INTEREST RATES

30-Year UMBS TBA futures
The second largest U.S. fixed income market (Agency MBS) is now just a futurescontract away.

About the TBA/Agency MBS market

TBA futures• Established in the 1970s, the TBA market facilitates forward
trading of generic exposure in residential MBS issued byFannie Mae, Freddie Mac, and Ginnie Mae.

• TBA futures offer a capital-efficient tool for hedging
mortgage market risk, a transparent, all-to-all marketplacewith the safety of central counterparty clearing.

• The TBA forward market helps to promote thestandardization of MBS pools by stipulating standards ofgoodness for delivery in fulfillment of TBA agreements.

• TBA futures are futures contracts on TBA forwards – thedesign adheres to well-established TBA market standards.

– This process has contributed to deep liquidity in themarket, allowing for generic exposure to MBS issued bygovernment-supported entities (GSEs).
• Since 2011, TBA trading accounts for more than 90% of all
Agency MBS transaction volumes.

• TBA futures, utilizing the MBSD mechanism, are physicallydelivered contracts that ensure convergence with theunderlying observed cash OTC.
• Contracts are listed on active mortgage coupons rates
ranging from 2.0% - 6.5%.

• Agency MBS is the second largest fixed income market in the U.S.

Key features
TRANSPARENT PRICE DISCOVERY
Source liquidity and price discovery via an equal access,transparent order book.
EXPANDED TRADING ACCESSManage granular mortgage risk with 24-hour trading,capital efficiency, and 10 different coupons.
CENTRAL COUNTERPARTY CLEARING
Multilateral netting creates a more stable and liquidmarket for all participants.
ICS TRADING
Trade the differential between Treasury futures and TBA
futures, either in the same delivery month or across thecalendar.
$100,000 CONTRACT SIZE
This amount allows for higher precision trades and hedges,
or the utilizing of a variety of coupons in a strategy.

SIMPLIFY TBA MARKET ACCESS WITH A
FUTURES ACCOUNT
While OTC trades generally require a Master Securities
Forward Transaction Agreement (MSFTA), TBA futures
allow easy and simple access with only a futures account.
MARGIN EFFICIENCIES
Automatic clearing including margin offsets with otherfixed income products.
MARGIN OFFSETSUsers of Treasury and Eris Swap futures can unlock
significant margin offsets when trading TBA futures.
Example margin offsets for 6.0% Coupon TBA futures(as of October 23, 2023, subject to change):• 70% vs. 10-Year T-Note• 60% vs. 5-Year T-Note• 60% vs. Ultra 10-Year T-Note• 65% vs. 5-Year Eris SOFR swap
• 60% vs. 10-Year Eris SOFR swap
• 85% vs. 5.5% TBA futures

VENDOR CODES
COUPON

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

5.50%

6.00%

6.50%

CME*20U

25U

30U

35U

40U45U50U

55U

60U65U

Bloomberg

JYAA
ComdtyCT

JYBA
ComdtyCT

JYCA
ComdtyCT

JYDA
ComdtyCT

JYEA
ComdtyCT

JYIA
ComdtyCT

JYPA
ComdtyCT

JYTA
ComdtyCT

JYWA
ComdtyCT

JYLA
ComdtyCT*CME code also used for Fidessa, FIS Global, ION, ITIVITI, TT, Vela

CONTRACT SPECS
PRODUCT NAME

30-YEAR UMBS TBA FUTURES

DELIVERABLE GRADE ISSUERS

Fannie Mae and Freddie Mac

DELIVERABLE MORTGAGE TERM

30-Year

DELIVERABLE GRADE AND SIZE

$100,000 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 1/32 for outrights, 1/8 of 1/32 for calendar spreads, blocks eligible for 1/16 of 1/32.

LISTED DELIVERY MONTHS

The nearest three calendar months at any given time.

LAST TRADING DAY (LTD)For a given Delivery Month, three Exchange business days before SIFMA TBA Notification Day.
Expiring contract ceases trading at 2:00 p.m. Chicago time (CT).

DELIVERY DAY

The business day following Last Trading Day.

SETTLEMENT/DELIVERYAfter 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. CT on LTD, CME Clearing notifies clearing
member firms carrying open positions in expiring futures of accounts holding long positions in expiringcontracts who are assigned to become TBA buyers from accounts holding short positions in expiringcontracts. CME Clearing makes delivery assignments directly to accounts of expiring long and shortpositions matched during futures delivery process.

BLOCK MINIMUMRTH-100; ETH-50; ATH-25; Reporting Window RTH/ETH/ATH – 15 minutes

TBA FUTURES
View more information and access
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Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within themeaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose morethan the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds
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