The mortgage-backed securities (MBS) market has $12 trillion outstanding, approaching the size of the Treasury nominal coupon market which has $18 trillion according to SIFMA. Risk transfer primarily occurs in the To-Be-Announced (TBA) MBS market, accounting for more than 90% of trading volumes. CME Group’s 30-Year UMBS TBA futures allow market participants to manage exposure to agency MBS with the capital efficiency of an exchange-traded, centrally cleared, and globally accessible liquidity pool, provide many benefits of using futures to manage exposure to the second largest fixed income market in the U.S.

Table 1: Comparison of TBA futures and forwards


TBA forwards

TBA futures

Trade venue


Exchange-traded (CLOB, blocks, EFRPs)

Quoted size

$1M face value (typically)

$100K face value

Central counterparty


or bilateral uncleared

CME Clearing

Coupon stack

1.5% to 8.5%

2% to 6.5%


Margin requirements for FICC clearing members, but not their clients. No margin savings through portfolio margining with ETDs.

Margin requirements for CME clearing members and clients. Margin savings through portfolio margining with ETDs.

Trading TBA futures and forwards

Trade venue

The TBA forward market operates primarily on a Request for Quote (RFQ) basis where market participants request markets from dealers over the phone or using an electronic trading platform. The Dealers limit which counterparties they deal with to manage counterparty credit risk exposure and may quote different markets to different market participants, depending on their relationship. TBA futures primarily trade through a central limit order book (CLOB) on CME Globex, as well as through blocks and Exchange for Related Positions (EFRPs). On a CLOB, market makers stream quotes on-screen that are accessible to all market participants. This provides equal access and price transparency to all market participants that is not available in the OTC market.

Quoted size

TBA forwards are typically quoted in increments of $1 million face value. TBA futures are quoted in increments of $100,000 face value (the notional size of the contract). This smaller contract size allows market participants to access liquidity in more granular sizes to suit their needs. It also simplifies the trading of inter-commodity spreads against Treasury futures, which have the same contract size, except for 2-Year and 3-Year Treasury futures, which have a $200,000 notional size.

By contrast, CME 30-Year UMBS TBA futures are open to trade long after and before TBA forwards for outright securities, coupon swaps/spread, and roll/calendar spreads markets. CME TBA futures can be traded using blocks and EFRPs, opening additional liquidity. For example, a customer could establish a basis trade by executing an EFRP transaction with a TBA future on one side and an equal and opposite position in an MBSD-cleared 30-Year UMBS TBA. The TBA basis spread coupled with EFRP functionality provides relative value traders a rich opportunity to arbitrage the basis spread between the forwards and futures. Each contract is deliverable into a MBSD-cleared 30-Year UMBS TBA at a given coupon rate.


TBA coupon rates vary in 50-basis-point increments, consistent with the standards of the underlying UMBS issuers (Fannie Mae and Freddie Mac). Currently, CME Group lists coupons from 2.0% to 6.5%, which adequately facilitates trading in the most active coupon rates traded in TBA forwards. The wide range of available coupons is a product of the significant increase in mortgage rates over 2022. While the mortgage-backed securities division (MBSD) at the Fixed Income Clearing Corporation (FICC) – the central counterparty for TBA forwards – supports coupons ranging from 1.5% to 8.5%, very little trading occurs in the tails of this range.

Counterparty credit

In the OTC market, customers generally limit which counterparties they deal with to manage counterparty credit risk exposure. Customers and dealers/market makers deploy the directed RFQ model to help them manage counterparty exposures. The numbers are highly concentrated due to a smaller number of market markers that are willing to make markets in the Agency MBS TBA market. For example, as of April 28, 2023, Tradeweb had nearly three times as many U.S. Treasury liquidity providers (U.S. Government Bonds), 37, than for their TBA markets (TBA-MBS), 13.

On the CME Globex CLOB, it can be anyone taking the other side of the trade, in addition to the dedicated market makers that stream prices continuously during U.S. trading hours. For example, it could be a mortgage servicer on one side and a mortgage originator on the other side. CME Clearing serves as the counterparty to every cleared transaction, becoming the buyer to each seller and the seller to each buyer, and limiting credit risk by guaranteeing financial performance of both parties.


The benefits of central clearing require sufficient margin. CME Group’s experience and expertise provide exceptional safety, clarity, and ease with low cost on an outright or Treasury spread. The OTC market has non-standard practices to attempt to reduce credit risk, and while regulation has been established to increase margin requirements, but it has not yet been enforced.

Margins for OTC TBAs-Proposed Amendments to FINRA Rule 4210

  • If and when they become effective, changes to FINRA Rule 4210 will require daily variation (mark-to-market) margins to be collected by broker-dealers from their accounts for most bilateral trades that aren’t cleared by MBSD.  TBA trades cleared by MBSD are already subject to margining by DTCC. 
  • New margin rules are consistent with 2012 recommendations of the Treasury Market Practices Group (TMPG), convened by the Federal Reserve Bank of New York
  • Initial margin of 2% required for smaller, non-exempt accounts
  • No margin collected if amount owed by a single counterparty is $250,000 or less, which may create issues for investment advisors with managed accounts because it appears to be at the level of the legal entity
  • Buy-side accounts will likely need to renegotiate MSFTAs with broker-dealers.
  • The governing agreement for trading and margining of forward-settling agency mortgages is the Master Securities Forward Transaction Agreement (MSFTA). The agreement sets guidelines and definitions to control the execution, settlement, and margining of trading in the TBA market.

As of April 19, 2023, initial margin requirements for TBA futures were less than 4% of the contract notional value across the coupon stack. For example, the 3.5% coupon was the highest at $3,960 per contract. The 4.5% to 6.5% coupons were the lowest at $3,520 per contract. Please refer to the chart below for the initial margins for TBA futures by coupon.

Initial Margins for TBA futures by Coupon as of April 19, 2023

While FICC requires its clearing members to post margin on TBA forwards, not all participants clear their trades at the FICC. Although FINRA has proposed rule changes that would require clients to post margin on TBA forwards, the changes have been continually delayed since approved by the SEC in 2016.[1] As a result, many market participants are not required to post margin on TBA forwards. While market participants are required to post margin on TBA futures trades, the combination of TBA futures positions with other exchange-traded derivative (ETD) positions in portfolio margining, including Treasury futures and Eris swap futures, can lead to lower overall margin requirements.

For example, the total margin requirement for a portfolio consisting of a long position in 10-Year Treasury Note (TY) futures and a short position in 30-Year 5% UMBS TBA futures (50U) is less than the margin requirement for a standalone long TY position. Using CME Clearing margin requirements on April 25, 2023 (given in the table below), the margin requirement for a long TY position is $2,475 per contract, while the total margin requirement of a portfolio that combines a short 50U position is:

($2,475 + $3,520) * (1 - 70%) = $1,798.50

Table 2: TBA futures margin requirements [2]


Initial Margin Requirement

Margin Offset

10-Year Treasury Note futures



30-Year 5% UMBS TBA futures



CME Group base level initial margins can be lowered significantly by establishing opposite/contra positions that reduce the risk of the TBA position:

  • For rolls/calendar spreads, initial margin of $660
  • For coupon swaps, spread credit of at least 75%
  • For Eris SOFR Swap futures, spread credit of 65%

For comparison purposes, Treasury futures currently have similar initial margins, ranging from 2.5% to 7.2% for long-term Note and Bond futures, for the fixed income futures with the deepest liquidity and longest history.

For TBA futures, as for all futures contracts cleared by CME Group, the margins are set by the Clearing Firm. They are typically equal to or higher than the minimum margins set by CME Clearing.

CME Group initial margins and margin offsets are based on multiple risk-based factors, and they are subject to change. Initial margins and margin offsets in this paper are as of April 19, 2023, and April 25, 2023. The potential savings discussed above are examples used for illustrative purposes and are not intended as a guarantee of actual savings. Individual savings will vary based on each market participant’s unique portfolio and risk exposure.

Converging to cash

On the following pages, we provided final futures and cash settlement histories for 30-Year UMBS TBA coupons ranging from 2.0% to 6.0% for the December 2022, January 2023, February 2023, and March 2023 contract months. The 6.5% coupon is not included due to the lack of history beginning with the May-23 contract month. These prices are the final settlement prices for each of our TBA futures and the corresponding TBA cash market price on the futures last trading day (LTD).

This drives home the many positive features of TBA futures. Empirically, the cash futures basis trades tightly into delivery, EFRP ability provides relative value trading opportunities. A broad coupon stack and three listed months allow market participants the ability to roll, take delivery, and risk manage mortgages with all the safety of exchange listed products and a central limit order book.

Please refer to the charts below for the price histories for Dec-22 through Mar-23 contract months for the coupons ranging from 2.0% to 6.0%. Nearly all produced futures and cash settlement price differences of 0.05 point or less, 33 of 34 settlements.

2.0% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
20UZ22 82.64 82.63 0.01
20UF23 82.15 82.18 0.04
20UG23 83.39 83.34 0.05
20UH23 80.74 80.73 0.01

Sources: CME Group and MIAC Analytics

2.5% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
25UZ22 85.86 85.88 0.02
25UF23 85.59 85.55 0.04
25UG23 86.81 86.81 0.00
25UH23 84.21 84.17 0.04

Sources: CME Group and MIAC Analytics

3.0% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
30UZ22 89.09 89.14 0.04
30UF23 88.62 88.59 0.03
30UG23 90.03 90.06 0.03
30UH23 87.38 87.39 0.00

Sources: CME Group and MIAC Analytics

3.5% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
35UZ22 92.18 92.17 0.01
35UF23 91.67 91.69 0.02
35UG23 93.11 93.08 0.03
35UH23 90.48 90.47 0.00

Sources: CME Group and MIAC Analytics

4.0% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
40UZ22 95.05 95.06 0.01
40UF23 94.48 94.53 0.05
40UG23 95.84 95.83 0.01
40UH23 93.37 93.46 0.09

Sources: CME Group and MIAC Analytics

4.5% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
45UZ22 97.60 97.57 0.04
45UF23 97.01 97.00 0.00
45UG23 98.05 98.05 0.00
45UH23 95.77 95.80 0.03

Sources: CME Group and MIAC Analytics

5.0% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
50UZ22 99.66 99.66 0.00
50UF23 99.07 99.09 0.02
50UG23 99.62 99.63 0.01
50UH23 97.86 97.86 0.00

Sources: CME Group and MIAC Analytics

5.5% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
55UF23 100.61 100.61 0.00
55UG23 100.91 100.91 0.00
55UH23 99.56 99.56 0.00

Sources: CME Group and MIAC Analytics

6.0% Coupon Settlement Price History by Contract Month, Dec-22 through Mar-23

Contract Future Cash Difference
60UF23 101.78 101.79 0.01
60UG23 102.19 102.19 0.00
60UH23 100.98 100.98 0.01

Sources: CME Group and MIAC Analytics

Appendix: Contract specifications for CBOT 30-Year UMBS TBA futures

30-Year UMBS TBA futures trade on and according to the rules of CBOT.  All times of day are Central Prevailing Time (CPT) unless otherwise noted.


20U, 25U, 30U, 35U, 40U, 45U, 50U, 55U, 60U, 65U


CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT   CME Globex Preopen: Sunday 4:00 p.m. - 5:00 p.m. CT, Monday - Thursday 4:45 p.m. - 5:00 p.m. CT  


CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT








Points and fractions of points with par on the basis of 100 points


¼ of 1/32nd of 1 point (0.0078125) = $7.8125   1/8th of 1/32nd of 1 point for intra-market calendar spreads (0.00390625) = $3.90625 per calendar spread, with block trades eligible for 1/16th of 1/32nd of one point (0.001953125 ) = $1.953125


¼ of 1/32 of 1 point (0.0078125)


Nearest three (3) consecutive calendar months


For a given delivery month, three (3) Exchange Business Days before SIFMA TBA Notification Day.  Expiring contract ceases trading at 12:00 p.m. CT


Fannie Mae and Freddie Mac




For a given Delivery Month, futures are listed by the Exchange for delivery of specified active (current-production) mortgage coupon rates (eg, 2.0%, 2.5%, 3.0%, 3.5%, 4.0%, 4.5%, 5.0%, 5.5%, 6.0%, 6.5%). Each Coupon Rate will be listed as separate product with a unique product code.


$100K face value of MBSD-cleared 30-year UMBS TBA at a given coupon rate. All open positions are deliverable. Customers are encouraged to use commercially reasonable efforts to maintain positions in increments of ten contracts ($1 million) given the typical trading activity in the underlying market.


 All open positions are deliverable.


Exchange Business Day immediately following Last Trading Day


RTH-100; ETH-50; ATH-25


RTH/ETH/ATH - 15 minutes


F-FIFO 100%

[1] The change was last delayed until October 2023 in February 2023. For more information, see:

[2] Note that margin requirements are subject to change.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.

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The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. CME Group does not represent that any material or information contained in this communication is appropriate for use or permitted in any jurisdiction or country where such use or distribution would be contrary to any applicable law or regulation.

Additionally, all examples in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

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