• Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of the Three-Month and One-Month SOFR Futures Contracts

      • #
      • MSN04-30-18
      • Notice Date
      • 30 April 2018
      • Effective Date
      • 07 May 2018
    • In connection with the listing of the Chicago Mercantile Exchange Inc.’s (“CME” or “Exchange”) Three-Month and One-Month SOFR Futures Contracts (“the Contracts”) on trade date Monday, May 7, 2018 (see SER-8097R published April 11, 2018), please note below and in Appendix C of CME Submission No. 18-069 the corresponding single month and all month accountability levels (CME Rule 560), aggregation allocations (CME Rule 559.D.) and reportable levels (CME Rule 561.B.) for the new, financially settled, Contracts.

      For the full text of this notice, please see the link attached below.