30-Year UMBS TBA futures

Hedge mortgage risk with the capital efficiency of an exchange-traded, centrally cleared, and globally accessible liquidity pool.

Hedge mortgage risk efficiently

Gain exposure to the TBA market with the margin efficiency, 24-hour trading, and safety of a standardized futures contract.

Find new opportunities

Inter-commodity spreads vs. Treasury futures offer new spreading opportunities while assisting with liquidity development.

Access liquidity multiple ways

Source liquidity via an equal access, transparent order book, RFQs, or privately negotiated block trades (eligible for 1/16 ticks on rolls).

About TBA futures

Physically delivered monthly futures on 30-Year Uniform Mortgage-Backed Securities (UMBS) TBAs are fulfilled by delivery of TBAs cleared by FICC’s Mortgage-Backed Securities Division, a subsidiary of DTCC. The futures represent 30-year residential mortgages pooled into UMBS products backed by Fannie Mae and Freddie Mac. For each delivery month, futures are listed for delivery on specified active mortgage coupon rates, initially these are 2.0%, 2.5%, 3%, 3.5%, 4%, 4.5%, and 5% with an expansion to 5.5% and 6.0% coming on Monday, December 12*.

TBA futures products

View the latest TBA futures quotes across coupon rates. Quotes are delayed by at least 10 minutes.

Block trades

See the latest block trade information for TBA futures.

Trade TBA futures on CME Direct

A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing TBA futures liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows. Not on CME Direct? Get started.

Download the TBA futures trading grid:

  1. Right click on the link and select "Save link as...".
  2. Save the file as an .XML on your computer.
  3. In CME Direct, select import view in the main menu.
  4. Import the grid into CME Direct.
  5. Under Menu, click on Save Window Layout.

Contract specifications

PRODUCT NAME

30-Year UMBS TBA futures (2.0%, 2.5%, 3.0%, 3.5%, 4.0%, 4.5%, and 5.0% Coupon Rates)

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%, with 5.5% and 6% coming on December 12)*. 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. Deliveries must be made in 10 contract increments with combined deliveries of $1 million face value of MBSD-cleared 30-year UMBS TBA at a given coupon rate. Non- deliverable positions of less than 10 contracts will be cash-settled at expiration.

QUALIFICATION FOR PHYSICAL DELIVERY

10 contract increments

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 2pm Chicago time (CT).

DELIVERY DAY

Business day following Last Trading Day

SETTLEMENT/DELIVERY

Assignment of an expiring MBSD-cleared TBA for the contract-grade mortgage coupon rate. After termination of trading, CME Clearing assigns 10 open long futures positions as buyer, and 10 open short positions as seller, of contract-grade TBA.

By 5:00 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 Algorithim

F-FIFO 100%

Vendor codes

Product CME Bloomberg CQG DTN Refinitiv Composite Fidessa, FIS Global, ION, Itiviti, TT, Vela
30-Year UMBS TBA futures - 2.0% Coupon 20U JYAA Comdty Z20U @20U U20U 20U
30-Year UMBS TBA futures - 2.5% Coupon 25U JYBA Comdty Z25U @25U U25U 25U
30-Year UMBS TBA futures - 3.0% Coupon 30U JYCA Comdty Z30U @30U U30U 30U
30-Year UMBS TBA futures - 3.5% Coupon 35U JYDA Comdty Z35U @35U U35U 35U
30-Year UMBS TBA futures - 4.0% Coupon 40U JYEA Comdty Z40U @40U U40U 40U
30-Year UMBS TBA futures - 4.5% Coupon 45U JYIA Comdty Z45U @45U U45U 45U
30-Year UMBS TBA futures - 5.0% Coupon 50U JYPA Comdty  Z50U @50U U50U 50U
30-YEAR UMBS TBA FUTURES - 5.5% COUPON 55U JYTA Comdty        
30-YEAR UMBS TBA FUTURES - 6.0% COUPON 60U JYWA Comdty         

About the UMBS TBA market

The majority of residential mortgages in the United States are securitized through the agency mortgage-backed securities (MBS) market, which is the second-largest U.S. debt market behind U.S. Treasuries. These securities can be pooled together and traded as forwards in the existing TBA market to provide greater liquidity for participants like mortgage lenders. In June 2019, Fannie Mae and Freddie Mac standardized their MBS offerings into what became known as UMBS. During the last four quarters (Q2 2021-Q1 2022), the UMBS TBA market had a daily volume of $195 billion, representing 80% of overall TBA volumes per FINRA Trace and NY Fed data.

Learn about TBA futures

Understand the basics of TBA futures, the design and fundamentals behind the contract, and the role it fills in enabling efficient hedging and easy access to the mortgage-backed securities market.

Access the second video in this playlist to review how you can trade TBA futures through CME Direct.

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