Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of the Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures Contract

In connection with the listing of the Chicago Mercantile Exchange Inc. Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures Contract (the “contract”) on trade date Monday, August 23, 2021 (see SER-8815 published on July 13, 2021), please note below and in Appendix B of CME Submission No. 21-255 the corresponding accountability levels (Rule 560), aggregation allocations (Rule 559.D) and reportable level (Rule 561) for the contract.

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