SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-050

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): 01/20/23 Filing Description: Amendments to 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% and 6.0% 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% and 6.0% 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

January 20, 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 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% and 6.0% Coupon Rates).

CBOT Submission No. 23-050

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 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% and 6.0% Coupon Rates) (the “Contracts”) effective on trade date Monday, February 6, 2023 and 

commencing with the May 2023 contract month and beyond. 

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
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 – 5.0% Coupon

50U 75

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

Specifically, CBOT will amend Rule 75101.A. (“Contract Grade”), Rule 75102. (“Trading Specifications”),

and Rule 75104. (“Deliveries on Expiring Futures Contracts”) Requirements for Participation in Delivery”)

to: (a) allow physical delivery for all positions, not just those in 10 contract increments, and (b) bring forward 

expiration (final settlement), and delivery notice timing by two (2) hours on the last trading day. In addition, 

the Exchange is implementing administrative amendments to the Position Limit, Position Accountability and 

Reportable Level Table located in Chapter 5 (“Trading Qualifications and Practices”) (the “Table”) 

(collectively, the “Rule Amendments”). The Rule Amendments shall apply to all contract months and any 

additional coupon rates that have not yet been listed for trading and clearing.

Currently, the delivery timetable begins at 2:00 p.m. Central Prevailing Time (“CPT”). The changes to the 

delivery process are intended to enhance efficiency based on our observations during the initial physical 

delivery period.

Allowing all positions to go to delivery will improve certainty for market participants that expect and intend 

to go into delivery. The Rule Amendments are intended to provide futures commission merchants (“FCMs”)

and market participants greater visibility when seeking to take positions into delivery. 

Moving the settlement and delivery notice forward two (2) hours will enable market participants additional

time to establish positions during regular market hours going into delivery. The revised timetable on the last 

trading day shall be as follows:

o Trading will cease at 12:00 p.m. CPT

o FCMs must submit intentions for delivery to the CME Clearing House by 2:00 p.m. CPT

o The CME Clearing House will provide delivery notices to FCMs 

Appendix A below provides amendments to Chapter 75 effective on trade date February 6, 2023. Appendix 

B below provides amendments to Chapter 75 effective on trade date Friday, April 7, 2023, the date the May 

2023 contract month shall become the front month. Appendix C and Appendix D (under separate cover) 

provide administrative amendments to the Table effective February 6, 2023 and April 7, 2023, respectively.

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. Specifically, the Rule 

Amendments are intended to enhance the convergence of the cash and futures markets.

• Prevention of Market Disruption: CBOT is implementing the changes for yet to be listed 

contract months. The Rule Amendments are intended to increase the certainty for

customers wishing to participate in the delivery process and further reduce the possibility

of market disruption. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

3

• 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.

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

Attachments: Appendix A: Amendments to CBOT Rulebook Chapter 75 (blackline format) (Effective

 February 6, 2023)

Appendix B: Amendments to CBOT Rulebook Chapter 75 (blackline format) (Effective 

 April 7, 2023)

Appendix C: Amendments to the Position Limits, Position Accountability and

Reportable Level Table in Chapter 5 of the CBOT Rulebook (attached 

under separate cover) (Effective February 6, 2023)

Appendix D: Amendments to the Position Limits, Position Accountability and

Reportable Level Table in Chapter 5 of the CBOT Rulebook (attached 

under separate cover) (Effective April 7, 2023)
4

Appendix A

CBOT Rulebook

[Effective February 6, 2023]

(additions underscored; deletions struck through)

Chapter 75

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

(TBA) Futures

75100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 30-Year UMBS TBA futures (“futures”). In addition 

to this chapter, futures shall be subject to the general rules and regulations of the Exchange insofar 

as applicable.

Unless otherwise specified, times referenced herein shall indicate Central Prevailing Time (“CPT”).

75101. CONTRACT SPECIFICATIONS

75101.A. Contract Grade

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

The contract grade for delivery on futures made under these Rules shall be the Depository Trust & 

Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) Mortgage-Backed

Securities Division (MBSD)-cleared 30-Year UMBS TBA contracts which have the following 

standards:

1. Issuers: Fannie Mae and Freddie Mac

2. Mortgage Term: 30-Year 

3. Deliverable Grade and Size: $100,000 face value of MBSD-cleared 30-Year UMBS TBA 

at a given coupon rate. Deliveries must be made in ten contract increments with combined 

deliveries of $1,000,000 face value of MBSD-cleared 30-Year UMBS TBA at a given coupon 

rate. 

4. Qualification for Physical Delivery: Ten (10) contract increments.

5. Cash-Settlement: Non-deliverable positions of less than ten (10) contracts will be cashsettled at expiration. Positions of ten (10) contract increments may be cash-settled if 

matched with positions of less than ten (10) contracts during the delivery process. Due to 

the commercial nature of this market and the requirement of $1,000,000 face value for 

delivery, TBA Buyers and TBA Sellers holding long or short open positions in an expiring 

futures contract must use commercially reasonable efforts to maintain positions in 

increments of ten (10) contracts to match the “good-deliveries” threshold (CBOT Rule 

75104.E) and to liquidate any position in an increment of less than ten (10) contracts prior 

to expiration.

6. Fixed Rates: For a given Delivery Month, futures are listed by the Exchange for delivery of 

specified active (current-production) mortgage coupon rates. Futures contract Fixed Rates 

set by the Exchange at integer multiple of fifty (50) basis points (i.e., one half of one percent) 

per annum when such futures contract is initially listed for trading.

7. Mortgage Loan Criteria: Must fulfill conforming 30-Year fixed-rate single-family TBAeligible MBS pools.

8. TBA Buyer: Long futures in delivery. Expect to receive conforming agency MBS pools in 

exchange for fixed rate. Expect to take delivery of agency pass-through securities. 

9. TBA Seller: Short futures in delivery. Expect to deliver conforming agency MBS pools in 

exchange for fixed rate. Expect to make delivery of agency pass-through securities.

10. Last Trading Day (LTD): Three (3) Exchange Business Days prior to SIFMA TBA 

Notification Date.

11. Delivery Day: Exchange Business Day immediately following LTD.

12. Listed Delivery Months: At least nearest three (3) calendar months at any given time
5

75101.A. Contract Grade

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)

The contract grade for delivery on futures made under these Rules shall be the Depository Trust & 

Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) Mortgage-Backed 

Securities Division (MBSD)-cleared 30-Year UMBS TBA contracts which have the following 

standards:

1. Issuers: Fannie Mae and Freddie Mac

2. Mortgage Term: 30-Year 

3. Deliverable Grade and Size: $100,000 face value of MBSD-cleared 30-Year UMBS TBA 

at a given coupon rate. Deliveries must be made in ten contract increments with combined 

deliveries of $1,000,000 face value of MBSD-cleared 30-Year UMBS TBA at a given coupon 

rate.

4. Qualification for Physical Delivery: Ten (10) contract increments.

5. Cash-Settlement: Non-deliverable positions of less than ten (10) contracts will be cashsettled at expiration. Positions of ten (10) contract increments may be cash-settled if 

matched with positions of less than ten (10) contracts during the delivery process. Due to 

the commercial nature of this market and the requirement of $1,000,000 face value for 

delivery, TBA Buyers and TBA Sellers holding long or short open positions in an expiring 

futures contract must use commercially reasonable efforts to maintain positions in 

increments of ten (10) contracts to match the “good-deliveries” threshold (CBOT Rule 

75104.E) and to liquidate any position in an increment of less than ten (10) contracts prior 

to expiration.

4.6. Fixed Rates: For a given Delivery Month, futures are listed by the Exchange for delivery of 

specified active (current-production) mortgage coupon rates. Futures contract Fixed Rates 

set by the Exchange at integer multiple of fifty (50) basis points (i.e., one half of one percent) 

per annum when such futures contract is initially listed for trading.

5.7. Mortgage Loan Criteria: Must fulfill conforming 30-Year fixed-rate single-family TBAeligible MBS pools.

6.8. TBA Buyer: Long futures in delivery. Expect to receive conforming agency MBS pools in 

exchange for fixed rate. Expect to take delivery of agency pass-through securities. 

7.9. TBA Seller: Short futures in delivery. Expect to deliver conforming agency MBS pools in 

exchange for fixed rate. Expect to make delivery of agency pass-through securities.

8.10.Last Trading Day (LTD): Three (3) Exchange Business Days prior to SIFMA TBA 

Notification Date. 

9.11.Delivery Day: Exchange Business Day immediately following LTD.

10.12. Listed Delivery Months: At least nearest three (3) calendar months at any given time

75102. TRADING SPECIFICATIONS

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the three (3) nearest calendar months. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of 

the Fixed Rates that shall standardize the Contract Grade for such futures contract (CBOT Rule 

75101.A.6.). The Exchange also shall determine whether, and when, to list for trading any additional 

futures contract(s) for such delivery month that are standardized to Fixed Rate coupon(s) different 

from the available Fixed Rate coupons of such futures contract.

[Rules 75102.A. – F. unchanged]

75102.G. Final Settlement Price

On the expiring contract’s last day of trading, the Exchange shall determine a Final Settlement Price 

based upon market activity from multiple sources. The Final Settlement Price will be used for 

deliveries and cash settlement of open positions.

75102.H. Final Settlement

Subject to CBOT Rule 75101.A., deliverable positions must be in increments of ten (10) contracts. 

Clearing Members holding open long or short positions in a contract month at the time of termination 
6

of trading in such contract shall make payment to or receive payment from the Clearing House in 

accordance with normal variation performance bond procedures based on a settlement price equal 

to the Final Settlement Price (CBOT Rule 75102.G.). Non-deliverable positions of less than ten (10) 

contracts will be cash-settled based on the Final Settlement Price. Positions of ten (10) contract 

increments may be cash-settled if matched with non-deliverable positions of less than ten (10) 

contracts during the delivery process.

75102. TRADING SPECIFICATIONS

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the three (3) nearest calendar months. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of 

the Fixed Rates that shall standardize the Contract Grade for such futures contract (CBOT Rule 

75101.A.4.6.). The Exchange also shall determine whether, and when, to list for trading any 

additional futures contract(s) for such delivery month that are standardized to Fixed Rate coupon(s) 

different from the available Fixed Rate coupons of such futures contract.

[Rules 75102.A. – F. unchanged]

75102.G. Final Settlement Price

On the expiring contract’s last day of trading, the Exchange shall determine a Final Settlement Price 

based upon market activity from multiple sources. The Final Settlement Price will be used for 

deliveries and cash settlement of open positions.

75102.H. Final Settlement

Subject to CBOT Rule 75101.A., deliverable positions must be in increments of ten (10) contracts. 

Clearing Members holding open long or short positions in a contract month at the time of termination 

of trading in such contract shall make payment to or receive payment from the Clearing House in 

accordance with normal variation performance bond procedures based on a settlement price equal 

to the Final Settlement Price (CBOT Rule 75102.G.). Non-deliverable positions of less than ten (10) 

contracts will be cash-settled based on the Final Settlement Price. Positions of ten (10) contract 

increments may be cash-settled if matched with non-deliverable positions of less than ten (10) 

contracts during the delivery process.

[Rule 75103. unchanged.]

75104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

75104.A. Requirements for Participation in Delivery

For an account carried by a Clearing Member to make or accept delivery on an expiring futures 

contract, the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the 

Commodity Exchange Act; and 

2. capable of fulfilling futures delivery through a “Full” FICC MBSD clearing member (“MBSD 

clearing member”) that is either an affiliated or unaffiliated Exchange Clearing Member. 

Limited Member for Electronic Pool Notification (EPN) Service is insufficient.

Subject to these requirements and to CBOT Rules 75104.B. and 75104.C., upon Termination of 

Trading in such expiring futures (CBOT Rule 75102.F.), the holder of each such account that holds 

a long interest in such futures contract shall be required to provide confirmation to the Clearing House 

establishing position of TBA Buyer in increments of ten (10) contracts that meet Contract Grade 

(CBOT Rule 75101.A.) and fulfill Qualification for Physical Delivery, and the holder of each such 

account that holds a short interest in such futures contract shall be required to provide confirmation 

to the Clearing House establishing position of TBA Seller of ten (10) contracts that meet Contract 

Grade and fulfill Qualification for Physical Delivery.

75104.B. Clearing Member Obligations in Delivery 
7

Subject to the provisions of Exchange Rulebook Chapters 7, 8, and 9, as of the termination of trading 

in an expiring futures contract (CBOT Rule 75102.F.), each Clearing Member that carries accounts 

holding long or short interest in such expiring futures contract shall submit and: 

1. ensure that the requirements set forth in CBOT Rule 75104.A. are met; 

2. in accord with the requirements set forth in CBOT Rule 75104.B., ensure that the holder 

of each such account has designated (a) the MBSD Account(s) in which the holder shall 

make or accept any deliveries on expiring futures contracts and (b) the MBSD clearing 

member(s) carrying such MBSD Account(s); 

3. ensure that any MBSD clearing member carrying such MBSD Account(s) as may be 

designated pursuant to CBOT Rule 75104.C.2. has been notified of such designation; and 

4. obtain acknowledgement from each MBSD clearing member designated pursuant to 

CBOT Rule 75104.C.2. that such MBSD clearing member shall guarantee and assume 

complete responsibility for the performance of all delivery requirements in respect of such 

expiring futures (CBOT Rule 75104.E.). 

Where a Clearing Member carries accounts holding interest both long and short in such expiring 

futures contract, the Clearing Member must fulfill CBOT Rule 75104.C. so as to procure that delivery 

shall be made by all such accounts holding short interest and shall be accepted by all such accounts 

holding long interest. 

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 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 4:00 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, delivery method 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 within 

the same delivery method in increments of ten (10) open long futures positions as TBA Buyer, and 

ten (10) open short positions as TBA Seller. 

Non-deliverable positions of less than ten (10) contracts will be cash-settled based on the final 

settlement price. Positions of ten (10) contract increments may be cash-settled if matched with nondeliverable positions of less than ten (10) contracts during the delivery process.

The Clearing House shall provide delivery notices to Clearing Members after 5:00 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.
8

75104.E. DTCC FICC MBSD Clearing Member Obligations in Delivery 

Every ten (10) futures contracts that are delivered shall be a MBSD cleared TBA that matches the 

“good-delivery millions” threshold. To fulfill the delivery obligation for a long futures position of ten 

(10) contracts, the TBA confirmation must demonstrate that one MBSD cleared TBA Buyer has been 

established for the same Contract Grade (Fixed Rate, Delivery Month). To fulfill the delivery obligation 

for a short futures position of ten (10) contracts, the TBA confirmation must demonstrate that one 

MBSD cleared TBA Seller has been established for the same Contract Grade (Fixed Rate, Delivery 

Month).

The TBA confirmation must include the following details: product (issuer, coupon, term), trade date, 

quantity, price, direction (buy/sell), and settlement date of the TBA trade.

TBA Buyer and TBA Seller are required to provide confirmation of TBA transfer by 3:00 p.m. on the 

delivery day or as may be prescribed by the Clearing House. 

In the event that an MBSD clearing member disputes such notification of delivery on expiring futures 

as it may receive from the Clearing House, pursuant to CBOT Rule 75104.E., such MBSD clearing 

member shall promptly notify the Clearing House, and the dispute must be settled prior to 4:00 p.m. 

on the Delivery Date in fulfillment of such expiring futures (CBOT Rule 75104.D.), 

Matched TBA Buyers and TBA Sellers for Delivery

1. By holding open positions into the Intention Day that are matched for delivery, the matched 

TBA Buyer and TBA Seller are deemed to have entered into a transaction as a single, 

separate and independent legally binding agreement. Each transaction is a valid and legally 

binding obligation of, and shall be enforceable against the parties.

2. TBA Buyer and TBA Seller agree and understand that all responsibility for any TBA delivery 

obligation remains solely with the TBA Buyer and TBA Seller.

3. TBA deliveries shall be deemed completed with confirmations that verify establishing MBSD 

positions that fulfill the futures delivery obligations.

4. All deliveries shall be conducted in conformity with the FICC-MBSD Clearing Rules and the 

good delivery guidelines of SIFMA’s Uniform Practices for the Clearance and Settlement of 

Mortgage-Backed Securities and Other Related Securities (CBOT Rule 75104.B.) (CBOT 

Rule 75104.C.) (CBOT Rule 75104.D.).

75104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)

75104.A. Requirements for Participation in Delivery

For an account carried by a Clearing Member to make or accept delivery on an expiring futures 

contract, the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the 

Commodity Exchange Act; and 

2. capable of fulfilling futures delivery through a “Full” FICC MBSD clearing member (“MBSD 

clearing member”) that is either an affiliated or unaffiliated Exchange Clearing Member. 

Limited Member for Electronic Pool Notification (EPN) Service is insufficient.

Subject to these requirements and to CBOT Rules 75104.B. and 75104.C., upon Termination of 

Trading in such expiring futures (CBOT Rule 75102.F.), the holder of each such account that holds 

a long interest in such futures contract shall be required to provide confirmation to the Clearing House 

establishing position of TBA Buyer in increments of ten (10) one contracts that meets Contract Grade 

(CBOT Rule 75101.A.) and fulfill Qualification for Physical Delivery, and the holder of each such 

account that holds a short interest in such futures contract shall be required to provide confirmation 

to the Clearing House establishing position of TBA Seller of ten (10) one contracts that meets 

Contract Grade and fulfill Qualification for Physical Delivery.

75104.B. Clearing Member Obligations in Delivery 

Subject to the provisions of Exchange Rulebook Chapters 7, 8, and 9, as of the termination of trading 

in an expiring futures contract (CBOT Rule 75102.F.), each Clearing Member that carries accounts 

holding long or short interest in such expiring futures contract shall submit and: 
9

1. ensure that the requirements set forth in CBOT Rule 75104.A. are met; 

2. in accord with the requirements set forth in CBOT Rule 75104.B., ensure that the holder 

of each such account has designated (a) the MBSD Account(s) in which the holder shall 

make or accept any deliveries on expiring futures contracts and (b) the MBSD clearing 

member(s) carrying such MBSD Account(s); 

3. ensure that any MBSD clearing member carrying such MBSD Account(s) as may be 

designated pursuant to CBOT Rule 75104.C.2. has been notified of such designation; and 

4. obtain acknowledgement from each MBSD clearing member designated pursuant to 

CBOT Rule 75104.C.2. that such MBSD clearing member shall guarantee and assume 

complete responsibility for the performance of all delivery requirements in respect of such 

expiring futures (CBOT Rule 75104.E.). 

Where a Clearing Member carries accounts holding interest both long and short in such expiring 

futures contract, the Clearing Member must fulfill CBOT Rule 75104.C. so as to procure that delivery 

shall be made by all such accounts holding short interest and shall be accepted by all such accounts 

holding long interest. 

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 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 4:00 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, delivery method 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 within 

the same delivery method in increments of ten (10) with open long futures positions as TBA Buyer, 

and ten (10) open short positions as TBA Seller. 

Non-deliverable positions of less than ten (10) contracts will be cash-settled based on the final 

settlement price. Positions of ten (10) contract increments may be cash-settled if matched with nondeliverable positions of less than ten (10) contracts during the delivery process.

The Clearing House shall provide delivery notices to Clearing Members after 5:00 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.

75104.E. DTCC FICC MBSD Clearing Member Obligations in Delivery 
10

Every ten (10) futures contracts that are is delivered shall be a MBSD cleared TBA that matches the 

“good-delivery millions” threshold. To fulfill the delivery obligation for a long futures position of a TBA 

ten (10) contracts, the TBA confirmation must demonstrate that one a MBSD cleared TBA Buyer has 

been established for the same Contract Grade (Fixed Rate, Delivery Month). To fulfill the delivery 

obligation for a short futures position of ten (10) a TBA contracts, the TBA confirmation must 

demonstrate that one a MBSD cleared TBA Seller has been established for the same Contract Grade 

(Fixed Rate, Delivery Month).

The TBA confirmation must include the following details: product (issuer, coupon, term), trade date, 

quantity, price, direction (buy/sell), and settlement date of the TBA trade.

TBA Buyer and TBA Seller are required to provide confirmation of TBA transfer by 3:00 p.m. on the 

delivery day or as may be prescribed by the Clearing House. 

In the event that an MBSD clearing member disputes such notification of delivery on expiring futures 

as it may receive from the Clearing House, pursuant to CBOT Rule 75104.E., such MBSD clearing 

member shall promptly notify the Clearing House, and the dispute must be settled prior to 4:00 p.m. 

on the Delivery Date in fulfillment of such expiring futures (CBOT Rule 75104.D.),

Matched TBA Buyers and TBA Sellers for Delivery

1. By holding open positions into the Intention Day that are matched for delivery, the matched 

TBA Buyer and TBA Seller are deemed to have entered into a transaction as a single, 

separate and independent legally binding agreement. Each transaction is a valid and legally 

binding obligation of, and shall be enforceable against the parties.

2. TBA Buyer and TBA Seller agree and understand that all responsibility for any TBA delivery 

obligation remains solely with the TBA Buyer and TBA Seller.

3. TBA deliveries shall be deemed completed with confirmations that verify establishing MBSD 

positions that fulfill the futures delivery obligations.

4. All deliveries shall be conducted in conformity with the FICC-MBSD Clearing Rules and the 

good delivery guidelines of SIFMA’s Uniform Practices for the Clearance and Settlement of 

Mortgage-Backed Securities and Other Related Securities (CBOT Rule 75104.B.) (CBOT 

Rule 75104.C.) (CBOT Rule 75104.D.).

[Remainder of Rule unchanged.]
11

Appendix B

CBOT Rulebook

[Effective April 7, 2023]

(additions underscored; deletions struck through)

Chapter 75

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

(TBA) Futures

75100. SCOPE OF CHAPTER

This chapter is limited in application to trading of 30-Year UMBS TBA futures (“futures”). In addition 

to this chapter, futures shall be subject to the general rules and regulations of the Exchange insofar 

as applicable.

Unless otherwise specified, times referenced herein shall indicate Central Prevailing Time (“CPT”).

75101. CONTRACT SPECIFICATIONS

75101.A. Contract Grade

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

The contract grade for delivery on futures made under these Rules shall be the Depository Trust & 

Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) Mortgage-Backed 

Securities Division (MBSD)-cleared 30-Year UMBS TBA contracts which have the following 

standards:

1. Issuers: Fannie Mae and Freddie Mac

2. Mortgage Term: 30-Year 

3. Deliverable Grade and Size: $100,000 face value of MBSD-cleared 30-Year UMBS TBA 

at a given coupon rate. Deliveries must be made in ten contract increments with combined 

deliveries of $1,000,000 face value of MBSD-cleared 30-Year UMBS TBA at a given coupon

rate. 

4. Qualification for Physical Delivery: Ten (10) contract increments.

5. Cash-Settlement: Non-deliverable positions of less than ten (10) contracts will be cashsettled at expiration. Positions of ten (10) contract increments may be cash-settled if 

matched with positions of less than ten (10) contracts during the delivery process. Due to 

the commercial nature of this market and the requirement of $1,000,000 face value for 

delivery, TBA Buyers and TBA Sellers holding long or short open positions in an expiring 

futures contract must use commercially reasonable efforts to maintain positions in 

increments of ten (10) contracts to match the “good-deliveries” threshold (CBOT Rule 

75104.E) and to liquidate any position in an increment of less than ten (10) contracts prior 

to expiration.

6. Fixed Rates: For a given Delivery Month, futures are listed by the Exchange for delivery of 

specified active (current-production) mortgage coupon rates. Futures contract Fixed Rates 

set by the Exchange at integer multiple of fifty (50) basis points (i.e., one half of one percent) 

per annum when such futures contract is initially listed for trading.

7. Mortgage Loan Criteria: Must fulfill conforming 30-Year fixed-rate single-family TBAeligible MBS pools.

8. TBA Buyer: Long futures in delivery. Expect to receive conforming agency MBS pools in 

exchange for fixed rate. Expect to take delivery of agency pass-through securities. 

9. TBA Seller: Short futures in delivery. Expect to deliver conforming agency MBS pools in 

exchange for fixed rate. Expect to make delivery of agency pass-through securities.

10. Last Trading Day (LTD): Three (3) Exchange Business Days prior to SIFMA TBA 

Notification Date.

11. Delivery Day: Exchange Business Day immediately following LTD.

12. Listed Delivery Months: At least nearest three (3) calendar months at any given time
12

75101.A. Contract Grade

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)

The contract grade for delivery on futures made under these Rules shall be the Depository Trust & 

Clearing Corporation’s (DTCC) Fixed Income Clearing Corporation (FICC) Mortgage-Backed 

Securities Division (MBSD)-cleared 30-Year UMBS TBA contracts which have the following 

standards:

1. Issuers: Fannie Mae and Freddie Mac

2. Mortgage Term: 30-Year 

3. Deliverable Grade and Size: $100,000 face value of MBSD-cleared 30-Year UMBS TBA 

at a given coupon rate. 

4. Fixed Rates: For a given Delivery Month, futures are listed by the Exchange for delivery of 

specified active (current-production) mortgage coupon rates. Futures contract Fixed Rates 

set by the Exchange at integer multiple of fifty (50) basis points (i.e., one half of one percent) 

per annum when such futures contract is initially listed for trading.

5. Mortgage Loan Criteria: Must fulfill conforming 30-Year fixed-rate single-family TBAeligible MBS pools.

6. TBA Buyer: Long futures in delivery. Expect to receive conforming agency MBS pools in 

exchange for fixed rate. Expect to take delivery of agency pass-through securities. 

7. TBA Seller: Short futures in delivery. Expect to deliver conforming agency MBS pools in 

exchange for fixed rate. Expect to make delivery of agency pass-through securities.

8. Last Trading Day (LTD): Three (3) Exchange Business Days prior to SIFMA TBA 

Notification Date. 

9. Delivery Day: Exchange Business Day immediately following LTD.

10. Listed Delivery Months: At least nearest three (3) calendar months at any given time

75102. TRADING SPECIFICATIONS

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the three (3) nearest calendar months. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of 

the Fixed Rates that shall standardize the Contract Grade for such futures contract (CBOT Rule 

75101.A.6.). The Exchange also shall determine whether, and when, to list for trading any additional 

futures contract(s) for such delivery month that are standardized to Fixed Rate coupon(s) different 

from the available Fixed Rate coupons of such futures contract.

[Rules 75102.A. – F. unchanged]

75102.G. Final Settlement Price

On the expiring contract’s last day of trading, the Exchange shall determine a Final Settlement Price 

based upon market activity from multiple sources. The Final Settlement Price will be used for 

deliveries and cash settlement of open positions.

75102.H. Final Settlement

Subject to CBOT Rule 75101.A., deliverable positions must be in increments of ten (10) contracts. 

Clearing Members holding open long or short positions in a contract month at the time of termination 

of trading in such contract shall make payment to or receive payment from the Clearing House in 

accordance with normal variation performance bond procedures based on a settlement price equal 

to the Final Settlement Price (CBOT Rule 75102.G.). Non-deliverable positions of less than ten (10) 

contracts will be cash-settled based on the Final Settlement Price. Positions of ten (10) contract 

increments may be cash-settled if matched with non-deliverable positions of less than ten (10) 

contracts during the delivery process.

75102. TRADING SPECIFICATIONS

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)
13

The number of contract delivery months open for trading at a given time shall be determined by the 

Exchange. Without limitation to the foregoing, the Exchange customarily shall list for trading futures 

contracts for delivery in at least each of the three (3) nearest calendar months. 

For a given futures contract for a given delivery month, the Exchange shall determine the value of 

the Fixed Rates that shall standardize the Contract Grade for such futures contract (CBOT Rule 

75101.A.4.). The Exchange also shall determine whether, and when, to list for trading any additional 

futures contract(s) for such delivery month that are standardized to Fixed Rate coupon(s) different 

from the available Fixed Rate coupons of such futures contract.

[Rules 75102.A. – F. unchanged]

75102.G. Final Settlement Price

On the expiring contract’s last day of trading, the Exchange shall determine a Final Settlement Price 

based upon market activity from multiple sources. The Final Settlement Price will be used for 

deliveries of open positions.

75102.H. Final Settlement

Clearing Members holding open long or short positions in a contract month at the time of termination 

of trading in such contract shall make payment to or receive payment from the Clearing House in 

accordance with normal variation performance bond procedures based on a settlement price equal 

to the Final Settlement Price (CBOT Rule 75102.G.). 

[Rule 75103. unchanged.]

75104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

(ALL CONTRACT MONTHS UP TO AND INCLUDING THE APRIL 2023 CONTRACT MONTH)

75104.A. Requirements for Participation in Delivery

For an account carried by a Clearing Member to make or accept delivery on an expiring futures 

contract, the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the 

Commodity Exchange Act; and 

2. capable of fulfilling futures delivery through a “Full” FICC MBSD clearing member (“MBSD 

clearing member”) that is either an affiliated or unaffiliated Exchange Clearing Member. 

Limited Member for Electronic Pool Notification (EPN) Service is insufficient.

Subject to these requirements and to CBOT Rules 75104.B. and 75104.C., upon Termination of 

Trading in such expiring futures (CBOT Rule 75102.F.), the holder of each such account that holds 

a long interest in such futures contract shall be required to provide confirmation to the Clearing House 

establishing position of TBA Buyer in increments of ten (10) contracts that meet Contract Grade 

(CBOT Rule 75101.A.) and fulfill Qualification for Physical Delivery, and the holder of each such 

account that holds a short interest in such futures contract shall be required to provide confirmation 

to the Clearing House establishing position of TBA Seller of ten (10) contracts that meet Contract 

Grade and fulfill Qualification for Physical Delivery.

75104.B. Clearing Member Obligations in Delivery 

Subject to the provisions of Exchange Rulebook Chapters 7, 8, and 9, as of the termination of trading 

in an expiring futures contract (CBOT Rule 75102.F.), each Clearing Member that carries accounts 

holding long or short interest in such expiring futures contract shall submit and: 

1. ensure that the requirements set forth in CBOT Rule 75104.A. are met; 

2. in accord with the requirements set forth in CBOT Rule 75104.B., ensure that the holder 

of each such account has designated (a) the MBSD Account(s) in which the holder shall 

make or accept any deliveries on expiring futures contracts and (b) the MBSD clearing 

member(s) carrying such MBSD Account(s); 

3. ensure that any MBSD clearing member carrying such MBSD Account(s) as may be 

designated pursuant to CBOT Rule 75104.C.2. has been notified of such designation; and 

4. obtain acknowledgement from each MBSD clearing member designated pursuant to 

CBOT Rule 75104.C.2. that such MBSD clearing member shall guarantee and assume 
14

complete responsibility for the performance of all delivery requirements in respect of such 

expiring futures (CBOT Rule 75104.E.). 

Where a Clearing Member carries accounts holding interest both long and short in such expiring 

futures contract, the Clearing Member must fulfill CBOT Rule 75104.C. so as to procure that delivery 

shall be made by all such accounts holding short interest and shall be accepted by all such accounts 

holding long interest. 

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 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 4:00 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, delivery method 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 within 

the same delivery method in increments of ten (10) open long futures positions as TBA Buyer, and 

ten (10) open short positions as TBA Seller. 

Non-deliverable positions of less than ten (10) contracts will be cash-settled based on the final 

settlement price. Positions of ten (10) contract increments may be cash-settled if matched with nondeliverable positions of less than ten (10) contracts during the delivery process.

The Clearing House shall provide delivery notices to Clearing Members after 5:00 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.

75104.E. DTCC FICC MBSD Clearing Member Obligations in Delivery 

Every ten (10) futures contracts that are delivered shall be a MBSD cleared TBA that matches the 

“good-delivery millions” threshold. To fulfill the delivery obligation for a long futures position of ten 

(10) contracts, the TBA confirmation must demonstrate that one MBSD cleared TBA Buyer has been 

established for the same Contract Grade (Fixed Rate, Delivery Month). To fulfill the delivery obligation 

for a short futures position of ten (10) contracts, the TBA confirmation must demonstrate that one 

MBSD cleared TBA Seller has been established for the same Contract Grade (Fixed Rate, Delivery 

Month).

The TBA confirmation must include the following details: product (issuer, coupon, term), trade date, 

quantity, price, direction (buy/sell), and settlement date of the TBA trade.

TBA Buyer and TBA Seller are required to provide confirmation of TBA transfer by 3:00 p.m. on the 

delivery day or as may be prescribed by the Clearing House. 
15

In the event that an MBSD clearing member disputes such notification of delivery on expiring futures 

as it may receive from the Clearing House, pursuant to CBOT Rule 75104.E., such MBSD clearing 

member shall promptly notify the Clearing House, and the dispute must be settled prior to 4:00 p.m. 

on the Delivery Date in fulfillment of such expiring futures (CBOT Rule 75104.D.), 

Matched TBA Buyers and TBA Sellers for Delivery

1. By holding open positions into the Intention Day that are matched for delivery, the matched 

TBA Buyer and TBA Seller are deemed to have entered into a transaction as a single, 

separate and independent legally binding agreement. Each transaction is a valid and legally 

binding obligation of, and shall be enforceable against the parties.

2. TBA Buyer and TBA Seller agree and understand that all responsibility for any TBA delivery 

obligation remains solely with the TBA Buyer and TBA Seller.

3. TBA deliveries shall be deemed completed with confirmations that verify establishing MBSD 

positions that fulfill the futures delivery obligations.

4. All deliveries shall be conducted in conformity with the FICC-MBSD Clearing Rules and the 

good delivery guidelines of SIFMA’s Uniform Practices for the Clearance and Settlement of 

Mortgage-Backed Securities and Other Related Securities (CBOT Rule 75104.B.) (CBOT 

Rule 75104.C.) (CBOT Rule 75104.D.).

75104. DELIVERIES ON EXPIRING FUTURES CONTRACTS

(ALL CONTRACT MONTHS COMMENCING WITH THE MAY 2023 CONTRACT MONTH)

75104.A. Requirements for Participation in Delivery

For an account carried by a Clearing Member to make or accept delivery on an expiring futures 

contract, the holder of such account is required to be: 

1. an Eligible Contract Participant, as that term is defined in Section 1a(18) of the 

Commodity Exchange Act; and 

2. capable of fulfilling futures delivery through a “Full” FICC MBSD clearing member (“MBSD 

clearing member”) that is either an affiliated or unaffiliated Exchange Clearing Member. 

Limited Member for Electronic Pool Notification (EPN) Service is insufficient.

Subject to these requirements and to CBOT Rules 75104.B. and 75104.C., upon Termination of 

Trading in such expiring futures (CBOT Rule 75102.F.), the holder of each such account that holds 

a long interest in such futures contract shall be required to provide confirmation to the Clearing House 

establishing position of TBA Buyer of one contract that meets Contract Grade (CBOT Rule 75101.A.), 

and the holder of each such account that holds a short interest in such futures contract shall be 

required to provide confirmation to the Clearing House establishing position of TBA Seller of one 

contract that meets Contract Grade.

75104.B. Clearing Member Obligations in Delivery 

Subject to the provisions of Exchange Rulebook Chapters 7, 8, and 9, as of the termination of trading 

in an expiring futures contract (CBOT Rule 75102.F.), each Clearing Member that carries accounts 

holding long or short interest in such expiring futures contract shall submit and: 

1. ensure that the requirements set forth in CBOT Rule 75104.A. are met; 

2. in accord with the requirements set forth in CBOT Rule 75104.B., ensure that the holder 

of each such account has designated (a) the MBSD Account(s) in which the holder shall 

make or accept any deliveries on expiring futures contracts and (b) the MBSD clearing 

member(s) carrying such MBSD Account(s); 

3. ensure that any MBSD clearing member carrying such MBSD Account(s) as may be 

designated pursuant to CBOT Rule 75104.C.2. has been notified of such designation; and 

4. obtain acknowledgement from each MBSD clearing member designated pursuant to 

CBOT Rule 75104.C.2. that such MBSD clearing member shall guarantee and assume 

complete responsibility for the performance of all delivery requirements in respect of such 

expiring futures (CBOT Rule 75104.E.). 
16

Where a Clearing Member carries accounts holding interest both long and short in such expiring 

futures contract, the Clearing Member must fulfill CBOT Rule 75104.C. so as to procure that delivery 

shall be made by all such accounts holding short interest and shall be accepted by all such accounts 

holding long interest. 

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 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.

75104.E. DTCC FICC MBSD Clearing Member Obligations in Delivery 

Every futures contract that is delivered shall be a MBSD cleared TBA. To fulfill the delivery obligation 

for a long futures position of a TBA contract, the TBA confirmation must demonstrate that a MBSD 

cleared TBA Buyer has been established for the same Contract Grade (Fixed Rate, Delivery Month). 

To fulfill the delivery obligation for a short futures position of a TBA contract, the TBA confirmation 

must demonstrate that a MBSD cleared TBA Seller has been established for the same Contract 

Grade (Fixed Rate, Delivery Month).

The TBA confirmation must include the following details: product (issuer, coupon, term), trade date, 

quantity, price, direction (buy/sell), and settlement date of the TBA trade.

TBA Buyer and TBA Seller are required to provide confirmation of TBA transfer by 3:00 p.m. on the 

delivery day or as may be prescribed by the Clearing House. 

In the event that an MBSD clearing member disputes such notification of delivery on expiring futures 

as it may receive from the Clearing House, pursuant to CBOT Rule 75104.E., such MBSD clearing 

member shall promptly notify the Clearing House, and the dispute must be settled prior to 4:00 p.m. 

on the Delivery Date in fulfillment of such expiring futures (CBOT Rule 75104.D.),

Matched TBA Buyers and TBA Sellers for Delivery
17

1. By holding open positions into the Intention Day that are matched for delivery, the matched 

TBA Buyer and TBA Seller are deemed to have entered into a transaction as a single, 

separate and independent legally binding agreement. Each transaction is a valid and legally 

binding obligation of, and shall be enforceable against the parties.

2. TBA Buyer and TBA Seller agree and understand that all responsibility for any TBA delivery 

obligation remains solely with the TBA Buyer and TBA Seller.

3. TBA deliveries shall be deemed completed with confirmations that verify establishing MBSD 

positions that fulfill the futures delivery obligations.

4. All deliveries shall be conducted in conformity with the FICC-MBSD Clearing Rules and the 

good delivery guidelines of SIFMA’s Uniform Practices for the Clearance and Settlement of 

Mortgage-Backed Securities and Other Related Securities (CBOT Rule 75104.B.) (CBOT 

Rule 75104.C.) (CBOT Rule 75104.D.).

[Remainder of Rule unchanged.]
18

Appendix C

CBOT Rulebook

[Effective February 6, 2023]

(additions underscored; deletions struck through)

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)

Appendix D

CBOT Rulebook

[Effective April 7, 2023]

(additions underscored; deletions struck through)

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(attached under separate cover)