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The Collateral Market Value message is sent for Repo markets. This message maps to the CollateralMarketValue template in the SBE MDP Core schema.

Excerpt
TagFIX NameTypeSemantic TypeValid ValuesDescription
60

TransactTime

uInt64

UTCTimestamp

Time of execution/order creation; expressed in UTC.

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

10000000 - all collateral messages will have this value

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message
→458

UnderlyingSecurityAltID

String12

String

Will contain either CUSIP or ISIN value identifying REPO collateral security

→459

UnderlyingSecurityAltIDSource

SecurityAltIDSource

int1=CUSIP
4=ISIN

Identifies class or source of the UnderlyingSecurityAltID (458) value

→2689

CollateralMarketPrice

PRICE9

Price

Market price of the collateral, either from external market sources or a result of trading activity on the platform. Clean price

→37001

DirtyPrice

PRICE9

Price

Dirty Price

→37519

UnderlyingInstrumentGUID

uInt64

int

Underlying Instrument GUID. Collateral security identifier in Reference Data API services

→1500

MDStreamID

PriceSource

int

Source of the Clean Price