International derivatives marketplace CME Group has activated the Messaging Efficiency Program (MEP) Treasury futures roll volume ratio in 5- and 10-Year Treasury Note futures in order to encourage responsible messaging practices during the Treasury futures roll period.

This additional volume ratio is enforced during each of the last 10 trade dates before First Notice Day during all Treasury futures roll periods. This ratio requires that for each day, all CME Globex Firm IDs that submit greater than 5 million per day of Order Entry Quantity in each of 5- or 10-Year Treasury futures product groups during a specific combined ETH and RTH trading session, during the last 10 trade dates before First Notice Day, maintain a ratio of 3,000 or less between Order Entry Quantity and executed volume.

CME Globex Firm IDs who exceed the CME Globex Treasury futures roll MEP product group benchmark of 3,000:1 will face a potential daily surcharge of $10,000; a second surcharge in the same month, in the same product group, will be referred to CME Market Regulation.

In addition to the Treasury futures roll scoring ratio in 5- and 10-Year Treasury Note futures, market participants will continue to be held to all other MEP volume ratios.