SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 24-074

Organization: The Board of Trade of the City of Chicago, Inc. (“CBOT”)

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 01/25/24 Filing Description: Amendments to Position Limits for 

the 30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be Announced (TBA) Futures

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: See filing.

Rule Numbers: See filing.
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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Timothy Elliott

Managing Director and Chief Regulatory Counsel

Legal Department

January 25, 2024

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to Position Limits for the 30-Year 

Uniform Mortgage-Backed Securities (UMBS) To-Be Announced (TBA) Futures.

CBOT Submission No. 24-074

Dear Mr. Kirkpatrick:

The Board of Trade of the City of Chicago, Inc.’s (“CBOT” or “Exchange”) is certifying to the Commodity 

Futures Trading Commission (“CFTC” or “Commission”) amendments to CBOT Chapter 5 Position Limits, 

Position Accountability and Reportable Level table (the “Table”) to amend the spot month position limits of 

30-Year Uniform Mortgage-Backed Securities (UMBS) To-Be-Announced (TBA) Futures Contracts (2.0%, 

2.5%, 3.0%, 3.5%, 4.0%, 4.5%, 5.0%, 5.5%, 6.0%, and 6.5% Coupon Rates) (the “Contracts”) effective on 

February 9, 2024 and commencing with the June 2024 contract month and beyond (collectively, the “Rule 

Amendments”).

Contract Title Rulebook 

Chapter

Commodity 

Code

Current Position Limits

(in Net Futures 

Equivalents) (Up to and 

including the May 2024

Contract Month)

Amended Position Limits

(in Net Futures 

Equivalents) 

(Commencing with the 

June 2024 Contract Month 

and Beyond)

30-Year UMBS TBA 

Futures – 2.0% 

Coupons

75 20U 10,000 4,000

30-Year UMBS TBA 

Futures – 2.5% 

Coupons

75 25U 7,000 3,000

30-Year UMBS TBA 

Futures – 3.0% 

Coupons

75 30U 10,000 6,000

30-Year UMBS TBA 

Futures – 3.5% 

Coupons

75 35U 12,000 9,000

30-Year UMBS TBA 

Futures – 4.0% 

Coupons

75 40U 12,000 5,000

30-Year UMBS TBA 

Futures – 4.5% 

Coupons

75 45U 18,000 9,000

30-Year UMBS TBA 

Futures – 5.0% 

Coupons

75 50U 15,000 10,000

30-Year UMBS TBA 

Futures – 5.5% 

Coupons

75 55U 20,000 22,000
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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30-Year UMBS TBA 

Futures – 6.0% 

Coupons

75 60U 15,000 23,000

30-Year UMBS TBA 

Futures – 6.5% 

Coupons

75 65U 6,000 33,000

The Table will be amended to reflect the aforementioned changes to the Contracts. Exhibit A provides the 

Table effective February 9, 2024 and Exhibit B provides the Table effective May 7, 2024 (collectively, the 

“Rule Amendments”). Exhibits A and B are provided in blackline format under separate cover.

After a review of recent settlement volumes in deliverable-grade 30-Year Uniform Mortgage-Backed 

Securities for the Contracts, the Rule Amendments are partially attributable to the fluctuation of mortgage 

rates over the course of 2023. Advanced market notification with application to June 2024 futures delivery 

months allows the marketplace multiple months to consider the changes prior to implementation. This 

amount of advance warning should minimize any potential disruptions to trading in futures delivery months 

with existing open interest.

The Rule Amendments are based on the Exchange’s analysis conducted in an effort to adjust limits to 

levels that are appropriate to the characteristics and supply of contract-grade 30-Year Uniform MortgageBacked Securities (UMBS) that are eligible for delivery into the Contracts. For any given TBA futures 

contract, the Exchange establishes and periodically reevaluates the corresponding position limit in light of 

both market conditions and the structure of the basket of deliverable-grade securities for such contract.

CBOT implemented position limits in expiring 30-Year Uniform Mortgage-Backed Securities (UMBS) ToBe-Announced (TBA) Futures to mitigate congested deliveries that might arise as a result of structural 

imbalances between the futures and cash markets. As in earlier instances, the aim of the present 

reexamination and revision is to ensure that the position limits comport with both market conditions and 

scale of deliverable supply. 

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“Act”) and identified that the Rule Amendments may have some bearing on 

the following Core Principles.

• Contracts Not Readily Subject to Manipulation: The Rule Amendments are designed 

to set position limits in expiring TBA futures at levels that are consistent with existing and 

expected deliverable supplies of cash 30-UMBS securities. As such, the proposed rule will 

eliminate the potential for congested deliveries of cash securities during delivery periods 

and thus obviate the chance of manipulation by market participants.

• Prevention of Market Disruption: The Rule Amendments, which determines position 

limits in expiring TBA futures at levels that are consistent with existing and expected 

deliverable supplies of cash 30-UMBS securities, will provide the Exchange’s market 

surveillance, compliance, and enforcement functions with an important metric for 

preventing market disruptions, price distortions, and delivery disruptions during delivery 

periods.

• Position Limits and Accountability: The Rule Amendments, which sets position limits 

in expiring TBA futures at levels that are consistent with existing and expected deliverable 

supplies of cash 30-UMBS securities, will reduce the potential threat of market 

manipulation or delivery congestion during trading in the delivery month.

• Protection of Market Participants: The Rule Amendments, which determine position 

limits in expiring TBA futures at levels that are consistent with existing and expected 
20 S Wacker Dr Chicago, IL 60606 T 312 466 7478 tim.elliott@cmegroup.com cmegroup.com

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deliverable supplies of cash 30-UMBS securities, will protect market participants from 

abusive trading practices by any party that seeks to benefit from unfair and inequitable 

trading practices.

• Availability of General Information: The Rule Amendments will be disseminated to the 

marketplace via Market Surveillance Notice. The Exchange will publish information on the 

contracts’ specifications on its website, together with daily trading volume, open interest, 

and price information.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.6(a), the Exchange hereby certifies that the

Rule Amendments comply with the Act, including regulations under the Act. There were no substantive 

opposing views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at: 

http://www.cmegroup.com/market-regulation/rule-filings.html.

Should you have any questions concerning the above, please contact me at (312) 466-7478 or via e-mail 

at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/Timothy Elliott

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Position Limit, Position Accountability, and Reportable Level Table in Chapter 

5 of the CBOT Rulebook (attached under separate cover), effective February 9, 2024

Exhibit B – Position Limit, Position Accountability, and Reportable Level Table in Chapter 

5 of the CBOT Rulebook (attached under separate cover), effective May 7, 2024
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Exhibit A

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

[Effective February 9, 2024]
5

Exhibit B

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

[Effective May 7, 2024]