$1,142,573,406. Freddie Mac. Multiclass CertiÑcates, Series 2707

Transcription

1 OÅering Circular Supplement $1,142,573,406 (To OÅering Circular ated June 1, 2003) Freddie Mac Multiclass CertiÑcates, Series 2707 V 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: November 28, 2003 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 MOÏÏÏÏÏÏÏÏÏÏÏÏ $21,467,000 PC 0.0% PO 31394LTX0 November 15, 2033 IH ÏÏÏÏÏÏÏÏÏÏÏÏ $ 9,051,166 NTL(PC) 4.5% FIX/IO 31394LTG7 July 15, 2013 MVÏÏÏÏÏÏÏÏÏÏÏÏ 57,136,000 PC 4.5 FIX 31394LU26 June 15, 2022 K ÏÏÏÏÏÏÏÏÏÏÏÏ 30,154,500 NSJ/TC 4.5 FIX 31394LTK8November 15, 2018ZT ÏÏÏÏÏÏÏÏÏÏÏÏ 15,000,000 NSJ/CPT/SUP 5.5 FIX/Z 31394LVU3 November 15, 2033 KZ ÏÏÏÏÏÏÏÏÏÏÏÏ 50,000 NSJ/TC 4.5 FIX/Z 31394LTP7 November 15, 2018 QC ÏÏÏÏÏÏÏÏÏÏÏÏ 19,943,000 PC 4.5 FIX 31394LUF7 September 15, 2015 Group 5 Q ÏÏÏÏÏÏÏÏÏÏÏÏ 17,441,500 PC 4.5 FIX 31394LUG5 May 15, 2017 CZ ÏÏÏÏÏÏÏÏÏÏÏÏ 5,000 SC/SEQ 6.5 FIX/Z 31394LSV5 pril 15, 2032 QI ÏÏÏÏÏÏÏÏÏÏÏÏ 18,094,000 NTL(PC) 4.5 FIX/IO 31394LUJ9 November 15, 2018 FH ÏÏÏÏÏÏÏÏÏÏÏÏ 47,391,500 SC/SEQ (2) FLT 31394L T 3 6 pril 15, 2032 QK ÏÏÏÏÏÏÏÏÏÏÏÏ 26,143,500 PC 3.5 FIX 31394LUK6 ugust 15, 2009 SH ÏÏÏÏÏÏÏÏÏÏÏÏ 10,936,500 SC/SEQ (2) INV 31394LUQ3 pril 15, 2032 QN ÏÏÏÏÏÏÏÏÏÏÏÏ 29,173,500 PC 4.0 FIX 31394LUL4 July 15, 2013 Group 6 QO ÏÏÏÏÏÏÏÏÏÏÏÏ 18,094,000 PC 0.0 PO 31394LUM2 November 15, 2018 GI ÏÏÏÏÏÏÏÏÏÏÏÏ 19,834,775 NTL(PC) 5.0 FIX/IO 31394L T 8 5 ecember 15, 2022 Z ÏÏÏÏÏÏÏÏÏÏÏÏ 9,000,000 NSJ/CPT/SUP 4.5 FIX/Z 31394LVM1 November 15, 2018 GO ÏÏÏÏÏÏÏÏÏÏÏÏ 19,834,775 PC 0.0 PO 31394L T 9 3 ecember 15, 2022 IE ÏÏÏÏÏÏÏÏÏÏÏÏ 11,458,900 NTL(PC) 5.0 FIX/IO 31394LTE2 May 15, 2016 Group 2 KWÏÏÏÏÏÏÏÏÏÏÏÏ 40,489,975 NSJ/SCH 5.0 FIX 31394LTN2 November 15, 2023 EI ÏÏÏÏÏÏÏÏÏÏÏÏ 13,480,000 NTL(PC) 5.0 FIX/IO 31394LSZ6 November 15, 2018 TI ÏÏÏÏÏÏÏÏÏÏÏÏ 11,975,975 NTL(PC) 5.0 FIX/IO 31394LUS9 November 15, 2023 EO ÏÏÏÏÏÏÏÏÏÏÏÏ 13,480,000 PC 0.0 PO 31394L T 2 8 November 15, 2018 TO ÏÏÏÏÏÏÏÏÏÏÏÏ 11,975,975 PC 0.0 PO 31394LUT7 November 15, 2023 I ÏÏÏÏÏÏÏÏÏÏÏÏ 18,100,800 NTL(PC) 5.0 FIX/IO 31394LT0 July 15, 2014 XC ÏÏÏÏÏÏÏÏÏÏÏÏ 20,151,125 PC 5.0 FIX 31394LV7 October 15, 2018 J ÏÏÏÏÏÏÏÏÏÏÏÏ 25,000,000 NSJ/TC 5.0 FIX 31394LTH5 November 15, 2018 X ÏÏÏÏÏÏÏÏÏÏÏÏ 23,706,825 PC 5.0 FIX 31394LV5 March 15, 2021 K ÏÏÏÏÏÏÏÏÏÏÏÏ 30,034,000 NSJ/TC 5.0 FIX 31394LTL6 November 15, 2018 XK ÏÏÏÏÏÏÏÏÏÏÏÏ 25,559,600 PC 4.0 FIX 31394LVE9 March 15, 2011 OC ÏÏÏÏÏÏÏÏÏÏÏÏ 25,334,400 PC 5.0 FIX 31394LU34 September 15, 2016 XR ÏÏÏÏÏÏÏÏÏÏÏÏ 31,734,900 PC 4.0 FIX 31394LVF6 May 15, 2016 O ÏÏÏÏÏÏÏÏÏÏÏÏ 16,828,000 PC 5.0 FIX 31394L U 4 2 ecember 15, 2017 XZ ÏÏÏÏÏÏÏÏÏÏÏÏ 50,000 NSJ/SCH 5.0 FIX/Z 31394LVG4 November 15, 2023 OK ÏÏÏÏÏÏÏÏÏÏÏÏ 34,460,800 PC 3.5 FIX 31394L U 6 7 May 15, 2010 ZJ ÏÏÏÏÏÏÏÏÏÏÏÏ 11,496,825 NSJ/CPT/SUP 5.0 FIX/Z 31394LVS8 November 15, 2023 ON ÏÏÏÏÏÏÏÏÏÏÏÏ 38,812,800 PC 4.0 FIX 31394LU75 July 15, 2014 Z ÏÏÏÏÏÏÏÏÏÏÏÏ 8,731,766 NSJ/CPT/SUP 5.0 FIX/Z 31394LVN9 November 15, 2018 Group 7 ZH ÏÏÏÏÏÏÏÏÏÏÏÏ 7,268,234 NSJ/CPT/SUP 5.0 FIX/Z 31394LVR0 November 15, 2018 V ÏÏÏÏÏÏÏÏÏÏÏÏ 13,921,000 SC//SEQ 5.0 FIX 31394LUW0 November 15, 2014 ZK ÏÏÏÏÏÏÏÏÏÏÏÏ 50,000 NSJ/CPT/TC 5.0 FIX/Z 31394LVT6 November 15, 2018VI ÏÏÏÏÏÏÏÏÏÏÏÏ 16,332,026 SC/NTL(SEQ) 5.0 FIX/IO 31394LV 2 5 ecember 15, 2022 VO ÏÏÏÏÏÏÏÏÏÏÏÏ 16,332,026 SC/SEQ 0.0 PO 31394LV 5 8ecember 15, 2022 Group 3 Z ÏÏÏÏÏÏÏÏÏÏÏÏ 19,100,000 SC/SEQ 5.0 FIX/Z 31394LVL3 October 15, 2030 I ÏÏÏÏÏÏÏÏÏÏÏÏ 12,134,200 NTL(PC) 5.0 FIX/IO 31394LT8July 15, 2014 KJ ÏÏÏÏÏÏÏÏÏÏÏÏ 40,792,000 NSJ/TC 5.0 FIX 31394LTM4 November 15, 2018 Group 8 PC ÏÏÏÏÏÏÏÏÏÏÏÏ 22,860,000 PC 5.0 FIX 31394LU83 February 15, 2017 I ÏÏÏÏÏÏÏÏÏÏÏÏ 13,058,489 SC/NTL(SEQ) 6.0 FIX/IO 31394LSW3 June 15, 2023 P ÏÏÏÏÏÏÏÏÏÏÏÏ 7,936,800 PC 5.0 FIX 31394LU91 November 15, 2017 O ÏÏÏÏÏÏÏÏÏÏÏÏ 13,058,489 SC/SEQ 0.0 PO 31394LSY9 June 15, 2023 PI ÏÏÏÏÏÏÏÏÏÏÏÏ 10,990,200 NTL(PC) 5.0 FIX/IO 31394LU6 November 15, 2018 VC ÏÏÏÏÏÏÏÏÏÏÏÏ 9,053,000 SC//SEQ 6.0 FIX 31394LUY6 September 15, 2014 PO ÏÏÏÏÏÏÏÏÏÏÏÏ 10,990,200 PC 0.0 PO 31394LUC4 November 15, 2018 ZU ÏÏÏÏÏÏÏÏÏÏÏÏ 9,950,000 SC/SEQ 6.0 FIX/Z 31394LVV1 ecember 15, 2032 PW ÏÏÏÏÏÏÏÏÏÏÏÏ 45,671,000 PC 4.0 FIX 31394LU2 July 15, 2014 PY ÏÏÏÏÏÏÏÏÏÏÏÏ 10,000,000 PC 3.5 FIX 31394LUE0 July 15, 2014 Group 9 ZE ÏÏÏÏÏÏÏÏÏÏÏÏ 11,700,000 NSJ/CPT/SUP 5.0 FIX/Z 31394LVP4 November 15, 2018 UI ÏÏÏÏÏÏÏÏÏÏÏÏ 16,225,000 SC/NTL(SEQ) 6.0 FIX/IO 31394LUU4 June 15, 2023 ZG ÏÏÏÏÏÏÏÏÏÏÏÏ 50,000 NSJ/TC 5.0 FIX/Z 31394LVQ2 November 15, 2018 UO ÏÏÏÏÏÏÏÏÏÏÏÏ 16,225,000 SC/SEQ 0.0 PO 31394LUV2 June 15, 2023 VT ÏÏÏÏÏÏÏÏÏÏÏÏ 11,225,000 SC/SEQ 6.0 FIX 31394LV 6 6 September 15, 2014 Group 4 ZWÏÏÏÏÏÏÏÏÏÏÏÏ 12,338,000 SC/SEQ 6.0 FIX/Z 31394LVW9 May 15, 2032 I ÏÏÏÏÏÏÏÏÏÏÏÏ 10,388,363 NTL(PC) 5.5 FIX/IO 31394LT4 June 15, 2022 Group 10 J ÏÏÏÏÏÏÏÏÏÏÏÏ 64,718,000 NSJ/TC 5.5 FIX 31394L T J 1 November 15, 2033 FL ÏÏÏÏÏÏÏÏÏÏÏÏ 21,028,418 SC/PT (2) FLT 31394L T 4 4 November 15, 2022 LI ÏÏÏÏÏÏÏÏÏÏÏÏ 40,328,000 NTL(PC) 5.5 FIX/IO 31394LTQ5 May 15, 2032 SL ÏÏÏÏÏÏÏÏÏÏÏÏ 7,009,473 SC/PT (2) INV 31394LUR1 November 15, 2022 LO ÏÏÏÏÏÏÏÏÏÏÏÏ 40,328,000 PC 0.0 PO 31394LTR3 May 15, 2032 MCÏÏÏÏÏÏÏÏÏÏÏÏ 34,796,000 PC 5.5 FIX 31394LTS1 March 15, 2027 Residual MÏÏÏÏÏÏÏÏÏÏÏÏ 16,555,000 PC 5.5 FIX 31394LTT9 ecember 15, 2028R ÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394LUN0 November 15, 2033 MI ÏÏÏÏÏÏÏÏÏÏÏÏ 21,467,000 NTL(PC) 5.5 FIX/IO 31394LTW2 November 15, 2033 RS ÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394LUP5 November 15, 2033 (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 consider carefully the 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. US Investment ank October 20, 2003

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. This is also the case with the Group 10 Classes, which are backed by previously issued Support Classes. 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. 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 ecember Form of Classes Regular and MCR Classes: ook-entry on Fed System Residual Classes: CertiÑcated Interest The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and ppendix. The following Classes are Principal Only Classes and do not bear interest. Group Class 1 QO 2 EO 3 PO 4 LO and MO 6 GO and TO 7 VO 8O 9 UO 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 5 FH ÏÏÏÏÏÏÏÏÏÏÏÏ 1.77% LIOR 0.65% 0.65% 8.0% SH ÏÏÏÏÏÏÏÏÏÏÏÏ % (LIOR ) Group 10 FL ÏÏÏÏÏÏÏÏÏÏÏÏ 1.67 LIOR 0.55% SL ÏÏÏÏÏÏÏÏÏÏÏÏ % (LIOR x 3.0) See ppendix V to the OÅering Circular and Payments Ì Interest. Notional Classes Original Notional Class Principal mount Reduces Proportionately With Group 1 $ 5,809,666 QK (PC) IH 3,241,500 QN (PC) $ 9,051,166 QI $18,094,000 QO (PC) Group 2 EI $13,480,000 EO (PC) $10,338,240 OK (PC) I 7,762,560 ON (PC) $18,100,800 Group 3 I $12,134,200 PW and PY, as a whole (PC) PI $10,990,200 PO (PC) Group 4 IC* $ 6,326,545 MC (PC) I $10,388,363 MV (PC) LI $40,328,000 LO (PC) MI $21,467,000 MO (PC) Group 6 GI $19,834,775 GO (PC) IE $11,458,900 XK and XR, as a whole (PC) IG* $ 2,015,112 XC (PC) TI $11,975,975 TO (PC) Group 7 VI $16,332,026 VO (SC/SEQ) Group 8 I $13,058,489 O (SC/SEQ) Group 9 UI $16,225,000 UO (SC/SEQ) * MCR Class. See Payments Ì Interest Ì Notional Classes. S-4

5 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. Components Group esignation Original alance Principal Type Z-1 $ 450,000 NSJ/SUP 1 Z-2 8,550,000 NSJ/SUP Z-1 436,588 NSJ/SUP 2 Z-2 8,295,178 NSJ/SUP ZH-1 363,412 NSJ/SUP 2 ZH-2 6,904,822 NSJ/SUP ZK-1 27,287 NSJ/TC 2 ZK-2 22,713 NSJ/TC ZE-1 585,000 NSJ/SUP 3 ZE-2 11,115,000 NSJ/SUP ZT-1 750,000 NSJ/SUP 4 ZT-2 14,250,000 NSJ/SUP ZJ-1 574,841 NSJ/SUP 6 ZJ-2 10,921,984 NSJ/SUP See Payments Ì Principal Ì Components. Principal REMIC Classes On each Payment ate, we pay: Group 1 The KZ ccrual mount to K, until retired, and then to KZ NSJ/TC and ccrual The Z-1 ccrual mount to K and KZ, in that order, until reduced to their ggregate Targeted alance, and then to Z-1 The Z-2 ccrual mount in the following order of priority: 1. If the remaining principal balance of the Group 1 ssets, after giving eåect to their ccrual reduction on that Payment ate (the ""Group 1 sset alance''), is less than either (a) both (i) the product of (x) the Group 1 250% PS Scheduled sset alance and (y) the Z-2 Ratio and (ii) the Group 1 75% PS Scheduled sset alance or (b) the product of (i) the Group 1 700% PS Scheduled sset alance and (ii) the Z-2 Ratio, then to Z-2 NSJ/TC 2. To K and KZ, in that order, until reduced to their ggregate Targeted alance NSJ/ Support 3. To Z-1, until retired S-5

6 ccrual 4. To Z-2 The Group 1 sset Principal mount in the following order of priority: PC 1. eginning in ecember 2004, to QK, QN, QC, Q and QO, in that order, until reduced to their ggregate Targeted alance 2. If the Group 1 sset alance is less than either (a) both (i) the product of (x) the Group 1 250% PS Scheduled sset alance and (y) the Z-2 Ratio and (ii) the NSJ/Support Group 1 75% PS Scheduled sset alance or (b) the product of (i) the Group 1 700% PS Scheduled sset alance and (ii) the Z-2 Ratio, then to Z-1 and Z-2, in that order, until retired NSJ/TC 3. To K and KZ, in that order, until reduced to their ggregate Targeted alance NSJ/Support 4. To Z-1 and Z-2, in that order, until retired NSJ/TC 5. To K and KZ, in that order, until retired PC 6. To QK, QN, QC, Q and QO, in that order, until retired Group 1 eñnition: The Z-2 Ratio is: For any Payment ate through the Payment ate on which Z-1 is retired, 1.0 From any Payment ate thereafter through the Payment ate on which Z-2 is retired, the original balance of Z-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. Group 2 The ZK-1 ccrual mount to K, until retired, and then to ZK-1 The ZK-2 ccrual mount to J, until retired, and then to ZK-2 NSJ/TC The Z-1 ccrual mount to K and ZK-1, in that order, until reduced to their and ccrual ggregate Targeted alance, and then to Z-1 The ZH-1 ccrual mount to J and ZK-2, in that order, until reduced to their ggregate Targeted alance, and then to ZH-1 The Z-2 ccrual mount in the following order of priority: 1. If the remaining principal balance of the Group 2 ssets, after giving eåect to their ccrual reduction on that Payment ate (the ""Group 2 sset alance''), is less than either (a) both (i) the product of (x) the Group 2 275% PS Scheduled sset alance and (y) the Z-2 Ratio and (ii) the Group 2 75% PS Scheduled sset alance or (b) the product of (i) the Group 2 700% PS Scheduled sset alance and (ii) the Z-2 Ratio, then to Z-2 NSJ/TC 2. To K and ZK-1, in that order, until reduced to their ggregate Targeted alance NSJ/Support 3. To Z-1, until retired S-6

7 ccrual 4. To Z-2 The ZH-2 ccrual mount in the following order of priority: 1. If the Group 2 sset alance is less than both (i) the product of (x) the Group 2 ccrual 650% PS Scheduled sset alance and (y) the ZH-2 Ratio and (ii) the Group 2 75% PS Scheduled sset alance, then to ZH-2 NSJ/TC 2. To J and ZK-2, in that order, until reduced to their ggregate Targeted alance NSJ/Support 3. To ZH-1, until retired ccrual 4. To ZH-2 The Group 2 sset Principal mount in the following order of priority: PC 1. eginning in ecember 2004, to OK, ON, OC, O and EO, in that order, until reduced to their ggregate Targeted alance 2. Concurrently: a % as follows: i. If the Group 2 sset alance is less than either (a) both (i) the product of (x) the Group 2 275% PS Scheduled sset alance and (y) the Z-2 NSJ/Support Ratio and (ii) the Group 2 75% PS Scheduled sset alance or (b) the product of (i) the Group 2 700% PS Scheduled sset alance and (ii) the Z-2 Ratio, then to Z-1 and Z-2, in that order, until retired NSJ/TC ii. To K and ZK-1, in that order, until reduced to their ggregate Targeted alance NSJ/ Support iii. To Z-1 and Z-2, in that order, until retired NSJ/TC iv. To K and ZK-1, in that order, until retired b % as follows: i. If the Group 2 sset alance is less than both (i) the product of (x) the NSJ/Support Group 2 650% PS Scheduled sset alance and (y) the ZH-2 Ratio and (ii) the Group 2 75% PS Scheduled sset alance, then to ZH-1 and ZH-2, in that order, until retired NSJ/TC ii. To J and ZK-2, in that order, until reduced to their ggregate Targeted alance NSJ/Support iii. To ZH-1 and ZH-2, in that order, until retired NSJ/TC iv. To J and ZK-2, in that order, until retired PC 3. To OK, ON, OC, O and EO, in that order, until retired S-7

8 Group 2 eñnitions: The Z-2 Ratio is: For any Payment ate through the Payment ate on which Z-1 is retired, 1.0 From any Payment ate thereafter through the Payment ate on which Z-2 is retired, the original balance of Z-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. The ZH-2 Ratio is: For any Payment ate through the Payment ate on which ZH-1 is retired, 1.0 From any Payment ate thereafter through the Payment ate on which ZH-2 is retired, the original balance of ZH-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. Group 3 The ZG ccrual mount to KJ, until retired, and then to ZG NSJ/TC and ccrual The ZE-1 ccrual mount to KJ and ZG, in that order, until reduced to their ggregate Targeted alance, and then to ZE-1 The ZE-2 ccrual mount in the following order of priority: 1. If the remaining principal balance of the Group 3 ssets, after giving eåect to their ccrual reduction on that Payment ate (the ""Group 3 sset alance''), is less than either (a) both (i) the product of (x) the Group 3 275% PS Scheduled sset alance and (y) the ZE-2 Ratio and (ii) the Group 3 75% PS Scheduled sset alance or (b) the product of (i) the Group 3 700% PS Scheduled sset alance and (ii) the ZE-2 Ratio, then to ZE-2 NSJ/TC 2. To KJ and ZG, in that order, until reduced to their ggregate Targeted alance NSJ/Support 3. To ZE-1, until retired ccrual 4. To ZE-2 The Group 3 sset Principal mount in the following order of priority: 1. eginning in October 2004, to the PC Classes, until reduced to their ggregate PC Targeted alance, allocated as follows: a. To PW and PY, pro rata, while outstanding b. To PC, P and PO, in that order, while outstanding 2. If the Group 3 sset alance is less than either (a) both (i) the product of (x) the Group 3 275% PS Scheduled sset alance and (y) the ZE-2 Ratio and (ii) the NSJ/Support Group 3 75% PS Scheduled sset alance or (b) the product of (i) the Group 3 700% PS Scheduled sset alance and (ii) the ZE-2 Ratio, then to ZE-1 and ZE-2, in that order, until retired NSJ/TC 3. To KJ and ZG, in that order, until reduced to their ggregate Targeted alance NSJ/Support 4. To ZE-1 and ZE-2, in that order, until retired S-8

9 NSJ/TC 5. To KJ and ZG, in that order, until retired 6. To the PC Classes as described in step 1 above, but without regard to their PC ggregate Targeted alance, until retired Group 3 eñnition: The ZE-2 Ratio is: For any Payment ate through the Payment ate on which ZE-1 is retired, 1.0 From any Payment ate thereafter through the Payment ate on which ZE-2 is retired, the original balance of ZE-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. Group 4 NSJ/TC The ZT-1 ccrual mount to J, until reduced to its Targeted alance, and then to and ccrual ZT-1 The ZT-2 ccrual mount in the following order of priority: 1. If the remaining principal balance of the Group 4 ssets, after giving eåect to their ccrual reduction on that Payment ate (the ""Group 4 sset alance''), is less than either (a) both (i) the product of (x) the Group 4 275% PS Scheduled sset alance and (y) the ZT-2 Ratio and (ii) the Group 4 75% PS Scheduled sset alance or (b) the product of (i) the Group 4 800% PS Scheduled sset alance and (ii) the ZT-2 Ratio, then to ZT-2 NSJ/TC 2. To J, until reduced to its Targeted alance NSJ/Support 3. To ZT-1, until retired ccrual 4. To ZT-2 The Group 4 sset Principal mount in the following order of priority: PC 1. eginning in ecember 2004, to MV, MC, M, LO and MO, in that order, until reduced to their ggregate Targeted alance 2. If the Group 4 sset alance is less than either (a) both (i) the product of (x) the Group 4 275% PS Scheduled sset alance and (y) the ZT-2 Ratio and (ii) the NSJ/Support Group 4 75% PS Scheduled sset alance or (b) the product of (i) the Group 4 800% PS Scheduled sset alance and (ii) the ZT-2 Ratio, then to ZT-1 and ZT-2, in that order, until retired NSJ/TC 3. To J, until reduced to its Targeted alance NSJ/Support 4. To ZT-1 and ZT-2, in that order, until retired NSJ/TC 5. To J, until retired PC 6. To MV, MC, M, LO and MO, in that order, until retired S-9

10 Group 4 eñnition: The ZT-2 Ratio is: For any Payment ate through the Payment ate on which ZT-1 is retired, 1.0 From any Payment ate thereafter, through the Payment ate on which ZT-2 is retired, the original balance of ZT-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. Sequential Pay Group 5 The Group 5 sset Principal mount and the CZ ccrual mount in the following order of priority: 1. To FH and SH, pro rata, until retired 2. To CZ, until retired Group 6 The XZ ccrual mount to KW, until retired, and then to XZ NSJ/ Scheduled and ccrual The ZJ-1 ccrual mount to KW and XZ, in that order, until reduced to their ggregate Targeted alance, and then to ZJ-1 The ZJ-2 ccrual mount in the following order of priority: 1. If the remaining principal balance of the Group 6 ssets, after giving eåect to their ccrual reduction on that Payment ate (the ""Group 6 sset alance''), is less than either (a) both (i) the product of (x) the Group 6 275% PS Scheduled sset alance and (y) the ZJ-2 Ratio and (ii) the Group 6 75% PS Scheduled sset alance or (b) the product of (i) the Group 5 900% PS Scheduled sset alance and (ii) the ZJ-2 Ratio, then to ZJ-2 NSJ/ Scheduled 2. To KW and XZ, in that order, until reduced to their ggregate Targeted alance NSJ/Support 3. To ZJ-1, until retired ccrual 4. To ZJ-2 The Group 6 sset Principal mount in the following order of priority: PC 1. eginning in ecember 2004, to XK, XR, XC, X, GO and TO, in that order, until reduced to their ggregate Targeted alance 2. If the Group 6 sset alance is less than either (a) both (i) the product of (x) the Group 6 275% PS Scheduled sset alance and (y) the ZJ-2 Ratio and (ii) the NSJ/Support Group 6 75% PS Scheduled sset alance or (b) the product of (i) the Group 6 900% PS Scheduled sset alance and (ii) the ZJ-2 Ratio, then to ZJ-1 and ZJ-2, in that order, until retired NSJ/ Scheduled 3. To KW and XZ, in that order, until reduced to their ggregate Targeted alance NSJ/Support 4. To ZJ-1 and ZJ-2, in that order, until retired NSJ/ Scheduled 5. To KW and XZ, in that order, until retired S-10

11 PC 6. To XK, XR, XC, X, GO and TO, in that order, until retired Group 6 eñnition: The ZJ-2 Ratio is: For any Payment ate through the Payment ate on which ZJ-1 is retired, 1.0 From any Payment ate thereafter through the Payment ate on which ZJ-2 is retired, the original balance of ZJ-2 divided by its current balance, before giving eåect to any increase or reduction on that Payment ate. Sequential Pay Sequential Pay Sequential Pay Pass- Through Group 7 The Group 7 sset Principal mount and the Z ccrual mount to V, VO and Z, in that order, until retired Group 8 The Group 8 sset Principal mount and the ZU ccrual mount to VC, O and ZU, in that order, until retired Group 9 The Group 9 sset Principal mount and the ZW ccrual mount to VT, UO and ZW, in that order, until retired Group 10 The Group 10 sset Principal mount to FL and SL, pro rata, until retired S-11

12 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 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 75% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏÏ Group 1 250% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 1 700% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 2 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 75% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏÏ Group 2 275% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 2 650% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 2 700% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 3 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 75% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏÏ Group 3 275% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 3 700% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 4 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 75% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏÏ Group 4 275% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 4 800% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 6 PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ScheduledÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 75% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏÏ Group 6 275% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ Group 6 900% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏÏ (1) This Scheduled sset alance is $0 beginning in ugust (2) This Scheduled sset alance is $0 beginning in September Structuring Range or Rate 100% PS - 250% PS 150% PS 75% PS 250% PS(1) 700% PS 100% PS - 350% PS 182% PS 75% PS 275% PS(1) 650% PS 700% PS 100% PS - 350% PS 182% PS 75% PS 275% PS(1) 700% PS 100% PS - 250% PS 200% PS 75% PS 275% PS(2) 800% PS 100% PS - 250% PS 186% PS - 236% PS 75% PS 275% PS(1) 900% 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. S-12

13 Weighted verage Lives (in years)* Group 1 PS Prepayment ssumption 0% 100% 189% 250% 400% IHÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Q ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QE, QI and QO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 189% 198% 199% 210% 211% 250% 400% K ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 PS Prepayment ssumption 0% 100% 234% 350% 500% EI, EO and OE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ OC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ O ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ OK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ON ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 234% 242% 243% 246% 247% 350% 500% J ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ K ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PS Prepayment ssumption 0% 100% 234% 350% 500% I, PW and PY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PE, PI and PO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 234% 239% 240% 350% 500% KJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZGÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * 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-13

14 Group 4 PS Prepayment ssumption 0% 100% 220% 250% 500% G, G, IC, MC, MR and MT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ I and MV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LI, LO and ME ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MG, MI and MOÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 220% 248% 249% 250% 253% 254% 500% J ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZTÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 PS Prepayment ssumption 0% 100% 400% 650% 1,000% 1,300% CZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FH and SH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 PS Prepayment ssumption 0% 100% 220% 250% 500% GI, GO and XE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IE and YW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IG, XC, Y and Y ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TI, TO and XG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ X ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 220% 236% 237% 240% 241% 250% 500% KW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 7 PS Prepayment ssumption 0% 100% 185% 300% 400% K and Group 7 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V, VI and VO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 8 PS Prepayment ssumption 0% 100% 390% 600% 800% I, O, V, VM and VN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GC and Group 8 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14

15 Group 9 PS Prepayment ssumption 0% 100% 390% 600% 800% UI, UO, VU, VW and VX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZWÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 9 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 10 PS Prepayment ssumption 0% 100% 179% 300% 400% FL, SL and Group 10 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ The ssets The Group 1, 2, 3, 4 and 6 ssets (the ""PC ssets'') consist of Freddie Mac PCs with the following characteristics: Original Term Group Principal alance (in years) Interest Rate 1 $150,000, % 2 200,000, ,000, ,000, ,000, The Group 5, 7, 8, 9 and 10 ssets (the ""Multiclass ssets'') consist of: Class Factor Percentage of Class alance in for Month Class Principal/ Group Class in This Series This Series of Closing ate Coupon Interest Type Final Payment ate N (1) 100% $58,333, % SC/PT/FIX pril 15, K % 49,353, % SEQ/FIX October 15, ME ,061, % PC/FIX ecember 15, O ,751, % PC/FIX March 15, PH ,037, PC I/FIX May 15, FV ,791, (2) SUP/FLT November 15, SV 100 5,896, (2) SUP/INV November 15, SW 100 2,350, (2) SUP/INV November 15, 2022 (1) acked by 2441-NK, which is a SPP/SEQ Class. (2) See Exhibit VI. See General Information Ì Structure of Transaction and Exhibits I through VI. 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. S-15

16 Mortgage Characteristics (as of November 1, 2003) 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 $150,000, % 4.5% 2 200,000, ,000, ,000, ,000, Multiclass ssets Ì Mortgage Characteristics Weighted verage Remaining Term Weighted verage Weighted verage Per nnum to Maturity Loan ge Per nnum Interest Rate Group Series (in months) (in months) Interest Rate of Related PCs / % 7.0% The actual characteristics of the Mortgages diåer from those shown, in some cases signiñcantly. See General InformationÌ The Mortgages. S-16

17 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 February 1, 2001 and the related OÅering Circular Supplements dated May 9, 2001 and February 22, 2002, which together describe Gold PCs generally. Our Giant and Other Pass-Through CertiÑcates OÅering Circular dated ecember 1, 1999 and the related OÅering Circular Supplement dated May 9, 2001, which together describe Gold Giant PCs generally. If you are investing in a Group 5, 7, 8, 9 or 10 Class, our OÅering Circular Supplements for the related Multiclass ssets (each, a ""Multiclass sset OÅering Circular''), the front covers and Terms Sheets from which are in Exhibits I through VI. Our Information Statement dated March 29, 2002, our Information Statement Supplements dated May 15, 2002, ugust 14, 2002, November 14, 2002, January 22, 2003, January 27, 2003, March 25, 2003, pril 24, 2003, June 11, 2003, June 25, 2003, July 24, 2003, ugust 25, 2003, September 25, 2003, October 29, 2003 and November 21, 2003 and any other Information Statement Supplements we publish 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 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: US Securities LLC Prospectus epartment 1000 Harbor oulevard Weehawken, New Jersey (201) The greement GENERL INFORMTION 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-17

18 Form of CertiÑcates The 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. 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 CertiÑcates, 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 and Terms Sheets 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. 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 November 1, 2003, 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 S-18

19 average characteristics of the Mortgages are the same as those of mortgages having the characteristics assumed or shown. We may furnish some or all 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. ccrual Period The ""ccrual Period'' for each Payment ate is: For Fixed Rate Classes Ì the preceding calendar month. For Floating Rate and Inverse Floating Rate 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. S-19

20 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 CZ, KZ, XZ, Z, Z, Z, ZE, ZG, ZH, ZJ, ZK, ZT, ZU and ZW are ccrual Classes. The Z, Z, ZE, ZH, ZJ, ZK and ZT Components are ccrual Components. The ccrual Classes and Components do not receive interest payments; rather, interest accrued on each ccrual Class or Component during each ccrual Period is added to its principal amount on the related Payment ate. We pay principal on each ccrual Class or Component, 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 ""CZ ccrual mount,'' the ""Z-1 ccrual mount'' and so forth). 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). llocation of Payments 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. S-20

21 Components For convenience in describing principal payments, Z, Z, ZE, ZH, ZJ, ZK and ZT consist of Components having the designations and original balances shown under Terms Sheet Ì Components. The Components of each Class, together, constitute a single Class and are not separately issued or transferable. However, the discussions under Prepayment and Yield nalysis regarding the principal payment characteristics of the various categories of Classes also apply to any Components within the same categories. 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 ME, 2515-N, 2452-PH and 2430-O may, and the other Multiclass ssets will not, 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-21

22 General Mortgage Prepayments PREPYMENT N YIEL NLYSIS 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. 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 Class, the delay between its ccrual Period and the related Payment ate. If you own a Group 5, 7, 8, 9 or 10 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. 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 November 1, 2003, 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-22

23 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 Right. 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 Right. Moreover, Mortgage prepayment rates will diåer from the percentages of PS 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 prepayment model. Prepayment and Weighted verage Life Considerations In the following discussions, the term ""Classes'' also includes Components. ccretion irected Classes Payments of principal on the ccretion irected Classes should be stable in varying degrees under relatively slow prepayment scenarios because the related ccrual mounts 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 related ccrual mounts. They are protected against early retirement by the Classes shown in the table. When the applicable Classes retire, however, each ccretion irected Class, if outstanding, will become sensitive to Mortgage prepayments and may retire before its Final Payment ate. S-23