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.


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 CRITERIALCHSA
GC_BIL_COUNTRY NAME_BASKET CRITERIABilateral

France

GC_FRANCE_BASKET CRITERIA

All baskets are LCH SA

Germany


GC_SA_GERMAN_BASKET CRITERIA

LCHSA

GC_BIL_GERMAN_BASKET CRITERIA

Bilateral

UK Gilts


GC_GILT_LCH_BASKET CRITERIA or DBV_LCH

LCH LTD

GC_GILT_BIL_BASKET CRITERIA or DBV_BIL

Bilateral

Italy


GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_

LCHSA

GC_ITALY_BILBASKET CRITERIA

Bilateral

Spain


GC_SA_SPAIN_BASKET CRITERIA

LCHSA

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

SA_

LCH SA

UK GILTS



LTD_

LCH Ltd.

BIL_

Bilateral

DBV_

Delivery-by-Value

Italy

SA_

LCH SA

Spain


BIL_BSB_

Bilateral

SA_BSB

LCH SA

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Sample Files

DatasetSample File (.CSV)
BrokerTec EuroRepo EOD3/10/2022

FAQ

What is the BrokerTec European Repo VWAP Data File Structure?

Eurpoean Repo VWAP File Content
TitleDescription
Business DateDate of update: dd/mm/yyyy
InstrumentSee Instrument Definition Table
Term CodeO=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, 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_
  • 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:

  1. csv file no longer has commas if the value is greater than or equal to 1000
  2. csv file no longer has quotations on the values
  3. xls file no longer has a blank line at the top of the file.
  4. xls file no longer has the footer line at the bottom of the file.
  5. xls file headers no longer be in bold type.
  6. 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

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 is 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.

What is a special?

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.  

What is the weighted average rate?

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).


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