| PRODUCT NAME | 30-Year UMBS TBA futures |
| DELIVERABLE GRADE ISSUERS | Fannie Mae and Freddie Mac |
| DELIVERABLE MORTGAGE TERM | 30-Year |
| DELIVERABLE GRADE COUPONS | For a given Delivery Month, futures are listed by the Exchange for delivery of each of a small number of specified active (current production) mortgage coupon rates (e.g., 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. |
| DELIVERABLE GRADE AND SIZE | $100K face value of MBSD-cleared 30-year UMBS TBA at a given coupon rate. |
| PRICE | Par is on basis of 100 points. Each point = $1,000 per contract. |
| MINIMUM PRICE INCREMENT |
1/4 of 1/32nd of one point ($7.8125 per contract). 1/8 of 1/32nd for intra-market calendar spreads ($3.90625 per calendar spread), with block trades eligible for 1/16th of 1/32nd |
| LISTED DELIVERY MONTHS | Nearest three calendar months at any given time |
| LAST TRADING DAY (LTD) | For a given Delivery Month, 3 Exchange business days before SIFMA TBA Notification Day. Expiring contract ceases trading at 12:00 p.m. Chicago time (CT). |
| DELIVERY DAY | Business day following Last Trading Day |
| SETTLEMENT/DELIVERY |
All positions are physically settled. Assignment of an expiring MBSD-cleared TBA for the contract-grade mortgage coupon rate. After termination of trading, CME Clearing assigns open long futures positions as buyer, and open short positions as seller, of contract-grade TBA. By 3:00 p.m. Chicago time on LTD, CME Clearing notifies clearing member firms carrying open positions in expiring futures of accounts holding long positions in expiring contracts who are assigned to become TBA buyers from accounts holding short positions in expiring contracts. CME Clearing makes delivery assignments directly to accounts of expiring long and short positions matched during futures delivery process. |
| BLOCK MINIMUM |
RTH-100; ETH-50; ATH-25 Reporting Window RTH/ETH/ATH - 15 minutes |
| MATCHING ALGORITHM | F-FIFO 100% |