ACIS® (Agency Credit Insurance Structure)

OVERVIEW Product Summary

Agency Credit Insurance Structure (ACIS®) is Freddie Mac’s insurance-based credit risk sharing vehicle. ACIS transactions are insurance policies issued by or ceded to global (re)insurance companies to cover a portion of credit risk on the STACR or standalone reference pools. These transactions provide an innovative opportunity for global (re)insurance companies to invest in the credit performance of Freddie Mac’s quality single-family mortgage loans. Unlike other (re)insurance policies, ACIS offer a multi-tranche structure that accommodates (re)insurers with varied levels of appetite for risk. Freddie Mac pays monthly premiums to (re)insurers, based on their tranche participation, in exchange for claim coverage on their portion of the reference pool.

Characteristics

One of the industry’s largest and most diversified reference pools

Can be linked to STACR reference pool or executed on a standalone reference pool

Cashflows and structure mimic STACR transactions

(Re)insurers are only required to partially collateralize their limit, driven by external ratings

Co-participation alongside global capital markets investors and Freddie Mac
12.5-year legal maturity, with early redemption option at year 10
Call option(s) included in transactions provide flexibility as deal seasons
Multi-tranche structure allows (re)insurers to determine their desired risk level

Resources

Pricing

STACRï¿½

Funding Period

Total Limit of Liability

Initial Limit of Liability

Total Size

Size

Premium

ACIS 2018-DNA2

November 2016 - November 2017

$356,302,993

M-1H: $118,767,664

M-2H: $178,151,496

B-1H: $59,383,833

B-2H: Fully Retained

3.50%

M-1H: 1.00%

M-2H: 1.50%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 1.05%

M-2H: 2.70%

B-1H: 4.50%

B-2H: 0.00%

ACIS 2018-ARMR1

January 2012 - March 2013

$294,230,651

M-1H: Fully Retained

M-2H: $121,505,875

B-1H: $86,362,388

B-2H: $86,362,388

4.50%

M-1H: 0.25%

M-2H: 1.75%

B-1H: 1.25%

B-2H: 1.25%

M-1H: 0.00%

M-2H: 1.95%

B-1H: 3.95%

B-2H: 11.95%

ACIS 2018-SAP1

May 2017 - February 2018

$300,128,050

M-1H: $109,137,473

M-2H: $136,421,841

B-1H: $54,568,736

B-2H: Fully Retained

1.95%

M-1H: 0.60%

M-2H: 0.75%

B-1H: 0.30%

B-2H: 0.30%

M-1H: 0.85%

M-2H: 2.75%

B-1H: 4.75%

B-2H: 0.00%

ACIS 2018-HQA1

April 2017 - September 2017

$348,339,242

M-1H: $79,757,759

M-2H: $218,109,766

B-1H: $50,471,717

B-2H: Fully Retained

4.00%

M-1H: 0.80%

M-2H: 2.20%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 0.85%

M-2H: 2.90%

B-1H: 4.75%

B-2H: 0.00%

ACIS 2018-DNA1

April 2017 - July 2017

$254,834,295

M-1H: $66,955,331

M-2H: $152,902,089

B-1H: $34,976,874

B-2H: Fully Retained

4.00%

M-1H: 0.90%

M-2H: 2.10%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 0.85%

M-2H: 2.70%

B-1H: 4.50%

B-2H: 0.00%

ACIS 2017-ARMR-1

April 2009 - December 2011

$285,102,383

M-1H: Fully Retained

M-2H: $221,515,010

B-1H: $32,187,443

B-2H: $31,399,930

4.50%

M-1H: 0.75%

M-2H: 2.25%

B-1H: 0.75%

B-2H: 0.75%

M-1H: 0.00%

M-2H: 2.75%

B-1H: 4.80%

B-2H: 11.75%

ACIS 2017-8

December 2016 - March 2017

$222,313,012

M-1H: $44,462,602

M-2H: $150,061,283

B-1H: $27,789,126

B-2H: Fully Retained

4.50%

M-1H: 0.80%

M-2H: 2.70%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 0.80%

M-2H: 2.70%

B-1H: 4.40%

B-2H: 0.00%

ACIS 2017-7

November 2016 - March 2017

$400,229,753

M-1H: $133,409,918

M-2H: $200,114,876

B-1H: $66,704,959

B-2H: Fully Retained

3.50%

M-1H: 1.00%

M-2H: 1.50%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 0.85%

M-2H: 2.75%

B-1H: 4.50%

B-2H: 0.00%

ACIS 2017-5

August 2016 - November 2016

$263,301,282

M-1H: $75,228,937

M-2H: $150,457,876

B-1H: $37,614,469

B-2H: Fully Retained

4.00%

M-1H: 1.00%

M-2H: 2.00%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 1.10%

M-2H: 3.10%

B-1H: 4.70%

B-2H: 0.00%

ACIS 2017-3

July 2016 - October 2016

$440,296,596

M-1H: $176,131,394

M-2H: $190,785,979

B-1H: $73,379,223

B-2H: Fully Retained

3.50%

M-1H: 1.20%

M-2H: 1.30%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 1.10%

M-2H: 3.25%

B-1H: 4.95%

B-2H: 0.00%

ACIS 2017-2

April 2016 - July 2016

$252,305,191

M-1H: $71,738,780

M-2H: $161,431,735

B-1H: $19,134,676

B-2H: Fully Retained

4.25%

M-1H: 1.00%

M-2H: 2.25%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 1.20%

M-2H: 3.50%

B-1H: 5.00%

B-2H: 0.00%

ACIS 2017-1

April 2016 - June 2016

$263,607,928

M-1H: $97,172,197

M-2H: $125,109,168

B-1H: $41,326,563

B-2H: Fully Retained

3.75%

M-1H: 1.20%

M-2H: 1.55%

B-1H: 0.50%

B-2H: 0.50%

M-1H: 1.20%

M-2H: 3.25%

B-1H: 5.25%

B-2H: 0.00%

ACIS 2016-9

January 2016 - March 2016

$148,248,710

M-1H: $35,887,933

M-2H: $36,123,237

M-3H: $59,634,806

B-H: $16,602,734

5.50%

M-1H: 1.23%

M-2H: 1.23%

M-3H: 2.05%

B-H: 1.00%

M-1H: 0.90%

M-2H: 2.00%

M-3H: 4.05%

B-H: 9.15%

ACIS 2016-8

January 2016 - March 2016

$266,268,986

M-1H: $58,177,260

M-2H: $59,001,463

M-3H: $118,002,925

B-H: $31,087,338

5.00%

M-1H: 1.00%

M-2H: 1.00%

M-3H: 2.00%

B-H: 1.00%

M-1H: 0.90%

M-2H: 1.85%

M-3H: 3.75%

B-H: 8.75%

ACIS 2016-7

October 2015 - December 2015

$195,144,027

M-1H: $50,370,635

M-2H: $52,951,891

M-3H: $72,563,703

B-H: $19,257,798

5.50%

M-1H: 1.30%

M-2H: 1.35%

M-3H: 1.85%

B-H: 1.00%

M-1H: 0.95%

M-2H: 2.30%

M-3H: 4.25%

B-H: 9.35%

ACIS 2016-6

October 2015 - December 2015

$276,817,989

M-1H: $61,418,671

M-2H: $58,347,738

M-3H: $125,908,276

B-H: $31,143,305

5.00%

M-1H: 1.00%

M-2H: 0.95%

M-3H: 2.05%

B-H: 1.00%

M-1H: 1.10%

M-2H: 2.15%

M-3H: 4.00%

B-H: 9.25%

ACIS 2016-5

July 2015 - September 2015

$208,003,123

M-1H: $41,307,378

M-2H: $61,961,068

M-3H: $82,614,757

B-H: $22,119,919

5.50%

M-1H: 1.00%

M-2H: 1.50%

M-3H: 2.00%

B-H: 1.00%

M-1H: 1.10%

M-2H: 2.30%

M-3H: 4.50%

B-H: 9.50%

ACIS 2016-4

July 2015 - September 2015

$303,275,930

M-1H: $55,729,625

M-2H: $59,507,008

M-3H: $148,767,507

B-H: $39,271,798

5.00%

M-1H: 0.85%

M-2H: 0.90%

M-3H: 2.25%

B-H: 1.00%

M-1H: 1.20%

M-2H: 2.30%

M-3H: 4.00%

B-H: 8.95%

ACIS 2016-2

April 2015 - June2015

$336,301,425

M-1H: $77,364,375

M-2H: $84,397,500

M-3H: $154,728,751

B-H: $19,810,799

5.50%

M-1H: 1.10%

M-2H: 1.20%

M-3H: 2.20%

B-H: 1.00%

M-1H: 1.10%

M-2H: 2.50%

M-3H: 4.50%

B-H: 8.95%

ACIS 2016-1

April 2015 - June 2015

$450,645,659

M-1H: $104,309,951

M-2H: $99,342,811

M-3H: $193,718,481

B-H: $53,274,416

5.00%

M-1H: 1.05%

M-2H: 1.00%

M-3H: 1.95%

B-H: 1.00%

M-1H: 1.20%

M-2H: 2.60%

M-3H: 4.00%

B-H: 8.35%

ACIS 2015-10

August 2014 - November 2014

$135,571,239

M-1H: $23,663,956

M-2H: $54,137,905

M-3H: $40,904,195

B-H: $16,865,184

5.95%

M-1H: 1.00%

M-2H: 2.25%

M-3H: 1.70%

B-H: 1.00%

M-1H: 1.15%

M-2H: 2.40%

M-3H: 4.10%

B-H: 8.30%

ACIS 2015-9

December 2014 - March 2015

$372,815,593

M-1H: $62,465,810

M-2H: $153,041,234

M-3H: $121,808,329

B-H: $35,500,220

6.40%

M-1H: 1.00%

M-2H: 2.45%

M-3H: 1.95%

B-H: 1.00%

M-1H: 1.10%

M-2H: 2.50%

M-3H: 4.50%

B-H: 8.95%

ACIS 2015-8

December 2014 - March 2015

$702,419,287

M-1H: $129,674,781

M-2H: $285,284,514

M-3H: $213,963,388

B-H: $73,496,603

5.85%

M-1H: 1.00%

M-2H: 2.20%

M-3H: 1.65%

B-H: 1.00%

M-1H: 1.10%

M-2H: 2.50%

M-3H: 4.00%

B-H: 8.35%

ACIS 2015-7

August 2014 - November 2014

$502,815,541

M-1H: $101,476,652

M-2H: $207,663,075

M-3H: $103,831,537

B-H: $89,844,277

5.50%

M-1H: 1.00%

M-2H: 2.00%

M-3H: 1.00%

B-H: 1.50%

M-1H: 1.00%

M-2H: 2.30%

M-3H: 3.75%

B-H: 7.40%

ACIS 2015-6

October 2012 - December 2012

$132,549,518

M-1H: $21,930,592

M-2H: $22,787,612

M-3H: $28,484,515

B-H: $59,346,799

4.25%

M-1H: 1.00%

M-2H: 1.00%

M-3H: 1.25%

B-H: 1.00%

M-1H: 0.90%

M-2H: 1.85%

M-3H: 3.25%

B-H: 7.50%

ACIS 2015-5

April 2014 - July 2014

$50,089,282

M-1H: $9,000,370

M-2H: $9,141,334

M-3H: $7,835,430

B-H: $24,112,149

6.50%

M-1H: 1.75%

M-2H: 1.75%

M-3H: 1.50%

B-H: 1.50%

M-1H: 1.05%

M-2H: 2.00%

M-3H: 3.70%

B-H: 8.50%

ACIS 2015-4

April 2014 - July 2014

$173,052,427

M-1H: $28,397,312

M-2H: $32,586,016

M-3H: $48,879,025

B-H: $63,190,073

4.50%

M-1H: 1.00%

M-2H: 1.00%

M-3H: 1.50%

B-H: 1.00%

M-1H: 1.10%

M-2H: 1.85%

M-3H: 3.40%

B-H: 8.50%

ACIS 2015-3

January 2014 - March 2014

$91,546,794

M-1H: $19,266,689

M-2H: $25,395,712

M-3H: $46,884,392

B-H: Fully Retained

5.20%

M-1H: 1.00%

M-2H: 1.30%

M-3H: 2.40%

B-H: 0.50%

M-1H: 1.25%

M-2H: 2.25%

M-3H: 4.00%

B-H: N/A

ACIS 2015-2

October 2013 - December 2013

$115,178,880

M-1H: $26,899,710

M-2H: $33,104,689

M-3H: $55,174,481

B-H: Fully Retained

4.60%

M-1H: 1.00%

M-2H: 1.20%

M-3H: 2.00%

B-H: 0.40%

M-1H: 1.25%

M-2H: 2.25%

M-3H: 4.00%

B-H: N/A

ACIS 2015-1

January 2013 - September 2013

$499,999,989

M-1H: $180,130,131

M-2H: $169,074,068

M-3H: $150,795,790

B-H: Fully Retained

6.10%

M-1H: 2.00%

M-2H: 1.85%

M-3H: 1.65%

B-H: 0.60%

M-1H: 1.25%

M-2H: 2.25%

M-3H: 4.00%

B-H: N/A

ACIS 2014-3

July 2013 - September 2013

$155,299,987

M-1H: $35,640,765

M-2H: $56,090,260

M-3H: $63,568,962

B-H: Fully Retained

4.50%

M-1H: 1.00%

M-2H: 1.50%

M-3H: 1.70%

B-H: 0.30%

M-1H: 1.13%

M-2H: 2.03%

M-3H: 3.60%

B-H: N/A

ACIS 2014-2

April 2013 - June 2013

$284,448,428

M-1H: $66,262,277

M-2H: $102,274,759

M-3H: $115,911,393

B-H: Fully Retained

4.50%

M-1H: 1.00%

M-2H: 1.50%

M-3H: 1.70%

B-H: 0.30%

M-1H: 0.75%

M-2H: 1.35%

M-3H: 2.61%

B-H: N/A

ACIS 2014-1

January 2013 - March 2013

$269,485,881

M-1H: $100,736,022

M-2H: $168,749,859

B-H: Fully Retained

3.00%

M-1H: 1.05%

M-2H: 1.65%

B-H: 0.30%

M-1H: 1.36%

M-2H: 4.12%

B-H: N/A

ACIS 2013-1

July 2012 - September 2012

$77,415,009

M-1H: $38,707,505

M-2H: $38,707,505

B-H: Fully Retained

3.00%

M-1H: 1.35%

M-2H: 1.35%

B-H: 0.30%

M-1H: 2.35%

M-2H: 5.35%

B-H: N/A

ACIS 15-Year 2017-4

October 2016 - April 2017

$168,462,057

M-1H: $22,765,143

M-2H: $54,636,343

M-3H: $63,742,400

M-4H: $27,318,171

B-H: Fully Retained

2.15%

M-1H: 0.25%

M-2H: 0.60%

M-3H: 0.70%

M-4H: 0.30%

B-H: 0.30%

M-1H: 0.95%

M-2H: 1.70%

M-3H: 4.10%

M-4H: 6.90%

B-H: N/A

ACIS 15-Year 2016-10

January 2016 - September 2016

$284,895,698

M-1H: $35,611,962

M-2H: $85,468,709

M-3H: $121,080,672

M-4H: $42,734,355

B-H: Fully Retained

2.15%

M-1H: 0.25%

M-2H: 0.60%

M-3H: 0.85%

M-4H: 0.30%

B-H: 0.15%

M-1H: 0.80%

M-2H: 1.40%

M-3H: 3.25%

M-4H: 5.60%

B-H: N/A

ACIS 15-Year 2016-3

July 2015 - December 2015

$201,366,856

M-1H: $25,170,857

M-2H: $60,410,057

M-3H: $85,580,914

M-4H: $30,205,028

B-H: Fully Retained

2.15%

M-1H: 0.25%

M-2H: 0.60%

M-3H: 0.85%

M-4H: 0.30%

B-H: 0.15%

M-1H: 0.85%

M-2H: 1.50%

M-3H: 3.50%

M-4H: 5.75%

B-H: N/A

INSURANCE-BASED CREDIT RISK SHARINGACIS® (Agency Credit Insurance Structure)

OVERVIEW Product Summary

Characteristics

Resources

Pricing

ACIS Legal Documents

ACIS 2018-DNA2

ACIS 2018-SAP1

ACIS 2018-HQA1

ACIS 2018-DNA1

ACIS 2017-8

ACIS 2017-7

ACIS 2017-5

ACIS 2017-4

ACIS 2017-3

ACIS 2017-2

ACIS 2017-1

ACIS 2016-10

ACIS 2016-9

ACIS 2016-8

ACIS 2016-7

ACIS 2016-6

ACIS 2016-5

ACIS 2016-4

ACIS 2016-3

ACIS 2016-2

ACIS 2016-1

ACIS 2015-10

ACIS 2015-9

ACIS 2015-8

ACIS 2015-7

ACIS 2015-6

ACIS 2015-5

ACIS 2015-4

ACIS 2015-3

ACIS 2015-2

ACIS 2015-1

ACIS 2014-3

ACIS 2014-2

ACIS 2014-1

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