The letter is the latest salvo in a battle between CME — which has long enjoyed a virtual monopoly on Treasury futures — and ELX, a start-up exchange that wants to break into the market.

ELX has won CFTC backing for a practice called exchange of futures for futures (EFF), which means market participants could move positions from ELX to CME. This should make them more willing to trade at ELX, secure in the knowledge that they could fall back on the CME’s liquidity if necessary.

Wolkoff said he felt compelled to write to the CFTC after what he described as “misleading statements” from CME Group, which he said was trying to prevent the market through “threats and intimidation, from using an approved rule”.

The letter to Richard Shilts, acting director...