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, currently these are 2.0%, 2.5%, 3%, 3.5%, 4%, 4.5%, 5%, 5.5%, 6.0%, and 6.5%.
NOTICES
Resources
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:
- Right click on the link and select "Save link as...".
- Save the file as an .XML on your computer.
- In CME Direct, select import view in the main menu.
- Import the grid into CME Direct.
- Under Menu, click on Save Window Layout.
Contract specifications
Effective Monday, February 6, 2023, the delivery process for TBA futures will be enhanced beginning with the May-2023 delivery cycle. For details view SER-9130.
|
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. Contract months up to and including April 2023: Contract months deliverable in units of $1 million notional (10 contracts), other positions are cash-settled. Contact months commencing with May 2023 and beyond: Contract months deliverable in all position sizes. |
|
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). |
|
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. |
|
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 | Z55U | @55U | U55U | 55U |
| 30-YEAR UMBS TBA FUTURES - 6.0% COUPON | 60U | JYWA Comdty | Z60U | @60U | U60U | 60U |
| 30-YEAR UMBS TBA FUTURES - 6.5% COUPON | 65U | JYLA Comdty | Z65U | @65U | U65U | 65U |
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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