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CME Group to launch first-ever TBA futures for MBS market

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CME Group is to expand its suite of long-term interest rate products to offer the first-ever 30-Year Uniform Mortgage-Backed Securities (UMBS) TBA futures contracts on 3 October, pending regulatory review.

The 30-Year UMBS TBA futures contracts will be fulfilled by delivery of TBAs cleared by the Fixed Income Clearing Corporation’s Mortgage-Backed Securities Division, a subsidiary of The Depository Trust & Clearing Corporation (DTCC). The contracts will offer mortgage lenders, issuers, servicers and other participants an exchange-traded and centrally cleared tool for price discovery and risk transfer. The futures will represent 30-year residential mortgages pooled into UMBS products backed by Fannie Mae and Freddie Mac. For each delivery month, futures will be listed for delivery of a small number of specified active mortgage coupon rates 2.0%, 2.5%, 3%, 3.5%, 4%, 4.5% and 5%. The three nearest calendar months will be listed at any given time, beginning with the November 2022 contract.
Available to trade on CME Globex and subject to the rules of CBOT, the 30-Year UMBS TBA futures will be cleared by CME Clearing and receive automatic margin offsets against existing interest rate futures upon launch. These contracts will become eligible for portfolio margining against other cleared interest rate swaps and futures after launch.

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