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

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.

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