CME STP FIXML - Cancel and Correction - GC Repos

This section describes the Top Day Cancel/Correction post trade events for General Collateral Repo instruments

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.

Trade Cancel and Correction can only be initiated by a BrokerTec client calling the GCC.

Overview

General Collateral (GC) trades can be cancelled or amended like any other trades. 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 Global Command Center (GCC) or customers after amendment.
All allocations are linked to their parent GC trade but no linking of cancelled to replacement allocations is provided.
Offset allocations are created for CCPs using the EU offset model (Offsets are not created for shell trades as they are not submitted for clearing)
Status of allocations is indicated by attribute @TransTyp of /CollRpt message.
Depending on the region of GC Trade, EU or US, either Offset or Cancel message models are used.

For US Repos Only:

When an allocated (with one or more pieces of collateral) GC Trade is cancelled:
- Trade Capture Report (/TrdCaptRpt) is not published.
- Collateral message(s) (/CollRpt) are published with:
  - @Stat=1002 (Cancelled) and
  - @TransTyp=7 (Substitution/allocation cancelled)
When one or more of the allocated pieces of a GC Trade is cancelled, one or more Collateral message(s) will be published with:
- @Stat=1002 (Cancelled) and
- @TransTyp=7 (Substitution/allocation cancelled)

Messaging models

This section describes the Cancel/Correction messaging models and key message attributes and values for General Collateral Repos. Applicable to both US & EU GC Repos.

Cancel Model

This table describes the Trade capture & Collateral messages and their key tag’s and values for Cancel model scenario.

Event	Message (/TrdCaptRpt) (/CollRpt)	/TrdCaptRpt/@TransTyp /CollRpt/@TransTyp	@TrdID2	@OrigTrdID	@PackageID	@CollID	Description

Event	Message (/TrdCaptRpt) (/CollRpt)	/TrdCaptRpt/@TransTyp /CollRpt/@TransTyp	@TrdID2	@OrigTrdID	@PackageID	@CollID	Description
General Collateral Amend then Cancel	TradeCaptureReport-0	0=New	ABC123				Original Trade
	CollateralReport-0	1=Trade registered	ABC123			ABC123	Collateral shell
	CollateralReport-1	2=Allocation registered	ABC123	ABC123		ABC124	Allocation Created
	CollateralReport-2	2=Allocation registered	ABC123			ABC125	Allocation Created
	CollateralReport-3	7 - Substitution/allocation cancelled	ABC123			ABC124	Allocation cancelled
	CollateralReport-4	7 - Substitution/allocation cancelled	ABC123			ABC125	Allocation cancelled
	TradeCaptureReport-1	1=Trade registered	ABC123		BCD234		Cancel original trade (Not published for US GC Repos)
	CollateralReport-5	6 - Trade is cancelled	ABC123			ABC123	Cancel shell
	TradeCaptureReport-2	0	BCD234	ABC123			Replacement trade (Not published for US GC Repos)
	CollateralReport-6	1 - Trade registered	BCD234			BCD234	Replacement shell
	CollateralReport-7	2 - Allocation registered	BCD234			BCD235
	CollateralReport-8	2 - Allocation registered	BCD234			BCD236
	TradeCaptureReport-3	1 - Trade registered	BCD234	ABC123			Cancel Amended trade (Not published for US GC Repos)
	CollateralReport-9	6 - Trade is cancelled	BCD234			BCD234	Cancel replacement shell
	CollateralReport-10	7 - Substitution/allocation cancelled	BCD234			BCD235	Cancel Allocation
	T CollateralReport-8radeCaptureReport-11	7 - Substitution/allocation cancelled	BCD234			BCD236	Cancel Allocation

Offset Model Scenarios

General Collateral Amend

This table describes the Trade capture and Collateral messages and their key tag’s and values for Offset model scenario.

Event	Message (/TrdCaptRpt) (/CollRpt)	/TrdCaptRpt/@TransTyp /CollRpt/@TransTyp	@TrdID2	@OrigTrdID	@PackageID	@CollID	Description
New Trade with two collateral allocations	TradeCaptureReport-0	0=New	ABC123				Original Trade
	CollateralReport-0	1=Trade registered	ABC123			ABC123	Collateral shell
	CollateralReport-1	2=Allocation registered	ABC123	ABC123		ABC124	Allocation Created
	CollateralReport-2	2=Allocation registered	ABC123			ABC125	Allocation Created
Trade amend	CollateralReport-3	2=Allocation registered	ABC123			ABC126	Allocation offset
	CollateralReport-4	2=Allocation registered	ABC123			ABC127	Allocation offset
	TradeCaptureReport-1	2=Replace	ABC123				Update original trade
	TradeCaptureReport-2	2=Replace	BCD234	ABC123			Replacement trade
	CollateralReport-5	1 - Trade registered	BCD234			BCD234	Replacement shell
	CollateralReport-6	2 - Allocation registered	BCD234			BCD235
	CollateralReport-7	2 - Allocation registered	BCD234			BCD236

General Collateral Cancel

Event	Message (/TrdCaptRpt) (/CollRpt)	/TrdCaptRpt/@TransTyp /CollRpt/@TransTyp	@TrdID2	@CollStatus	@CollID	Description

Event	Message (/TrdCaptRpt) (/CollRpt)	/TrdCaptRpt/@TransTyp /CollRpt/@TransTyp	@TrdID2	@CollStatus	@CollID	Description
New Trade with Collateral Allocation	TradeCaptureReport-0	0=New	ABC123			Original Trade
	CollateralReport-0	1=Trade registered	ABC123	0=Unassigned	ABC123	Collateral shell
	CollateralReport-1	2=Allocation registered	ABC123	3=Assigned	ABC124	Allocation Created
Cancel Original Trade	CollateralReport-2	8=Replace	ABC123	1002=Substituted	ABC124	Collateral to be Cancelled
	TradeCaptureReport-1	1=Cancel	ABC123			Trade Cancelled
	CollateralReport-3	2=Allocation registered	ABC123	3=Assigned	ABC125	Offset Allocation
	CollateralReport-4	6=Trade is Cancelled	ABC123	0=Unassigned	ABC126	Collateral Cancelled