Mortgage Backed Securities

Mortgage Backed Securities: FNMA, FHLMC, GNMA

  • 15 or 30 year maturity types
    • Mega
    • MBS

Freddie Mac Clearing (FHLMC)

  • 15 or 30 year maturity types
    • Gold
    • Giant

Ginnie Mae Clearing (GNMA - Government National Mortgage Association)

  • 15 or 30 year maturity types
    • Ginnie Mae I
    • Ginnie Mae II

Allowable Attributes:

  • fixed rate
  • conventional
  • multi or single family

Mandatory Criteria for the Direct Acceptance of Mortgage Backed Securities

  • Must have an active price as carried by the Bloomberg Generic Pricing System
  • Must be delivered with repo-tracking code of STRP in field 22F of Fed Wire message to Bank of New York and JP Morgan Chase. Please see Federal Reserve Bank Services website at http://www.frbservices.org/ for more information on repo-tracking

Limits 

  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, and TIPS on a combined basis are capped at 40% of firm's core requirement.
  • U.S. Agencies, Mortgage Backed Securities, TSTRIPS, TIPS, IEF2, Foreign Sovereign debt, IEF4, Gold, Exchange-Traded Funds, and Stock are capped at $7 billion per Clearing Member firm.
  • Haircut is 11% on a market value.
      • 04 May 2015
      • Notice #: 15-121
      • - Effective 05 May 2015
      • 04 May 2015
      • Notice #: 15-120
      • - Effective 05 Jun 2015
      • 04 May 2015
      • Notice #: 15-119
      • - Effective 04 May 2015
      • 04 May 2015
      • Notice #: 15-118
      • - Effective 09 May 2015
      • 01 May 2015
      • Notice #: 15-116
      • - Effective 01 May 2015