CME STP FIX - GC Repos - Allocation and Substitution

This page describes the messaging concepts related to General Collateral Repo instruments for BrokerTec U.S. 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 Repo.

CME STP FIX will publish Trade Capture Report (35-MsgType=AE) & Shell Collateral Report message (35-MsgType=BA) upon initial trade and Collateral Report messages (35-MsgType=BA) each time a collateral is Allocated or Substituted. The Collateral(s) may be cancelled if the GC Repo Trade is cancelled and will be reflected in a Collateral Report message.

Trade Allocation and Substitution - One Piece

Below example is an initial GC Repo trade for quantity 500 with Collateral Shell, full quantity allocation and full substitution (U.S. Repo, only) of that allocation to a different instrument in the GC Basket, highlighting the FIX tags and their values.

Initial Trade and Collateral Shell

A General Repo collateral trade for quantity 500 and its associated collateral shell.

Full Trade Allocation

The above trade of 500 is fully allocated into a single piece (instrument) of collateral in the GC Basket.

Collateral Substitution (U.S. Repo, only)

The above fully allocated piece for 500 is substituted into another piece (instrument) for full quantity.

Trade Allocation and Substitution - Two Pieces

The below example is an initial GC Repo trade for quantity 500 with Collateral Shell, quantity fully allocated into one piece (instrument). A substitution (U.S. Repo, only) is done to split the quantity between two pieces (existing allocation reduced in quantity and new allocation for the remaining quantity) in the GC Basket, highlighting the FIX attributes and their values.

Initial Trade and Collateral Shell

A General Repo collateral trade for quantity 500 and its associated collateral shell.

Full Trade Allocation

The above trade of 500 is fully allocated into a single piece (instrument) of collateral in the GC Basket.

Collateral Substitution (U.S. Repo, only)

The allocated quantity of 500 is split with 200 remaining with original allocated piece and 300 allocated to new piece (instrument) from the GC Basket.