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BrokerTec is the leading electronic interdealer platform for trading Repo in Europe.  The BrokerTec 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. There are two different products available for BrokerTec Euro Repo:

1) BrokerTec Euro Repo Averages – two files available.  One file at 11am, reflective of volume weighted averages on actual transactions from EU market open to 11am London time and one file at 4pm that includes volume weighted averages based on actual transactions executed between EU Market open and 4pm London time.

2) BrokerTec Euro Repo Trade File – one file available consisting of the full list of Repo transactions that occurred throughout the EU Market hours.


Dates Available

Both the End of Day (VWAP) and Trade (Time and Sales) files start on January 1, 2003 until present day.




Sample Files


DatasetSample File
End of Day (VWAP)10/14/19
Trades10/14/19




FAQ

What format is the file delivered in?

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

Are files compressed?

No, the files are not compressed into zip files.

What is the precision level for timestamping for these datasets?

The End of day dataset has day granularity and is published at 11AM and 4PM daily.

The Trades dataset has millisecond precision.

How many files are available per day?

BrokerTec Euro Repo Averages – 2 individual files are available daily (11am & 4pm London time)

BrokerTec Euro Repo Trade File – 1 individual file is available daily (5:30pm London time)

How far back do you maintain these records?

Both offerings go back to January 2, 2003.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies in the data at this time.

When are these files delivered?

BrokerTec Euro Repo Averages – 2 individual files are available daily (11am & 4pm London time)

BrokerTec Euro Repo Trade File – 1 individual file is available daily (5:30pm London time)

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

How large are these files?

Both files average less than 1MB a day.

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 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). 

What is the file structure for the Euro Repo Averages?

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Business Date

A

22/07/2019

dd/mm/yyyy

Date of update

Instrument

B

GC AUSTRIA SUB 10YR

See Instrument Definition

Security Description – Repo Type, Country, Clearing House, Date or Tenor

Term Code

C

T-N

O, T-N, S-N, S-M, C-Cal week, C-2W, C-3W, C-dd/mm

Term

Start Date

D

dd/mm/yyyy

22/07/2019

Term Start Date

End Date

E

dd/mm/yyyy

23/07/2019

Term End Date

ISIN

F

AT0000111118

alphanumeric

Security Identifier

WTD rate

G

-0.53

decimal

Weighted Average Repo Rate

Volume

H

650.00

decimal

Volume

Low

I

-0.56

decimal

Lowest rate of the day

High

J

-0.50

decimal

Highest rate of the day

Last

K

-0.53

decimal

Last Traded price

Ccy

L

EUR

EUR, GBP

Currency


What is the file structure for the Euro Repo Trade Files?

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Trade date/time

A

Jul 22 2019 06:45:03:000AM

mm dd yyyy hh:mm:ss:sssAM; PM

Trade date and time

Record

B

TRADE

TRADE; OB_CHANGE

Type

Instrument

C

LCH_DBR_2.5_01/21

See Instrument Definition

Security Description – Repo Type, Country, Clearing House, Date or Tenor

Blank

D

Blank

Blank

Blank

ISIN

E

AT0000111118

Alphanumeric

Security Identifier

Start Date

F

dd-mm-yyyy

22-07-2019

Term Start Date

End Date

G

dd-mm-yyyy

23-07-2019

Term End Date

Term

H

T-N

O, T-N, S-N, S-M, C-Cal week, C-2W, C-3W, C-dd/mm

Term

Country

I

25

25 (EU)

Country Code

Market

J

71

Int64

Market Type (see Market Definition Table)

Instrument Group

K

44

Int64

Type of Repo (see Instrument Definition)

Premium

L

-0.690000

decimal

Deal Price  

Quantity

M

113.000000

decimal

Number of contracts traded (in millions)

Deal Source

N

1

Int64

1 = Outright Matched by BrokerTec

Agg

O

1

1; 0

Aggressive 1=yes; 0=no

BidAsk

P

B

B; A

B=Bid; A=Ask


BrokerTec Euro Repo Instrument Definition – Effective After 3 June 2019

The tables below will help define the Clearing House & “Instrument” Field in the BrokerTec European Repo Averages File & Trade File.  The files are delivered at 11AM and 4PM London Time.

*This document includes new naming convention on some Repo Instruments, as of 3 June 2019 trade date.

General Collateral Markets

Austria, Belgium, Finland, Ireland, Netherlands, Portugal

GC_COUNTRY NAME_BASKET CRITERIA

LCH

GC_COUNTRY NAME_BIL_BASKET CRITERIA

Bilateral

France

GC_FRANCE_BASKET CRITERIA

All baskets are CNET

SA_FIXED_BTF

Fixed rate short term discount bills

Germany

GC_LTD_GERMAN_BASKET CRITERIA

LCH

GC_SA_GERMAN_BASKET CRITERIA

CNET

GC_BIL_GERMAN_BASKET CRITERIA

Bilateral

UK Gilts

GC_GILT_LCH_BASKET CRITERIA or DBV_LCH

LCH

GC_GILT_BIL_BASKET CRITERIA or DBV_BIL

Bilateral

Italy

GC_SA_ITALY_BASKET CRITERIA or GC_SA_IT_

CNET or CC&G (Whichever CCP the customer uses)

GC_ITALY_BIL_BASKET CRITERIA

Bilateral

Spain

GC_LTD_SPAIN_BASKET CRITERIA

LCH

GC_SA_SPAIN_BASKET CRITERIA

CNET

GC_SPAIN_BSB_BASKET CRITERIA

Bilateral

All Currencies

_SUB_

Bonds/Bills with a maximum maturity of 10 Years

_LINK_

Overnight Index Linked repos

Specifics / Specials

Austria, Belgium, Finland, Ireland, Netherlands, Portugal

LTD_

LCH

BIL_

Bilateral

SA_

Clearnet SA

France

SA_ (No Bilateral Markets)

Clearnet SA

SA_EO_

Floating rate - fixed vs EONIA each day

Germany


LTD_

LCH

BIL_

Bilateral

SA_

Clearnet SA

UK Gilts

LTD_

LCH Ltd.

BIL_

Bilateral

DBV_

Delivery-by-Value

Italy

LTD_

Clearnet SA

Spain

LTD_

LCH

BIL_BSB_

Bilateral

BSB_SA

Clearnet SA


BrokerTec Euro Repo Instrument Definition – Before 3 June 2019

The tables below will help define the Clearing House & “Instrument” Field in the BrokerTec European Repo Averages File & Trade File. 

*Naming convention on some Repo Instruments have changed as of 3 June 2019; please use the below tables as reference for historical data prior to that date.


General Collateral Markets

Austria, Belgium, Finland, Ireland, Netherlands, Portugal

GC_COUNTRY NAME_BASKET CRITERIA

LCH

GC_COUNTRY NAME_BIL_BASKET CRITERIA

Bilateral

France

GC_FRANCE_BASKET CRITERIA

All baskets are CNET

_BTF

Fixed rate short term discount bills

Germany

GC_LCH_GERMAN_BASKET CRITERIA

LCH

GC_CNET_GERMAN_BASKET CRITERIA

CNET

GC_BIL_GERMAN_BASKET CRITERIA

Bilateral

UK Gilts

GC_GILT_LCH_BASKET CRITERIA or DBV_LCH

LCH

GC_GILT_BIL_BASKET CRITERIA or DBV_BIL

Bilateral

Italy

GC_ITALY_CCP_BASKET CRITERIA

CNET or CC&G (Whichever CCP the customer uses)

GC_ITALY_BIL_BASKET CRITERIA

Bilateral

Spain

GC_LCH_SPAIN_BASKET CRITERIA

LCH

GC_CNET_SPAIN_BASKET CRITERIA

CNET

GC_SPAIN_BSB_BASKET CRITERIA

Bilateral

All Currencies

_SUB_

Bonds/Bills with a maximum maturity of 10 Years

_LINK_

Overnight Index Linked repos



Specifics / Specials

Austria, Belgium, Finland, Ireland, Netherlands, Portugal

R_

LCH

BIL_

Bilateral

CNET_

Clearnet SA

France

All CNET (No Bilateral Markets)

Clearnet SA

EO_

Floating rate - fixed vs EONIA each day

Germany


R_LCH_

LCH

BIL_

Bilateral

CNET_

Clearnet SA

UK Gilts

R_LCH

LCH Ltd.

BIL_

Bilateral

DBV_

Delivery-by-Value

Italy

R_

Clearnet SA

Spain

R_LCH

LCH

BSB_

Bilateral

BSB_CNET

Clearnet SA




BrokerTec Euro Repo Market Definition

The table below will help define the numerical Market code in the BrokerTec European Repo Full Trade File.  The file is delivered daily at 5:30PM London Time.


3

European Fixed Income

90

CDS Options

4

European Fixed Income CNET

91

CDS Ref instrument

71

European CCP Repos

92

EIB GBP Repo Market

72

European Corporate Bonds

93

WCLK UK GILT Market

73

European Corporate Bond Repo

94

European Bilateral Repo

74

European Pfandbriefe

95

EONIA

75

European Pfandbriefe Repo

96

Euro Bilat Clearstream Triparty

76

UK GILT Market

101

Reset Bonds

77

UK GILT Bilat Repo

102

Butlers UK GILT Market

78

LIFFE

106

UK GILT Bilat Term DBV

79

Euro Bilat Euroclear

107

UK GILT CCP Term DBV

80

PTF Market

110

European Bilateral EONIA Repo

81

Eurex Clearing

111

EGB Hybrid Market

82

UK GILT CCP Repo

115

RFR Repo Index

83

US Supra Sovereigns

116

EURO GC Plus

84

Euro Bilateral Eonia Repo

120

CCP Repos LCH SA

85

UK GILT Bilateral Stipulate Repo

156

Clock

86

Credit Default Swaps Single

254

Production RealTime Verification

87

Credit Default Swaps Index




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