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Bilateral trading relationships for certain EU Repo products will be supported on CME Globex. Bilateral trading allows permissioned firms to trade with other permissioned firms for the given bilateral product. Bilateral relationships are managed internal to CME Group and market data for these products is supported with Conflated CME MDP TCP for Market by Price (MBP) books.

Bilateral Product Market Data

The following market data messages and tags support bilateral product trading.

Market Data Incremental Refresh (35=X)

  • tag 37719-TradeableSize is the MBP quantity of a bilateral product's total tradeable quantity available to a specific firm.

Security Definition Message (35=d)

  • tag 37722-MarketSet identifies the Market Set. Each product is associated to a single MarketSet.

Bilateral Product Trading Relationship Restrictions

Bilateral product trading relationships are managed internally by CME Group across eligible firms and eligible products. These products are identified by Market Set

  • Bilateral relationships between firms can be updated intra-day.

The table below shows and example of bilateral trading restrictions across firms per Market Set:


Firm1

Firm2

Firm3

Firm1
MkSet1Restricted
MkSet2
MkSet3Restricted
MkSet1
MkSet2
MkSet3
Firm2
MkSet1Restricted
MkSet2
MkSet3Restricted

MkSet1
MkSet2
MkSet3
Firm3
MkSet1
MkSet2
MkSet3
MkSet1
MkSet2
MkSet3

where Market Sets are:

MkSet1

MkSet2

MkSet3

SecurityID=1111

SecurityID=1112

SecurityID=1113

SecurityID=1114

SecurityID=2222

SecurityID=2223

SecurityID=2224

SecurityID=2225

SecurityID=3333

SecurityID=3334

SecurityID=3335

SecurityID=3336

SecurityID=4444

SecurityID=4445

Bilateral Product Tradeable Quantity Example

The following example shows the mechanics of bilaterally restricted tradeable quantity for Firm 1 subscribed to instruments with and without bilateral restrictions. The example assumes the firms are entitled to all security groups.

MBOLD Books

The following Market By Order - Limited Depth (MBOLD) buy side order book is shown to the market.  MBOLD book updates are not credit screened and do not support 37719-TradeableSize.  

Firm ID is not sent to the market.

SecurityID=1111, MkSet1

Book Priority

Bid Quantity

Bid Book Price

Firm
15001.91Firm1
23001.91Firm2
31001.92Firm3

SecurityID=2224, MkSet2

Book Priority

Bid Quantity

Bid Book Price

Firm
13002.03Firm1
26002.03Firm2
34002.04Firm3

Resulting MBP Tradeable Quantity

Firm1 Book, SecurityID=1111, MkSet1

Results in the following Firm 1 MBP book for SecurityID 1111 with 37719-TradeableSize populated.

The total bid quantity for 1.91 is 800 (Firm 1 (500) + Firm 2 (300)). Due to the bilateral restriction for MkSet1, the Firm 2 order quantity (300) is not included. As a result, the tradeable quantity is 500.

MBP Book Priority

Total Bid Quantity (270-MDEntryPx)

Tradeable Quantity (37719-TradeableSize)

Bid Book Price

18005001.91
21001001.92

Firm1 Book, SecurityID=2224, MkSet2

Results in the following Firm 1 MBP book for SecurityID 2224 with 37719-TradeableSize populated. Firm1 has all tradaeble quantity available per the bilateral restrictions for MkSet2.  

MBP Book Priority

Total Bid Quantity (270-MDEntryPx)

Tradeable Quantity (37719-TradeableSize)

Bid Book Price

19009002.03
24004002.04
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