Deutsche Bank Securities

Transcription

1 Offering Circular Supplement (To Offering Circular Dated June 1, 2010) $3,237,588,983 Freddie Mac Multiclass Certificates, Series 4097 Offered Classes: REMIC Classes shown below and MACR Classes shown on Appendix A Offering Terms: The underwriter named below is offering the Classes in negotiated transactions at varying prices. Closing Date: August 30, 2012 REMIC Classes Original Balance Principal Type(1) Class Coupon Interest Type(1) CUSIP Number Final Payment Date Group 1 AE... $158,140,200 SEQ 1.5% FIX 3137AT G P 1 July 15, 2039 AF ,426,800 SEQ (2) FLT 3137ATGQ9 July 15, 2039 AS ,426,800 NTL(SEQ) (2) INV/IO 3137ATGW6 July 15, 2039 AV... 13,220,000 SEQ 3.5 FIX 3137ATGX4 June 15, 2031 FA... 67,153,525 PT (2) FLT 3137AT J T 0 August 15, 2042 SA... 67,153,525 NTL(PT) (2) INV/IO 3137AT P L 0 August 15, 2042 VA... 21,535,000 AD/SEQ 3.5 FIX 3137ATQU9 August 15, 2025 ZA... 37,445,625 SEQ 3.5 FIX/Z 3137ATRR5 August 15, 2042 Group 2 CA ,000,000 SEQ 1.5 FIX 3137ATHK1 May 15, 2027 CI... 51,392,000 NTL(PT) 3.0 FIX/IO 3137AT H P 0 August 15, 2027 CY... 2,784,000 SEQ 1.5 FIX 3137ATHX3 August 15, 2027 Group 3 FG... 71,584,557 PT (2) FLT 3137ATJW3 August 15, 2032 GA ,000,000 SEQ 1.5 FIX 3137AT K 4 3 September 15, 2030 GB... 3,293,000 SEQ 3.0 FIX 3137AT K 5 0 February 15, 2015 GC... 40,618,000 SEQ 3.0 FIX 3137AT K 6 8 October 15, 2031 GF... 96,428,571 SEQ (2) FLT 3137AT K 9 2 September 15, 2030 GL... 3,509,348 SEQ 3.0 FIX 3137ATKD3 August 15, 2032 GS... 96,428,571 NTL(SEQ) (2) INV/IO 3137ATKE1 September 15, 2030 GV... 10,130,000 SEQ 3.0 FIX 3137ATKG6 October 15, 2030 SG... 71,584,557 NTL(PT) (2) INV/IO 3137AT P P 1 August 15, 2032 VG... 16,426,000 SEQ 3.0 FIX 3137ATQZ8 October 15, 2025 ZG... 34,102,429 SEQ 3.0 FIX/Z 3137AT R T 1 August 15, 2032 Group 4 KB ,699,728 SEQ 1.0 FIX 3137AT L E 0 September 15, 2031 KF ,971,272 SEQ (2) FLT 3137AT L J 9 September 15, 2031 KS ,971,272 NTL(SEQ) (2) INV/IO 3137AT L S 9 September 15, 2031 YK... 33,329,000 SEQ 3.0 FIX 3137ATRN4 August 15, 2032 Group 5 AA... 3,850,000 SUP/RTL 2.5 FIX 3137ATGM8 June 15, 2042 FQ... 54,500,000 PT (2) FLT 3137AT K 2 7 August 15, 2042 MA... 4,274,000 SUP 2.5 FIX 3137ATMG4 June 15, 2042 MB... 1,042,000 SUP 2.5 FIX 3137ATMH2 August 15, 2042 MC... 2,872,000 PAC III 2.5 FIX 3137AT M J 8 August 15, 2042 QA... 27,964,953 PAC I 1.25 FIX 3137AT P 4 8 June 15, 2042 QF... 8,739,047 PAC I (2) FLT 3137AT P 5 5 June 15, 2042 QP... 5,223,000 PAC II 2.5 FIX 3137AT P B 2 August 15, 2042 QS... 8,739,047 NTL(PAC I) (2) INV/IO 3137AT P C 0 June 15, 2042 QY ,000 PAC I 2.5 FIX 3137AT P F 3 August 15, 2042 SQ... 54,500,000 NTL(PT) (2) INV/IO 3137ATPW6 August 15, 2042 Group 6 DC... 12,000,000 PAC 1.5 FIX 3137ATHY1 June 15, 2041 DF... 5,142,857 PAC (2) FLT 3137AT J 2 9 June 15, 2041 DL... 21,006,827 PAC 3.0 FIX 3137AT J 3 7 August 15, 2042 DS... 5,142,857 NTL(PAC) (2) INV/IO 3137AT J 6 0 June 15, 2041 DZ... 30,000,000 SUP 3.0 FIX/Z 3137AT J A 1 August 15, 2042 EA... 96,816,667 PAC 1.25 FIX 3137AT J B 9 November 15, 2040 EF... 86,026,400 PT (2) FLT 3137AT J G 8 August 15, 2042 EL... 1,691,316 PAC 3.0 FIX 3137AT J M 5 August 15, 2042 ES... 86,026,400 NTL(PT) (2) INV/IO 3137AT J Q 6 August 15, 2042 FE... 48,408,333 PAC (2) FLT 3137AT J V 5 November 15, 2040 SE... 48,408,333 NTL(PAC) (2) INV/IO 3137AT P N 6 November 15, 2040 Group 7 BB... 1,250,000 SUP/RTL 3.0 FIX 3137AT H 2 1 April 15, 2042 CC... 1,500,000 SUP/RTL 3.0 FIX 3137ATHL9 August 15, 2042 FT... 21,428,571 PT (2) FLT 3137AT K 3 5 August 15, 2042 LA... 37,648,364 PAC I 1.0 FIX 3137ATLW0 March 15, 2041 LC... 9,237,000 PAC I 3.0 FIX 3137ATLY6 August 15, 2042 LF... 27,227,636 PAC I (2) FLT 3137ATM33 March 15, 2041 LG... 6,809,000 PAC II 3.0 FIX 3137ATM41 August 15, 2042 LS... 27,227,636 NTL(PAC I) (2) INV/IO 3137ATMC3 March 15, 2041 LU... 20,000,000 PAC I 2.0 FIX 3137ATME9 March 15, 2041 ST... 21,428,571 NTL(PT) (2) INV/IO 3137AT P X 4 August 15, 2042 UA... 7,868,822 SUP 3.0 FIX 3137ATQE5 January 15, 2042 UB... 1,307,194 SUP 3.0 FIX 3137AT Q F 2 April 15, 2042 UC... 1,856,413 SUP 3.0 FIX 3137ATQG0 August 15, 2042 UD... 3,625,817 PAC III 3.0 FIX 3137ATQH8 May 15, 2042 REMIC Classes Original Balance Principal Type(1) Class Coupon Interest Type(1) CUSIP Number Final Payment Date UE... $ 2,241,183 PAC III 3.0% FIX 3137AT Q J 4 August 15, 2042 UU... 8,000,000 SUP/RTL 3.0 FIX 3137ATQS4 January 15, 2042 Group 8 DD... 1,376,000 SUP/RTL 3.0 FIX 3137ATHZ8 April 15, 2042 EE... 1,205,000 PAC III/RTL 3.0 FIX 3137AT J F 0 August 15, 2042 FP... 11,525,618 PT (2) FLT 3137AT J Z 6 August 15, 2042 GG ,000 PAC III/RTL 2.75 FIX 3137ATKA9 January 15, 2042 LB... 3,662,000 PAC II 3.0 FIX 3137ATLX8 August 15, 2042 LH ,000 PAC I 3.0 FIX 3137ATM58 August 15, 2042 LT... 38,696,778 PAC I 2.0 FIX 3137ATMD1 June 15, 2042 PF... 11,056,222 PAC I (2) FLT 3137ATNN8 June 15, 2042 PS... 11,056,222 NTL(PAC I) (2) INV/IO 3137ATNX6 June 15, 2042 SP... 11,525,618 NTL(PT) (2) INV/IO 3137ATPV8 August 15, 2042 YA... 8,535,000 SUP 3.0 FIX 3137AT R J 3 January 15, 2042 YC... 1,805,708 SUP 3.0 FIX 3137ATRK0 August 15, 2042 YG ,000 PAC III 2.75 FIX 3137ATRL8 May 15, 2042 YH ,000 PAC III 3.5 FIX 3137ATRM6 May 15, 2042 Group 9 FN... 36,143,176 PT (2) FLT 3137AT J Y 9 August 15, 2042 NA... 32,402,728 SEQ 1.0 FIX 3137ATMZ2 March 15, 2040 NF... 27,002,272 SEQ (2) FLT 3137AT N 6 5 March 15, 2040 NS... 27,002,272 NTL(SEQ) (2) INV/IO 3137ATND0 March 15, 2040 NY... 12,881,354 SEQ 3.5 FIX 3137ATNG3 August 15, 2042 SN... 36,143,176 NTL(PT) (2) INV/IO 3137ATPU0 August 15, 2042 Group 10 PI... 79,517,714 NTL(PAC) 3.5 FIX/IO 3137ATNQ1 November 15, 2040 PL... 19,334,000 PAC 3.5 FIX 3137ATNT5 August 15, 2042 PN ,156,000 PAC 1.5 FIX 3137ATNV0 November 15, 2040 PZ... 50,871,886 SUP 3.5 FIX/Z 3137AT P 3 0 August 15, 2042 Group 11 CD... 48,030,000 SEQ 1.5 FIX 3137ATHM7 May 15, 2027 CU... 1,193,192 SEQ 1.5 FIX 3137ATHV7 August 15, 2027 IC... 19,689,276 NTL(PT) 2.5 FIX/IO 3137AT L 3 4 August 15, 2027 Group 12 TD ,030,400 SEQ 1.5 FIX 3137AT Q 2 1 May 15, 2039 TF ,353,600 SEQ (2) FLT 3137AT Q 4 7 May 15, 2039 TS ,353,600 NTL(SEQ) (2) INV/IO 3137ATQA3 May 15, 2039 TV... 13,349,000 SEQ 3.5 FIX 3137ATQB1 June 15, 2031 VT... 21,746,000 AD/SEQ 3.5 FIX 3137AT R 7 9 August 15, 2025 ZT... 37,813,057 SEQ 3.5 FIX/Z 3137ATRU8 August 15, 2042 Group 13 HA... 47,500,000 PT 3.0 FIX 3137ATKK7 August 15, 2027 HB... 13,614,951 PT 3.0 FIX 3137ATKL5 August 15, 2027 Group 14 HC... 65,738,000 SEQ 3.0 FIX 3137ATKM3 May 15, 2027 HD... 1,891,303 SEQ 3.0 FIX 3137ATKN1 August 15, 2027 Group 15 HE... 48,363,484 PT 3.0 FIX 3137ATKP6 August 15, 2027 Group 16 BA... 66,626,182 PAC 1.0 FIX 3137ATGZ9 December 15, 2041 BF... 55,521,818 PAC (2) FLT 3137AT H 6 2 December 15, 2041 BL... 6,438,000 PAC 3.5 FIX 3137AT H 9 6 August 15, 2042 BS... 55,521,818 NTL(PAC) (2) INV/IO 3137ATHE5 December 15, 2041 FB... 31,459,473 PT (2) FLT 3137AT J U 7 August 15, 2042 SB... 31,459,473 NTL(PT) (2) INV/IO 3137ATPM8 August 15, 2042 ZC... 28,711,367 SUP 3.5 FIX/Z 3137AT R S 3 August 15, 2042 Group 17 UF... 37,859,868 PT (2) FLT 3137ATQK1 August 15, 2032 UG... 16,225,659 PT 1.5 FIX 3137ATQL9 August 15, 2032 US... 37,859,868 NTL(PT) (2) INV/IO 3137ATQQ8 August 15, 2032 Group 18 VF... 32,034,402 PT (2) FLT 3137ATQY1 August 15, 2042 VJ... 12,722,000 SEQ 1.5 FIX 3137AT R 3 8 October 15, 2041 VS... 32,034,402 NTL(PT) (2) INV/IO 3137AT R 6 1 August 15, 2042 VY... 1,007,030 SEQ 1.5 FIX 3137ATRA2 August 15, 2042 Residual R... 0 NPR 0.0 NPR 3137ATPG1 August 15, 2042 RA... 0 NPR 0.0 NPR 3137ATPH9 August 15, 2042 RS... 0 NPR 0.0 NPR 3137AT P J 5 August 15, 2042 RT... 0 NPR 0.0 NPR 3137ATPK2 August 15, 2042 (1) See Appendix II to the Offering Circular. (2) See Terms Sheet Interest. The Certificates may not be suitable investments for you. You should not purchase Certificates 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 Certificates only if you have read and understood this Supplement, the attached Offering Circular and the documents identified under Available Information. We guarantee principal and interest payments on the Certificates. 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 Certificates are not tax-exempt. Because of applicable securities law exemptions, we have not registered the Certificates with any federal or state securities commission. No securities commission has reviewed this Supplement. Deutsche Bank Securities July 26, 2012

2 CERTAIN RISK CONSIDERATIONS Although we guarantee the payments on the Certificates, 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 Offering Circular for further discussions of these risks. The Certificates May Not be Suitable Investments for You. The Certificates are complex securities. You should not purchase Certificates unless you are able to understand and bear the associated prepayment, interest rate, yield and market risks. In particular, the Interest Only, Inverse Floating Rate, Support, Accrual, Retail and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. The yield on your Certificates could be lower than you expect if: You buy your Certificates at a premium over their principal amount and principal payments are faster than you expect. You buy your Certificates at a discount to their principal amount and principal payments are slower than you expect. If you buy an Interest Only Class or any other Class at a significant premium and prepayments are fast, you may not even recover your investment. LIBOR Levels Can Reduce Your Yield if You Own a Floating Rate or Inverse Floating Rate Class. The yield on your Certificates could be lower than you expect if: You buy a Floating Rate Class and LIBOR levels are lower than you expect. You buy an Inverse Floating Rate Class and LIBOR levels are higher than you expect. If you buy an Inverse Floating Rate Class, you may not even recover your investment if LIBOR levels are high or prepayments are fast. The Group 10 Assets are Backed By Super-Conforming Mortgages. Super-Conforming Mortgages may tend to prepay differently than standard conforming Mortgages because of a number of factors, including their larger relative principal balance (and larger resulting savings in the case of refinancing in a low interest rate environment), the presence of Freddie Mac and Fannie Mae in the secondary market for such Mortgages (which may tend to reduce the prevailing interest rates offered by lenders for extending such Mortgages and to increase funds available for such Mortgages) and the possible geographic concentration of such Mortgages. See Prepayment and Yield Analysis General. Retail Classes Have Special Payment Rules. If you invest in a Retail Class, you will receive principal payments in $1,000 increments called Retail Class Units, subject to the priorities and limitations described in Appendix IV to the Offering Circular. The weighted average lives and yields of individual Retail Class Units will vary among different investors. The Certificates are Subject to Market Risks. You will bear all of the market risks of your investment. The market value of your Certificates will vary over time, primarily in response to changes in prevailing interest rates. If you sell your Certificates when their market value is low, you may experience significant losses. The underwriter named on the front cover (the Underwriter ) intends to make a market for the purchase and sale of the Certificates after they are issued, but has no obligation to do so. A secondary market may not develop. Even if one does develop, it may not be liquid enough to allow you to sell your Certificates easily or at your desired price. Our Multiclass Certificates Offering Circular dated June 1, 2010 (the Offering Circular ), attached to this Supplement, defines 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 Dates We make payments of principal and interest on the Certificates on each monthly Payment Date beginning in September Form of Classes Interest Regular (non-retail) and MACR Classes: Book-entry on Fed System Retail Classes: Book-entry on DTC System; issued and paid in $1,000 Retail Class Units Residual Classes: Certificated The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and Appendix A. 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 first Accrual Period. We determine LIBOR using the BBA Method. Class Initial Class Coupon Class Coupon Formula Class Coupon Subject to Minimum Rate Maximum Rate Group 1 AF % LIBOR + 0.4% 0.4% 6.5% AS % LIBOR FA LIBOR % SA % LIBOR Group 3 FG LIBOR % GF LIBOR + 0.3% GS % LIBOR SG % LIBOR Group 4 KF LIBOR + 0.3% KS % LIBOR Group 5 FQ LIBOR + 0.5% QF LIBOR + 0.3% QS % LIBOR SQ % LIBOR Group 6 DF LIBOR % DS % LIBOR EF LIBOR + 0.4% ES % LIBOR FE LIBOR % FL* LIBOR % SE % LIBOR SL* % LIBOR Group 7 FT LIBOR % LF LIBOR + 0.3% LS % LIBOR ST % LIBOR Group 8 FP LIBOR % PF LIBOR % PS % LIBOR SP % LIBOR Group 9 FN LIBOR + 0.5% NF LIBOR + 0.4% NS % LIBOR SN % LIBOR Group 12 TF LIBOR + 0.4% TS % LIBOR Group 16 BF LIBOR % BS % LIBOR FB LIBOR % SB % LIBOR Group 17 UF LIBOR % US % LIBOR Group 18 VF LIBOR + 0.4% VS % LIBOR * MACR Class. See Appendix V to the Offering Circular and Payments Interest. S-4

5 Notional Classes Class Original Notional Principal Amount Reduces Proportionately With Group 1 AS $105,426,800 AF (SEQ) SA 67,153,525 FA (PT) Group 2 CI $ 51,392,000 Group 2 Assets Group 3 GS $ 96,428,571 GF (SEQ) IG(1) 12,546,000 GB and GC, as a whole (SEQ) IM(1) 940,857 GB (SEQ) MI(1) 11,605,142 GC (SEQ) SG 71,584,557 FG (PT) Group 4 KS $140,971,272 KF (SEQ) Group 5 QS $ 8,739,047 QF (PAC I) SQ 54,500,000 FQ (PT) Group 6 DS $ 5,142,857 DF (PAC) ES 86,026,400 EF (PT) SE 48,408,333 FE (PAC) SL(1) $ 5,142,857 DF (PAC) 32,550,000 FE (PAC) $ 37,692,857 Group 7 LS $ 27,227,636 LF (PAC I) ST 21,428,571 FT (PT) Group 8 PS $ 11,056,222 PF (PAC I) SP 11,525,618 FP (PT) Group 9 NS $ 27,002,272 NF (SEQ) SN 36,143,176 FN (PT) Group 10 PI $ 79,517,714 PN (PAC) Group 11 IC $ 19,689,276 Group 11 Assets Group 12 TS $105,353,600 TF (SEQ) Group 13 IK(1) $ 9,076,634 HB (PT) IQ(1) 31,666,666 HA (PT) IT(2) 63,908,989 HA and HE, as a whole (PT) JP(1) 40,743,300 HA and HB (PT) Group 14 IP(1) $ 43,825,333 HC (SEQ) Group 15 HI(1) $ 32,242,322 HE (PT) Group 16 BS $ 55,521,818 BF (PAC) SB 31,459,473 FB (PT) Group 17 US $ 37,859,868 UF (PT) Group 18 VS $ 32,034,402 VF (PT) (1) MACR Class. (2) MACR Class formed from Classes in Groups 13 and 15. See Payments Interest Notional Classes. S-5

6 MACR Classes This Series includes MACR Classes. Appendix A shows the characteristics of the MACR Classes and the Combinations of REMIC and MACR Classes. See Appendix III to the Offering Circular for a description of MACR Certificates and exchange procedures and fees. Principal REMIC Classes On each Payment Date, we pay: Group 1 Sequential Pay and Accrual The ZA Accrual Amount to VA and AV, in that order, until retired, and then to ZA Sequential Pay Pass- Through 5/6 of the Group 1 Asset Principal Amount in the following order of priority: 1. To AE and AF, pro rata, until retired 2. To VA, AV and ZA, in that order, until retired 1/6 of the Group 1 Asset Principal Amount to FA, until retired Group 2 Sequential Pay The Group 2 Asset Principal Amount to CA and CY, in that order, until retired Group 3 Sequential Pay and Accrual Sequential Pay Pass- Through The ZG Accrual Amount to VG and GV, in that order, until retired, and then to ZG % of the Group 3 Asset Principal Amount in the following order of priority: 1. To GA and GF, pro rata, until retired 2. To VG, GV and ZG, in that order, until retired % of the Group 3 Asset Principal Amount to GB, GC and GL, in that order, until retired % of the Group 3 Asset Principal Amount to FG, until retired S-6

7 Group 4 Sequential Pay The Group 4 Asset Principal Amount in the following order of priority: 1. To KB and KF, pro rata, until retired 2. To YK, until retired Group 5 Type I PAC 50% of the Group 5 Asset Principal Amount in the following order of priority: 1. To the Type I PAC Classes, until reduced to their Aggregate Targeted Balance, allocated as follows: a. To QA and QF, pro rata, while outstanding b. To QY, while outstanding Type II PAC 2. To QP, until reduced to its Targeted Balance Type III PAC 3. To MC, until reduced to its Targeted Balance Support Type III PAC 4. To AA and MA, pro rata, until retired 5. To MB, until retired 6. To MC, until retired Type II PAC 7. To QP, until retired Type I PAC 8. To the Type I PAC Classes, as described in step 1 above, but without regard to their Aggregate Targeted Balance, until retired Pass- Through 50% of the Group 5 Asset Principal Amount to FQ, until retired S-7

8 Group 6 PAC The DZ Accrual Amount and % of the Group 6 Asset Principal Amount in the following order of priority: 1. To the PAC Classes, until reduced to their Aggregate Targeted Balance, allocated concurrently: a % as follows: i. To DC and DF, pro rata, while outstanding ii. To EL, while outstanding b % as follows: i. To EA and FE, pro rata, while outstanding ii. To DL, while outstanding Support 2. To DZ, until retired PAC 3. To the PAC Classes, as described in step 1 above, but without regard to their Aggregate Targeted Balance, until retired Pass- Through % of the Group 6 Asset Principal Amount to EF, until retired Group 7 Type I PAC % of the Group 7 Asset Principal Amount in the following order of priority: 1. To the Type I PAC Classes, until reduced to their Aggregate Targeted Balance, allocated as follows: a. To LA, LF and LU, pro rata, while outstanding b. To LC, while outstanding Type II PAC 2. To LG, until reduced to its Targeted Balance Type III PAC 3. To UD and UE, in that order, until reduced to their Aggregate Targeted Balance Support 4. To UA and UU, pro rata, until retired 5. To BB and UB, pro rata, until retired 6. To CC and UC, pro rata, until retired Type III PAC 7. To UD and UE, in that order, until retired Type II PAC 8. To LG, until retired S-8

9 Type I 9. To the Type I PAC Classes, as described in step 1 above, but without regard to their PAC Aggregate Targeted Balance, until retired Pass- Through % of the Group 7 Asset Principal Amount to FT, until retired Group 8 Type I PAC % of the Group 8 Asset Principal Amount in the following order of priority: 1. To the Type I PAC Classes, until reduced to their Aggregate Targeted Balance, allocated as follows: a. To LT and PF, pro rata, while outstanding b. To LH, while outstanding Type II PAC Type III PAC Support 2. To LB, until reduced to its Targeted Balance 3. To the Type III PAC Classes, until reduced to their Aggregate Targeted Balance, allocated as follows: a. Concurrently: i. 2/3 to GG and YG, in that order, while outstanding ii. 1/3 to YH, while outstanding b. To EE, while outstanding 4. To YA, DD and YC, in that order, until retired Type III PAC 5. To the Type III PAC Classes, as described in step 3 above, but without regard to their Aggregate Targeted Balance, until retired Type II PAC 6. To LB, until retired Type I PAC 7. To the Type I PAC Classes, as described in step 1 above, but without regard to their Aggregate Targeted Balance, until retired Pass- Through % of the Group 8 Asset Principal Amount to FP, until retired S-9

10 Group 9 Sequential Pay Pass- Through % of the Group 9 Asset Principal Amount in the following order of priority: 1. To NA and NF, pro rata, until retired 2. To NY, until retired % of the Group 9 Asset Principal Amount to FN, until retired Group 10 The PZ Accrual Amount and Group 10 Asset Principal Amount in the following order of priority: PAC 1. To PN and PL, in that order, until reduced to their Aggregate Targeted Balance Support 2. To PZ, until retired PAC 3. To PN and PL, in that order, until retired Group 11 Sequential Pay The Group 11 Asset Principal Amount to CD and CU, in that order, until retired Group 12 Sequential Pay and Accrual The ZT Accrual Amount to VT and TV, in that order, until retired, and then to ZT Sequential Pay The Group 12 Asset Principal Amount in the following order of priority: 1. To TD and TF, pro rata, until retired 2. To VT, TV and ZT, in that order, until retired Group 13 Pass- Through The Group 13 Asset Principal Amount to HA and HB, pro rata, until retired Group 14 Sequential Pay The Group 14 Asset Principal Amount to HC and HD, in that order, until retired S-10

11 Group 15 Pass- Through The Group 15 Asset Principal Amount to HE, until retired PAC Group 16 The ZC Accrual Amount and % of the Group 16 Asset Principal Amount in the following order of priority: 1. To the PAC Classes, until reduced to their Aggregate Targeted Balance, allocated as follows: a. To BA and BF, pro rata, while outstanding b. To BL, while outstanding Support 2. To ZC, until retired PAC 3. To the PAC Classes, as described in step 1 above, but without regard to their Aggregate Targeted Balance, until retired Pass- Through % of the Group 16 Asset Principal Amount to FB, until retired Group 17 Pass- Through The Group 17 Asset Principal Amount to UF and UG, pro rata, until retired Sequential Pay Pass- Through Group % of the Group 18 Asset Principal Amount to VJ and VY, in that order, until retired % of the Group 18 Asset Principal Amount to VF, until retired S-11

12 The Aggregate Targeted Balances and Targeted Balances are in Appendix B. They were calculated using the following Structuring Ranges. Group 5 Type I PAC... Type II PAC... Type III PAC... Group 6 PAC... Group 7 Type I PAC... Type II PAC... Type III PAC... Group 8 Type I PAC... Type II PAC... Type III PAC... Group 10 PAC... Group 16 PAC... See Payments Principal and Prepayment and Yield Analysis. MACR Classes Structuring Range 110% PSA - 300% PSA 125% PSA - 250% PSA 150% PSA - 250% PSA 150% PSA - 250% PSA 102% PSA - 250% PSA 125% PSA - 250% PSA 140% PSA - 230% PSA 102% PSA - 250% PSA 125% PSA - 250% PSA 140% PSA - 230% PSA 115% PSA - 300% PSA 125% PSA - 250% PSA On each Payment Date when any outstanding MACR Certificates are entitled to principal payments, we allocate such payments from the applicable REMIC Certificates to those MACR Certificates, as described under MACR Certificates in the Offering Circular. Retail Classes AA, BB, CC, DD, EE, GG and UU are Retail Classes. If you own a Retail Class, you will receive principal payments in $1,000 Retail Class Units, as described in Appendix IV to the Offering Circular. See Prepayment and Yield Analysis Prepayment and Weighted Average Life Considerations Retail Classes. REMIC Status We will form two Upper-Tier REMIC Pools and two Lower-Tier REMIC Pools for this Series. We will elect to treat each REMIC Pool as a REMIC under the Code. R, RA, RS and RT 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 Offering Circular. S-12

13 Weighted Average Lives (in years) (1) Group 1 PSA Prepayment Assumption 0% 100% 196% 300% 400% AB,AE,AF,AG,AJ,AK,AM,ANandAS AV AY FA, SA, WA and Group 1 Assets VA ZA Group 2 PSA Prepayment Assumption 0% 100% 200% 300% 400% 600% CA CI and Group 2 Assets CY Group 3 PSA Prepayment Assumption 0% 100% 204% 350% 500% FG, SG, WG and Group 3 Assets GA,GF,GSandGW GB,IM,MG,MH,MJandMK GC,MI,MN,MQ,MUandMV GD,GE,GJ,GK,GTandIG GL GV GY VG ZG Group 4 PSA Prepayment Assumption 0% 100% 200% 300% 400% 600% KA, KB, KC, KD, KE, KF, KG, KJ, KL, KM, KN,KQ,KS,KUandKW YK Group 4 Assets Group 5 PSA Prepayment Assumption 0% 110% 195% 300% 400% 600% AA(2) and MA FQ, SQ, WQ and Group 5 Assets MB MC QA, QF, QH, QJ, QK, QM, QN, QS, QTandQU QP QY (1) We calculate weighted average lives based on the assumptions described in Prepayment and Yield Analysis. The actual weighted average lives are likely to differ from those shown, perhaps significantly. (2) The weighted average lives for each Retail Class apply to that Class as a whole. The weighted average lives of Retail Class Units will vary among different investors. S-13

14 Group 6 PSA Prepayment Assumption 0% 150% 200% 250% 400% 600% DC,DFandDS DL DW,FLandSL DY DZ EA, EB, EC, ED, EG, EH, EJ, EK, FEandSE EF, ES, EW and Group 6 Assets EL Group 7 PSA Prepayment Assumption 0% 102% 180% 250% 400% 600% BB(2)andUB CC(2)andUC FT, ST and Group 7 Assets LA, LD, LE, LF, LJ, LK, LM, LP, LQ, LS, LUandPU LC LG LN(3) LY(3) UAandUU(2) UD UE Group 8 PSA Prepayment Assumption 0% 102% 180% 250% 400% 600% DD(2) EE(2) FP, SP and Group 8 Assets GG(2) LB LH LT,PFandPS YA YC YG YH Group 9 PSA Prepayment Assumption 0% 100% 208% 350% 500% FN, NW, SN and Group 9 Assets NA, NB, NC, ND, NE, NF, NG, NJ, NK, NLandNS NY (2) The weighted average lives for each Retail Class apply to that Class as a whole. The weighted average lives of Retail Class Units will vary among different investors. (3) MACR Class formed from Classes in Groups 7 and 8. S-14

15 Group 10 PSA Prepayment Assumption 0% 115% 160% 300% 400% 600% PA, PB, PC, PD, PE, PG, PI, PJ, PK, PM, PN, PTandPW PL PZ Group 10 Assets Group 11 PSA Prepayment Assumption 0% 100% 200% 300% 400% 600% CD CG, CJ, CK, IC and Group 11 Assets CU Group 12 PSA Prepayment Assumption 0% 100% 201% 350% 500% TA,TD,TE,TF,TG,TH,TK,TL,TSandTW TV TY VT ZT Group 12 Assets Group 13 PSA Prepayment Assumption 0% 100% 146% 250% 400% 600% CP, CQ, CW, DP, DQ, EP, EQ, HA, HB, HP, HW, IK, IQ, JP, JW, ME, ML, MW, NQ, PQ, SH, SK, SM, SU, UN, UQ, UW, WH, WT, YQ and Group 13 Assets CT(4), DT(4), ET(4), IT(4), JT(4), KT(4), MT(4), NT(4), UT(4) and WJ(4) Group 14 PSA Prepayment Assumption 0% 100% 146% 250% 400% 600% HC, IP, KP, MP, NP, TP, UP, VP, WPandYN HD Group 14 Assets Group 15 PSA Prepayment Assumption 0% 100% 146% 250% 400% 600% HE, HF, HG, HI, HJ, HK, HL, HM, HN, HT and Group 15 Assets (4) MACR Class formed from Classes in Groups 13 and 15. S-15

16 Group 16 PSA Prepayment Assumption 0% 125% 195% 250% 400% 600% BA, BC, BD, BE, BF, BG, BK, BM, BN, BP, BQ,BS,BT,BUandBY BL BW, FB, SB and Group 16 Assets ZC Group 17 PSA Prepayment Assumption 0% 100% 200% 300% 400% 600% UF, UG, US and Group 17 Assets VB(5), VC(5), VD(5), VM(5), VU(5) and VW(5) VH(5) Group 18 PSA Prepayment Assumption 0% 100% 200% 300% 400% 600% VF, VS and Group 18 Assets VJ VY (5) MACR Class formed from Classes in Groups 17 and 18. S-16

17 The Assets The Assets consist of Freddie Mac PCs with the following characteristics: Group Principal Balance Original Term (in years) Interest Rate 1(1) $402,921, % 2 102,784, (1) 501,091, ,000, ,000, ,092, ,000, ,679, (1) 108,429, (2) 209,361, (1) 49,223, (1) 336,292, ,114, ,629, (1) 48,363, ,756, (1) 54,085, (3) 45,763, (1) Backed by High LTV Mortgages. See General Information The Mortgages. (2) Backed by Super-Conforming Mortgages. See General Information The Mortgages. (3) Approximately 89.24% of the Group 18 Assets are backed by High LTV Mortgages. See General Information The Mortgages. The assets of this Series will also include a $3, Retail Rounding Account, which we will use for principal payments on the Retail Classes as described in Appendix IV to the Offering Circular. See General Information Structure of Transaction. We will publish a Supplemental Statement applicable to this Series shortly after the Closing Date. The Supplemental Statement will contain a schedule of the Assets and other information. See Available Information. S-17

18 Assumed Mortgage Characteristics (as of August 1, 2012) Group Principal Balance Remaining Term to Maturity (in months) Loan Age (in months) Per Annum Interest Rate Per Annum Interest Rate of Related PCs 1 $402,921, % 4.0% 2 102,784, ,091, ,000, ,000, ,092, ,000, ,679, ,429, ,361, ,223, ,292, ,114, ,629, ,363, ,756, ,085, $ 40,840,375(1) ,923, $ 45,763, (2) 16(2) 5.400(2) (1) High LTV Mortgages. (2) Weighted average by principal balance. The actual characteristics of the Mortgages differ from those shown, in some cases significantly. See General Information The Mortgages. S-18

19 AVAILABLE INFORMATION We incorporate by reference in this Supplement the Incorporated Documents listed under Additional Information in the Offering Circular. When we incorporate documents by reference, that means we are disclosing information to you by referring to those documents rather than by providing you with separate copies. The Incorporated Documents are considered part of this Supplement. You should purchase Certificates only if you have read and understood this Supplement, the Offering Circular and the Incorporated Documents. Information that we incorporate by reference will automatically update information in this Supplement. We will also publish a Supplemental Statement applicable to this Series shortly after the Closing Date. The Supplemental Statement will contain a schedule of the Assets 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 may read and copy any document we file with the SEC at the SEC s public reference room at 100 F Street, N.E., Washington, D.C Please call the SEC at SEC-0330 for further information on the public reference room. The SEC also maintains a website at that contains reports, proxy and information statements, and other information regarding companies that file electronically with the SEC. You can obtain, without charge, copies of the Incorporated Documents, any documents we subsequently file with the SEC, the Trust Agreement and current information concerning the Assets and Certificates, as well as the disclosure documents and current information for any other securities we issue, from our Investor Inquiry Department or our internet website as described on page 7 of the Offering Circular. You can also obtain the documents listed above from the Underwriter at: Deutsche Bank Securities Inc. Attn: Syndication Operations 100 Plaza One, Floor 2 Jersey City, New Jersey (800) prospectusrequest@list.db.com The Trust Agreement GENERAL INFORMATION We will form a trust fund to hold the Assets and to issue the Certificates, each pursuant to the Multiclass Certificates Master Trust Agreement dated June 1, 2010 and a Terms Supplement dated the Closing Date (together, the Trust Agreement ). We will act as Trustee and Administrator under the Trust Agreement. You should refer to the Trust Agreement for a complete description of your rights and obligations and those of Freddie Mac. You will acquire your Certificates subject to the terms and conditions of the Trust Agreement, including the Terms Supplement. S-19

20 Form of Certificates The non-retail Regular and MACR Classes are issued, held and transferable on the Fed System. The Retail Classes are issued, held and transferable on the DTC System in $1,000 Retail Class Units. The Residual Classes are issued and held in certificated form and are transferable at the office of the Registrar. Only a Fed Participant can be a Holder of a non-retail Regular or MACR Class. DTC or its nominee is the Holder of each Retail Class. As an investor in Certificates, you are not necessarily the Holder. See Description of Certificates Form, Holders and Payment Procedures in the Offering Circular. Denominations of Certificates See Description of Certificates Form, Holders and Payment Procedures in the Offering Circular for the minimum denominations of the Classes. Structure of Transaction General This Series has two Upper-Tier REMIC Pools and two Lower-Tier REMIC Pools, structured as follows: REMIC Pool Classes Issued from REMIC Pool REMIC Pool Assets Upper-Tier REMIC Pool A Group 2, 4, 5, 6, 7, 8, 10, 14 and 16 Regular Classes and R All Lower-Tier REMIC Pool A regular interests and Retail Rounding Account Lower-Tier REMIC Pool A RS Group 2, 4, 5, 6, 7, 8, 10, 14 and 16 Assets Upper-Tier REMIC Pool B Group 1, 3, 9, 11, 12, 13, 15, 17 and 18 Regular Classes and RA All Lower-Tier REMIC Pool B regular interests Lower-Tier REMIC Pool B RT Group 1, 3, 9, 11, 12, 13, 15, 17 and 18 Assets See Description of Certificates REMIC Pool Structures in the Offering Circular. The Assets The Assets are Gold PCs and/or Gold Giant PCs. The Mortgages The Mortgages underlying the Assets (the Mortgages ) are fixed-rate, first lien residential mortgages and mortgage participations. For purposes of this Supplement, we have made certain assumptions regarding the Mortgages, as shown under Terms Sheet Assumed Mortgage Characteristics. However, the actual characteristics of most of the Mortgages differ from those assumed, perhaps significantly. This is the case even if the weighted average characteristics of the Mortgages are the same as those of mortgages having the characteristics assumed. S-20

21 The Group 1, 3, 9, 11, 12, 15 and 17 Assets, and approximately 89.24% of the Group 18 Assets, are backed by High LTV Mortgages. A High LTV Mortgage is a Mortgage that has a loan-to-value ratio at origination of greater than 105% and equal to or lower than 125% and may be a fixed-rate Relief Refinance Mortgage originated under our Home Affordable Refinance Program. We pool High LTV Mortgages separately from our other Mortgages. The Group 10 Assets are backed by Super-Conforming Mortgages. A Super-Conforming Mortgage is a Mortgage secured by a property located in a designated high-cost area with an original principal balance exceeding the base conforming loan limit ($417,000 for a one-family residence, or up to 125% of the median house price for certain geographic areas, not to exceed $729,750 for a onefamily residence). We may furnish some or all of the Assets from our own portfolio. Assets from our portfolio, or from other sources, may emphasize specific Mortgage characteristics, such as loan purpose, source of origination, geographic distribution or loan size, or specific borrower characteristics, such as credit score or equity in the property. You can obtain information about the underlying Mortgage characteristics for the Assets from our internet website. Payment Dates; Record Dates PAYMENTS We make payments of principal and interest on the Certificates on each Payment Date, beginning in the month following the Closing Date. A Payment Date is the 15th of each month or, if the 15th is not a Business Day, the next Business Day. On each Payment Date, any payment on a Certificate is made to the Holder of record as of the end of the preceding calendar month. On each Payment Date, DTC remits payments on the Retail Classes to those DTC participants that held Retail Class Units of record as of the end of the preceding calendar month. Method of Payment You will receive payments on your Certificates in the manner described under Description of Certificates Form, Holders and Payment Procedures in the Offering 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 Appendix A. Appendix II to the Offering Circular explains the abbreviations used for categories of Classes. Interest We pay 30 days interest on each Payment Date to the Holders of each Class on which interest has accrued, except that the Accrual Classes receive payments as described below. We calculate each interest payment on the outstanding balance of the Class immediately before the Payment Date and on the basis of a 360-day year of twelve 30-day months. S-21

22 Accrual Period The Accrual Period for each Payment Date is: For Fixed Rate Classes the preceding calendar month. For Floating Rate and Inverse Floating Rate Classes from the 15th of the preceding month to the 15th of the month of that Payment Date. Fixed Rate Classes The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and Appendix A. 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 Notional Classes. Floating Rate and Inverse Floating Rate Classes The Floating Rate and Inverse Floating Rate Classes bear interest as shown under Terms Sheet Interest. Their Class Coupons are based on one-month LIBOR. We determine LIBOR and calculate the Class Coupons for the Floating Rate and Inverse Floating Rate Classes as described in Appendix V to the Offering Circular. Accrual Classes DZ, PZ, ZA, ZC, ZG and ZT are Accrual Classes. The Accrual Classes do not receive interest payments; rather, interest accrued on an Accrual Class during each Accrual Period is added to its principal amount on the related Payment Date. We pay principal on each Accrual Class, including accrued interest that has been added to its principal amount, as described under Terms Sheet Principal. Principal We pay principal on each Payment Date to the Holders of the Classes on which principal is then due. Holders receive principal payments on a pro rata basis among the Certificates of their Class, subject to special allocation procedures for investors in a Retail Class. Amount of Payments The principal payments on the Certificates on each Payment Date equal: The amount of interest accrued on each Accrual Class during the related Accrual Period and not payable as interest on that Payment Date (the DZ Accrual Amount, the PZ Accrual Amount and so forth). The amount of principal required to be paid in the same month on the Assets of each Group (the Group 1 Asset Principal Amount, the Group 2 Asset Principal Amount and so forth). S-22

23 Allocation of Payments On each Payment Date, we pay the Accrual Amounts and the Asset Principal Amounts for that Payment Date as described under Terms Sheet Principal. Principal allocable to the REMIC Classes receiving payments from a particular Asset Group will be allocated only to those REMIC Classes and will not be available for REMIC Classes receiving payments from the other Asset Groups. Retail Classes Appendix IV to the Offering Circular describes how we make principal payments on the Retail Classes. Class Factors General We make Class Factors available on or about the fifth business day of each month after the Closing Date. See Description of Certificates Payments Class Factors in the Offering Circular. Use of Factors You can calculate principal and interest payments by using the Class Factors. For example, the reduction (or for an Accrual Class, the increase) in the balance of a Certificate in February will equal its original balance times the difference between its January and February Class Factors. (The Class Factor for each Retail Class applies to that Class as a whole, not to individual Retail Class Units, and disregards any rounding of principal payments.) The amount of interest to be paid (or for an Accrual Class, added to the principal balance of) on a Certificate in February will equal 30 days interest at its Class Coupon, accrued during the related Accrual Period, on the balance of that Certificate determined by its January Class Factor. (The interest payable on each outstanding Retail Class Unit in February will be based on its $1,000 balance, without regard to the January Class Factor.) Guarantees We guarantee to each Holder of a Certificate the timely payment of interest at its Class Coupon and the payment of its principal amount as described in this Supplement. See Description of Certificates Payments Guarantees in the Offering Circular. 1% Clean-up Call We have a separate 1% Clean-up Call Right as to each Lower-Tier REMIC Pool. If we exercise either such right, all of the related Classes then outstanding will be paid in full and will retire. See Description of Certificates Payments 1% Clean-up Call in the Offering Circular. Residual Proceeds Upon surrender of their Certificates 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. Any remaining assets are likely to be insignificant. For R, they will include the Retail Rounding Account. See Description of Certificates Payments Residual Classes in the Offering Circular. S-23

24 General Mortgage Prepayments PREPAYMENT AND YIELD ANALYSIS The rates of principal payments on the Assets and the Certificates 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 fluctuate continuously and, in some market conditions, substantially. See Prepayment, Yield and Suitability Considerations Prepayments in the Offering Circular for a discussion of Mortgage prepayment considerations and risks. High LTV Mortgages may have different prepayment and default characteristics than other mortgages. High loan-to-value ratios are frequently associated with a lower likelihood of voluntary prepayment and a greater risk of default. However, at this time, we do not have sufficient information to determine whether or how the prepayment and default characteristics of High LTV Mortgages will compare with those of other mortgages over an extended period of time. Super-Conforming Mortgages may tend to prepay differently than standard conforming Mortgages because of a number of factors, including their larger relative principal balance (and larger resulting savings in the case of refinancing in a low interest rate environment), the presence of Freddie Mac and Fannie Mae in the secondary market for such Mortgages (which may tend to reduce the prevailing interest rates offered by lenders for extending such Mortgages and to increase funds available for such Mortgages) and the possible geographic concentration of such Mortgages. Yield As an investor in the Certificates, 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 LIBOR. If you own a Fixed Rate Class, the delay between its Accrual Period and the related Payment Date. If you own Retail Class Units, when they retire as a result of the special Retail Class principal payment rules described in Appendix IV to the Offering Circular. See Prepayment, Yield and Suitability Considerations Yields in the Offering Circular for a discussion of yield considerations and risks. Suitability The Certificates may not be suitable investments for you. See Prepayment, Yield and Suitability Considerations Suitability in the Offering Circular for a discussion of suitability considerations and risks. S-24

25 Modeling Assumptions To prepare the tables in this Supplement, we have made several assumptions. Unless otherwise noted, each table employs the following assumptions (the Modeling Assumptions ), among others: The Mortgages have the characteristics shown under Terms Sheet Assumed Mortgage Characteristics. The Classes and Assets always receive payments on the 15th of the month, whether or not a Business Day. We do not exercise our 1% Clean-up Call Right. We do not round Retail Class principal payments to multiples of $1,000. Each Class is outstanding from the Closing Date to retirement and no exchanges occur. The Modeling Assumptions, like any other stated assumptions, are likely to differ from actual experience in many cases. For example, the Mortgages have characteristics more diverse than those assumed, many Payment Dates will occur on a Business Day after the dates assumed and we may exercise our 1% Clean-up Call Right. Moreover, Mortgage prepayment rates will differ from the percentages of PSA shown in the tables. These differences will affect the actual payment behavior, weighted average lives and yields of the Classes, perhaps significantly. See Prepayment, Yield and Suitability Considerations Tabular Information in Supplements in the Offering Circular for descriptions of weighted average life and yield calculations and the PSA prepayment model. Prepayment and Weighted Average Life Considerations Accretion Directed Classes Payments of principal on the Accretion Directed Classes should be stable in varying degrees under relatively slow prepayment scenarios because the related Accrual Amounts will be dedicated to making principal payments on those Classes until they retire. The weighted average life of an Accretion Directed 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. Based on the Modeling Assumptions, each Accretion Directed Class would retire on, but not before, its Final Payment Date if the underlying Mortgages were to prepay at any constant rate at or below the rate shown for that Class until it retires. The principal payment stability of the Accretion Directed Classes is supported primarily by their receipt of the related Accrual Amounts. They are protected against early retirement by the Classes shown in the table below. When the applicable Classes retire, however, any Accretion Directed Class, if outstanding, will become sensitive to Mortgage prepayments and may retire before its Final Payment Date. S-25