The international derivatives market has recently initiated the Messaging Efficiency Program (MEP) for Treasury futures, specifically targeting 5- and 10-Year Treasury Note futures. The purpose of this program is to foster responsible messaging practices throughout the Treasury futures roll period.
This new volume ratio comes into effect during the last ten trading days prior to First Notice Day for Treasury futures. It requires that, on each of those days, any firm submitting more than 5 million in Order Entry Quantity within the specified product categories must maintain a ratio of executed volume to Order Entry Quantity of 3,000 or less. This ratio is to be calculated during combined Electronic Trading Hours (ETH) and Regular Trading Hours (RTH) trading sessions.
Firms that exceed the established ratio of 3,000:1 will incur a potential daily surcharge of $10,000. If a firm incurs a second surcharge within the same month for the same product group, the case will be referred to Market Regulation for further action.
Aside from this specific scoring ratio for the 5- and 10-Year Treasury Note futures, participants are still subject to all other applicable MEP volume ratios, reinforcing the importance of efficient messaging practices in trading these futures.