Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of the Options on One-Month SOFR Futures Contract

In connection with the listing of the Chicago Mercantile Exchange Inc. (“CME”) Options on One-Month SOFR Futures contract (the “Options”) on trade date Monday, May 4, 2020 (see SER-8581 published April 7, 2020), please note below and in Appendix C of CME Submission No. 20-144 the corresponding accountability levels (Rule 560), aggregation allocations (Rule 559.D) and reportable level (Rule 561) for the Options.

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