30-Year UMBS TBA futures

Coming Q4, 2022*

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

*Subject to the regulatory review.

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 will be fulfilled by delivery of TBAs cleared by FICC’s Mortgage-Backed Securities Division, a subsidiary of DTCC. The futures will represent 30-year residential mortgages pooled into UMBS products backed by Fannie Mae and Freddie Mac. For each delivery month, futures will be listed for delivery of a number of specified active mortgage coupon rates, initially these are 2.0%, 2.5%, 3%, 3.5%, 4%, 4.5%, and 5%. The three nearest calendar months will be listed at any given time.

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)

Product Codes

2.0% coupon rate: 20U, 2.5% coupon rate: 25U, 3.0% coupon rate: 30U, 3.5% coupon rate: 35U, 4.0% coupon rate: 40U, 4.5% coupon rate: 45U, 5.0% coupon rate: 50U

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%). 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

Refinitiv Composite

Fidessa, FIS Global, ION, Itiviti, TT, Vela

30-Year UMBS TBA futures - 2.0% Coupon

20U

JYAA Comdty

Z20U

U20U

20U

30-Year UMBS TBA futures - 2.5% Coupon

25U

JYBA Comdty

Z25U

U25U

25U

30-Year UMBS TBA futures - 3.0% Coupon

30U

JYCA Comdty

Z30U

U30U

30U

30-Year UMBS TBA futures - 3.5% Coupon

35U

JYDA Comdty

Z35U

U35U

35U

30-Year UMBS TBA futures - 4.0% Coupon

40U

JYEA Comdty

Z40U

U40U

40U

30-Year UMBS TBA futures - 4.5% Coupon

45U

JYIA Comdty

Z45U

U45U

45U

30-Year UMBS TBA futures - 5.0% Coupon

50U

JYPA Comdty 

Z50U

U50U

50U

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.

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