Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of the Euro Short-Term Rate (€STR) Futures and Euro Short-Term Rate (€STR) Three-Month Single Contract Basis Spread Futures Contracts

In connection with the listing of the Chicago Mercantile Exchange Inc.’s (“CME”) Euro Short-Term Rate (€STR) Futures and Euro Short-Term Rate (€STR) – Three-Month Single Contract Basis Spread Futures contracts (the “Contracts”) on trade date Monday, October 31, 2022 (see SER-9059 published on September 26, 2022), please note below and in Appendix C of CME Submission No. 22-389 the corresponding accountability levels (Rule 560), aggregation allocations (Rule 559.D) and reportable levels (Rule 561) for the Contracts.

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