This page describes BrokerTec European Repo Trade data available from CME DataMine.

BrokerTec European Repo Trade data is sourced directly from CME’s BrokerTec EU Repo trading platform, offering unparalleled liquidity in a full range of Repo Products across Europe, including Specifics, General Collateral (GC) and Sterling Delivery-by-Value (DBV).

Note

The BrokerTec European Repo Trade files are available for bulk history purchases, per month of data, on a month delay; for example, if the current date is May 15, and I wanted a month of data, I would receive the history for March 15 – April 15.

The data can be used for data analysis, market insight into past behavior of EU Repo Markets, and back testing to aid in potentially trading a given market.

Dates Available

BrokerTec EU Repo Trades files start on January 2, 2003.

Sample Files

DatasetSample File
Pre-migration 1/11/2021
Post-migration 1/13/2023

Layout Guides

Data File Structure

BROKERTEC EU REPO TRADES FIELD LIST Post-Migration (after January 18, 2021)
FieldDescription
Timestamp

Date & Time of Trade UTC (yyyy-mm-dd hh:mm:ss)

InstrumentSecurity description, coupon, maturity month and year
ISINInstrument Identification number
Start DateStart Date of Instrument
End DateEnd Date of Instrument
TermO=Overnight, T-N=Tom Next, S-N=Spot Next, Dated Repo will have C-Date, S-M=Spot Month, C=Calendar Week, C-XW=Calendar Week specific to 2W or 3W
CountrySpecific country; AT=Austria, BE=Belgium, DE=Germany, ES=Spain, FI=Finland, FR=France, IE=Ireland, IT=Italy, NL=Netherlands, GB=Great Britain, PT=Portugal, SI=Slovenia 
MarketMIC Codes:  BTAM=CME Amsterdam B.V; BTEE=BrokerTec Europe Limited 
Instrument GroupType of Repo (please refer to instrument group list)
PriceDeal Price
VolumeQuantity of Trade
Aggressive1=yes, 0=no
Bid or AskSide: B=Bid; A=Ask
BROKERTEC EU REPO TRADES FIELD LIST Pre-Migration (before January 18, 2021)
FieldDescription
TimestampDate & Time of Trade UTC (yyyy-mm-dd Thh:mm:ss ± UTC offset)
InstrumentSecurity description, coupon, maturity month and year
ISIN

Instrument Identification number

Start DateStart Date of Instrument
End DateEnd Date of Instrument
TermO=Overnight, T-N=Tom Next, S-N=Spot Next, Dated Repo will have C-Date, S-M=Spot Month, C=Calendar Week, C-XW=Calendar Week specific to 2W or 3W
Country25=Europe 
Market

See Market Definition list

Instrument GroupType of Repo (please refer to instrument group list)
PriceDeal Price
VolumeQuantity of Trade
Aggressive1=yes, 0=no
Bid or AskSide: B=Bid; A=Ask

Instrument Group List

Instrument Group (post migration, after January 18, 2021)DescriptionInstrument Group (Pre-migration, before January 18, 2021)
ATGSAAUSTRIA GC SA42/44
BEBUSA

Belgian Special CCP Repo Bills

44
BEDUSA

Belgian Special CCP Repo Bonds

44

BEGSABELGIUM GC SA42
DEBUSAGerman Special CCP Repo Bills44
EGSA10SPAIN GC SA SUB 10YR45
EUDCSAEuropean Corp LCH Ltd Repo Bonds 44
FGC10

FRANCE GC FIXED SUB 10YR

42

FGC30FRANCE GC FIXED SUB 30YR42
FIBUSA

Finnish Special Repo Bills SA

44
FIDUSA

Finnish Special Repo Bonds SA

44
ITBUSA

Italian Special CCP Repo Bills

44
ITDUSAItalian Special CCP Repo Bonds44
NLDUSADutch Special CCP Repo Bonds42
SIDUSASlovenian Special Repo Bonds44
DBVLCHDBV LTD TERM44
DBVBILDBV Bilateral44
UKDCLSUK Gilt CCP Special Repo Bonds44
ATDUSAAustrian Special CCP Repo Bonds42/44
ATGS10GC SA AUSTRIA SUB 10YR42
BEGS10

BELGIUM GC SA SUB 10YR

42/44
BGSA30

BELGIUM GC SA SUB 30YR

42
DEDUSAGerman Special CCP Repo Bonds44
DGSA

GERMAN GC SA

42
DGSA10GERMAN GC SA SUB 10YR42
ESBBLSpanish Euro CCP Buy Sell Back Bills44
ESDBLSpanish Euro CCP Buy Sell Back46
FGCFIXFRANCE GC FIXED42
FGCNL

FRANCE GC FIXED NO LINKERS

42
FIGS10FINLAND GC SA SUB 10YR42
FRBUSAFrench Special CCP Repo Bills44
FRDUSAFrench Special CCP Repo Bonds44
IEDUSA

Irish Special CCP Repo Bonds

44
ITSAGC

ITALY GC SA ALL BONDS

42
NGSA10

GC SA NETHERLANDS SUB 10YR

42
NLBUSADutch Special CCP Repo Bills44
PTBUSAPortuguese Special Repo Bills44
PTDUSAPortuguese Special Repo Bonds42/44

Market Definition Table (this is valid for pre-migration files – prior to January 18, 2021)

3

European Fixed Income


90CDS Options
4

European Fixed Income CNET


91

CDS Ref instrument

71

European CCP Repos


92

EIB GBP Repo Market

72European Corporate Bonds
93WCLK UK GILT Market
73

European Corporate Bond Repo


94European Bilateral Repo
74

European Pfandbriefe


95EONIA
75

European Pfandbriefe Repo


96

Euro Bilat Clearstream Triparty

76

UK GILT Market


101

Reset Bonds

77

UK GILT Bilat Repo


102Butlers UK GILT Market
78

LIFFE


106

UK GILT Bilat Term DBV

79Euro Bilat Euroclear
107

UK GILT CCP Term DBV

80PTF Market
110European Bilateral Eonia Repo
81Eurex Clearing
111EGB Hybrid Market
82

UK GILT CCP Repo


115

RFR Repo Index

83US Supra Sovereigns
116

EUROGC Plus

84

Euro Bilateral Eonia Repo


120CCP Repos LCH SA
85

UK GILT Bilateral Stipulate Repo


156

Clock

86Credit Default Swaps Single
254

Production Real Time Verification

87

Credit Default Swaps Index




FAQ

How is data calculated?

The data is not calculated and is reflective of the trades sourced directly from the BrokerTec EU Repo platform.

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No

How many files are available per day?

Bulk history files are available for the certain amount of time requested.  One file is produced per day.

How far back do you maintain these records?

History start date: January 2, 2003

Do you have sample files available?

Yes, see the Sample Files section above.

Are there any dates for which files cannot be produced?

All dates are available

What European countries are available in this file?

Austria, Belgium, Finland, Ireland, Netherlands, Portugal, Slovenia, France, Germany, Great Britain (UK), Italy, Spain

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)

Are there any anomalies or changes in the data?

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, 2019AS OF JUNE 3, 2019
R_LTD_
R_LCH_LTD_
LCH_LTD_
GC_LCH_GC_LTD_
DBV_LCH_TERMDBV_LTD_TERM
CNET_SA_
GC_CNET_GC_SA_
GC_ITALY_CCP_GC_SA_ITALY_
GC_IT_CCPGC_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_
  • Pre-migration (before January 18, 2021) timestamps in the file have a “T” before the time (Thh:mm:ss:sss).  ISO8601 standard format “dateTtime[± UTC offset]. +1 means at certain times of the year, due to daylight savings, London is either +1 hour from UTC Time [i.e. British Summer Time] or the same time
  • January 18, 2021 – Migration of BTEC EU to CME Globex
  • Post-migration (after January 18, 2021) timestamps in file do not have a “T” before the time (hh:mm:ss) and is only in UTC time zone

When are these files delivered?

Files are available for purchase as bulk history, per month of data.

Note

BrokerTec EU Repo Trade Files are available with a month delay; for example, if a customer were to purchase one month of data, on May 15, the customer would be getting the data on a month delay so they would get data for March 15 – April 15.

How large are the average daily files?

Daily files average 2-4 MB

Where can I find collateral on how to understand this data?

See Data File Structure

Is there a certain process I must follow to be able to use the data?

No

What is a Repo?

Repo is a generic term for repurchase.  One party sells a fixed income security to another party at a price and commits to repurchase the same asset from the second party at a different price at a future date.  The difference between the price paid by the buyer at the start of a repo and the price received at the end is the return on the cash they have effectively lent to the seller.  The return is quoted as a percentage per annum rate called repo rate.

What is general collateral (GC)?

General Collateral is a basket of securities which trade in the repo market at the same or similar repo rate.  Buyers of GC repo are indifferent to which security they will receive.  The basket of securities belongs to the same class (government bonds) specific to currency, example: Austria, or sub-class, specific to currency and tenor, example: Austria SUB 10YR.

General Collateral Markets

Austria, Belgium, Finland, Ireland,
Netherlands, Portugal

GC_COUNTRY NAME_BASKET CRITERIALCHSA
GC_BIL_COUNTRY NAME_BASKET CRITERIABilateral
France

GC_FRANCE_BASKET CRITERIA

All baskets are LCH SA

Germany



GC_SA_GERMAN_BASKET CRITERIALCHSA
GC_BIL_GERMAN_BASKET CRITERIABilateral

UK Gilts



GC_GILT_LCH_BASKET CRITERIA or DBV_LCHLCH LTD
GC_GILT_BIL_BASKET CRITERIA or DBV_BILBilateral
ItalyGC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_LCHSA
GC_ITALY_BILBASKET CRITERIABilateral
SpainGC_SA_SPAIN_BASKET CRITERIALCHSA
GC_SPAIN_BSB_BASKET CRITERIABilateral

All Currencies





_SUB_5YR

Bonds/Bills with a maximum maturity of 5 Years
_SUB_10YRBonds/Bills with a maximum maturity of 10 Years
_SUB_15YRBonds/Bills with a maximum maturity of 15 Years
_SUB_20YRBonds/Bills with a maximum maturity of 20 Years
_SUB_30YRBonds/Bills with a maximum maturity of 30 Years
_LINK_Overnight Index Linked repos
_NO_LINKERSDoes not include overnight Index Linked repos

GC_SA_EU

European Crop LCH SA

_INCL_FRNS

FRNs included
_NO_BILLSBasket does not include Bills
BTFFrench Fixed rate short term discount bills
BUBILLGerman discount bills
CCTCommon Customs Tariff
BSBSpanish Buy-sell back transaction
LETRASSpanish short-term fixed income instruments
BTPSGovernment securities indexed to Italian rate of inflation

What is a special/specific?

A special is an issue that is in high demand in both the repo and cash markets compared with similar issues.  A buyer of a special repo rate is only interested in a particular security.

Specifics/Specials

Austria, Belgium, Finland, Ireland,
Netherlands, Portugal

SA_LCHSA
BIL_Bilateral
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


SA_LCHSA
BIL_Bilateral

UK Gilts



LTD_LCH LTD
BIL_Bilateral
DBV_Delivery-by-Value
ItalySA_LCHSA
SpainSA_BSBLCHSA
BIL_BSB_Bilateral

CME Group provides a number of customer service teams to assist DataMine users, including Technical support and Data Transfer processes.

  • No labels