CHICAGO, June 22,
2022 /PRNewswire/ -- CME Group, the world's
leading derivatives marketplace, today announced it will 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 October 3, pending
regulatory review.
"Our new 30-Year UMBS TBA futures contracts will provide the
mortgage-backed securities market with access to a liquid risk
management tool to hedge their risk in a more capital efficient
way," said Agha Mirza, CME Group
Global Head of Rates and OTC Products. "This is a significant
step in the expansion of our suite of interest rate products, which
will enable clients to benefit from the ability to access UMBS TBA
futures alongside our deeply liquid U.S. Treasury and short-term
interest rate futures and options."
The vast majority of residential mortgages in the U.S. are
securitized through the agency mortgage-backed securities (MBS)
market, which is the second-largest debt market in the U.S. behind
U.S. Treasuries. These securities can be pooled together and traded
as forwards in the existing TBA market to provide greater liquidity
for participants, like mortgage lenders. In June of 2019, Fannie
Mae and Freddie Mac standardized their MBS offerings into what
became known as UMBS. During the last 4 quarters (Q2 2021-Q1 2022),
the UMBS TBA market had a daily volume of $195 billion, representing 80% of overall TBA
volumes per FINRA Trace and NY Fed data.
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.
For more information on this product, please see:
www.cmegroup.com/tba.
As the world's leading derivatives marketplace, CME Group
(www.cmegroup.com) enables clients to trade futures, options, cash
and OTC markets, optimize portfolios, and analyze data – empowering
market participants worldwide to efficiently manage risk and
capture opportunities. CME Group exchanges offer the widest range
of global benchmark products across all major asset classes based
on interest rates, equity indexes, foreign
exchange, energy, agricultural
products and metals. The company offers futures and
options on futures trading through the CME Globex® platform, fixed
income trading via BrokerTec and foreign exchange trading on the
EBS platform. In addition, it operates one of the world's
leading central counterparty clearing providers, CME
Clearing.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange,
Globex, and, E-mini are trademarks of Chicago Mercantile
Exchange Inc. CBOT and Chicago Board of Trade are trademarks of Board
of Trade of the City of Chicago,
Inc. NYMEX, New York Mercantile Exchange and ClearPort are
trademarks of New York Mercantile Exchange, Inc. COMEX is a
trademark of Commodity Exchange, Inc. BrokerTec and EBS are
trademarks of BrokerTec Europe LTD and EBS Group LTD,
respectively. Dow Jones, Dow Jones Industrial Average, S&P
500 and S&P are service and/or trademarks of Dow Jones
Trademark Holdings LLC, Standard & Poor's Financial Services
LLC and S&P/Dow Jones Indices LLC, as the case may be, and have
been licensed for use by Chicago Mercantile Exchange Inc. All
other trademarks are the property of their respective
owners.
CME-G
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SOURCE CME Group