Accountability Levels and Large Trader Reporting Requirements in Connection with the Initial Listing of Four (4) Nearby and Four (4) Deferred Monthly Options on Three-Month SOFR Futures Contracts

In connection with the initial listing of the Chicago Mercantile Exchange Inc.’s (“CME”) Four (4) Nearby and Four (4) Deferred Monthly Options on Three-Month SOFR Futures Contracts (the “Contracts”) on trade date Monday, June 17, 2024 (see SER-9379 published on May 13, 2024), please note below and in Appendix B of CME Submission No. 24-204 the accountability levels (Rule 560), aggregation allocations, and reportable levels (Rule 561) for the contracts.

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