$1,208,637,880. Freddie Mac. Multiclass CertiÑcates, Series 2901

Transcription

1 OÅering Circular Supplement $1,208,637,880 (To OÅering Circular ated June 1, 2003) Freddie Mac Multiclass CertiÑcates, Series 2901 OÅered Classes: REMIC Classes shown below and MCR Classes shown on ppendix OÅering Terms: The underwriter named below is oåering the Classes in negotiated transactions at varying prices Closing ate: ecember 30, 2004 REMIC Original Principal Class Interest CUSIP Final Payment REMIC Original Principal Class Interest CUSIP Final Payment Classes alance Type(1) Coupon Type(1) Number ate Classes alance Type(1) Coupon Type(1) Number ate Group 1 FQ ÏÏÏÏ $ 50,000,000 NSJ/TC (2) FLT/LY 31395KRM7 ecember 15, 2034 E ÏÏÏÏ$ 20,000,000 TC 5.0% FIX 31395KRE5 ecember 15, 2034 IU ÏÏÏÏ 64,369,000 NTL(PC) 5.0% FIX/IO 31395KRW5 ecember 15, 2034 EF ÏÏÏÏ 26,644,444 TC (2) FLT/LY 31395KRF2 ecember 15, 2034 OUÏÏÏÏ 64,369,000 PC 0.0 PO 31395KSE4 ecember 15, 2034 EZ ÏÏÏÏ 11,000,000 SUP 5.5 FIX/Z 31395KRG0 ecember 15, 2034 PI ÏÏÏÏ 94,349,000 NTL(PC) 5.0 FIX/IO 31395KSG9 March 15, 2033 P ÏÏÏÏ 140,040,000 PC 5.5 FIX 31395KSF1 ecember 15, 2034 PO ÏÏÏÏ 94,349,000 PC 0.0 PO 31395KSH7 March 15, 2033 S ÏÏÏÏ 17,315,556 TC (2) INV/LY 31395KSL8 ecember 15, 2034 SX ÏÏÏÏ 33,000,228 NSJ/TC (2) INV/LY 31395KSR5 ecember 15, 2034 S ÏÏÏÏ 9,328,888 NTL(TC) (2) INV/IO/LY 31395KSM6 ecember 15, 2034 SY ÏÏÏÏ 30,000,000 NSJ/TC (2) INV/LY 31395KSS3 ecember 15, 2034 TK ÏÏÏÏ 50,000,000 NTL(NSJ/TC) (2) INV/IO/LY 31395KST1 ecember 15, 2034 Group 2 TL ÏÏÏÏ 50,000,000 NTL(NSJ/TC) (2) INV/IO/LY 31395KSU8 ecember 15, 2034 F ÏÏÏÏ 4,303,355 SC/SCH (2) FLT/LY 31395KQQ9 July 15, 2034 TMÏÏÏÏ 66,000,457 NTL(NSJ/TC) (2) INV/IO/LY 31395KSV6 ecember 15, 2034 S ÏÏÏÏ 2,582,013 SC/SCH (2) INV/LY 31395KQR7 July 15, 2034 TN ÏÏÏÏ 66,000,457 NTL(NSJ/TC) (2) INV/IO/LY 31395KSW4 ecember 15, 2034 ÏÏÏÏ 1,806,814 SC/SCH 5.5 FIX 31395KR1 July 15, 2034 TP ÏÏÏÏ 10,000,000 NSJ/TC (2) INV/LY 31395KSX2 ecember 15, 2034 ÏÏÏÏ 4,910,186 SC/SCH 5.25 FIX 31395KRC9 July 15, 2034 UT ÏÏÏÏ 41,523,000 PC 5.0 FIX 31395KT9 June 15, 2013 I ÏÏÏÏ 223,190SC/NTL(SCH) 5.5 FIX/IO 31395KR7 July 15, 2034 UV ÏÏÏÏ 136,487,000 PC 5.0 FIX 31395KTC7 October 15, 2024 F ÏÏÏÏ 12,066,365 SC/SCH (2) FLT 31395KRH8 July 15, 2034 UW ÏÏÏ 115,276,000 PC 5.0 FIX 31395KT5 January 15, 2030 SMÏÏÏÏ 5,245,901 SC/NTL(SCH) (2) INV/IO 31395KSN4 July 15, 2034 ZMÏÏÏÏ 36,389,112 NSJ/SUP 5.0FIX/Z 31395KTJ2 ecember 15, 2034 SN ÏÏÏÏ 6,500,754 SC/SCH (2) INV 31395KSP9 July 15, 2034 ZR ÏÏÏÏ 172,000 NSJ/TC 5.0 FIX/Z 31395KTK9 ecember 15, 2034 SP ÏÏÏÏ 1,432,881 SC/SCH (2) INV 31395KSQ7 July 15, 2034 ZT ÏÏÏÏ 171,875 NSJ/TC 5.0FIX/Z 31395KTL7 ecember 15, 2034 Group 3 IY ÏÏÏÏ 3,525,996 SC/NTL(SPP/SEQ/S) 5.0FIX/IO 31395KRX3 October 15, 2027 Group 6 M ÏÏÏ 60,566,483 SC/SPP/SEQ/S 4.5 FIX 31395KS20 October 15, 2033 K ÏÏÏÏ 60,000,000 SEQ 5.0 FIX 31395KRY1 September 15, 2032 WZÏÏÏÏ 250,000 SC/SPP/SEQ/S 4.5 FIX/Z 31395KTH6 October 15, 2033 K ÏÏÏÏ 12,693,789 SEQ 5.0FIX 31395KRZ8 ecember 15, 2034 Group 4 Group 7 TZ ÏÏÏÏ 14,431,000 SC/PC 5.0 FIX/Z 31395KSY0 November 15, 2034 C ÏÏÏÏ 1,600,568 SEQ 4.5 FIX 31395KQV8 ecember 15, 2019 VT ÏÏÏÏ 10,531,000 SC//PC 5.0 FIX 31395KTE3 ecember 15, 2015 C ÏÏÏÏ 94,160,000 SEQ 4.5 FIX 31395KQW6 June 15, 2018 VU ÏÏÏÏ 3,225,000 SC//PC 5.0 FIX 31395KTF0 June 15, 2018 CE ÏÏÏÏ 15,840,000 SEQ 4.5 FIX 31395KQX4 November 15, 2019 Group 5 Residual O ÏÏÏÏ 9,000,000 NSJ/TC 0.0 PO 31395KQS5 ecember 15, 2034 R ÏÏÏÏ 0 NPR 0.0 NPR 31395KS J 3 ecember 15, 2034 FMÏÏÏÏ 66,000,457 NSJ/TC (2) FLT/LY 31395KRJ4 ecember 15, 2034 RS ÏÏÏÏ 0 NPR 0.0 NPR 31395KSK0 ecember 15, 2034 (1) See ppendix II to the OÅering Circular. (2) See Terms Sheet Ì Interest. The CertiÑcates may not be suitable investments for you. You should not purchase CertiÑcates unless you have carefully considered and are able to bear the associated prepayment, interest rate, yield and market risks of investing in them. Certain Risk Considerations on page S-2 highlights some of these risks. You should purchase CertiÑcates only if you have read and understood this Supplement, the attached OÅering Circular and the documents listed under vailable Information. We guarantee principal and interest payments on the CertiÑcates. These payments are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrumentality other than Freddie Mac. The CertiÑcates are not tax-exempt. ecause of applicable securities law exemptions, we have not registered the CertiÑcates with any federal or state securities commission. No securities commission has reviewed this Supplement. ear, Stearns & Co. Inc. November 15, 2004

2 CERTIN RISK CONSIERTIONS lthough we guarantee the payments on the CertiÑcates, and so bear the associated credit risk, as an investor you will bear the other risks of owning mortgage securities. This section highlights some of these risks. You should also read Risk Factors and Prepayment, Yield and Suitability Considerations in the OÅering Circular for further discussions of these risks. The CertiÑcates May Not be Suitable Investments for You. The CertiÑcates are complex securities. You should not purchase CertiÑcates unless you are able to understand and bear the associated prepayment, interest rate, yield and market risks. In particular, the Interest Only, Principal Only, Inverse Floating Rate, Non-Sticky Jump, Support, ccrual and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. The yield on your CertiÑcates could be lower than you expect if: You buy your CertiÑcates at a premium over their principal amount and principal payments are faster than you expect. You buy your CertiÑcates at a discount to their principal amount and principal payments are slower than you expect. This is especially true for a Principal Only Class. If you buy an Interest Only Class and prepayments are fast, you may not even recover your investment. LIOR Levels Can Reduce Your Yield if You Own a Floating Rate or Inverse Floating Rate Class. The yield on your CertiÑcates could be lower than you expect if: You buy a Floating Rate Class and LIOR levels are lower than you expect. You buy an Inverse Floating Rate Class and LIOR levels are higher than you expect. If you buy an Interest Only Inverse Floating Rate Class, you may not even recover your investment if LIOR levels are high or prepayments are fast. The CertiÑcates are Subject to Market Risks. You will bear all of the market risks of your investment. The market value of your CertiÑcates will vary over time, primarily in response to changes in prevailing interest rates. If you sell your CertiÑcates when their market value is low, you may experience signiñcant losses. The underwriter named on the front cover (the ""Underwriter'') intends to make a market for the purchase and sale of the CertiÑcates after they are issued, but has no obligation to do so. secondary market may not develop. Even if one does develop, it may not be liquid enough to allow you to sell your CertiÑcates easily or at your desired price. Our Multiclass CertiÑcates OÅering Circular dated June 1, 2003 (the ""OÅering Circular''), attached to this Supplement, deñnes many of the terms we use in this Supplement. S-2

3 TERMS SHEET This Terms Sheet contains selected information about this Series. You should refer to the remainder of this Supplement for further information. In this Supplement, we refer to Classes only by their letter designations. For example, ""R'' refers to the R Class of this Series. Payment ates We make payments of principal and interest on the CertiÑcates on each monthly Payment ate beginning in January Form of Classes Interest Regular and MCR Classes: Residual Classes: CertiÑcated ook-entry on Fed System The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and ppendix. O, OU and PO are Principal Only Classes and do not bear interest. S-3

4 The Floating Rate and Inverse Floating Rate Classes bear interest as shown in the following table. The initial Class Coupons apply only to the Ñrst ccrual Period. We determine LIOR using the Method. Initial Class Class Coupon Subject to Class Coupon Class Coupon Formula Minimum Rate Maximum Rate Group 1 EF(1) ÏÏÏÏÏÏÏ 2.56% LIOR 0.42% 0.42% 7.5% S(1)ÏÏÏÏÏÏÏÏÏ % LIOR S(1) ÏÏÏÏÏÏÏ % LIOR Group 2 F(1) ÏÏÏÏÏÏÏ LIOR 1.3% S(1) ÏÏÏÏÏÏÏ % (LIOR ) F ÏÏÏÏÏÏÏÏÏÏ 2.95 LIOR 0.55% SM ÏÏÏÏÏÏÏÏÏÏ % LIOR SN ÏÏÏÏÏÏÏÏÏÏ % (LIOR ) SP ÏÏÏÏÏÏÏÏÏÏ % (LIOR ) Group 5 FM(1) ÏÏÏÏÏÏÏ 2.15 LIOR 0.4% FN(1)(2) ÏÏÏÏ 2.2 LIOR 0.45% FP(1)(2) ÏÏÏÏ 2.15 LIOR 0.4% FQ(1) ÏÏÏÏÏÏÏ 2.15 LIOR 0.4% FS(1)(2) ÏÏÏÏ 2.25 LIOR 0.5% FV(1)(2) ÏÏÏÏ 2.2 LIOR 0.45% FW(1)(2)ÏÏÏÏ 2.2 LIOR 0.45% FX(1)(2) ÏÏÏÏ 2.25 LIOR 0.5% FY(1)(2) ÏÏÏÏ 2.25 LIOR 0.5% SX(1) ÏÏÏÏÏÏÏ % (LIOR 2.0) SY(1) ÏÏÏÏÏÏÏ % (LIOR ) TK(1) ÏÏÏÏÏÏÏ % LIOR TL(1) ÏÏÏÏÏÏÏ % LIOR TM(1) ÏÏÏÏÏÏÏ % LIOR TN(1) ÏÏÏÏÏÏÏ % LIOR TP(1) ÏÏÏÏÏÏÏ % (LIOR 5.0) (1) elay Class. (2) MCR Class. See ppendix V to the OÅering Circular and Payments Ì Interest. S-4

5 Notional Classes Original Notional Class Principal mount Reduces Proportionately With Group 1 S $ 9,328,888 EF (TC) Group 2 I $ 223,190 (SC/SCH) SM 5,245,901 F (SC/SCH) Group 3 IY $ 3,525,996 Group 3 ssets (2836-T) MI* 12,113,296 M (SC/SPP/SEQ/S) Group 5 I* $12,456,900 UT (PC) IE* 40,946,100 UV (PC) IT* 34,582,800 UW (PC) IU 64,369,000 OU (PC) PI 94,349,000 PO (PC) TK 50,000,000 FQ (NSJ/TC) TL 50,000,000 FQ (NSJ/TC) TM 66,000,457 FM (NSJ/TC) TN 66,000,457 FM (NSJ/TC) UI* 87,985,800 UT, UV and UW, as a whole (PC) * MCR Class. See Payments Ì Interest Ì Notional Classes. MCR Classes This Series includes MCR Classes. ppendix shows the characteristics of the MCR Classes and the Combinations of REMIC and MCR Classes. See ppendix III to the OÅering Circular for a description of MCR CertiÑcates and exchange procedures and fees. Principal REMIC Classes On each Payment ate, we pay: Group 1 The Group 1 sset Principal mount and, beginning in step 2, the EZ ccrual mount in the following order of priority: PC 1. To P, until reduced to its Targeted alance TC 2. To E, EF and S, pro rata, until reduced to their ggregate Targeted alance Support 3. To EZ, until retired TC 4. To E, EF and S, pro rata, until retired PC 5. To P, until retired S-5

6 SC/ Scheduled SC/SPP/ SEQ/S Group 2 The Group 2 sset Principal mount to F, S,,, F, SN and SP, pro rata, until retired Group 3 The Group 3 sset Principal mount and WZ ccrual mount to M and WZ, in that order, until retired Group 4 The Group 4 sset Principal mount and TZ ccrual mount to VT, VU and TZ, in SC/PC that order, until retired Group 5 The ZT ccrual mount to FM and SX, pro rata, until retired, and then to ZT and ccrual The ZR ccrual mount to O, FQ, SY and TP, pro rata, until retired, and then to ZR The Group 5 sset Principal mount and, beginning in step 2, the ZM ccrual mount in the following order of priority: PC 1. eginning in July 2006, to UT, UV, UW, PO and OU, in that order, until reduced to their ggregate Targeted alance 2. If the remaining principal balance of the Group 5 ssets, after giving eåect to their reduction on that Payment ate, is less than the Group 5 251% PS Scheduled sset alance, then: NSJ/ Support a. To ZM, until retired b. To FM and SX, pro rata, until retired NSJ/TC c. To ZT, until retired 3. To the TC Classes, until reduced to their ggregate Targeted alance, allocated as follows: a. To FM, SX and ZT, until reduced to their ggregate Targeted alance, allocated as follows: i. To FM and SX, pro rata, while outstanding ii. To ZT, while outstanding b. To O, FQ, SY and TP, pro rata, while outstanding c. To ZR, while outstanding d. To FM and SX, pro rata, while outstanding e. To ZT, while outstanding NSJ/ Support 4. To ZM, until retired NSJ/TC 5. To the TC Classes as described in step 3, but without regard to the ggregate Targeted alance for all such Classes, until retired PC 6. To UT, UV, UW, PO and OU, in that order, until retired S-6

7 Sequential Pay Sequential Pay Group 6 The Group 6 sset Principal mount to K and K, in that order, until retired Group 7 The Group 7 sset Principal mount to C, CE and C, in that order, until retired The ""Targeted alances,'' ""ggregate Targeted alances'' and ""Scheduled sset alances'' are in ppendix. They were calculated using the following Structuring Ranges and Rates. Group 1 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC FM, SX and ZT (ggregate) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ O, FM, FQ, SX, SY, TP, ZR and ZT (ggregate) Group 5 251% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏ Structuring Range or Rate 100% PS - 300% PS 200% PS 100% PS - 250% PS 110% PS 210% PS 251% PS See Payments Ì Principal and Prepayment and Yield nalysis. MCR Classes On each Payment ate when MCR CertiÑcates are outstanding, we allocate principal payments from the applicable REMIC CertiÑcates to the related MCR CertiÑcates that are entitled to principal, as described under MCR CertiÑcates in the OÅering Circular. REMIC Status We will form an Upper-Tier REMIC Pool and a Lower-Tier REMIC Pool for this Series. We will elect to treat each REMIC Pool as a REMIC under the Code. R and RS will be ""Residual Classes'' and the other Classes shown on the front cover will be ""Regular Classes.'' The Residual Classes will be subject to transfer restrictions. See Certain Federal Income Tax Consequences in this Supplement and the OÅering Circular. Weighted verage Lives (in years)* Group 1 PS Prepayment ssumption 0% 100% 131% 300% 400% E, EF, S and S ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * We calculate weighted average lives based on the assumptions described in Prepayment and Yield nalysis. The actual weighted average lives are likely to diåer from those shown, perhaps signiñcantly. S-7

8 Group 2 PS Prepayment ssumption 0% 100% 300% 450% 600% F, S,,, I, F, SM, SN, SP and Group 2 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PS Prepayment ssumption 0% 100% 350% 550% 700% IYÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ M, M, MC, M, ME and MI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WZÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 PS Prepayment ssumption 0% 100% 131% 250% 400% TZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 CPR Prepayment PS Prepayment ssumption ssumption 0% 100% 131% 250% 251% 252% 400% 6.0% O, FN, FQ, FY, SY, TK, TL and TPÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FM, FW, FX, SX, TM, TN and WT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FP, FS and FV ÏÏÏÏÏÏÏÏÏÏÏÏ ZM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 131% 250% 400% C, CG, CH, CJ, CK, CW, IE and UV ÏÏÏÏÏÏÏÏÏÏÏÏÏ CL, CM, CN, CP, CQ, CR, IT and UWÏÏÏÏÏÏÏÏÏÏÏ I, MT, MU, MV, MW, MX, MY and UT ÏÏÏÏÏÏÏÏ IU, OU and UC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PI, PO and UÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TV, U, UI, UM, UN, UO, UP and UQ ÏÏÏÏÏÏÏÏÏÏ Group 5 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 PS Prepayment ssumption 0% 100% 200% 300% 400% K ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ K ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-8

9 Group 7 PS Prepayment ssumption 0% 100% 185% 300% 400% C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 7 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ The ssets The Group 1, 5, 6 and 7 ssets (the ""PC ssets'') consist of Freddie Mac PCs with the following characteristics: Original Term Group Principal alance (in years) Interest Rate 1 $215,000, % 5 686,737, ,693, ,600, The Group 2, 3 and 4 ssets (the ""Multiclass ssets'') consist of: Class Factor Percentage of Class alance in for Month of Class Principal/ Final Group Class in This Series This Series Closing ate Coupon Interest Type Payment ate L % $33,602, % SCH/FIX July 15, G(1) ,556, SPP/SEQ/S/FIX October 15, T(1) ,259, SPP/SEQ/S/FIX October 15, PG(2) 100% 12,619, PC/FIX November 15, YE(2) 100% 15,568, PC I/FIX November 15, 2034 (1) The Group 3 ssets are backed by Relocation Mortgages. See General Information Ì The Mortgages. (2) MCR Class. See General Information Ì Structure of Transaction and Exhibits I through IV. We will publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. See vailable Information. We have agreed to sell the Group 1 ssets to the Underwriter for inclusion in this Series. Mortgage Characteristics (as of ecember 1, 2004) PC ssets Ì ssumed Mortgage Characteristics Remaining Term Per nnum to Maturity Loan ge Per nnum Interest Rate Group Principal alance (in months) (in months) Interest Rate of Related PCs 1 $215,000, % 5.5% 5 686,737, ,693, ,600, S-9

10 Multiclass ssets Ì Mortgage Characteristics Weighted verage Remaining Term Weighted verage Weighted verage Per nnum to Maturity Loan ge (in Per nnum Interest Rate Group Series (in months) months) Interest Rate of Related PCs % 5.5% (PG) (YE) The actual characteristics of the Mortgages diåer from those shown, in some cases signiñcantly. See General Information Ì The Mortgages. S-10

11 VILLE INFORMTION You should purchase CertiÑcates only if you have read and understood this Supplement, the OÅering Circular and the following documents: Our Mortgage Participation CertiÑcates OÅering Circular dated July 1, 2004, which describes Gold PCs generally. Our Giant and Other Pass-Through CertiÑcates OÅering Circular dated ecember 1, 1999 and the related OÅering Circular Supplements dated May 9, 2001 and March 31, 2004, which together describe Gold Giant PCs generally. If you are investing in a Group 2, 3 or 4 Class, our OÅering Circular Supplements for the related Multiclass ssets (each, a ""Multiclass sset OÅering Circular''), the front covers, Terms Sheets and, in the case of Series 2882, MCR table from which are in Exhibits I through IV. Our Information Statement dated September 24, 2004 and each of our Information Statement Supplements published through the time of purchase. This Supplement incorporates by reference the documents listed above. We will also publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. You should rely only on the most current information provided or incorporated by reference in this Supplement and any applicable Supplemental Statement. You can obtain the documents listed above, the greement and current information concerning the ssets and the CertiÑcates from our Investor Inquiry epartment or our Internet Web-Site as described on page 3 of the OÅering Circular. You can also obtain the documents listed above from the Underwriter at: ear, Stearns & Co. Inc. c/o P Financial Services Prospectus epartment 1155 Long Island venue Edgewood, New York (631) GENERL INFORMTION The greement We will create the CertiÑcates under the Multiclass CertiÑcates greement dated June 1, 2003 and a Terms Supplement dated the Closing ate (together, the ""greement''). You should refer to the greement for a complete description of your rights and obligations and those of Freddie Mac. You will acquire your CertiÑcates subject to the terms and conditions of the greement, including the Terms Supplement. S-11

12 Form of CertiÑcates The Regular and MCR Classes are issued, held and transferable on the Fed System. The Residual Classes are issued and held in certiñcated form and are transferable at the oçce of the Registrar. Only a Fed Participant can be a Holder of a Regular or MCR Class. s an investor in CertiÑcates, you are not necessarily the Holder. See escription of CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular. enominations of CertiÑcates The Non-Sticky Jump Classes and related Notional Classes will be issued, and may be held and transferred, in minimum original principal or notional principal amounts of $100,000 and additional increments of $1. See escription of CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular for the minimum denominations of the other Classes. Structure of Transaction General This Series is a ouble-tier Series, structured as follows: REMIC Pool Classes Issued from REMIC Pool REMIC Pool ssets Upper-Tier ll Regular Classes and R ll Lower-Tier regular interests Lower-Tier RS The ssets See escription of CertiÑcates Ì REMIC Pool Structures in the OÅering Circular. The PC ssets The PC ssets are Gold PCs and/or Gold Giant PCs. The Multiclass ssets The Multiclass ssets consist of previously issued Freddie Mac REMIC and MCR Classes, which represent interests in their underlying PCs. For additional information about the Multiclass ssets, see the Multiclass sset OÅering Circulars and other related information on our Internet Web-Site. We have attached the front covers, Terms Sheets and, in the case of Series 2882, MCR table from the Multiclass sset OÅering Circulars as Exhibits to this Supplement. There may have been material changes since we prepared the Multiclass sset OÅering Circulars, including changes in prepayment rates, prevailing interest rates and other economic factors. These changes may limit the usefulness of, and be inconsistent with the assumptions used in preparing, the Multiclass sset OÅering Circulars. The Mortgages The Mortgages underlying the ssets (the ""Mortgages'') are Ñxed-rate, Ñrst lien residential mortgages and mortgage participations. S-12

13 For purposes of this Supplement, we have made certain assumptions regarding the Mortgages underlying the PC ssets, as shown under Terms Sheet Ì Mortgage Characteristics. The weighted average remaining terms to maturity, weighted average loan ages and weighted average interest rates of the Mortgages underlying the Multiclass ssets, as of ecember 1, 2004, are shown under Terms Sheet Ì Mortgage Characteristics. However, the actual characteristics of most of the Mortgages diåer from those assumed or shown, perhaps signiñcantly. This is the case even if the weighted average characteristics of the Mortgages are the same as those of mortgages having the characteristics assumed or shown. Substantially all of the Mortgages underlying the Group 3 ssets are Relocation Mortgages. ""Relocation Mortgage'' is a Mortgage made to a transferred employee to Ñnance a home purchase at a new job location. Relocation Mortgage usually requires an employer contribution to mortgage funding, which may be signiñcant. Relocation Mortgages typically are originated by agreement between the employer and the lender under a relocation program administered by the employer or its agent. We will furnish some of the ssets from our own portfolio. ssets from our portfolio, or from other sources, may emphasize speciñc Mortgage characteristics, such as loan purpose, source of origination, geographic distribution or loan size, or speciñc borrower characteristics, such as credit rating or equity in the property. You can obtain information about the underlying Mortgage characteristics for the ssets from our Internet Web-Site. Payment ates; Record ates PYMENTS We make payments of principal and interest on the CertiÑcates on each Payment ate, beginning in the month following the Closing ate. ""Payment ate'' is the 15th of each month or, if the 15th is not a usiness ay, the next usiness ay. On each Payment ate, any payment on a CertiÑcate is made to the Holder of record as of the end of the preceding calendar month (a ""Record ate''). Method of Payment You will receive payments on your CertiÑcates in the manner described under escription of CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular. Categories of Classes For purposes of principal and interest payments, we have categorized the Classes as shown under ""Principal Type'' and ""Interest Type'' on the front cover and ppendix. ppendix II to the OÅering Circular explains the abbreviations used for categories of Classes. Interest We pay 30 days' interest on each Payment ate to the Holders of each Class on which interest has accrued, except that the ccrual Classes receive payments as described below. We calculate each interest payment on the outstanding balance of the Class as of the related Record ate and on the basis of a 360-day year of twelve 30-day months. S-13

14 ccrual Period The ""ccrual Period'' for each Payment ate is: For Fixed Rate and elay Classes Ì the preceding calendar month. For Floating Rate and Inverse Floating Rate Classes other than elay Classes Ì from the 15th of the preceding month to the 15th of the month of that Payment ate. Fixed Rate Classes The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and ppendix. Principal Only Classes The Principal Only Classes are shown under Terms Sheet Ì Interest. They do not bear interest. Notional Classes The Notional Classes do not receive principal payments. For calculating interest payments, the Notional Classes have notional principal amounts that will reduce as shown under Terms Sheet Ì Notional Classes. Floating Rate and Inverse Floating Rate Classes The Floating Rate and Inverse Floating Rate Classes bear interest as shown under Terms Sheet Ì Interest. Their Class Coupons are based on one-month LIOR. We determine LIOR and calculate the Class Coupons for the Floating Rate and Inverse Floating Rate Classes as described in ppendix V to the OÅering Circular. ccrual Classes EZ, TZ, WZ, ZM, ZR and ZT are ccrual Classes. The ccrual Classes do not receive interest payments; rather, interest accrued on each ccrual Class during each ccrual Period is added to its principal amount on the related Payment ate. We pay principal on each ccrual Class, including accrued interest that has been added to its principal amount, as described under Terms Sheet Ì Principal. Principal We pay principal on each Payment ate to the Holders of the Classes on which principal is then due. Holders receive principal payments on a pro rata basis among the CertiÑcates of their Class. mount of Payments The principal payments on the CertiÑcates on each Payment ate equal: The amount of interest accrued on each ccrual Class during the related ccrual Period and not payable as interest on that Payment ate (the ""EZ ccrual mount,'' the ""TZ ccrual mount'' and so forth). S-14

15 The amount of principal required to be paid in the same month on the ssets of each Group (the ""Group 1 sset Principal mount,'' the ""Group 2 sset Principal mount'' and so forth). On each Payment ate, we pay the ccrual mounts and the sset Principal mounts for that Payment ate as described under Terms Sheet Ì Principal. Principal allocable to the Classes receiving payments from a particular sset Group will be allocated only to those Classes and will not be available for Classes receiving payments from the other sset Groups. Class Factors General We make Class Factors available on or about the Ñfth business day of each month after the Closing ate. See escription of CertiÑcates Ì Payments Ì Class Factors in the OÅering Circular. Use of Factors You can calculate principal and interest payments by using the Class Factors. For example, the reduction (or for an ccrual Class, the increase) in the balance of a CertiÑcate in February will equal its original balance times the diåerence between its January and February Class Factors. The amount of interest to be paid on (or for an ccrual Class, added to the principal amount of) a CertiÑcate in February will equal 30 days' interest at its Class Coupon, accrued during the related ccrual Period, on the balance of that CertiÑcate determined by its January Class Factor. Guarantees We guarantee to each Holder of a CertiÑcate the timely payment of interest at its Class Coupon and the payment of its principal amount as described in this Supplement. See escription of CertiÑcates Ì Payments Ì Guarantees in the OÅering Circular. 1% Clean-up Call We have a 1% Clean-up Call Right. If we exercise this right, all of the Classes then outstanding will be paid in full and will retire T will not, and the other Multiclass ssets may, become subject to the similar 1% Clean-up Call Rights in their Series. See escription of CertiÑcates Ì Payments Ì 1% Clean-up Call in the OÅering Circular. Residual Proceeds Upon surrender of their CertiÑcates to the Registrar, the Holders of each Residual Class will receive the proceeds of any remaining assets of the related REMIC Pool after all required principal and interest payments on the Classes have been made. ny remaining assets are likely to be insigniñcant. See escription of CertiÑcates Ì Payments Ì Residual Classes in the OÅering Circular. S-15

16 PREPYMENT N YIEL NLYSIS General Mortgage Prepayments The rates of principal payments on the ssets and the CertiÑcates will depend on the rates of principal payments, including prepayments, on the underlying Mortgages. The Mortgages are subject to prepayment at any time without penalty. Mortgage prepayment rates Öuctuate continuously and, in some market conditions, substantially. See Prepayment, Yield and Suitability Considerations Ì Prepayments in the OÅering Circular for a discussion of Mortgage prepayment considerations and risks. The prepayment behavior of Relocation Mortgages may depend on whether the Mortgages are made in connection with a permanent relocation of a corporate headquarters, the likelihood that the borrowers will be relocated again and the frequency with which further relocations may occur. We do not collect information relating to these factors from mortgage sellers or servicers. orrowers under Relocation Mortgages may be more likely to be transferred by their employers than mortgage borrowers generally. However, we cannot predict the likelihood of future employment-related transfers or the rate of prepayment on the Relocation Mortgages underlying the Group 3 ssets. Yield s an investor in the CertiÑcates, your yield will depend on: Your purchase price. The rate of principal payments on the underlying Mortgages. The actual characteristics of the underlying Mortgages. If you own a Floating Rate or Inverse Floating Rate Class, the level of LIOR. If you own a Fixed Rate or elay Class, the delay between its ccrual Period and the related Payment ate. If you own a Group 2, 3 or 4 Class, the payment priorities of the related Multiclass ssets in their own Series, as described in the Terms Sheets of the Multiclass sset OÅering Circulars. See Prepayment, Yield and Suitability Considerations Ì Yields in the OÅering Circular for a discussion of yield considerations and risks. Suitability The CertiÑcates may not be suitable investments for you. See Prepayment, Yield and Suitability Considerations Ì Suitability in the OÅering Circular for a discussion of suitability considerations and risks. S-16

17 Modeling ssumptions To prepare the tables in this Supplement, we have made several assumptions. Unless otherwise noted, each table employs the following assumptions (the ""Modeling ssumptions''), among others: The Mortgages underlying the PC ssets have the characteristics shown under Terms Sheet Ì Mortgage Characteristics. s of ecember 1, 2004, each Mortgage underlying the Multiclass ssets has a remaining term to maturity equal to the weighted average remaining term to maturity, a loan age equal to the weighted average loan age, and an interest rate equal to the weighted average interest rate, of all the Mortgages underlying the same PC. s of the Closing ate, the ssets have the balances shown under Terms Sheet Ì The ssets. The Multiclass ssets receive payments as described in the Multiclass sset OÅering Circulars. The Classes and ssets always receive payments on the 15th of the month, whether or not a usiness ay. We do not exercise our 1% Clean-up Call Rights. Each Class is outstanding from the Closing ate to retirement and no exchanges occur. The Modeling ssumptions, like any other stated assumptions, are likely to diåer from actual experience in many cases. For example, the Mortgages have characteristics more diverse than those assumed, many Payment ates will occur on a usiness ay after the dates assumed and we may exercise our 1% Clean-up Call Rights. Moreover, Mortgage prepayment rates will diåer from the percentages of PS or CPR shown in the tables. These diåerences will aåect the actual payment behavior, weighted average lives and yields of the Classes, perhaps signiñcantly. See Prepayment, Yield and Suitability Considerations Ì Tabular Information in Supplements in the OÅering Circular for descriptions of weighted average life and yield calculations and the PS and CPR prepayment models. Prepayment and Weighted verage Life Considerations ccretion irected Classes Payments of principal on the ccretion irected Classes should be stable in varying degrees under relatively slow prepayment scenarios because the TZ ccrual mount will be dedicated to making principal payments on those Classes until they retire. The weighted average life of an ccretion irected Class cannot exceed its weighted average life as shown in the following table under any prepayment scenario, even a scenario where there are no prepayments. ased on the Modeling ssumptions, each ccretion irected Class would retire on, but not before, its Final Payment ate if the underlying Mortgages prepay at any rate at or below the rate shown for that Class until it retires. The principal payment stability of the ccretion irected Classes is supported primarily by their receipt of the TZ ccrual mount. They are protected against early retirement by the Classes S-17

18 shown in the table. When those Classes retire, however, each ccretion irected Class, if outstanding, will become sensitive to Mortgage prepayments and may retire before its Final Payment ate. ccretion irected Classes Maximum Weighted verage Life Prepayment Rate Class (in Years) Final Payment ate at or below Protected y E The Classes in Series 2882 that must VT ÏÏÏ 6.0ecember 15, % PS F retire before the Group 4 ssets VU ÏÏÏ 12.2 June 15, % PS H begin to receive principal payments The underlying Mortgages have characteristics that diåer from the Modeling ssumptions. s a result, even if the Mortgages prepay at a rate at or somewhat below the rate shown for an ccretion irected Class, that Class could retire before its Final Payment ate and its weighted average life could shorten. PC, Scheduled and TC Classes We have classiñed the Group 2 Classes as Scheduled and Notional (Scheduled) Classes because their underlying ssets are a Scheduled Class with a current EÅective Range consistent with that classiñcation. We have classiñed the Group 4 Classes as PC Classes because their underlying ssets are PC Classes with current EÅective Ranges consistent with that classiñcation. The following discussion relates to the PC, Scheduled and TC Classes other than the Group 2 and 4 Classes. Principal payments on the PC and TC Classes should be more stable than would be the case if they did not receive such payments, to the extent of available principal, in accordance with their schedules. Moreover, they will have cumulative priorities for future payments if they fall behind their schedules. ased on the Modeling ssumptions, each of these Classes has a range of constant Mortgage prepayment rates (an ""EÅective Range'') or a single constant Mortgage prepayment rate (an ""EÅective Rate'') at which it would receive scheduled payments. The EÅective Range or Rate at any time depends on the actual or assumed characteristics of the underlying Mortgages at that time. ased on the Modeling ssumptions, each PC or TC Class would receive scheduled payments until retirement if the underlying Mortgages were to prepay at any constant percentage of PS within its initial EÅective Range, or at its initial EÅective Rate, shown in the following table. S-18

19 Class Initial EÅective Ranges and Rates Range or Rate Group 1 PC P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% PS - 300% PS TC E, EF and S ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 200% PS Group 5 PC C, CG, CH, CJ, CK, CW and UV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% PS - 273% PS CL, CM, CN, CP, CQ, CR, PO, TV, U, U, UM, UN, UO, UP, UQ and UW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% PS - 250% PS MT, MU, MV, MW, MX, MY and UT ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% PS - 489% PS OU and UC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 83% PS - 250% PS TC O, FN, FQ, FY, SY, TP and ZR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 210% PS - 251% PS(1) FM, FP, FS, FV, FW, FX, SX and WT ÏÏÏÏÏÏÏÏÏÏÏÏÏ 210% PS(1) FM, FW, FX, SX and WTÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 110% PS(2) ZT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 210% PS - 211% PS(1) ZT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 110% PS - 129% PS(2) (1) Relates to the ggregate Targeted alances schedule for all Group 5 TC Classes. (2) Relates to the ggregate Targeted alances schedule for FM, SX and ZT. The initial EÅective Ranges, if calculated using the actual characteristics of the Mortgages, could diåer from those shown in the table. Even if the Mortgages were to prepay at a constant rate within the initial EÅective Range shown for any Class, but near the upper or lower end of that EÅective Range, that Class might not receive scheduled payments. Moreover, there may not be any constant prepayment rate, based on the actual characteristics of the Mortgages, at which a TC Class shown with an EÅective Rate would receive scheduled payments. Non-constant prepayment rates can cause any Class not to receive scheduled payments, even if such rates remain within its EÅective Range, if any, shown above. The EÅective Ranges can narrow or ""drift'' upward or downward over time. Under many scenarios the Classes shown in the table, especially the TC Classes, would not receive scheduled payments. Other Classes support the principal payment stability of the PC and TC Classes, as shown below. When its supporting Classes all retire, any outstanding PC or TC Class will become more sensitive to Mortgage prepayments and its EÅective Range will no longer exist. If a TC Class supports any other Class at that time, its principal payment behavior will become similar to that of a Support Class, as described below. Supporting Classes Classes Group 1 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC* FM, FW, FX, SX, WT and ZT ÏÏÏÏ O, FN, FP, FQ, FS, FV, FY, SY, TP and ZR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC and Support Support TC and Support Supported by O, FN, FQ, FY, SY, TP, ZR and Support Support * These Classes lose support from the related Support Class to the extent that Class ""jumps'' them in principal payment priority. S-19

20 If the underlying Mortgages prepay at rates that are generally below the EÅective Range or Rate for any Class, the available principal may be insuçcient to produce scheduled payments on that Class and its weighted average life may extend, perhaps signiñcantly. If the underlying Mortgages prepay at rates that are generally above the EÅective Range or Rate for any Class, its weighted average life may shorten, perhaps signiñcantly. However, the weighted average life of any PC or TC Class, especially a Non-Sticky Jump Class, could extend (or shorten) under some scenarios, including ""whipsaw'' scenarios, involving Mortgage prepayments at rates that, on average, are above (or below) its EÅective Range or Rate. We distribute all available principal monthly on each Payment ate and do not retain it for distribution on subsequent Payment ates. s a result, the likelihood that the PC and TC Classes will receive scheduled payments will not beneñt from averaging high and low principal payments in diåerent months. Support Classes The Support Classes support the principal payment stability of the PC and TC Classes as described above. s a result, each Support Class is likely to be much more sensitive to Mortgage prepayments than is any Class it supports. The Support Classes may receive no principal payments for extended periods of time, and their principal payment rates may vary widely from month to month. Relatively fast Mortgage prepayments may signiñcantly shorten, and relatively slow Mortgage prepayments may signiñcantly extend, the weighted average lives of the Support Classes. Non-Sticky Jump Classes We have categorized certain Group 5 Classes as Non-Sticky Jump Classes. These Classes ""jump'' to a diåerent principal payment priority, or are ""jumped,'' on any Payment ate when the applicable ""trigger'' condition is met. However, they do not ""stick'' to the new order of priority on any subsequent Payment ate when the trigger condition is not met; rather, they revert to their original order of priority. The weighted average life of any Class that jumps may shorten, perhaps signiñcantly. Conversely, the weighted average life of any Class that is jumped may extend, perhaps signiñcantly. Jumps can aåect the yield of a Non-Sticky Jump Class, depending on its purchase price. If you buy a Non-Sticky Jump Class at a premium, your yield may be lower to the extent that your Class jumps; if you buy it at a discount, your yield may be lower to the extent that it is jumped. Sequential Pay Classes The Sequential Pay Classes receive principal payments from their related ssets in a prescribed sequence. The Multiclass ssets The Group 2 ssets consist of a Scheduled Class, and the Group 4 ssets consist of PC Classes. These Classes were structured to receive payments in accordance with schedules. ased on S-20

21 the Modeling ssumptions for this Series, these Classes currently have the following EÅective Ranges: Group LÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 195% PS - 264% PS Group PG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 81% PS - 179% PS 2882-YE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 83% PS - 224% PS We cannot predict whether or for how long these Classes might receive scheduled payments. The Group 3 ssets consist of Shifting Payment Percentage/ccelerated Security Classes. These Classes are structured to receive principal payments faster than their related Non-ccelerated Securities in earlier periods. s a result of these allocations, under many prepayment scenarios the weighted average lives of these Classes will be less stable than would be the case if they received principal payments in a strictly sequential manner with their related Non-ccelerated Securities. We have classiñed the Group 3 Classes as Shifting Payment Percentage/ccelerated Security Classes because of the characteristics of the Group 3 ssets. See Prepayment and Yield nalysis in the Multiclass sset OÅering Circulars. MCR Classes The payment characteristics of the MCR Classes reöect the payment characteristics of their related REMIC Classes. eclining alances Table The following table shows: Percentages of original balances (as of the Closing ate) that would be outstanding after each of the Payment ates shown at various percentages of PS and CPR. Corresponding weighted average lives. We have prepared this table using the Modeling ssumptions. However, for 0% PS we have assumed that each Mortgage underlying the PC ssets (a) has an interest rate 2.5% higher than that of the related PCs and (b) has a remaining term to maturity of 180 or 360 months, as applicable, and a loan age of 0 months. We have calculated weighted average lives for each Notional Class assuming that a reduction in its notional principal amount is a reduction in principal balance. S-21

22 Percentages of Original alances Outstanding* and Weighted verage Lives Group 1 E, EF, S and S EZ P Group 1 ssets PS Prepayment ssumption PS Prepayment ssumption PS Prepayment ssumption PS Prepayment ssumption ate 0% 100% 131% 300% 400% 0% 100% 131% 300% 400% 0% 100% 131% 300% 400% 0% 100% 131% 300% 400% Closing ate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2005 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2006 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2007 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2008 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Weighted verage Life (Years)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 F, S,,, I, F, SM, SN, SP and Group 2 ssets PS Prepayment ssumption ate 0% 100% 300% 450% 600% ecember 15, 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Closing ateïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïïï ecember 15, 2005 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2006 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2007 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2008 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 ecember 15, 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ecember 15, 2032 and after ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Weighted verage Life (Years) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Rounded to nearest whole percentage. S-22