CME STP FIX - Post Trade Events - GC Repos
This topic describes the Top Day Cancel/Correction post trade events for General Collateral (GC) Repo instruments.
Introduction
GC Repo is a repo instrument whose underlying collateral is a basket of instruments. Unlike a special repo, where the underlying collateral is known prior to trading. Upon executing of a GC Repo trade, the seller of the repo instrument, using the CME GC Allocator API or GC Allocator UI, will query 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 may be canceled if the GC Repo Trade is cancelled, which will be detailed in a collateral report message.
Trade Cancel and Correction can only be initiated by a BrokerTec client calling the Global Command Center (GCC).
Clients systems should note that the order of messages is not guaranteed.
Contents
Overview
General Collateral (GC) trades can be cancelled or amended like any other trade. All existing allocations will be cancelled prior to a trade amendment. Trades will not be left in a partially allocated state.
Allocations will be added back by the GCC or customers after amendment.
All allocations are linked to their parent GC trade, but no linking of canceled to replacement allocations is provided.
Upon cancellation the BA messages will follow either offset or cancel model depending on how the collateral is cleared, similar to the cancel/amendment of a specific trade.
The status of allocations is indicated by the attribute 20012-TradeReportTransTyp of the collateral message.
Depending on the region of GC Trade, EU or U.S., either Offset or Cancel messaging models are used.
Messaging models
This section describes the Cancel/Correction messaging models and key message attributes and values for General Collateral Repos; applicable to both U.S. & EU GC Repos.
BrokerTec U.S. GC Repos
The Cancel/Correction of BrokerTec U.S. GC Repo trade follow the cancel model. Only the collateral messages (35-MsgType=BA) will be sent to client systems for these events.
Trade Capture Report (35-MsgType=AE) is not published to client systems upon Cancel/Correction of a BrokerTec U.S. GC Repo.
In this scenario, a BrokerTec U.S. GC Repo trade is executed for a quantity of 150. Then the trade is allocated with two collateral pieces of 75 each. After the allocation, the trade is completely canceled.
The following table describes key events and fields for this scenario:
Event | Message to Client Trade Capture Report(35=AE) Collateral Report (35=BA) | (AE)487-TradeReportTransType (BA)20012-CollateralReportTransType | (AE)1040-SecondaryTradeID (BA)1040-SecondaryTradeID | (BA)20048-CollateralAllocationID |
|---|---|---|---|---|
New Trade | Trade Capture Report | 487=0 (New) | 195C57E14E9DPQJG180 |
|
Collateral Report Shell | 20012=1 (Trade Registered) | 195C57E14E9DPQJG180 | 195C57E14E9DPQJG180 | |
Allocation of two Collateral pieces | Collateral Report - Piece 1 | 20012=2 (Allocation registered) | 195C57E14E9DPQJG180 | 195D1A77AD0HWT894C |
Collateral Report - Piece 2 | 20012=2 (Allocation registered) | 195C57E14E9DPQJG180 | 195D1A77AD0HWT8952 | |
Allocated Trade Cancelled | Collateral Report - Piece 1 | 20012=7 (Substitution/allocation cancelled) | 195C57E14E9DPQJG180 | 195D1A77AD0HWT894C |
Collateral Report - Piece 2 | 20012=7 (Substitution/allocation cancelled) | 195C57E14E9DPQJG180 | 195D1A77AD0HWT8952 |
BrokerTec U.S. GC Repo Sample messages
BrokerTec EU GC Repos
Cancel/Correction of BrokerTec EU GC Repo trade follow the Cancel or Offset message model depending on how the collateral is cleared. Clearing models are described in CME STP FIX - Post Trade Events - BrokerTec.
The following tables describe CME STP FIX messages, key events and fields for the scenarios below-listed.
Cancel a Fully Allocated EU GC Repo - Cancel Model
In this scenario, a BrokerTec U.S. GC Repo trade is executed for a quantity of 149. The trade is then allocated with three collateral pieces for quantity 49, 50 & 50 each. This trade is then completely canceled after the allocation.
Event | Message to Client Trade Capture Report(35=AE) Collateral Report(35=BA) | 487-TradeReportTransType 20012-CollateralReportTransType | 1040-SecondaryTradeID | 910-CollateralStatus | 20015-TradeCollateralStatus | 20048-CollateralAllocationID |
|---|---|---|---|---|---|---|
New Trade | Trade Capture Report | 487=0 (New) | 195C57E14E9DPQJG106 |
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|
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Collateral Report Shell | 20012=1 (Trade Registered) | 195C57E14E9DPQJG106 | 0 (unassigned) | 0 (unallocated) | 195C57E14E9DPQJG106 | |
Allocation of three collateral pieces | Collateral Report - Piece 1 | 20012=2 (Allocation registered) | 195C57E14E9DPQJG106 | 3 (assigned or accepted) | 2 (Partially Allocated) | 195CCA92F3ECP2TH50 |
Collateral Report - Piece 2 | 20012=2 (Allocation registered) | 195C57E14E9DPQJG106 | 3 (assigned or accepted) | 2 (Partially Allocated) | 195CCA92F3ECP2TH44 | |
Collateral Report - Piece 3 | 20012=2 (Allocation registered) | 195C57E14E9DPQJG106 | 3 (assigned or accepted) | 2 (Partially Allocated) | 195CCA92F3ECP2TH4A | |
Trade and its Allocations are Canceled | Trade Capture Report | 487=1 (Cancel) | 195C57E14E9DPQJG106 |
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Collateral Report Shell | 20012=6 (Trade is Cancelled) | 195C57E14E9DPQJG106 | 0 (unassigned) | 0 (unallocated) | 195C57E14E9DPQJG106 | |
Collateral Report - Piece 1 | 20012=7 (Substitution/allocation cancelled) | 195C57E14E9DPQJG106 | 1002 (Cancelled) | 2 (Partially Allocated) | 195CCA92F3ECP2TH50 | |
Collateral Report - Piece 3 | 20012=7 (Substitution/allocation cancelled) | 195C57E14E9DPQJG106 | 1002 (Cancelled) | 2 (Partially Allocated) | 195CCA92F3ECP2TH4A | |
Collateral Report - Piece 2 | 20012=7 (Substitution/allocation cancelled) | 195C57E14E9DPQJG106 | 1002 (Cancelled) | 2 (Partially Allocated) | 195CCA92F3ECP2TH44 |
The order of messages received by the client system is not guaranteed on the trade cancel report.
Client systems should use the IDs and status fields to process all messages related to the trade.
Cancel a Fully Allocated EU GC Repo - Cancel Model - Sample Messages
Cancel a Fully Allocated EU GC Repo - Offset Model
In the following scenario, a BrokerTec U.S. GC Repo buy trade is executed for a quantity of 149. The trade is then allocated with three collateral pieces for quantity 49, 50 & 50 buy each. After the allocation, the trade is completely cancelled.
Event | Message to Client Trade Capture Report(35=AE) Collateral Report(35=BA) | 487-TradeReportTransType 20012-CollateralReportTransType | 1040-SecondaryTradeID | 910-CollateralStatus 20015-TradeCollateralStatus | 20048-CollateralAllocationID | 20051-OrigCollateralAllocationID |
|---|---|---|---|---|---|---|
New Trade | Trade Capture Report | 487=0 (New) | 195C57E14E9DPQJGCE |
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Collateral Report Shell | 20012=1 (Trade Registered) | 195C57E14E9DPQJGCE | 910=0 (unassigned) 20015=0 (unallocated) | 195C57E14E9DPQJGCE |
| |
Allocation of three collateral pieces | Collateral Report | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH2E |
|
Collateral Report | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH34 |
| |
Collateral Report | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH3A |
| |
Trade and its Allocations are Canceled | Trade Capture Report | 487=1 (Cancel) | 195C57E14E9DPQJGCE |
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Collateral Report Shell | 20012=6 (Trade is Canceled) | 195C57E14E9DPQJGCE | 910=0 (unassigned) 20015=0 (unallocated) | 195C57E14E9DPQJGCE |
| |
Offsetting collateral reports for each allocated piece. With tag 54-Side indicating the offset | Collateral Report - Piece 1 | 20012=8 (Replace) | 195C57E14E9DPQJGCE | 910=1002 (Cancelled) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH2E |
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Collateral Report - Piece 1 | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195C55789AA0001DDEA4 | 195CCA92F3ECP2TH2E | |
Collateral Report - Piece 2 | 20012=8 (Replace) | 195C57E14E9DPQJGCE | 910=1002 (Cancelled) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH34 |
| |
Collateral Report - Piece 2 | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195C55789AA0001DDEB4 | 195CCA92F3ECP2TH34 | |
Collateral Report - Piece 3 | 20012=8 (Replace) | 195C57E14E9DPQJGCE | 910=1002 (Cancelled) 20015=2 (Partially Allocated) | 195CCA92F3ECP2TH3A |
| |
Collateral Report - Piece 3 | 20012=2 (Allocation registered) | 195C57E14E9DPQJGCE | 910=3 (assigned or accepted) 20015=2 (Partially Allocated) | 195C55789AA0001DDEC2 | 195CCA92F3ECP2TH3A |
The order of messages received by the client system is not guaranteed on the trade cancel report.
Client systems should use the IDs and status fields to process all messages related to the trade.
Cancel a Fully Allocated EU GC Repo - Offset Model - Sample Messages
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