The BrokerTec European Repo VWAP File provides volume weighted average prices (VWAP) for each ISIN traded in the O/N, T/N and S/N Terms. with daily volume traded as a weighted average over a 20-day period.

BrokerTec is the leading electronic interdealer platform for trading Repo in Europe. The platform offers unparalleled liquidity in a full range of Repo products across Europe, including Specifics, General Collateral (GC) and Sterling Delivery-by-Value (DBV). These are made up of Classic Repos, Buy/Sell Backs, and Floating versus EONIA in the French market.

Contents

1 Dates Available
2 Instrument Definition
3 FAQ

Other Datasets

Resources

Dates Available

BTEC EU Repo VWAP Historical data is available from January 2, 2001 to present day.

Instrument Definition

The tables below will help define the Clearing House & “Instrument” Field in the BrokerTec European Repo VWAP File:

Note: This content includes new naming conventions on some Repo Instruments, as of June 3, 2019 trade date.

Austria, Belgium, Finland, Ireland, Netherlands, Portugal	GC_COUNTRY NAME_BASKET CRITERIA	LCHSA
	GC_BIL_COUNTRY NAME_BASKET CRITERIA	Bilateral
France	GC_FRANCE_BASKET CRITERIA	All baskets are LCH SA
Germany	GC_SA_GERMAN_BASKET CRITERIA	LCHSA
Germany	GC_BIL_GERMAN_BASKET CRITERIA	Bilateral
UK Gilts	GC_GILT_LCH_BASKET CRITERIA or DBV_LCH	LCH LTD
UK Gilts	GC_GILT_BIL_BASKET CRITERIA or DBV_BIL	Bilateral
Italy	GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_	LCHSA
Italy	GC_ITALY_BILBASKET CRITERIA	Bilateral
Spain	GC_SA_SPAIN_BASKET CRITERIA	LCHSA
Spain	GC_SPAIN_BSB_BASKET CRITERIA	Bilateral
All Currencies	_SUB_5YR	Bonds/Bills with a maximum maturity of 5 Years
	_SUB_10YR	Bonds/Bills with a maximum maturity of 10 Years
	_SUB_15YR	Bonds/Bills with a maximum maturity of 15 Years
	_SUB_20YR	Bonds/Bills with a maximum maturity of 20 Years
	_SUB_30YR	Bonds/Bills with a maximum maturity of 30 Years
	_LINK_	Overnight Index Linked repos
	_NO_LINKERS	Does not include overnight Index Linked repos
	GC_SA_EU	European Crop LCH SA
	_INCL_FRNS	FRNs included
	_NO_BILLS	Basket does not include Bills
	BTF	French Fixed rate short term discount bills
	BUBILL	German discount bills
	CCT	Common Customs Tariff
	BSB	Spanish Buy-sell back transaction
	LETRAS	Spanish short-term fixed income instruments
	BTPS	Government securities indexed to Italian rate of inflation

Austria, Belgium, Finland, Ireland, Netherlands, Portugal	BIL_	Bilateral
	SA_	LCH SA
France	SA_ (No Bilateral Markets)	LCH SA
	SA_ESTR_	Floating Rate - fixed vs ESTR each day
	SA_FIXED_BTF	Fixed rate short term discount bills
Germany	BIL_	Bilateral
Germany	SA_	LCH SA
UK GILTS	LTD_	LCH Ltd.
	BIL_	Bilateral
	DBV_	Delivery-by-Value
Italy	SA_	LCH SA
Spain	BIL_BSB_	Bilateral
Spain	SA_BSB	LCH SA

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Sample Files

Dataset	Sample File (.CSV)

Dataset	Sample File (.CSV)
BrokerTec EuroRepo EOD	3/10/2022

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FAQ

What is the BrokerTec European Repo VWAP Data File Structure?

Eurpoean Repo VWAP File Content

Eurpoean Repo VWAP File Content
Title	Description
Business Date	Date of update: dd/mm/yyyy
Instrument	See Instrument Definition Table.
Term Code	O=Overnight, T-N=Tom Next, S-N=Spot Next, S-M = Spot Month; C=Calendar Week; C-xW = Calendar week specific to 2W or 3W. (Some dated Repo will have C-date to show a specific term date)
Start Date	Start Date of Instrument
End Date	End Date of Instrument
ISIN	ISIN Code for Security
WTD Rate	Weighted Average*
20 Day Avg Vol	Volume (in Millions) traded as a weighted average over 20 days
Low	Low
High	High
Last	Last
CCY	Currency

* Weighted Average Rate is calculated based on completed repo trades that occurred during that day, starting at the EU Repo Market Open to EU Repo Market close (London time).

How many files are available per day?

1 individual file is available daily

What time are the files available each day on DataMine?

Approximately 12:35 EST.

What Repo terms are available?

O = Overnight; T-N = Tom Next; S-N = Spot Next; S-M = Spot Month; C-Calendar Week; C-xW = Calendar week specific to 2W or 3W. (Some dated Repo will have C-date to show a specific term date).

Do you have sample files available?

Yes, see the Sample Files section above.

Are there any anomalies in the data?

Please see the notes below regarding any changes to the historical data:

June 3, 2019 - Market naming convention changes on Specific and GC Repo Clearing House & Instruments:

Prior to June 3, 2019	As of June 3, 2019

Prior to June 3, 2019	As of June 3, 2019
R_	LTD_
R_LCH_	LTD_
LCH_	LTD_
GC_LCH_	GC_LTD_
DBV_LCH_TERM	DBV_LTD_TERM
CNET_	SA_
GC_CNET_	GC_SA_
GC_ITALY_CCP_	GC_SA_ITALY_
GC_IT_CCP	GC_SA_IT_
BSB_SPGB_	BIL_BSB_SPGB_
BSB_SGLT_	BIL_BSB_SGLT_
EO_BTF_	SA_EO_BTF_
EO_OAT_	SA_EO_OAT_
FIXED_BTF_	SA_FIXED_BTF_
FIXED_OAT_	SA_FIXED_OAT_
BSB_CNET_SPGB_	BSB_SA_SPGB_
BSB_CNET_SGLT_	BSB_SA_SGLT_

September 1, 2020 - Volume field was changed to reflect a 20-day average volume from a daily volume.
January 18, 2021 – Migration of BTEC EU to CME Globex.

Format changes:

csv file no longer has commas if the value is greater than or equal to 1000
csv file no longer has quotations on the values
xls file no longer has a blank line at the top of the file.
xls file no longer has the footer line at the bottom of the file.
xls file headers no longer be in bold type.
20-Day Avg Vol column header will have an uppercase ‘D’, instead of lowercase “d”.

Calculation changes:

As of January 18, 2021, the processing for 20-day Average Volume, looks back 20 weekdays. If there are no trades for any EU Repos on a given day, that day will be excluded from the calculation. For example, if there is a European bank holiday resulting in no EU Repo trades on one of the 20 days, the average will be over 19 days (sum(volume)/19). If a particular instrument/term combination has no volume on a given day, but that day does have trades in other instruments, then it is treated as zero volume for that day when computing the average.
Prior to the Migration on January 18, 2021, the 20-day Average Volume looked back 20 working days and excluded target bank holidays. For example, if there was a bank holiday in the past four weeks it would look back one extra working day. The 20-Day volume was the sum of the volume for each instrument/term divided by 20. If a particular instrument/term combination had no volume on a given business day, it was treated as zero volume for that day when computing the average.

What format is the file delivered in?

Data is provided in .csv format (comma separated values)

Are files compressed?

No, files are in .csv format.

What is the source of data?

The source of data is BrokerTec and MTS (Italian Repo).

What countries are included in the file?

Austria, Belgium, Finland, Ireland, Netherlands, Portugal, France, Germany, UK, Italy, Spain

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CME Group Client Systems Wiki

BrokerTec EU Repo VWAP

Dates Available

Instrument Definition

FAQ