TBA futures allow market participants to hedge mortgage risk with the capital efficiency of an exchange-traded, centrally cleared, and globally accessible liquidity pool. The Mortgage Analytics tool offers analytics based on the TBA futures market as well as the underlying MBS market.

UMBS TBA futures

Prices tab

The Prices tab includes a table that lists settlement prices for each TBA futures coupon rate for the two nearest contract months. The table also shows the change on day (CHG ON DAY), which is equal to the difference between the current price and the previous settlement price. The current prices are also displayed on the chart to the right.

Price History tab

The Price History tab displays a time series chart of TBA futures prices across the coupon stack. The contract underlying this time series rolls to the next contract month on the first business day of the contract’s delivery month – e.g., the June 2023 contract becomes the front month on May 1, 2023, ahead of the May 2023 last trade date of May 4, 2023.

MBS Market

The Fed MBS Run-Off tab displays information regarding the U.S. Federal Reserve System’s MBS holdings.

The Monthly Summary table includes:

The chart on the right displays three series:

  • MBS holdings include the face value of Agency MBS held by Federal Reserve Banks (source: Federal Reserve Balance Sheet: Factors Affecting Reserve Balances - H.4.1). The data is updated weekly (on Thursday).

  • Initial Projected Run-Off is the hypothetical trajectory of the Fed’s MBS holdings assuming that monthly run-off is equal to the monthly run-off caps in every month (i.e., the maximum) since the balance sheet reduction plans took effect in June 2022. This trajectory is shown to demonstrate the divergence of the Fed’s MBS holdings from this trajectory.

  • Projected Run-Off is a user-defined hypothetical trajectory of the Fed’s MBS holdings assuming that the monthly run-off going forward is equal to the Monthly Redemption Amount specified by the user in the drop-down list at the top of the tool.

See the full Mortgage Analytics tool

Better understand the Mortgage Analytics Tool by reading MIAC Analytics’ research on how they derive TBA durations and convexity.

MIAC Methodology

All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

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