Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of the Options on Euro Short-Term Rate (€STR) Futures Contract

In connection with the initial listing of the Chicago Mercantile Exchange Inc.’s (“CME”) Options on Euro Short-Term Rate (€STR) Futures Contract (the “Contract”) on trade date Monday, May 20, 2024 (see SER-9351R published on April 30, 2024), please note below and in Appendix B of CME Submission No. 24-138 the accountability levels (Rule 560), aggregation allocation, and reportable level (Rule 561) for the contract.

For the full text of this notice, please see link attached below.