Federal Home Loan Mortgage Corporation

Patricia M Dodson

Marian J Gora

Mark David Hanson

Stanley J Kon

Cathy A Gay

Robert W Aufdenspring

Cindy K Smith

Mustafa Chowdhury

William F Quinn

Gary D Kain

Robert J Burns

Gregory J Parseghian

A current mortgage price indicator futures contract ('Mortgage Futures Contract') that can be traded on a futures exchange is described. The contracts add value over existing hedging and speculating alternatives by meeting the needs of a wide range of mortgage and mortgage-backed securities (MBS) market participants such as portfolio managers, dealers, hedgers, originators, speculators and arbitrageurs. The Mortgage Futures Contract is based upon conventional MBS and has a relatively current coupon composition, thereby resulting in risk properties that appeal to market participants more so than prior contracts based on non-conventional MBS that were not correlated to current MBS production. The Mortgage Futures Contract has a cash settlement feature designed to eliminate complicated and largely uneconomic physical delivery of the underlying security. A options contract corresponding to the Mortgage Futures Contract and that can be traded on a futures exchange is also described.

Method for structuring, pricing and settling a current mortgage price indicator contract

A current mortgage price indicator futures contract ('Mortgage Futures Contract') that can be traded on a futures exchange. The contracts add value over existing hedging and speculating alternatives by meeting the needs of a wide range of mortgage and mortgage-backed securities (MBS) market participants such as portfolio managers, dealers, hedgers, originators, speculators and arbitrageurs. The Mortgage Futures Contract is based upon conventional MBS and has a relatively current coupon composition, thereby resulting in risk properties that appeal to market participants more so than prior contracts based on non-conventional MBS that were not correlated to current MBS production. The Mortgage Futures Contract has a cash settlement feature designed to eliminate complicated and largely uneconomic physical delivery of the underlying security. An options contract corresponding to the Mortgage Futures Contract and that can be traded on a futures exchange.

Method for structuring, pricing and setting a current mortgage price indicator contract

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Herndon, VA, United States of America

Patricia M Dodson