May a depository institution pledge asset-backed commercial paper?
Federal Reserve Banks accept investment grade commercial paper. Asset-backed commercial paper is viewed as a particular type of commercial paper and thus is eligible for consideration. Reserve Bank discount window staff may request information on the structure and/or the quality of the underlying assets in order to assign appropriate collateral value. May a depository institution pledge sub-prime mortgages? The Federal Reserve Banks accept performing mortgages. This could include sub-prime mortgages. May a depository institution pledge a structured debt obligation containing sub-prime mortgages in the underlying collateral? Debt obligations containing subprime mortgages are acceptable as collateral if they meet Federal Reserve Bank acceptability requirements, including credit quality and tranche type. AAA-rated collateralized debt and mortgage obligations are examples of acceptable structured debt obligations.
