$2,259,149,208. Freddie Mac. Multiclass CertiÑcates, Series 2752

Transcription

1 OÅering Circular Supplement $2,259,149,208 (To OÅering Circular ated June 1, 2003) Freddie Mac Multiclass CertiÑcates, Series 2752 V OÅered Classes: REMIC Classes shown below, Call Classes shown on page S-3 and MCR Classes shown on ppendix OÅering Terms: The underwriter named below is oåering the Classes in negotiated transactions at varying prices Closing ate: February 27, 2004 REMIC Original Principal Class Interest CUSIP Final Payment REMIC Original Principal Class Interest CUSIP Final Payment Classes alance Type(1) Coupon Type(1) Number ate Classes alance Type(1) Coupon Type(1) Number ate Group 1 Group 4 FP ÏÏÏÏÏÏÏÏÏÏÏÏÏ $48,290,667 NSJ/SUP (2) FLT 31394RLQ0 February 15, 2034 L ÏÏÏÏÏÏÏÏÏÏÏÏÏ $20,000,000 SEQ 4.5% FIX 31394RM55 ecember 15, 2032 GZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 19,230,000 PC 5.0% FIX/Z 31394RL X 5 February 15, 2034 LZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 512,821 SEQ 4.5 FIX/Z 31394RM63 February 15, 2034 P ÏÏÏÏÏÏÏÏÏÏÏÏÏ 14,764,000 PC 3.5 FIX 31394RM97 November 15, 2008 P ÏÏÏÏÏÏÏÏÏÏÏÏÏ 39,865,000 PC 3.5 FIX 31394RM4 ecember 15, 2014 P ÏÏÏÏÏÏÏÏÏÏÏÏÏ 64,538,000 PC 5.0 FIX 31394RM2 March 15, 2026 Group 5 PE ÏÏÏÏÏÏÏÏÏÏÏÏÏ 39,502,000 PC 5.0 FIX 31394RMC0 February 15, 2028 E ÏÏÏÏÏÏÏÏÏÏÏÏÏ 107,480,000 PC I 5.5 FIX 31394RL 9 ugust 15, 2028 PG ÏÏÏÏÏÏÏÏÏÏÏÏÏ 123,743,000 PC 5.0 FIX 31394RM8 October 15, 2032 E ÏÏÏÏÏÏÏÏÏÏÏÏÏ 25,000,000 SUP 5.5 FIX 31394R L E 7 January 15, 2025 PI ÏÏÏÏÏÏÏÏÏÏÏÏÏ 32,598,700 NTL(PC) 5.0 FIX/IO 31394RME6 pril 15, 2022 EI ÏÏÏÏÏÏÏÏÏÏÏÏÏ 13,636,363 NTL(PC II) 5.5 FIX/IO 31394RLG2 November 15, 2029 PJ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100,000,000 NSJ/TC 5.0 FIX 31394RMF3 February 15, 2034 EJ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 50,000,000 GMC/PC II 4.0 FIX 31394RLH0 February 15, 2014 PO ÏÏÏÏÏÏÏÏÏÏÏÏÏ 9,885,385 NSJ/SUP 0.0 PO 31394RMG1 February 15, 2034 EV ÏÏÏÏÏÏÏÏÏÏÏÏÏ 22,500,000 /SEQ 5.5 FIX 31394R L J 6 November 15, 2020 PW ÏÏÏÏÏÏÏÏÏÏÏÏÏ 81,050,000 PC 4.0 FIX 31394RMK2 pril 15, 2022 EX(3) ÏÏÏÏÏÏÏÏÏÏ 50,000,000 PC II 4.0 FIX 31394RL K 3 November 15, 2029 PZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 37,036,000 NSJ/SUP 5.0 FIX/Z 31394RML0 February 15, 2034 EZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 15,000,000 SEQ 5.5 FIX/Z 31394RLM9 February 15, 2034 SR ÏÏÏÏÏÏÏÏÏÏÏÏÏ 3,726,903 NSJ/SUP (2) INV 31394R N 2 1 February 15, 2034 ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏ 30,020,000 SUP 5.5 FIX/Z 31394RNH8 October 15, 2030 SV ÏÏÏÏÏÏÏÏÏÏÏÏÏ 7,635,606 NSJ/SUP (2) INV 31394R N 3 9 September 15, 2033 TP ÏÏÏÏÏÏÏÏÏÏÏÏÏ 2,897,439 NSJ/SUP (2) INV 31394R N 4 7 February 15, 2034 Group 6 V ÏÏÏÏÏÏÏÏÏÏÏÏÏ 14,008,000 /PC 5.0 FIX 31394R N 5 4 February 15, 2015 QF ÏÏÏÏÏÏÏÏÏÏÏÏÏ 115,194,633 SEQ (2) FLT 31394RMM8 ecember 15, 2030 V ÏÏÏÏÏÏÏÏÏÏÏÏÏ 11,050,000 PC 5.0 FIX 31394R N 6 2 November 15, 2020 QG ÏÏÏÏÏÏÏÏÏÏÏÏÏ 184,311,412 SEQ 4.25 FIX 31394RMN6 ecember 15, 2030 ZP ÏÏÏÏÏÏÏÏÏÏÏÏÏ 50,000 NSJ/SUP 5.0 FIX/Z 31394R N J 4 February 15, 2034 QS ÏÏÏÏÏÏÏÏÏÏÏÏÏ 115,194,633 NTL(SEQ) (2) INV/IO 31394RMP1 ecember 15, 2030 Group 2 QV ÏÏÏÏÏÏÏÏÏÏÏÏÏ 32,737,393 SEQ 5.5 FIX 31394RMQ9 January 15, 2015 C ÏÏÏÏÏÏÏÏÏÏÏÏÏ 186,300,000 PC 5.0 FIX 31394R L 4 9 March 15, 2028 QWÏÏÏÏÏÏÏÏÏÏÏÏÏ 27,700,162 SEQ 5.5 FIX 31394RMR7 ecember 15, 2020 C ÏÏÏÏÏÏÏÏÏÏÏÏÏ 45,000,000 SUP 5.0 FIX 31394R L 5 6 June 15, 2026 QZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 40,056,400 SEQ 5.5 FIX/Z 31394RMT3 February 15, 2034 CI ÏÏÏÏÏÏÏÏÏÏÏÏÏ 13,500,000 NTL(SCH) 5.0 FIX/IO 31394R L 6 4 July 15, 2029 CR ÏÏÏÏÏÏÏÏÏÏÏÏÏ 90,000,000 GMC/SCH 4.25 FIX 31394R L 7 2 ecember 15, 2014 Group 7 CV ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56,250,000 SEQ 5.0 FIX 31394R L 8 0 October 15, 2023 XF ÏÏÏÏÏÏÏÏÏÏÏÏÏ 134,805,367 SEQ (2) FLT 31394R N 9 6 ecember 15, 2030 CX(3) ÏÏÏÏÏÏÏÏÏÏ 90,000,000 SCH 4.25 FIX 31394R L 9 8 July 15, 2029 XG ÏÏÏÏÏÏÏÏÏÏÏÏÏ 215,688,588 SEQ 4.25 FIX 31394RN3 ecember 15, 2030 CZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 33,750,000 SEQ 5.0 FIX/Z 31394R L 3 February 15, 2034 XS ÏÏÏÏÏÏÏÏÏÏÏÏÏ 134,805,367 NTL(SEQ) (2) INV/IO 31394RN1 ecember 15, 2030 ZC ÏÏÏÏÏÏÏÏÏÏÏÏÏ 38,700,000 SUP 5.0 FIX/Z 31394RNG0 May 15, 2030 XV ÏÏÏÏÏÏÏÏÏÏÏÏÏ 38,310,607 SEQ 5.5 FIX 31394RNC9 January 15, 2015 XWÏÏÏÏÏÏÏÏÏÏÏÏÏ 32,415,838 SEQ 5.5 FIX 31394RN7 ecember 15, 2020 Group 3 XZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46,875,600 SEQ 5.5 FIX/Z 31394RNF2 February 15, 2034 FJ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 5,833,333 PC (2) FLT 31394RLN7 January 15, 2018 J ÏÏÏÏÏÏÏÏÏÏÏÏÏ 35,000,000 PC 4.0 FIX 31394R L Y 3 January 15, 2018 J ÏÏÏÏÏÏÏÏÏÏÏÏÏ 5,167,096 PC 4.5 FIX 31394R L Z 0 February 15, 2019 Residual JF ÏÏÏÏÏÏÏÏÏÏÏÏÏ 4,085,414 SUP (2) FLT 31394RM22 February 15, 2019 R ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394RMU0 February 15, 2034 JS ÏÏÏÏÏÏÏÏÏÏÏÏÏ 3,177,544 SUP (2) INV 31394RM30 February 15, 2019 R ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394RMV8 ecember 15, 2014 JZ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 5,000 SUP 4.5 FIX/Z 31394RM48 February 15, 2019 R ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394RMW6 February 15, 2014 SJ ÏÏÏÏÏÏÏÏÏÏÏÏÏ 5,833,333 NTL(PC) (2) INV/IO 31394RMY2 January 15, 2018 RS ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31394RMX4 February 15, 2034 (1) See ppendix II to the OÅering Circular. (2) See Terms Sheet Ì Interest. (3) These Classes back Guaranteed Maturity Classes and will not be oåered initially. See Terms Sheet Ì Guaranteed Maturity Classes. 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 and the proceeds due on each Call Class upon exercise of the related Call Right. These payments and proceeds 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. LEHMN ROTHERS January 20, 2004

2 CERTIN RISK CONSIERTIONS lthough we guarantee the payments on the CertiÑcates, and so bear the associated credit risk, as an investor you will bear the other risks of owning mortgage securities. This section highlights some of these risks. You should also read Risk Factors and Prepayment, Yield and Suitability Considerations in the OÅering Circular for further discussions of these risks. The CertiÑcates May Not be Suitable Investments for You. The CertiÑcates are complex securities. You should not purchase CertiÑcates unless you are able to understand and bear the associated prepayment, interest rate, yield and market risks. In particular, the Interest Only, Principal Only, Inverse Floating Rate, Non-Sticky Jump, Support, ccrual, Call and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. The yield on your CertiÑcates could be lower than you expect if: You buy your CertiÑcates at a premium over their principal amount and principal payments are faster than you expect. You buy your CertiÑcates at a discount to their principal amount and principal payments are slower than you expect. This is especially true for the Principal Only Class. If you buy an Interest Only Class and prepayments are fast, you may not even recover your investment. LIOR Levels Can Reduce Your Yield if You Own a Floating Rate or Inverse Floating Rate Class. The yield on your CertiÑcates could be lower than you expect if: You buy a Floating Rate Class and LIOR levels are lower than you expect. You buy an Inverse Floating Rate Class and LIOR levels are higher than you expect. If you buy an Interest Only Inverse Floating Rate Class, you may not even recover your investment if LIOR levels are high or prepayments are fast. The CertiÑcates are Subject to Market Risks. You will bear all of the market risks of your investment. The market value of your CertiÑcates will vary over time, primarily in response to changes in prevailing interest rates. If you sell your CertiÑcates when their market value is low, you may experience signiñcant losses. Secondary Market. 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. Market Value of Call Classes. The value of each Call Class will depend primarily on the market value of its related Underlying REMIC Class (which will depend on prevailing interest rates and other market and economic conditions), market expectations about its future value, and the costs associated with any exercise of the related Call Right. If you own a Call Class, you should consider the risk that you may lose all of your initial investment. 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 March Form of Classes Regular and MCR Classes: Residual and Call Classes: ook-entry on Fed System CertiÑcated Guaranteed Maturity Classes The Call Class, Callable Class and Underlying REMIC Class related to each Guaranteed Maturity Class shown on the front cover are shown below. Call CUSIP Underlying Guaranteed Group Class Number REMIC Class Callable Class Maturity Class Final Payment ate 2 C RL31 CX CY CR ecember 15, E RLC1 EX EY EJ February 15, 2014 The Holder of each Call Class may direct Freddie Mac to redeem the related Guaranteed Maturity Class on its Final Payment ate and acquire the related Underlying REMIC Class. See ppendix VI to the OÅering Circular and General Information Ì Structure of Transaction. Interest The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and ppendix. PO is a Principal Only Class and does not bear interest. For trading purposes only, this Class will trade as a Non-elay Class. S-3

4 The Floating Rate and Inverse Floating Rate Classes bear interest as shown in the following table. The initial Class Coupons apply only to the Ñrst ccrual Period. We determine LIOR using the Method. Initial Class Class Coupon Subject to Class Coupon Class Coupon Formula Minimum Rate Maximum Rate Group 1 FP ÏÏÏÏÏÏÏ 2.52% LIOR 1.4% 1.4% 7.5% SRÏÏÏÏÏÏÏ % (LIOR 4.25) SV ÏÏÏÏÏÏÏ % (LIOR 4.25) TP ÏÏÏÏÏÏÏ % (LIOR ) Group 3 FJ ÏÏÏÏÏÏÏ 1.47 LIOR 0.35% JF ÏÏÏÏÏÏÏ 1.67 LIOR 0.55% JS ÏÏÏÏÏÏÏ % (LIOR ) SJ ÏÏÏÏÏÏÏ % LIOR Group 6 QFÏÏÏÏÏÏÏ 1.47 LIOR 0.35% QSÏÏÏÏÏÏÏ % LIOR Group 7 FM* ÏÏÏÏÏ 1.47 LIOR 0.35% SM* ÏÏÏÏÏ % LIOR XFÏÏÏÏÏÏÏ 1.47 LIOR 0.35% XSÏÏÏÏÏÏÏ % LIOR * MCR Class formed from REMIC Classes in Groups 6 and 7. See ppendix V to the OÅering Circular and Payments Ì Interest. S-4

5 Notional Classes Original Notional Class Principal mount Reduces Proportionately With Group 1 $ 16,388,700 P and P, as a whole (PC) PI 16,210,000 PW(PC) $ 32,598,700 PU* 3,986,500 P(PC) GM* 12,907,600 P(PC) Group 2 CI $ 13,500,000 CX (SCH) Group 3 SJ $ 5,833,333 FJ (PC) Group 5 EI $ 13,636,363 EX (PC II) Group 6 QS $115,194,633 QF (SEQ) Group 7 XS $134,805,367 XF (SEQ) $115,194,633 QF (SEQ) SM** 134,805,367 XF (SEQ) $250,000,000 * MCR Class. ** MCR Class formed from REMIC Classes in Groups 6 and 7. See Payments Ì Interest Ì Notional Classes. MCR Classes This Series includes MCR Classes. ppendix shows the characteristics of the MCR Classes and the Combinations of REMIC and MCR Classes. See ppendix III to the OÅering Circular for a description of MCR CertiÑcates and exchange procedures and fees. Principal REMIC Classes On each Payment ate, we pay: Group 1 Sequential Pay The GZ ccrual mount to V and V, in that order, until retired, and then to GZ and ccrual The PZ 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 or equal to the Group 1 233% PS Scheduled sset alance, then to PZ NSJ/TC 2. To PJ, until retired S-5

6 NSJ/ Support 3. Concurrently: a % to FP, until retired b %, concurrently as follows: i % to TP, until retired ii %, concurrently as follows: % to PO, until retired % as follows: (1) Concurrently, until SV is retired: (a) % to SV (b) % to SR (2) To SR, until retired 4. To ZP, until retired ccrual 5. To PZ The Group 1 sset Principal mount and, beginning in step 4, the ZP ccrual mount in the following order of priority: 1. eginning in October 2005, to P, P, PW, P, PE, PG, V, V and GZ, in that PC order, until reduced to their ggregate Targeted alance NSJ/ Support 2. If the Group 1 sset alance is less than or equal to the Group 1 233% PS Scheduled sset alance, then: a. To PZ, until retired b. Concurrently: i % to FP, until retired ii %, concurrently as follows: % to TP, until retired %, concurrently as follows: (1) % to PO, until retired (2) % as follows: (a) Concurrently, until SV is retired: (i) % to SV (ii) % to SR (b) To SR, until retired c. To ZP, until retired NSJ/TC 3. To PJ, until reduced to its Targeted alance S-6

7 4. Concurrently: a % to FP, until retired b %, concurrently as follows: i % to TP, until retired ii %, concurrently as follows: % to PO, until retired NSJ/ Support % as follows: (1) Concurrently, until SV is retired: (a) % to SV (b) % to SR (2) To SR, until retired 5. To ZP, until retired 6. To PZ, until retired NSJ/TC 7. To PJ, until retired PC 8. To P, P, PW, P, PE, PG, V, V and GZ, in that order, until retired Group 2 The CZ ccrual mount in the following order of priority: Sequential Pay 1. To CV, until retired PC 2. eginning in March 2005, to C, until reduced to its Targeted alance Scheduled 3. To CX, until reduced to its Targeted alance Support 4. To C and ZC, in that order, until retired Scheduled 5. To CX, until retired PC 6. To C, until retired ccrual 7. To CZ The Group 2 sset Principal mount and, beginning in step 2, the ZC ccrual mount in the following order of priority: PC 1. eginning in March 2005, to C, until reduced to its Targeted alance Scheduled 2. To CX, until reduced to its Targeted alance Support 3. To C and ZC, in that order, until retired Scheduled 4. To CX, until retired S-7

8 PC 5. To C, until retired Sequential Pay 6. To CV and CZ, in that order, until retired GMC/ On each Payment ate, principal payments allocated to CX will be distributed to CR, Scheduled while outstanding PC Group 3 The Group 3 sset Principal mount and, beginning in step 2, the JZ ccrual mount in the following order of priority: 1. To the PC Classes, until reduced to their ggregate Targeted alance, allocated as follows: a. To FJ and J, pro rata, while outstanding b. To J, while outstanding Support 2. To JF and JS, pro rata, until retired 3. To JZ, until retired PC 4. To the PC Classes as described in step 1, but without regard to their ggregate Targeted alance, until retired Sequential Pay Group 4 The Group 4 sset Principal mount and the LZ ccrual mount to L and LZ, in that order, until retired Group 5 The EZ ccrual mount in the following order of priority: ccretion irected 1. To EV, until retired Type I PC 2. eginning in September 2004, to E, until reduced to its Targeted alance Type II PC 3. To EX, until reduced to its Targeted alance Support 4. To E and ZE, in that order, until retired Type II PC 5. To EX, until retired Type I PC 6. To E, until retired ccrual 7. To EZ The Group 5 sset Principal mount and, beginning in Step 2, the ZE ccrual mount in the following order of priority: Type I PC 1. eginning in September 2004, to E, until reduced to its Targeted alance Type II PC 2. To EX, until reduced to its Targeted alance S-8

9 Support 3. To E and ZE, in that order, until retired Type II PC 4. To EX, until retired Type I PC 5. To E, until retired Sequential Pay 6. To EV and EZ, in that order, until retired On each Payment ate, principal payments allocated to EX will be distributed to EJ, GMC/ Type II PC while outstanding Sequential Pay Group 6 The Group 6 sset Principal mount and, beginning in step 2, the QZ ccrual mount in the following order of priority: 1. To QF and QG, pro rata, until retired 2. To QV, QW and QZ, in that order, until retired Sequential Pay Group 7 The Group 7 sset Principal mount and, beginning in step 2, the XZ ccrual mount in the following order of priority: 1. To XF and XG, pro rata, until retired 2. To XV, XW and XZ, in that order, until retired The ""Targeted alances,'' ""ggregate Targeted alances'' and ""Scheduled sset alances'' are in ppendix. They were calculated using the following Structuring Ranges and Rates. Group 1 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 233% PS Scheduled sset alance ÏÏÏÏÏÏÏÏÏ Group 2 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 Type I PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Structuring Range or Rate 100% PS - 250% PS 135% PS 233% PS 100% PS - 300% PS 145% PS - 200% PS 165% PS - 283% PS 100% PS - 350% PS 150% PS - 225% 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. S-9

10 REMIC Status We will form an Upper-Tier REMIC Pool, a Lower-Tier REMIC Pool and two Guaranteed Maturity REMIC Pools for this Series. We will elect to treat each REMIC Pool as a REMIC under the Code. R, R, 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. If you purchase a Call Class, you will be treated for federal income tax purposes as purchasing a call option on the related Underlying REMIC Class. See Certain Federal Income Tax Consequences Ì CPCs Ì Status of the CPC Classes Ì The Call Class and Ì Taxation of the CPC Classes Ì The Call Class in our Giant and Other Pass-Through CertiÑcates OÅering Circular dated ecember 1, Weighted verage Lives (in years)* Group 1 PS Prepayment ssumption 0% 100% 130% 232% 233% 250% 400% FP, PO and TP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PS Prepayment ssumption 0% 100% 130% 250% 400% GE, P, PQ and PU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GH, GK, GL, GM, GR and P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 PS Prepayment ssumption 0% 100% 213% 300% 500% C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CI and CX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * We calculate weighted average lives based on the assumptions described in Prepayment and Yield nalysis. The actual weighted average lives are likely to diåer from those shown, perhaps signiñcantly. S-10

11 Group 3 PS Prepayment ssumption 0% 100% 165% 216% 283% 500% FJ, J and SJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ J ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JF and JSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 PS Prepayment ssumption 0% 100% 375% 600% 800% L ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 PS Prepayment ssumption 0% 100% 190% 350% 400% E ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ E ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EI and EXÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 PS Prepayment ssumption 0% 100% 356% 600% 800% QF, QG and QSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ QZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 7 PS Prepayment ssumption 0% 100% 356% 600% 800% XF, XG and XS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XV ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ XZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 7 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11

12 Groups 6 and 7** PS Prepayment ssumption 0% 100% 356% 600% 800% EG, FM and SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MYÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MZÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ** MCR Classes formed from REMIC Classes in Groups 6 and 7. The ssets The ""ssets'' consist of Freddie Mac PCs with the following characteristics: Original Term Group Principal alance (in years) Interest Rate 1 $617,272, % 2 450,000, ,268, * 20,512, ,000, ,000, ,096, * The Group 4 ssets are backed by Relocation Mortgages. See General Information Ì The Mortgages. See General Information Ì Structure of Transaction. We will publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. See vailable Information. We have agreed to sell the Group 2 and Group 5 ssets to the Underwriter for inclusion in this Series. ssumed Mortgage Characteristics (as of February 1, 2004) 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 $617,272, % 5.0% 2 450,000, ,268, ,512, ,000, ,000, ,096, The actual characteristics of the Mortgages diåer from those shown, in some cases signiñcantly. See General InformationÌ The Mortgages. S-12

13 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. Our Information Statement dated March 29, 2002 and each of our Information Statement Supplements published through the time of purchase. This Supplement incorporates by reference the documents listed above. We will also publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. The Information Statement Supplement dated November 21, 2003 contains the results of our restatement of previously issued consolidated Ñnancial statements for the years 2000 and 2001 and the Ñrst three quarters of 2002 and the revision of fourth quarter and full-year consolidated Ñnancial statements for You should rely only on the most current information provided or incorporated by reference in this Supplement and any applicable Supplemental Statement. You can obtain the documents listed above, the greement and current information concerning the ssets and the CertiÑcates from our Investor Inquiry epartment or our Internet Web-Site as described on page 3 of the OÅering Circular. You can also obtain the documents listed above from the Underwriter at: Lehman rothers Inc. c/o P Financial Services Prospectus epartment 1155 Long Island venue Edgewood, New York (631) GENERL INFORMTION The greement We will create the CertiÑcates under the Multiclass CertiÑcates greement dated June 1, 2003 and a Terms Supplement dated the Closing ate (together, the ""greement''). You should refer to the greement for a complete description of your rights and obligations and those of Freddie Mac. You will acquire your CertiÑcates subject to the terms and conditions of the greement, including the Terms Supplement. S-13

14 Form of CertiÑcates The Regular and MCR Classes are issued, held and transferable on the Fed System. The Residual Classes are issued and held in certiñcated form and are transferable at the oçce of the Registrar. Each Call Class is issued and held in certiñcated form as a single certiñcate and is 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 Callable Pools This Series has two Callable Pools, as follows: Callable Class Call Class Callable Pool sset Issued from Issued from (Underlying Group Callable Pool Callable Pool Callable Pool REMIC Class) 2 C CY C1 CX 5 E EY E1 EX REMIC Pools This Series has four REMIC Pools, as follows: REMIC Pool Interests Issued from REMIC Pool REMIC Pool ssets Upper-Tier ll Regular Classes (other than CR ll Lower-Tier REMIC Pool and EJ) and R regular interests Lower-Tier Multiple regular interests and RS The ssets Guaranteed Maturity CR and R CY (Callable Class) Pool C Guaranteed Maturity EJ and R EY (Callable Class) Pool E See escription of CertiÑcates Ì REMIC Pool Structures in the OÅering Circular. The ssets The ssets are Gold PCs and/or Gold Giant PCs. 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, as shown under Terms Sheet Ì ssumed Mortgage Characteristics. However, the actual characteristics of most of the Mortgages diåer from those assumed, perhaps signiñcantly. This is the case S-14

15 even if the weighted average characteristics of the Mortgages are the same as those of mortgages having the characteristics assumed. Substantially all of the Mortgages underlying the Group 4 ssets are Relocation Mortgages. ""Relocation Mortgage'' is a Mortgage made to a transferred employee to Ñnance a home purchase at a new job location. Relocation Mortgage usually requires an employer contribution to mortgage funding, which may be signiñcant. Relocation Mortgages typically are originated by agreement between the employer and the lender under a relocation program administered by the employer or its agent. We will furnish some of the ssets from our own portfolio. ssets from our portfolio, or from other sources, may emphasize speciñc Mortgage characteristics, such as loan purpose, source of origination, geographic distribution or loan size, or speciñc borrower characteristics, such as credit rating or equity in the property. You can obtain information about the underlying Mortgage characteristics for the ssets from our Internet Web-Site. Payment ates; Record ates PYMENTS We make payments of principal and interest on the CertiÑcates on each Payment ate, beginning in the month following the Closing ate. ""Payment ate'' is the 15th of each month or, if the 15th is not a usiness ay, the next usiness ay. On each Payment ate, any payment on a CertiÑcate is made to the Holder of record as of the end of the preceding calendar month (a ""Record ate''). Method of Payment You will receive payments on your CertiÑcates in the manner described under escription of CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular. Categories of Classes For purposes of principal and interest payments, we have categorized the Classes as shown under ""Principal Type'' and ""Interest Type'' on the front cover and ppendix. ppendix II to the OÅering Circular explains the abbreviations used for categories of Classes. Interest We pay 30 days' interest on each Payment ate to the Holders of each Class on which interest has accrued, except that the ccrual Classes receive payments as described below. We calculate each interest payment on the outstanding balance of the Class as of the related Record ate and on the basis of a 360-day year of twelve 30-day months. ccrual Period The ""ccrual Period'' for each Payment ate is: For Fixed Rate Classes Ì the preceding calendar month. S-15

16 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. Principal Only Class The Principal Only Class is shown under Terms Sheet Ì Interest. It does not bear interest. Call Classes C1 and E1 are Call Classes and 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, EZ, GZ, JZ, LZ, MZ, PZ, QZ, XZ, ZC, ZE and ZP are ccrual Classes. The ccrual Classes do not receive interest payments; rather, interest accrued on each ccrual Class during each ccrual Period is added to its principal amount on the related Payment ate. We pay principal on each ccrual Class, including accrued interest that has been added to its principal amount, as described under Terms Sheet Ì Principal. Principal We pay principal on each Payment ate to the Holders of the Classes on which principal is then due. Holders receive principal payments on a pro rata basis among the CertiÑcates of their Class. mount of Payments The principal payments on the CertiÑcates on each Payment ate equal: The amount of interest accrued on each ccrual Class during the related ccrual Period and not payable as interest on that Payment ate (the ""CZ ccrual mount,'' the ""EZ ccrual mount'' and so forth). S-16

17 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 REMIC Classes receiving payments from a particular sset Group will be allocated only to those REMIC Classes and will not be available for REMIC Classes receiving payments from the other sset Groups. Call Classes The Call Classes do not receive payments of principal. Each Call Class has a notional principal amount equal at all times to the principal amount of the related Guaranteed Maturity Class. 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. We guarantee to the Holder of each Call Class all proceeds due upon exercise of the related Call Right. See escription of CertiÑcates Ì Payments Ì Guarantees in the OÅering Circular. 1% Clean-up Call We have a 1% Clean-up Call Right as to the Lower-Tier REMIC Pool. If we exercise this right, all of the Classes then outstanding will be paid in full and will retire. 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-17

18 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. The prepayment behavior of Relocation Mortgages may depend on whether the Mortgages are made in connection with a permanent relocation of a corporate headquarters, the likelihood that the borrowers will be relocated again and the frequency with which further relocations may occur. We do not collect information relating to these factors from mortgage sellers or servicers. orrowers under Relocation Mortgages may be more likely to be transferred by their employers than mortgage borrowers generally. However, we cannot predict the likelihood of future employment-related transfers or the rate of prepayment on the Relocation Mortgages underlying the Group 4 ssets. Yield s an investor in the CertiÑcates, your yield will depend on: Your purchase price. The rate of principal payments on the underlying Mortgages. The actual characteristics of the underlying Mortgages. If you own a Floating Rate or Inverse Floating Rate Class, the level of LIOR. If you own a Fixed Rate Class, the delay between its ccrual Period and the related Payment ate. 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 have the characteristics shown under Terms Sheet Ì ssumed Mortgage Characteristics. S-18

19 s of the Closing ate, the ssets have the balances shown under Terms Sheet Ì The ssets. 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 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. ccretion irected Classes Maximum Weighted verage Life Prepayment Rate Class (in Years) Final Payment ate at or below Protected y Group 1 V ÏÏÏÏÏÏÏÏÏÏÏ 6.0 February 15, % PS The Group 1 Classes other than GZ and V Group 5 EVÏÏÏÏÏÏÏÏÏÏÏÏ 9.6 November 15, % PS The Group 5 Classes other than EZ The underlying Mortgages have characteristics that diåer from the Modeling ssumptions. s a result, even if the Mortgages prepay at a rate at or somewhat below the rate shown for an S-19

20 ccretion irected Class, that Class could retire before its Final Payment ate and its weighted average life could shorten. PC, Scheduled and TC Classes Principal payments on the PC, Scheduled and TC Classes should be more stable than would be the case if they did not receive such payments, to the extent of available principal, in accordance with their schedules. Moreover, they will have cumulative priorities for future payments if they fall behind their schedules. ased on the Modeling ssumptions, each of these Classes has a range of constant Mortgage prepayment rates (an ""EÅective Range'') at which it would receive scheduled payments. The EÅective Range at any time depends on the actual or assumed characteristics of the underlying Mortgages at that time. ased on the Modeling ssumptions, each PC, Scheduled or TC Class would receive scheduled payments until retirement if the underlying Mortgages were to prepay at any constant percentage of PS within its initial EÅective Range shown in the following table. Initial EÅective Ranges Class Group 1 PC GE, P and PQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GH, GK, GL, GR and PÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ P ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PE and PG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PWÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC PJÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 PC C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled CR and CX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PC FJ and JÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 Type I PC E ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC EJ and EX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Range 100% PS - 426% PS 100% PS - 257% PS 73% PS - 250% PS 100% PS - 729% PS 100% PS - 250% PS 100% PS - 290% PS 0% PS - 365% PS 75% PS - 250% PS 136% PS - 232% PS 100% PS - 300% PS 145% PS - 200% PS 165% PS - 283% PS 128% PS - 283% PS 100% PS - 350% PS 150% PS - 225% PS The initial EÅective Ranges, if calculated using the actual characteristics of the Mortgages, could diåer from those shown in the table. Even if the Mortgages were to prepay at a constant rate within the initial EÅective Range shown for any Class, but near the upper or lower end of that EÅective Range, that Class might not receive scheduled payments. Non-constant prepayment rates can cause any Class not to receive scheduled payments, even if such rates remain within its EÅective Range shown above. The EÅective Ranges can narrow or S-20

21 ""drift'' upward or downward over time. Under many scenarios the Classes shown in the table, especially the Type II PC, Scheduled and TC Classes, would not receive scheduled payments. Other Classes support the principal payment stability of the PC, Scheduled and TC Classes, as shown below. When its supporting Classes all retire, any outstanding PC, Scheduled or TC Class will become more sensitive to Mortgage prepayments and its EÅective Range will no longer exist. If a Type II PC, Scheduled or TC Class supports any other Class at that time, its principal payment behavior will become similar to that of a Support Class, as described below. Classes Supporting Classes Group 1 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TC* ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 Type I PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Supported by TC and Support Support Scheduled and Support Support Support Type II PC and Support Support * This Class loses support from any related Support Class to the extent that Support Class ""jumps'' it in principal payment priority. If the underlying Mortgages prepay at rates that are generally below the EÅective Range for any Class, the available principal may be insuçcient to produce scheduled payments on that Class and its weighted average life may extend, perhaps signiñcantly. If the underlying Mortgages prepay at rates that are generally above the EÅective Range for any Class, its weighted average life may shorten, perhaps signiñcantly. However, the weighted average life of any PC, Scheduled or TC Class, especially a Non-Sticky Jump Class, could extend (or shorten) under some scenarios, including ""whipsaw'' scenarios, involving Mortgage prepayments at rates that, on average, are above (or below) its EÅective Range. We distribute all available principal monthly on each Payment ate and do not retain it for distribution on subsequent Payment ates. s a result, the likelihood that the PC, Scheduled and TC Classes will receive scheduled payments will not beneñt from averaging high and low principal payments in diåerent months. Support Classes The Support Classes support the principal payment stability of the PC, Scheduled and TC Classes as described above. s a result, each Support Class is likely to be much more sensitive to Mortgage prepayments than is any Class it supports. The Support Classes may receive no principal payments for extended periods of time, and their principal payment rates may vary widely from month to month. Relatively fast Mortgage prepayments may signiñcantly shorten, and relatively slow Mortgage prepayments may signiñcantly extend, the weighted average lives of the Support Classes. S-21

22 Non-Sticky Jump Classes We have categorized the Group 1 TC and Support Classes as Non-Sticky Jump Classes. These Classes ""jump'' to a diåerent principal payment priority, or are ""jumped,'' on any Payment ate when the applicable ""trigger'' condition is met. However, they do not ""stick'' to the new order of priority on any subsequent Payment ate when the trigger condition is not met; rather, they revert to their original order of priority. The weighted average life of any Class that jumps may shorten, perhaps signiñcantly. Conversely, the weighted average life of any Class that is jumped may extend, perhaps signiñcantly. Jumps can aåect the yield of a Non-Sticky Jump Class, depending on its purchase price. If you buy a Non-Sticky Jump Class at a premium, your yield may be lower to the extent that your Class jumps; if you buy it at a discount, your yield may be lower to the extent that it is jumped. Sequential Pay Classes The Sequential Pay Classes receive principal payments from their related ssets in a prescribed sequence. MCR Classes The payment characteristics of the MCR Classes reöect the payment characteristics of their related REMIC Classes. eclining alances Table The following table shows: Percentages of original balances (as of the Closing ate) that would be outstanding after each of the Payment ates shown at various percentages of PS. Corresponding weighted average lives. We have prepared this table using the Modeling ssumptions. However, for 0% PS we have assumed that each Mortgage (a) has an interest rate 2.5% higher than that of the related PCs and (b) has a remaining term to maturity of 180 or 360 months, as applicable, and a loan age of 0 months. We have calculated weighted average lives for each Notional Class assuming that a reduction in its notional principal amount is a reduction in principal balance. S-22

23 Percentages of Original alances Outstanding* and Weighted verage Lives Group 1 FP, PO and TP GE, P, PQ and PU GH, GK, GL, GM, GR and P PS Prepayment ssumption PS Prepayment ssumption PS Prepayment ssumption ate 0% 100% 130% 232% 233% 250% 400% 0% 100% 130% 250% 400% 0% 100% 130% 250% 400% Closing ate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2005 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2006 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2007 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2008 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Weighted verage Life (Years)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GZ P PE PG PS Prepayment ssumption PS Prepayment ssumption PS Prepayment ssumption PS Prepayment ssumption ate 0% 100% 130% 250% 400% 0% 100% 130% 250% 400% 0% 100% 130% 250% 400% 0% 100% 130% 250% 400% Closing ate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2005 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2006 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2007 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2008 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ February 15, 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Weighted verage Life (Years)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Rounded to nearest whole percentage. S-23