SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-156

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): 03/29/23 Filing Description: Amendments to Rule 75104.C. 

(“Clearing Member Reporting Obligations Prior to Delivery”) and Rule 75104.D. (“Notification 

of DTCC FICC MBSD Clearing Members in Delivery”) of the 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)

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: 30-Year Uniform Mortgage-Backed Security (UMBS) To-BeAnnounced (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)

Rule Numbers: CBOT Rulebook Chapter 75
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

March 29, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

3 Lafayette Center

1155 21st Street NW

Washington, DC 20581

Re: CFTC Regulation 40.6(a) Certification. Amendments to Rule 75104.C. (“Clearing 

Member Reporting Obligations Prior to Delivery”) and Rule 75104.D. (“Notification 

of DTCC FICC MBSD Clearing Members in Delivery”) of the 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).

CBOT Submission No. 23-156

Dear Mr. Kirkpatrick:

The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) certifies to the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) amendments to Rule 75104.C. (“Clearing Member 

Reporting Obligations Prior to Delivery”) and Rule 75104.D. (“Notification of DTCC FICC MBSD Clearing 

Members in Delivery”) of the 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 trade date Thursday, April 13, 2023.

Contract Title

CME Globex

and

CME ClearPort

Code

Rulebook Chapter

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 2.0% Coupon

20U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 2.5% Coupon

25U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 3.0% Coupon

30U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 3.5% Coupon

35U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 4.0% Coupon

40U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 4.5% Coupon

45U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures – 5.0% Coupon

50U 75
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

2

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures - 5.5% Coupon

55U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures – 6.0% Coupon

60U 75

30-Year Uniform Mortgage-Backed 

Securities (UMBS) To-Be-Announced (TBA) 

Futures – 6.5% Coupon

65U 75

Specifically, CBOT will amend Rule 75104.D. (“Notification of DTCC FICC MBSD Clearing Members in 

Delivery”) to delete language specifying that the CME Clearing House will allocate Notices of Intentions to 

Clearing Members with open positions on a pro rata basis.

By way of background, CBOT recently implemented several amendments to the Contracts commencing 

with the May 2023 contract month and beyond via CBOT Submission No. 23-050 dated January 20, 2023.

At that time, the Exchange (among other things) commenced permitting physical delivery for all positions, 

not just those in ten (10) contract increments. The amendments to Rule 75104.D. are designed to 

streamline the delivery process in light of this recent change. The elimination of the delivery method with 

the potential for cash-settlement and ten (10) contract restriction prompted a review of counterparty 

assignments in general. The Exchange determined that assignments on a pro rata basis were no longer 

necessary or optimal. All other requirements of the CME Clearing House to provide delivery notices to 

futures commission merchants (“FCMs”) shall remain unchanged. This change will not impact the 

economic value of the Contracts.

Additionally at this time, CBOT will amend Rule 75104.C. (“Clearing Member Reporting Obligations Prior 

to Delivery”) to add language clarifying that Clearing Members are required to report to the Clearing House 

an accurate inventory of accounts long or short interest in an expiring futures contract each of the three (3) 

trading days preceding but not including the Last Trading Day (collectively, the “Rule Amendments”).

Appendix A below provides amendments to Rule 75104.C. and Rule 75104.D. in blackline format. 

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

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

bearing on the following Core Principles: 

• Contract Not Readily Subject to Manipulation: The Contracts shall remain not readily 

susceptible to manipulation as a result of the Rule Amendments. The Rule Amendments 

are simply intended to enhance the delivery process.

• Availability of General Information: The Exchange will publish information on the Rule 

Amendments on its website. A Special Executive Report (“SER”) to market participants 

will be disseminated and posted on the CME Group website. 

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

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

views to the proposal.

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

http://www.cmegroup.com/market-regulation/rule-fillings.html.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

3

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200

or CMEGSubmissionInquiry@cmegroup.com. 

Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

Attachment: Appendix A: Amendments to CBOT Rulebook Chapter 75 (blackline format) 
4

Appendix A

CBOT Rulebook

(additions underscored; deletions [struck through])

Chapter 75

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

(TBA) Futures

***

75104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

***

75104.C. Clearing Member Reporting Obligations Prior to Delivery 

Each Clearing Member that carries accounts holding long or short interest in an expiring futures 

contract shall report to the Clearing House, on each of the last three (3) days of trading prior to the 

Last Trading Day in such expiring futures, an accurate inventory of such long and short interest, in 

such manner and at such times as the Clearing House may prescribe, provided that such inventory 

must include, for each account holding long or short interest:

1. declaration of the number of expiring futures contracts held long, and the number of 

expiring futures contracts held short, in such account; 

2. confirmation whether such account meets the requirements set forth in CBOT Rule 

75104.A.

75104.D. Notification of DTCC FICC MBSD Clearing Members in Delivery

Intention Day

Not later than 2:00 p.m. on the last day of trading, long and short Clearing Members must submit to 

the Clearing House intentions for delivery on a form prescribed by the Clearing House. The notice of 

intention for delivery shall include quantity and EPN Pool ID and any other information as may be 

required by the Exchange.

The Clearing House shall allocate Notices of Intention to Clearing Members [on a pro rata basis] with 

open long futures positions as TBA Buyer, and open short positions as TBA Seller. 

The Clearing House shall provide delivery notices to Clearing Members after 3:00 p.m. on the last 

trading day in an expiring futures contract (CBOT Rule 75102.F.), the Clearing House shall notify 

each MBSD clearing member carrying one or more MBSD Accounts that are required to make or 

accept delivery in fulfillment of such expiring futures, as designated pursuant to CBOT Rule 75104.C. 

For each such MBSD clearing member, such Clearing House notification shall include: 

1. identification of MBSD Accounts, carried by such MBSD clearing member, that are 

required to accept delivery on long futures positions; the size of each such long futures 

position; and the identity of the MBSD clearing member(s) carrying the account(s) in which 

each such long futures position is held; and /or 

2. identification of MBSD Accounts, carried by such MBSD clearing member, that are 

required to make delivery on short futures positions; the size of each such short futures 

position; and the identity of the MBSD clearing member(s) carrying the account(s) in which 

each such short futures position is held.

[Remainder of Rule unchanged.]