CME STP FIXML - GC Repos - Allocation and Substitution

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

1 Introduction
2 Trade Allocation and Substitution - One Piece
3 Trade Allocation and Substitution - Two Pieces

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 FIXML will publish Trade Capture Report (/TrdCaptRpt) & Shell Collateral Report message (/CollRpt) upon initial trade and Collateral Report messages (/CollRpt) 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.

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

Trade Allocation and Substitution - One Piece

The 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 FIXML attributes and their values.

Client systems can use @TrdID2 attribute to link messages together across the lifecycle of GC trade.

Initial Trade and Collateral Shell

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

Action	MsgType	@TrdID2	/TrdCaprtRpt/@LastQty /CollRpt/@Qty	@TransTyp	@Stat	@TrdCollStat	@CollID	@OrigCollID	@CollNo	@OrigCollNo	@SubInd	@SubRmng
Trade
	Trade Capture Report (/TrdCaptRpt)	195100085355B6VP210A	500	-	-	-	-	-	-	-	-	-
	CollateralReport (/CollRpt) Collateral Shell	195100085355B6VP210A	500	1-Trade Reg	0-Unassigned	0-Unallocated	195100085355B6VP210A	-	-	-	-	-

Trade
<TrdCaptRpt RptID="195100085355B6VP210810634695207053422" TrdID="504956" TrdID2="195100085355B6VP210A" TransTyp="0" RptTyp="101" TrdRptStat="0" ReqID="XOXOXO" TrdTyp="0" MtchID="421175572" LinkID="710565042" ExecID="4245:M:428TN1429895" PxTyp="9" VenuTyp="E" LastQty="500" LastPx="3.300000000" TrdDt="2025-02-20" BizDt="2025-02-20" MLegRptTyp="1" TxnTm="2025-02-20T16:31:48.150429730Z" SettlDt="2025-02-20" LastUpdateTm="2025-02-20T16:31:48.809000000Z" Clrd="1" SplitInd="N" SettlTrdID="G0000250085" DealID="250085" TrdNum="81429895" LastMkt="BTEC">
<Instrmt Sym="UTGC3:FFS7PYCOLIT5" ID="UTGC3" Src="H" SecTyp="REPO" SubTyp="GC" Exch="BTUS" Desc="GC&lt;3Y C-1Y 5R" PxQteCcy="USD" GUID="186441429435130493">
      <AID AltID="371488AG2" AltIDSrc="1"></AID>
</Instrmt>
<FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
<RptSide Side="1" ClOrdID="GN00008000IASCA51925" InptSrc="GLBX" AgrsrInd="N" OrdID="4292064219">
     <Pty ID="FIRM" Src="D" R="1">
         <Sub ID="TEST" Typ="5"></Sub>
         <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
     </Pty>
     <Pty ID="test" Src="C" R="7"></Pty>
     <Pty ID="FICC" Src="C" R="21"></Pty>
     <Pty ID="AAAA" R="44"></Pty>
     <Pty ID="7ZE" R="55"></Pty>
     <Pty ID="testparty" Src="D" R="79"></Pty>
     <TrdRegTS TS="2025-02-20T16:31:48.150429730Z" Typ="1"></TrdRegTS>
</RptSide>
</TrdCaptRpt>
Collateral Shell
<CollRpt RptID="195100085355B6VP210810634695207053422" ReqID="XOXOXO" CollID="195100085355B6VP210A" TxnTm="2025-02-20T16:31:48.150429730Z" LastUpdateTm="2025-02-20T16:31:48.809000000Z" TransTyp="1" Stat="0" TrdCollStat="0" TrdID2="195100085355B6VP210A" Qty="500" Side="1" Px="3.300000000" BizDt="2025-02-20" TrdDt="2025-02-20" SettlTrdID="G0000250085" LastMkt="BTEC">
    <Pty ID="FIRM" Src="D" R="1">
        <Sub ID="TEST" Typ="5"></Sub>
        <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
    </Pty>
    <Pty ID="test" Src="C" R="7"></Pty>
    <Pty ID="FICC" Src="C" R="21"></Pty>
    <Instrmt Sym="UTGC3:FFS7PYCOLIT5" ID="UTGC3" Src="H" SecTyp="REPO" Desc="GC&lt;3Y C-1Y 5R" GUID="186441429435130493"></Instrmt>
    <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
</CollRpt>

Full Trade Allocation

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

Action

MsgType

@TrdID2

/TrdCaprtRpt/@LastQty /CollRpt/@Qty

@TransTyp

@Stat

@TrdCollStat

@CollID

@OrigCollID

@CollNo

@OrigCollNo

@SubInd

@SubRmng

Full Allocation

CollateralReport (/CollRpt)

195100085355B6VP210A

500

2-Alloc Reg

3-Assigned

2-Fully Allocated

19518E39CACNM75M3E

-

1

-

2-Original

5

Fully allocated to "3_1/2_01/28" instrument.
<CollRpt RptID="19518E39CACNM75M3E10663506202713271" ReqID="XOXOXO" CollID="19518E39CACNM75M3E" CollNo="1" TxnTm="2025-02-20T17:19:49.280316950Z" LastUpdateTm="2025-02-20T17:19:49.908000000Z" TransTyp="2" Stat="3" TrdCollStat="2" MaxColl="10" TrdID2="195100085355B6VP210A" Qty="500" Side="1" Px="97.75" DirtPx="97.875" AcrdIntAmt="0" StartCsh="489375000.00" EndCsh="505614093.75" TotStartCsh="489375000.00" TotEndCsh="505614093.75" BizDt="2025-02-20" TrdDt="2025-02-20" SubInd="2" SubRmng="5" SettlTrdID="G0000250085" LastMkt="BTEC">
      <Pty ID="ATRXU" Src="D" R="1">
         <Sub ID="TEST ATRXU" Typ="5"></Sub>
         <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
      </Pty>
      <Pty ID="atrxu_testatrxu" Src="C" R="7"></Pty>
      <Pty ID="FICC" Src="C" R="21"></Pty>
      <Instrmt ID="91282CGH8" Src="1" SecTyp="TNOTE" Desc="3_1/2_01/28" GUID="545153037658485119"></Instrmt>
      <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
      <ReltdInstrmt Src="1" Sym="UTGC3:FFS7PYCOLIT5" ID="371488AG2" SecTyp="GC" GUID="186441429435130493"></ReltdInstrmt>
</CollRpt>

Collateral Substitution (U.S. Repo, only)

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

Action

MsgType

@TrdID2

/TrdCaprtRpt/@LastQty /CollRpt/@Qty

@TransTyp

@Stat

@TrdCollStat

@CollID

@OrigCollID

@CollNo

@OrigCollNo

@SubInd

@SubRmng

Substitution of Collateral

CollateralReport (/CollRpt)

195100085355B6VP210A

500

3-Sub Reg

3-Assigned

2-Fully Allocated

19518E39CACNM75M62

19518E39CACNM75M3E

2

1

3-Substitution

4

Collateral "3_1/2_01/28" is substituted with "3_7/8_12/27"
<CollRpt RptID="19518E39CACNM75M6211488300130824461" ReqID="XOXOXO" CollID="19518E39CACNM75M62" CollNo="2" OrigCollID="19518E39CACNM75M3E" OrigCollNo="1" TxnTm="2025-02-21T16:05:14.862788243Z" LastUpdateTm="2025-02-21T16:05:15.451000000Z" TransTyp="3" Stat="3" TrdCollStat="2" MaxColl="10" TrdID2="195100085355B6VP210A" Qty="500" Side="1" Px="98.90625" DirtPx="99.375" AcrdIntAmt="44859.38" StartCsh="496875000.00" EndCsh="513362281.25" TotStartCsh="496875000.00" TotEndCsh="513362281.25" BizDt="2025-02-21" TrdDt="2025-02-21" SubInd="3" SubRmng="4" SettlTrdID="G0000250085" LastMkt="BTEC">
    <Pty ID="FIRM" Src="D" R="1">
       <Sub ID="TEST" Typ="5"></Sub>
       <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
    </Pty>
    <Pty ID="test" Src="C" R="7"></Pty>
    <Pty ID="FICC" Src="C" R="21"></Pty>
    <Instrmt ID="91282CGC9" Src="1" SecTyp="TNOTE" Desc="3_7/8_12/27" GUID="735965567852760966"></Instrmt>
    <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
    <ReltdInstrmt Src="1" Sym="UTGC3:FFS7PYCOLIT5" ID="371488AG2" SecTyp="GC" GUID="186441429435130493"></ReltdInstrmt>
    <ReltdInstrmt Src="1" ID="91282CGH8" SecTyp="SUB" GUID="545153037658485119"></ReltdInstrmt>
</CollRpt>

Trade Allocation and Substitution - Two Pieces

The below example is an initial GC Repo trade for quantity 500 with Collateral Shell with 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 FIXML attributes and their values.

Client systems can use @TrdID2 attribute to link messages together across the lifecycle of GC trade.

Initial Trade and Collateral Shell

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

Action	MsgType	@TrdID2	/TrdCaprtRpt/@LastQty /CollRpt/@Qty	@TransTyp	@Stat	@TrdCollStat	@CollID	@OrigCollID	@CollNo	@OrigCollNo	@SubInd	@SubRmng
Trade
	Trade Capture Report (/TrdCaptRpt)	195100085355B6VP2114	500	-	-	-	-	-	-	-	-	-
	CollateralReport (/CollRpt) Collateral Shell	195100085355B6VP2114	500	1-Trade Reg	0-Unassigned	0-Unallocated	195100085355B6VP210A	-	-	-	-	-

Trade Capture Report
<TrdCaptRpt RptID="195100085355B6VP211210656596982960472" TrdID="504958" TrdID2="195100085355B6VP2114" TransTyp="0" RptTyp="101" TrdRptStat="0" ReqID="XOXOXO" TrdTyp="0" MtchID="421175582" LinkID="710565047" ExecID="4245:M:448TN1429910" PxTyp="9" VenuTyp="E" LastQty="500" LastPx="3.300000000" TrdDt="2025-02-20" BizDt="2025-02-20" MLegRptTyp="1" TxnTm="2025-02-20T16:59:04.480567367Z" SettlDt="2025-02-20" LastUpdateTm="2025-02-20T16:59:05.136000000Z" Clrd="1" SplitInd="N" SettlTrdID="G0000250086" DealID="250086" TrdNum="81429910" LastMkt="BTEC">
<Instrmt Sym="UTGC3:FFS7PYCOLIT5" ID="UTGC3" Src="H" SecTyp="REPO" SubTyp="GC" Exch="BTUS" Desc="GC&lt;3Y C-1Y 5R" PxQteCcy="USD" GUID="186441429435130493">
   <AID AltID="371488AG2" AltIDSrc="1"></AID>
</Instrmt>
<FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
<RptSide Side="1" ClOrdID="GN00009000IASCA51925" InptSrc="GLBX" AgrsrInd="N" OrdID="4292064236">
    <Pty ID="FIRM" Src="D" R="1">
        <Sub ID="TEST" Typ="5"></Sub>
        <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
    </Pty>
    <Pty ID="test" Src="C" R="7"></Pty>
    <Pty ID="FICC" Src="C" R="21"></Pty>
    <Pty ID="ASCA5" R="44"></Pty>
    <Pty ID="7ZE" R="55"></Pty>
    <Pty ID="111" Src="D" R="79"></Pty>
<TrdRegTS TS="2025-02-20T16:59:04.480567367Z" Typ="1"></TrdRegTS>
</RptSide>
</TrdCaptRpt>

Collateral Report Shell
<CollRpt RptID="195100085355B6VP211210656596982960472" ReqID="XOXOXO" CollID="195100085355B6VP2114" TxnTm="2025-02-20T16:59:04.480567367Z" LastUpdateTm="2025-02-20T16:59:05.136000000Z" TransTyp="1" Stat="0" TrdCollStat="0" TrdID2="195100085355B6VP2114" Qty="500" Side="1" Px="3.300000000" BizDt="2025-02-20" TrdDt="2025-02-20" SettlTrdID="G0000250086" LastMkt="BTEC">
   <Pty ID="FIRM" Src="D" R="1">
       <Sub ID="TEST" Typ="5"></Sub>
       <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
   </Pty>
   <Pty ID="test" Src="C" R="7"></Pty>
   <Pty ID="FICC" Src="C" R="21"></Pty>
   <Instrmt Sym="UTGC3:FFS7PYCOLIT5" ID="UTGC3" Src="H" SecTyp="REPO" Desc="GC&lt;3Y C-1Y 5R" GUID="186441429435130493"></Instrmt>
   <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
</CollRpt>

Full Trade Allocation

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

Action

MsgType

@TrdID2

/TrdCaprtRpt/@LastQty /CollRpt/@Qty

@TransTyp

@Stat

@TrdCollStat

@CollID

@OrigCollID

@CollNo

@OrigCollNo

@SubInd

@SubRmng

Full Allocation

CollateralReport (/CollRpt)

195100085355B6VP2114

500

2-Alloc Reg

3-Assigned

2-Fully Allocated

19518E39CACNM75M48

-

1

-

2-Original

5

Fully allocated to "3/4_01/28" instrument.
<CollRpt RptID="19518E39CACNM75M4810669658159910201" ReqID="XOXOXO" CollID="19518E39CACNM75M48" CollNo="1" TxnTm="2025-02-20T17:20:50.718483354Z" LastUpdateTm="2025-02-20T17:20:51.254000000Z" TransTyp="2" Stat="3" TrdCollStat="2" MaxColl="10" TrdID2="195100085355B6VP2114" Qty="500" Side="1" Px="90.265625" DirtPx="90.25" AcrdIntAmt="0" StartCsh="451250000.00" EndCsh="466223979.17" TotStartCsh="451250000.00" TotEndCsh="466223979.17" BizDt="2025-02-20" TrdDt="2025-02-20" SubInd="2" SubRmng="5" SettlTrdID="G0000250086" LastMkt="BTEC">
    <Pty ID="FIRM" Src="D" R="1">
        <Sub ID="TEST" Typ="5"></Sub>
        <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
    </Pty>
    <Pty ID="test" Src="C" R="7"></Pty>
    <Pty ID="FICC" Src="C" R="21"></Pty>
    <Instrmt ID="91282CBJ9" Src="1" SecTyp="TNOTE" Desc="3/4_01/28" GUID="309142679242227690"></Instrmt>
    <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
    <ReltdInstrmt Src="1" Sym="UTGC3:FFS7PYCOLIT5" ID="371488AG2" SecTyp="GC" GUID="186441429435130493"></ReltdInstrmt>
</CollRpt>

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.

Action

MsgType

@TrdID2

/TrdCaprtRpt/@LastQty /CollRpt/@Qty

@TransTyp

@Stat

@TrdCollStat

@CollID

@OrigCollID

@CollNo

@OrigCollNo

@SubInd

@SubRmng

Allocation Split

CollateralReport (/CollRpt)

195100085355B6VP2114

200

3-Sub Reg

3-Assigned

2-Fully Allocated

1952943E1F0LD8W410

19518E39CACNM75M48

2

1

4-Remaining

5

CollateralReport (/CollRpt)

195100085355B6VP2114

300

3-Sub Reg

3-Assigned

2-Fully Allocated

1952943E1F0LD8W4C

19518E39CACNM75M48

3

1

3-Substitution

4

Quanity 200 allocated to "3/4_01/28"
<CollRpt RptID="1952943E1F0LD8W41011490713622349541" ReqID="XOXOXO" CollID="1952943E1F0LD8W410" CollNo="2" OrigCollID="19518E39CACNM75M48" OrigCollNo="1" TxnTm="2025-02-21T16:09:14.734829003Z" LastUpdateTm="2025-02-21T16:09:16.800000000Z" TransTyp="3" Stat="3" TrdCollStat="2" MaxColl="10" TrdID2="195100085355B6VP2114" Qty="200" Side="1" Px="90.265625" DirtPx="90.25" AcrdIntAmt="0.00" StartCsh="180500000.00" EndCsh="186489591.67" TotStartCsh="478625000.00" TotEndCsh="494504863.55" BizDt="2025-02-21" TrdDt="2025-02-21" SubInd="4" SubRmng="5" SettlTrdID="G0000250086" LastMkt="BTEC">
   <Pty ID="FIRM" Src="D" R="1">
       <Sub ID="TEST" Typ="5"></Sub>
       <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
   </Pty>
   <Pty ID="test" Src="C" R="7"></Pty>
   <Pty ID="FICC" Src="C" R="21"></Pty>
   <Instrmt ID="91282CBJ9" Src="1" SecTyp="TNOTE" Desc="3/4_01/28" GUID="309142679242227690"></Instrmt>
   <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
   <ReltdInstrmt Src="1" Sym="UTGC3:FFS7PYCOLIT5" ID="371488AG2" SecTyp="GC" GUID="186441429435130493"></ReltdInstrmt>
   <ReltdInstrmt Src="1" ID="91282CBJ9" SecTyp="SUB" GUID="309142679242227690"></ReltdInstrmt>
</CollRpt>

Quantity 300 allocated to "3_7/8_12/27"
<CollRpt RptID="1952943E1F0LD8W4C11490710226387551" ReqID="XOXOXO" CollID="1952943E1F0LD8W4C" CollNo="3" OrigCollID="19518E39CACNM75M48" OrigCollNo="1" TxnTm="2025-02-21T16:09:14.722047006Z" LastUpdateTm="2025-02-21T16:09:16.461000000Z" TransTyp="3" Stat="3" TrdCollStat="2" MaxColl="10" TrdID2="195100085355B6VP2114" Qty="300" Side="1" Px="98.90625" DirtPx="99.375" AcrdIntAmt="24818.75" StartCsh="298125000.00" EndCsh="308015271.88" TotStartCsh="478625000.00" TotEndCsh="494504863.55" BizDt="2025-02-21" TrdDt="2025-02-21" SubInd="3" SubRmng="4" SettlTrdID="G0000250086" LastMkt="BTEC">
    <Pty ID="FIRM" Src="D" R="1">
        <Sub ID="TEST" Typ="5"></Sub>
        <Sub ID="549300WDHFFVVRXEES11" Typ="84"></Sub>
    </Pty>
    <Pty ID="atrxu_testatrxu" Src="C" R="7"></Pty>
    <Pty ID="FICC" Src="C" R="21"></Pty>
    <Instrmt ID="91282CGC9" Src="1" SecTyp="TNOTE" Desc="3_7/8_12/27" GUID="735965567852760966"></Instrmt>
    <FinDetls StartDt="2025-02-20" EndDt="2026-02-17"></FinDetls>
    <ReltdInstrmt Src="1" Sym="UTGC3:FFS7PYCOLIT5" ID="371488AG2" SecTyp="GC" GUID="186441429435130493"></ReltdInstrmt>
    <ReltdInstrmt Src="1" ID="91282CBJ9" SecTyp="SUB" GUID="309142679242227690"></ReltdInstrmt>
</CollRpt>