Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of Twenty-Four (24) Options on Three-Month SOFR Futures Contracts

In connection with the listing of the Chicago Mercantile Exchange Inc. (“CME”) twenty-four (24) options on Three-Month SOFR Futures contracts (the “Options”) on trade date Monday, January 6, 2020 (see SER-8459 published October 15, 2019), please note in Appendix C of CME Submission No. 19-366 the corresponding accountability levels (Rule 560), aggregation allocations (Rule 559.D) and reportable levels (Rule 561) for the Options.

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