Effective Sunday, May 18 (trade date Monday, May 19), CME Group will extend its Messaging Efficiency Program (MEP) to include a new Treasury futures roll volume ratio for 5 and 10 Year Treasury Note futures. This change is designed to encourage responsible messaging practices during the Treasury futures roll period.
The new volume ratio will apply during the final 10 trade dates before First Notice Day, covering all Treasury futures roll periods. Specifically, Globex Firm IDs submitting 5 million or more in Order Entry Quantity of 5 and 10 Year Treasury futures during the combined Electronic Trading Hours (ETH) and Regular Trading Hours (RTH) sessions will be required to maintain a ratio of 3,000 or fewer between Order Entry Quantity and executed volume.
Firms that exceed the new benchmark of 3,000:1 will face a daily charge of $10,000. A second violation within the same month will result in referral to CME Market Regulation.
This new ratio will be in addition to the existing MEP volume ratios for all other product groups, reinforcing CME Group’s ongoing efforts to improve market efficiency and maintain proper trading practices.
