JGBG2D65589635888408032|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG2D4|20049=1|60=20201127-19:38:45.464000000Z|779=20201127-19:38:45.532000000Z|20012=2|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=500|54=2|44=99.4375|20050=99.625|159=0|921=498125000.00|922=508585625.00|20054=498125000.00|20053=508585625.00|715=20201127|75=20201127|20028=2|20031=5|20056=G0000048102|30=BTEC|10=072|

Quantity 100 of 500 is substituted with another collateral.

8=FIX.4.4|9=947|35=BA|34=367|49=CMESTPFIX1|50=STP|52=20201202-21:08:23.420|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828YJ3|22=1|167=TNOTE|107=1_1/2_09/21|37513=940131280570867087|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828ZV5|1652=SUB|20055=966514698841557082|908=175FC1522A65JGBG74A9681309818302252|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG748|20049=2|20051=175FC1522A65JGBG2D4|20052=1|60=20201202-13:18:12.744000000Z|779=20201202-13:18:12.925000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=100|54=2|44=101.15625|20050=101.375|159=29057.29|921=101375000.00|922=103503364.58|20054=499875000.00|20053=510371864.58|715=20201202|75=20201202|20028=3|20031=4|20056=G0000048102|30=BTEC|10=167|

Quantity 400 remains in the Original allocation

8=FIX.4.4|9=938|35=BA|34=368|49=CMESTPFIX1|50=STP|52=20201202-21:08:23.421|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828ZV5|22=1|167=TNOTE|107=1/2_06/27|37513=966514698841557082|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828ZV5|1652=SUB|20055=966514698841557082|908=175FC1522A65JGBG74E9681311479932012|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG74C|20049=3|20051=175FC1522A65JGBG2D4|20052=1|60=20201202-13:18:12.745000000Z|779=20201202-13:18:13.091000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=400|54=2|44=99.4375|20050=99.625|159=0.00|921=398500000.00|922=406868500.00|20054=499875000.00|20053=510371864.58|715=20201127|75=20201127|20028=4|20031=5|20056=G0000048102|30=BTEC|10=012|

Collateral Substitution for 100 quantity from above

8=FIX.4.4|9=948|35=BA|34=33|49=CMESTPFIX1|50=STP|52=20201204-13:56:08.585|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912810QY7|22=1|167=TBOND|107=2_3/4_11/42|37513=1114215241721626472|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828YJ3|1652=SUB|20055=940131280570867087|908=17628B234C85JGBG1FE11427118020889002|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG75C|20049=4|20051=175FC1522A65JGBG748|20052=2|60=20201204-13:47:53.841000000Z|779=20201204-13:47:53.948000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=100|54=2|44=123.34375|20050=123.375|159=40884.37|921=123375000.00|922=125956381.25|20054=521875000.00|20053=532824881.25|715=20201204|75=20201204|20028=3|20031=3|20056=G0000048102|30=BTEC|10=199