OVERVIEW Product Summary

ACIS Forward Risk Mitigation (AFRMSM) is the latest evolution of the ACIS® suite of products. Like ACIS, AFRM transactions are insurance policies issued by or ceded to global (re)insurance companies to cover a portion of credit risk on reference pools comprised of single-family mortgage loans. Traditionally, mortgage loans included in ACIS reference pools have six-to-nine months of seasoning. However, AFRM attaches insurance coverage on these mortgage loans as soon as they are funded by Freddie Mac. AFRM reference pools are a representative sample of eligible mortgage loans funded by Freddie Mac over a designated period of time. AFRM leverages most of the structural characteristics of ACIS including: multi-tranche offering; principal and loss event waterfalls; partial collateralization; and call option.

Characteristics

  • One of the industry’s largest and most diversified reference pools
  • Standalone reference pool, representative sample of Freddie Mac’s fundings
  • Mortgage loans get day 1 credit protection from (re)insurers
  • (Re)insurers are only required to partially collateralize their limit, driven by external ratings
  • Multi-tranche structure allows (re)insurers to determine their risk appetite
  • Cashflows and structure mimic on-the-run STACR and ACIS transactions
  • Premium scalar to compensate (re)insurers on any credit drift during fill-up period
  • Co-participation alongside global capital markets investors and Freddie Mac

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credit_securities@freddiemac.com(866) 903-2767