SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-049

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): 02/08/23 Filing Description: Amendments to Position Limits for 

the 30-Year Uniform Mortgage-Backed Security (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.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

February 8, 2023

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 Security (UMBS) To-Be Announced (TBA) Futures.

CBOT Submission No. 23-049

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% and 6.0% Coupon Rates) (collectively, the “Contracts”) effective 

on February 27, 2023 and commencing with the June 2023 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 2023

Contract Month)

Proposed Position Limits

(in Net Futures 

Equivalents) 

(Commencing with the 

June 2023 Contract Month 

and Beyond)

30-Year UMBS TBA 

Futures – 2.0% 

Coupons

75 20U 25,000 10,000

30-Year UMBS TBA 

Futures – 2.5% 

Coupons

75 25U 60,000 7,000

30-Year UMBS TBA 

Futures – 3.0% 

Coupons

75 30U 60,000 10,000

30-Year UMBS TBA 

Futures – 3.5% 

Coupons

75 35U 32,000 12,000

30-Year UMBS TBA 

Futures – 4.0% 

Coupons

75 40U 10,000 12,000

30-Year UMBS TBA 

Futures – 4.5% 

Coupons

75 45U 5,000 18,000

30-Year UMBS TBA 

Futures – 5.0% 

Coupons

75 50U 2,500 15,000

30-Year UMBS TBA 

Futures – 5.5% 

Coupons

75 55U 8,000 20,000
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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30-Year UMBS TBA 

Futures – 6.0% 

Coupons

75 60U 3,000 15,000

Exhibit A and Exhibit B provide amendments to the Table effective February 27, 2023 and May 8, 2023, 

the date that the June 2023 contract month will be the lead contract month.

As described in the initial listing of the Contracts via CBOT Submission No. 22-053 dated October 14, 2022, 

position accountability thresholds for the Contracts shall be similar to the methodology applied to the U.S. 

Treasury Note and Bond futures complex. Position limits have been determined and will be maintained by 

the monthly settlement volumes of 30-Year UMBS TBA forwards at MBSD.

Upon review of recent settlement volumes in deliverable-grade of the Contracts, the Rule Amendments are

partially attributable to rise of mortgage rates over the course of 2022. Advanced market notification with 

application to June 2023 futures delivery months allows the marketplace multiple months to consider the 

changes prior to implementation. This amount of advance warning is intended to 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 the contract grade which are eligible for 

delivery into the Contracts. For all coupon rates available for trading and clearing, 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.

Further, the Rule Amendments are intended to continue to mitigate congested deliveries that may 

potentially 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.

 

In a separate but related matter, via CBOT Submission No. 23-050 dated January 20, 2023, CBOT 

amended the various aspects of the delivery mechanism for Contracts commencing with the May 2023 

contract month and beyond. 

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 the Contracts at levels that are consistent with existing and expected 

deliverable supplies of cash 30-Year UMBS securities. As such, the Rule Amendments 

are intended to minimize any possible 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 are consistent with existing 

and expected deliverable supplies of cash 30-Year UMBS securities. The Exchange will 

continue its 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 are consistent with existing 

and expected deliverable supplies of cash 30-Year UMBS securities.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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• Protection of Market Participants: As a result of the Rule Amendments the position 

levels will remain consistent with existing and expected deliverable supplies of cash 30-

Year UMBS securities and will continue to protect market participants from abusive trading 

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

• Availability of General Information: Information regarding the Rule Amendments will be 

disseminated to the marketplace via Market Surveillance Notice (“MSN”). The MSN will 

also be posted on the CME Group website. The Exchange will continue to 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 (212) 299-2200 or via e-mail 

at CMEGSubmissionInquiry@cmegroup.com.

Sincerely, 

/s/Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Exhibit A – Position Limit, Position Accountability, and Reportable Level Table in Chapter 5

 of the CBOT Rulebook Effective February 27, 2023 (blackline format) (attached

 under separate cover)

 Exhibit B – Position Limit, Position Accountability, and Reportable Level Table in Chapter 5

 of the CBOT Rulebook Effective May 8, 2023 (blackline format) (attached under

 separate cover)
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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 27, 2023]

Exhibit B

CBOT Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability and Reportable Level Table

(attached under separate cover)

[effective May 8, 2023]