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This page describes the Use Cases related to General Collateral Repo instruments for BrokerTec US and EU.

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 Allocation API or GC Allocation UI, will query for and allocate instruments from the basket of instruments applicable to the traded GC Repo.

CME STP FIX will publish tag 35-MsgType=BA when a collateral is Allocated or Substituted. The Collateral(s) may be cancelled if the GC Repo Trade is cancelled and will be reflected in the tag 35-MsgType=BA.

Collateral Substitutions are ONLY applicable to US General Collateral Repo instrument on the BrokerTec US Repo Market. 

Use Case

Below table lists a US GC Repo trade, allocation and substitution(s) of that allocation, highlighting the FIX tag and their values

ActionMsgTypeTrdID2 (1040)LastQty (32) Qty (53)TransTyp (20012)Stat (910)TrdCollStat (20015)CollID (20048)OrigCollID (20051)CollNo (20049)OrigCollNo (20052)SubInd (20028)SubRmng (20031)
Trade

Trade Capture Report (35= AE)175FBB1A2160001D1558500---------
CollateralReport (35=BA)175FBB1A2160001D15585001-Trade Reg0-Unassigned0-Unalloc175FBB1A2160001D1558-----
Allocation

CollateralReport (35=BA)175FBB1A2160001D15585002-Alloc Reg3-Assigned2-Fully Alloc175FC1522A65JGBG2D4-1-2-Original5
Substitution

CollateralReport (35=BA)175FBB1A2160001D15581003-Sub Reg3-Assigned2-Fully Alloc175FC1522A65JGBG748175FC1522A65JGBG2D4213-Sub4
CollateralReport (35=BA)175FBB1A2160001D15584003-Sub Reg3-Assigned2-Fully Alloc175FC1522A65JGBG74C175FC1522A65JGBG2D4314-Remain5
Substitution












CollateralReport (35=BA)175FBB1A2160001D15581003-Sub Reg3-Assigned2-Fully Alloc175FC1522A65JGBG75C175FC1522A65JGBG748423-Sub3

Sample Messages

Trade

8=FIX.4.4|9=915|35=AE|34=120|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.924|56=john_fund|571=175FBB1A2160001D15585522984420519311|487=0|856=101|568=AB-STP-TEST-NR|828=0|820=710062766|880=42133944|17=4296:M:3735TN0219038|423=9|55=UTGC30:XRZKU3T5MSYB|48=UTGC30|22=H|454=1|455=371488AR8|456=1|167=REPO|762=GC|207=BTUS|107=GC<30Y C-1Y 5R|916=20201127|917=20211122|32=500|31=2.100000000|75=20201127|715=20201127|442=1|60=20201127-17:47:40.184981989Z|64=20201127|552=1|54=2|37=421956704|11=EFH4|453=5|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=BTUS1|452=44|448=EFH|452=55|578=GLBX|1016=1|1012=20201127-17:47:40.184981989Z|1013=1|1057=Y|779=20201127-17:47:40.385000000Z|1003=92872|1040=175FBB1A2160001D1558|939=0|1430=E|10026=USD|1832=1|37513=848693951125146369|10053=N|20056=G0000048102|20011=48102|2490=219038|30=BTEC|10=099|

Collateral Shell

8=FIX.4.4|9=631|35=BA|34=121|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.925|56=john_fund|453=3|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|55=UTGC30:XRZKU3T5MSYB|48=UTGC30|22=H|167=REPO|107=GC<30Y C-1Y 5R|37513=848693951125146369|916=20201127|917=20211122|908=175FBB1A2160001D15585522984420519311|894=AB-STP-TEST-NR|20048=175FBB1A2160001D1558|60=20201127-17:47:40.184981989Z|779=20201127-17:47:40.385000000Z|20012=1|910=0|20015=0|1040=175FBB1A2160001D1558|53=500|54=2|44=2.100000000|715=20201127|75=20201127|20056=G0000048102|30=BTEC|10=242|

Trade quantity of 500 is fully allocated with one allocation

8=FIX.4.4|9=845|35=BA|34=132|49=CMESTPFIX1|50=STP|52=20201202-21:08:22.937|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828ZV5|22=1|167=TNOTE|107=1/2_06/27|37513=966514698841557082|916=20201127|917=20211122|1647=1|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|908=175FC1522A65JGBG2D65589635888408032|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG2D4|20049=1|60=20201127-19:38:45.464000000Z|779=20201127-19:38:45.532000000Z|20012=2|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=500|54=2|44=99.4375|20050=99.625|159=0|921=498125000.00|922=508585625.00|20054=498125000.00|20053=508585625.00|715=20201127|75=20201127|20028=2|20031=5|20056=G0000048102|30=BTEC|10=072|

Quantity 100 of 500 is substituted with another collateral.

8=FIX.4.4|9=947|35=BA|34=367|49=CMESTPFIX1|50=STP|52=20201202-21:08:23.420|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828YJ3|22=1|167=TNOTE|107=1_1/2_09/21|37513=940131280570867087|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828ZV5|1652=SUB|20055=966514698841557082|908=175FC1522A65JGBG74A9681309818302252|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG748|20049=2|20051=175FC1522A65JGBG2D4|20052=1|60=20201202-13:18:12.744000000Z|779=20201202-13:18:12.925000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=100|54=2|44=101.15625|20050=101.375|159=29057.29|921=101375000.00|922=103503364.58|20054=499875000.00|20053=510371864.58|715=20201202|75=20201202|20028=3|20031=4|20056=G0000048102|30=BTEC|10=167|

Quantity 400 remains in the Original allocation

8=FIX.4.4|9=938|35=BA|34=368|49=CMESTPFIX1|50=STP|52=20201202-21:08:23.421|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912828ZV5|22=1|167=TNOTE|107=1/2_06/27|37513=966514698841557082|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828ZV5|1652=SUB|20055=966514698841557082|908=175FC1522A65JGBG74E9681311479932012|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG74C|20049=3|20051=175FC1522A65JGBG2D4|20052=1|60=20201202-13:18:12.745000000Z|779=20201202-13:18:13.091000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=400|54=2|44=99.4375|20050=99.625|159=0.00|921=398500000.00|922=406868500.00|20054=499875000.00|20053=510371864.58|715=20201127|75=20201127|20028=4|20031=5|20056=G0000048102|30=BTEC|10=012|

Collateral Substitution for 100 quantity from above

8=FIX.4.4|9=948|35=BA|34=33|49=CMESTPFIX1|50=STP|52=20201204-13:56:08.585|56=john_fund|453=4|448=CME3A|447=D|452=1|802=2|523=AUTO CERT TEST FIRMCME3A|803=5|523=549300WDHFFVVRXEES11|803=84|448=btec_stp_test_firm1_btus|447=C|452=7|448=FICC|447=C|452=21|448=API_NR_ABERNARD|447=D|452=36|48=912810QY7|22=1|167=TBOND|107=2_3/4_11/42|37513=1114215241721626472|916=20201127|917=20211122|1647=2|1651=1|1649=UTGC30:XRZKU3T5MSYB|1650=371488AR8|1652=GC|20055=848693951125146369|1651=1|1650=912828YJ3|1652=SUB|20055=940131280570867087|908=17628B234C85JGBG1FE11427118020889002|894=AB-STP-TEST-NR|20048=175FC1522A65JGBG75C|20049=4|20051=175FC1522A65JGBG748|20052=2|60=20201204-13:47:53.841000000Z|779=20201204-13:47:53.948000000Z|20012=3|910=3|20015=2|20016=10|1040=175FBB1A2160001D1558|53=100|54=2|44=123.34375|20050=123.375|159=40884.37|921=123375000.00|922=125956381.25|20054=521875000.00|20053=532824881.25|715=20201204|75=20201204|20028=3|20031=3|20056=G0000048102|30=BTEC|10=199