$1,627,766,882 Freddie Mac

Transcription

1 Offering Circular Supplement (To Offering Circular ated June 1, 2010) $1,627,766,882 Freddie Mac Multiclass Certificates, Series 3770 Offered Classes: REMIC Classes shown below and MCR Classes shown on ppendix Offering Terms: The underwriter named below is offering the Classes in negotiated transactions at varying prices Closing ate: ecember 30, 2010 REMIC Classes Original alance Principal Type(1) Class Coupon Interest Type(1) CUSIP Number Final Payment ate Group 1 CZ $ 10,000,346 SC/SUP 4.5% FIX/Z 31374KH9 May 15, 2040 M ,777,000 SC/PC 4.5 FIX 31374MC8 May 15, 2040 V ,253,000 SC//SUP 4.5 FIX 31374NP8 ugust 15, 2013 V ,526,000 SC/SUP 4.5 FIX 31374NQ6 ecember 15, 2032 Group ,000,000 SEQ 3.5 FIX J V 0 June 15, ,322,712 SEQ 3.5 FIX J Z 1 ecember 15, ,000,000 SEQ 3.5 FIX K J 5 June 15, 2029 Group 3 V ,230,000 /PC I 4.0 FIX J Y 4 June 15, 2014 V ,000,000 PC I 4.0 FIX 31374K48 ecember 15, 2025 CH ,163,788 PC II 4.75 FIX 31374K2 ecember 15, 2040 EM ,180,000 PC I 4.0 FIX 31374L7 pril 15, 2039 EZ ,960,235 PC I 4.0 FIX/Z 31374LG0 ecember 15, 2040 J ,000,000 PC I 2.6 FIX 31374M20 February 15, 2034 J ,913,000 PC I 4.0 FIX 31374M38 September 15, 2038 JI ,000,000 NTL(PC I) 4.0 FIX/IO 31374M46 February 15, 2034 JZ ,030,173 PC I 4.0 FIX/Z 31374M53 ecember 15, 2040 PO ,747,883 SUP 0.0 PO 31374MK0 ecember 15, 2040 U ,725,000 PC I 4.0 FIX 31374N1 September 15, 2031 UP ,987,000 PC I 4.0 FIX 31374NN3 May 15, 2035 YL ,238,000 PC I 4.0 FIX P J 0 January 15, 2038 Z ,824,921 SUP 4.75 FIX/Z 31374PL5 ecember 15, 2040 Group 4 FP ,250,922 PC (2) FLT 31374LH8 November 15, 2040 P ,000,000 PC 3.5 FIX 31374MH7 November 15, 2040 P ,334,563 PC 3.5 FIX 31374MJ3 November 15, 2040 PY ,318,515 PC 5.0 FIX 31374ML8 ecember 15, 2040 SP ,250,922 NTL(PC) (2) INV/IO 31374MS3 November 15, 2040 Z ,096,000 SUP 5.0 FIX/Z 31374PM3 ecember 15, 2040 Group 5 T ,500,000 SEQ 3.5 FIX 31374MT1 June 15, 2025 (1) See ppendix II to the Offering Circular. (2) See Terms Sheet Interest. REMIC Classes Original alance Principal Type(1) Class Coupon Interest Type(1) CUSIP Number Final Payment ate T $ 3,368,000 SEQ 3.5% FIX 31374MU8 ecember 15, 2025 TG ,000,000 SEQ 3.0 FIX 31374MY0 June 15, 2025 TY ,500,000 SEQ 4.5 FIX 31374N94 June 15, 2025 Group 6 MJ ,337,306 SUP 3.5 FIX 31374M6 ecember 15, 2025 MK ,000,000 SCH 3.5 FIX 31374ME4 ecember 15, 2025 Group ,305,032 SEQ 4.0 FIX 31374KL0 ecember 15, 2030 G ,000,000 SEQ 3.0 FIX 31374KP1 September 15, 2027 I ,000,000 NTL(SEQ) 4.0 FIX/IO 31374KR7 September 15, 2027 W ,780,000 SEQ 4.0 FIX P 5 0 November 15, 2028 W ,000,000 SEQ 4.0 FIX P 6 8 ecember 15, 2030 Group 8 CP ,626,297 PT (2) R 31374KF3 ecember 15, 2025 IC ,626,297 NTL(PT) 2.0 FIX/IO 31374LT2 ecember 15, 2012 Group 9 K ,000,000 SEQ (2) R 31374M61 October 15, 2024 K ,045,454 SEQ 4.0 FIX 31374M79 ecember 15, 2025 KI ,000,000 NTL(SEQ) 2.0 FIX/IO 31374M87 ecember 15, 2012 Group 10 KV ,875,000 SC/SEQ 5.0 FIX 31374M95 ecember 15, 2018 LV ,000,000 SC/SEQ 5.0 FIX 31374M0 pril 15, 2029 QZ ,000,000 SC/SEQ 5.0 FIX/Z 31374MP9 January 15, 2036 Group 11 G ,250,000 SC/SEQ 4.5 FIX L J 4 October 15, 2040 GI ,678,738 SC/NTL(PT) 5.5 FIX/IO 31374LM7 pril 15, 2031 GZ ,735 SC/SEQ 4.5 FIX/Z 31374LR6 October 15, 2040 Residual R NPR 0.0 NPR 31374MQ7 ecember 15, 2040 RS NPR 0.0 NPR 31374MR5 ecember 15, 2040 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 vailable 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. ecause 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. MORGN STNLEY November 16, 2010

2 CERTIN RISK CONSIERTIONS lthough 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, scending Rate, Principal Only, Inverse Floating Rate, Support, ccrual and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. expect if: The yield on your Certificates could be lower than you 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. 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 Certificates could be lower than you expect if: You buy the Floating Rate Class and LIOR levels are lower than you expect. You buy the Inverse Floating Rate Class and LIOR levels are higher than you expect. If you buy the Inverse Floating Rate Class, you may not even recover your investment if LIOR levels are high or prepayments are fast. 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. 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 ates We make payments of principal and interest on the Certificates on each monthly Payment ate beginning in January Form of Classes Interest Regular and MCR Classes: Residual Classes: Certificated ook-entry on Fed System 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. 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 ccrual Period. We determine LIOR using the Method. Class Initial Class Class Coupon Subject to Coupon Class Coupon Formula Minimum Rate Maximum Rate FP % LIOR + 0.5% 0.5% 7.0% SP % LIOR The scending Rate Classes bear interest at the following Class Coupons: Group Class First 24 ccrual Periods Thereafter 8 CP 2.0% 4.0% 9 K See ppendix V to the Offering Circular and Payments Interest. S-3

4 Notional Classes Original Notional Class Principal mount Reduces Proportionately With Group 1 IL(1) $ 626,500 V (SC//SUP) IV(1) 8,389,500 V and V, as a whole (SC/SUP) VI(1) 7,763,000 V (SC/SUP) Group 3 CI(1) $ 26,529,630 CH (PC II) EI(1) 87,975,000 U, UP and YL, as a whole (PC I) I(1) 20,773,750 YL (PC I) IT(1) 23,741,875 UP (PC I) JI 56,000,000 J (PC I) UI(1) 65,453,125 U (PC I) YI(1) 71,356,000 U and UP, as a whole (PC I) Group 4 SP $216,250,922 FP (PC) Group 7 I $ 10,000,000 G (SEQ) Group 8 IC $ 94,626,297(2) CP (PT) Group 9 KI $ 15,000,000(2) K (SEQ) Group 10 IK(1) $ 2,437,500 KV (SC/SEQ) LI(1) 5,000,000 LV (SC/SEQ) QI(1) 7,437,500 KV and LV, as a whole (SC/SEQ) Group 11 GI $ 2,678,738 Group 11 ssets (2602-U) IG(1) 6,055,555 G (SC/SEQ) (1) MCR Class. (2) The Notional Principal mount will be $0 after the Payment ate in ecember See Payments Interest 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 Offering Circular for a description of MCR Certificates and exchange procedures and fees. Principal REMIC Classes On each Payment ate, we pay: SC/ Support and ccrual Group 1 The CZ ccrual mount to V and V, in that order, until retired, and then to CZ SC/PC The Group 1 sset Principal mount in the following order of priority: 1. eginning in October 2019, to M, until reduced to its Targeted alance S-4

5 SC/Support SC/PC 2. To V and V, in that order, until retired 3. To CZ, until retired 4. To M, until retired Sequential Pay Group 2 The Group 2 sset Principal mount in the following order of priority: 1. To and, pro rata, until retired 2. To, until retired Type I PC and ccrual Type I PC and ccrual Type II PC and ccrual Type I PC Type II PC Support Type II PC Support Type I PC Group 3 The EZ ccrual mount to V and V, in that order, until retired, and then to EZ The JZ ccrual mount to J and J, in that order, until retired, and then to JZ The Z ccrual mount to CH, until reduced to its Targeted alance, and then to Z The Group 3 sset Principal mount in the following order of priority: 1. To the Type I PC Classes, until reduced to their ggregate Targeted alance, allocated concurrently: a % to J, J and JZ, in that order, while outstanding b % to U, UP, YL, EM, V, Vand EZ, in that order, while outstanding 2. Concurrently: a % as follows: i. To CH, until reduced to its Targeted alance ii. To Z, until retired iii. To CH, until retired b % to PO, until retired 3. To the Type I PC Classes, as described in step 1. above, but without regard to their ggregate Targeted alance, until retired PC Group 4 The Z ccrual mount and Group 4 sset Principal mount in the following order of priority: 1. To the PC Classes, until reduced to their ggregate Targeted alance, allocated as follows: a. To FP, P and P, pro rata, while outstanding b. To PY, while outstanding S-5

6 Support PC 2. To Z, until retired 3. To the PC Classes, as described in step 1. above, but without regard to their ggregate Targeted alance, until retired Group 5 The Group 5 sset Principal mount in the following order of priority: Sequential Pay 1. To T, TG and TY, pro rata, until retired 2. To T, until retired Group 6 Support Scheduled Support Scheduled The Group 6 sset Principal mount in the following order of priority: 1. Up to $1,000 per Payment ate to MJ, while outstanding 2. Up to $90,250 per Payment ate to MK, while outstanding 3. To MJ, until retired 4. To MK, until retired Sequential Pay Group % of the Group 7 sset Principal mount to G and, in that order, until retired % of the Group 7 sset Principal mount to W and W, in that order, until retired Pass- Through Group 8 The Group 8 sset Principal mount to CP, until retired Sequential Pay Group 9 The Group 9 sset Principal mount to K and K, in that order, until retired SC/Sequential Pay Group 10 The QZ ccrual mount and the Group 10 sset Principal mount to KV, LVand QZ, in that order, until retired SC/Sequential Pay Group 11 The GZ ccrual mount and the Group 11 sset Principal mount to G and GZ, in that order, until retired S-6

7 The ggregate Targeted alances and Targeted alances are in ppendix. They were calculated using the following Structuring Ranges. Group 1 PC Group 3 Type I PC Type II PC Group 4 PC See Payments Principal and Prepayment and Yield nalysis. MCR Classes Structuring Range 141% PS - 350% PS 120% PS - 250% PS 165% PS - 250% PS 279% PS - 449% PS On each Payment ate when any outstanding MCR Certificates are entitled to principal payments, we allocate such payments from the applicable REMIC Certificates to those MCR Certificates, as described under MCR Certificates in the Offering Circular. REMIC Status We will form an Upper-Tier REMIC Pool and a Lower-Tier REMIC Pool for this Series. We will elect to treat each REMIC Pool as a REMIC under the Code. R and RS will be Residual Classes and the other Classes shown on the front cover will be Regular Classes. The Residual Classes will be subject to transfer restrictions. See Certain Federal Income Tax Consequences in this Supplement and the Offering Circular. Weighted verage Lives (in years)* Group 1 0% 141% 250% 350% 500% CV, V, EV, GV, HV, IL and V CZ IV, VJ, VK, VL, VM, VN and VT M V, VC, V, VE, VG, VH and VI Group 1 ssets Group 2 0% 100% 233% 350% 500% and Group 2 ssets * We calculate weighted average lives based on the assumptions described in Prepayment and Yield nalysis. The actual weighted average lives are likely to differ from those shown, perhaps significantly. S-7

8 Group 3 0% 120% 200% 250% 400% V V C, C, C, CE, CG, CH and CI , C, E, H, J, M, N, P, T, U, I and YL E, E, EC, E, EG, EH, EI, EJ, EK and EL EM EN EZ IT, TC, T, TE, TH, TJ, TK, TL, TM, TN, TP and UP J and JI J JZ PO U, U, UC, U, UE, UG, UH, UI, UJ, UK, UM and UN Y, Y, YC, Y, YE, YG, YH, YI, YJ and YK Z Group 3 ssets Group 4 0% 100% 279% 350% 449% 700% FP, P, P and SP PY Z Group 4 ssets Group 5 0% 100% 276% 450% 600% T,TGandTY T Group 5 ssets Group 6 0% 100% 294% 450% 600% MJ MK Group 6 ssets Group 7 0% 100% 242% 350% 500% W GandI W W Group 7 ssets S-8

9 Group 8 0% 100% 367% 600% 800% CP and Group 8 ssets IC Group 9 0% 100% 329% 500% 700% K K KI Group 9 ssets Group 10 0% 100% 335% 500% 700% K, K, CK, K, GK, IK and KV L, L, CL, L, GL, LI and LV MV, NV, QI, QV, TV, WV and YV QZ Group 10 ssets Group 11 0% 100% 350% 550% 700% G, G, GC and IG GI GZ Group 11 ssets The ssets The Group 1, 10 and 11 ssets (the Multiclass ssets ) consist of: Percentage of Class Factor Class in alance in for Month of Class Principal/ Group Class This Series This Series Closing ate Coupon Interest Type Final Payment ate P % $45,556, % PC/FIX May 15, LY ,750, PC/FIX March 15, YE* ,500, PC/FIX ugust 15, MG ,625, PC/FIX September 15, PG ,000, PC/FIX January 15, U ,733, PC/FIX pril 15, M* ,734, PC/FIX February 15, PC ,992, PC/FIX ugust 15, Q 100 6,091, PC/FIX October 15, 2040 * MCR Class. S-9

10 The Group 2, 3, 4, 5, 6, 7, 8 and 9 ssets (the PC ssets ) consist of Freddie Mac PCs with the following characteristics: Original Term Group Principal alance (in years) Interest Rate 2 $ 34,322, % 3 600,000, ,000, ,368, ,337, ,085, ,626, ,045, See General Information Structure of Transaction and Exhibits I through VIII. 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. Mortgage Characteristics (as of ecember 1, 2010) Multiclass ssets Mortgage Characteristics Group Series Weighted verage Remaining Term to Maturity (in months) Weighted verage Loan ge (in months) Weighted verage Per nnum Interest Rate Per nnum Interest Rate of Related PCs % 5.0% PC ssets ssumed Mortgage Characteristics Remaining Term Per nnum to Maturity Loan ge Per nnum Interest Rate Group Principal alance (in months) (in months) Interest Rate of Related PCs 2 $ 34,322, % 3.5% 3 600,000, ,000, ,368, ,337, ,085, ,626, ,045, The actual characteristics of the Mortgages differ from those shown, in some cases significantly. See General Information The Mortgages. S-10

11 VILLE INFORMTION We incorporate by reference in this Supplement the Incorporated ocuments listed under dditional Information in the Offering Circular. For purposes of this Supplement, the Incorporated ocuments also include, if you are investing in a Group 1, 10 or 11 Class, our Offering Circular Supplements for the related Multiclass ssets (each, a Multiclass sset Offering Circular ), the front covers, Terms Sheets and, if applicable, MCR tables from which are in Exhibits I through VIII. 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 ocuments 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 ocuments. 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 ate. The Supplemental Statement will contain a schedule of the ssets and other information. You should rely only on the most current information provided or incorporated by reference in this Supplement and any applicable Supplemental Statement. You 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,.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 ocuments, any documents we subsequently file with the SEC, the Trust greement and current information concerning the ssets and Certificates, as well as the disclosure documents and current information for any other securities we issue, from our Investor Inquiry epartment 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: Morgan Stanley & Co. Incorporated c/o roadridge Financial Solutions Prospectus epartment 1155 Long Island venue Edgewood, New York (631) The Trust greement GENERL INFORMTION We will form a trust fund to hold the ssets and to issue the Certificates, each pursuant to the Multiclass Certificates Master Trust greement dated June 1, 2010 and a Terms Supplement dated the Closing ate (together, the Trust greement ). We will act as Trustee and dministrator under the Trust greement. You should refer to the Trust greement 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 greement, including the Terms Supplement. S-11

12 Form of Certificates The Regular and MCR Classes are issued, held and transferable on the Fed System. 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 Regular or MCR Class. s an investor in Certificates, you are not necessarily the Holder. See escription of Certificates Form, Holders and Payment Procedures in the Offering Circular. enominations of Certificates The scending Rate Classes will be issued, and may be held and transferred, in minimum original principal amounts of $100,000 and additional increments of $1. See escription of Certificates Form, Holders and Payment Procedures in the Offering Circular for the minimum denominations of the other Classes. Structure of Transaction General This Series is a ouble-tier Series, structured as follows: REMIC Pool Classes Issued from REMIC Pool REMIC Pool ssets Upper-Tier ll Regular Classes and R ll Lower-Tier regular interests Lower-Tier RS The ssets See escription of Certificates REMIC Pool Structures in the Offering Circular and Certain Federal Income Tax Consequences. The PC ssets The PC ssets are Gold PCs and/or Gold Giant PCs. The Multiclass ssets The Multiclass ssets consist of previously issued Freddie Mac REMIC and MCR Certificates, which represent interests in their underlying PCs. For additional information about the Multiclass ssets, see the Multiclass sset Offering Circulars and other related information on our internet website. We have attached the front covers, Terms Sheets and, if applicable, MCR tables from the Multiclass sset Offering Circulars as Exhibits to this Supplement. There may have been material changes since we prepared the Multiclass sset Offering Circulars, including changes in prepayment rates, prevailing interest rates and other economic factors. These changes may limit the usefulness of, and be inconsistent with the assumptions used in preparing, the Multiclass sset Offering Circulars. The Mortgages The Mortgages underlying the ssets (the Mortgages ) are fixed-rate, first lien residential mortgages and mortgage participations. S-12

13 For purposes of this Supplement, we have made certain assumptions regarding the Mortgages underlying the PC ssets, as shown under Terms Sheet Mortgage Characteristics. The weighted average remaining terms to maturity, weighted average loan ages and weighted average interest rates of the Mortgages underlying the Multiclass ssets, as of ecember 1, 2010, are shown in Terms Sheet Mortgage Characteristics. However, the actual characteristics of most of the Mortgages differ from those assumed or shown, 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 or shown. We may furnish some or all of the ssets from our own portfolio. ssets from our portfolio, or from other sources, may emphasize 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 ssets from our internet website. Payment ates; Record ates PYMENTS We make payments of principal and interest on the Certificates 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 Certificate is made to the Holder 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 escription 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 ppendix. ppendix II to the Offering 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 immediately before the Payment 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 and scending 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 ate. S-13

14 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 Interest. It does 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 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 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 Offering Circular. ccrual Classes CZ, EZ, GZ, JZ, QZ, Z and Z are ccrual Classes. The ccrual Classes do not receive interest payments; rather, interest accrued on an 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 Principal. Principal scending Rate Classes CP and K bear interest as described under Terms Sheet Interest. 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 Certificates of their Class. mount of Payments The principal payments on the Certificates 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). 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 Principal. Principal allocable to the Classes receiving S-14

15 payments from a particular sset Group will be allocated only to those Classes and will not be available for Classes receiving payments from the other sset Groups. Class Factors General We make Class Factors available on or about the fifth business day of each month after the Closing ate. See escription 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 ccrual 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 amount of interest to be paid on (or for an ccrual Class, added to the principal balance of) a Certificate in February will equal 30 days interest at its Class Coupon, accrued during the related ccrual Period, on the balance of that Certificate determined by its 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 escription of Certificates Payments Guarantees in the Offering Circular. 1% Clean-up Call We have a 1% Clean-up Call Right. If we exercise this right, all of the Classes then outstanding will be paid in full and will retire U and 3715-M will not, and the other Multiclass ssets may, become subject to the similar 1% Clean-up Call Rights in their Series. See escription 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. ny remaining assets are likely to be insignificant. See escription of Certificates Payments Residual Classes in the Offering Circular. General Mortgage Prepayments PREPYMENT N YIEL NLYSIS The rates of principal payments on the ssets 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. S-15

16 Yield s 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 LIOR. If you own a Fixed Rate or scending Rate Class, the delay between its ccrual Period and the related Payment ate. If you own a Group 1, 10 or 11 Class, the payment characteristics of the related Multiclass ssets in their own Series, as described in the Terms Sheets of the related Multiclass sset Offering Circulars. 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. Modeling ssumptions To prepare the tables in this Supplement, we have made several assumptions. Unless otherwise noted, each table employs the following assumptions (the Modeling ssumptions ), among others: The Mortgages underlying the PC ssets have the characteristics shown under Terms Sheet Mortgage Characteristics. s of ecember 1, 2010, each Mortgage underlying the Multiclass ssets has a remaining term to maturity equal to the weighted average remaining term to maturity, a loan age equal to the weighted average loan age, and an interest rate equal to the weighted average interest rate, of all the Mortgages underlying the same PC. s of the Closing ate, the ssets have the balances shown under Terms Sheet The ssets. The Multiclass ssets receive payments as described in the Multiclass sset Offering Circulars. The Classes and ssets always receive payments on the 15th of the month, whether or not a usiness ay. We do not exercise our 1% Clean-up Call Right. Each Class is outstanding from the Closing ate to retirement and no exchanges occur. The Modeling ssumptions, like any other stated assumptions, are likely to differ 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 differ from the percentages of S-16

17 PS 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 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 constant 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 below. 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. Class Maximum Weighted verage Life (in years) ccretion irected Classes Final Payment ate Prepayment Rate at or below Protected y Group 1 CV, V, EV, GV, HV and V ugust 15, % PS The Classes in Series 3677 that must retire before the Group 1 ssets begin to reduce Group 3 V June 15, ,069% PS ll other Group 3 Classes except V, EN, EZ, J, J and JZ The underlying Mortgages have characteristics that differ from the Modeling ssumptions. s a result, even if the Mortgages prepay at a rate at or somewhat below the rate shown for an ccretion irected Class, that Class could retire before its Final Payment ate and its weighted average life could shorten. PC and Scheduled Classes Principal payments on the PC and Scheduled 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 or their specified monthly payment amounts, as applicable. Moreover, the PC Classes will have cumulative priorities for future payments if they fall behind their schedules. ased on the Modeling ssumptions, except as indicated below, each of these Classes has a range of constant Mortgage S-17

18 prepayment rates (an Effective Range ) at which it would receive scheduled payments. The Effective Range at any time depends on the actual or assumed characteristics of the underlying Mortgages at that time. ased on the Modeling ssumptions, except as indicated below, each PC or Scheduled Class would receive scheduled payments until retirement if the underlying Mortgages were to prepay at any constant percentage of PS within its initial Effective Range shown in the following table. Class Initial Effective Ranges Group 1 PC M Group 3 Type I PC V V and EN , C, E, H, J, M, N, P, T, U, E, E, EC, E, EG, EH, EJ, EK, EL, J, J, TC, T, TE, TH, TJ, TK, TL, TM, TN, TP, UP, Y, Y, YC, Y, YE, YG, YH, YJ, YK and YL EZ EM JZ U, U, UC, U, UE, UG, UH, UJ, UK, UM and UN.... Type II PC C, C, C, CE, CG and CH Group 4 PC FP, P and P PY Group 6 Scheduled MK Range 141% PS - 350% PS 0% PS - 1,069% PS 102% PS - 250% PS 120% PS - 250% PS 100% PS - 250% PS 114% PS - 250% PS 95% PS - 250% PS 120% PS - 264% PS 165% PS - 250% PS 279% PS - 449% PS 61% PS - 449% PS None The initial Effective Ranges, if calculated using the actual characteristics of the Mortgages, could differ from those shown in the table. Even if the Mortgages were to prepay at a constant rate within the initial Effective Range shown for any PC Class, but near the upper or lower end of that Effective 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 Effective Range, if any, shown above. The Effective Ranges can narrow or drift upward or downward over time. Under many scenarios the Classes shown in the table, especially the Type II PC and Scheduled Classes, would not receive scheduled payments. Other Classes support the principal payment stability of the PC and Scheduled Classes, as shown below. When its supporting Classes all retire, any outstanding PC or Scheduled Class will become more sensitive to Mortgage prepayments and its Effective Range, if any, will no longer exist. If a Type II PC S-18

19 Class supports any other Class at that time, its principal payment behavior will become similar to that of a Support Class, as described below. Supporting Classes Classes Group 1 PC Group 3 Type I PC TypeIIPC... Group 4 PC Group 6 Scheduled Supported by Support Type II PC and Support Z Support Support If the underlying Mortgages prepay at rates that are generally below the Effective Range, if any, for any Class, the available principal may be insufficient to produce scheduled payments on that Class and its weighted average life may extend, perhaps significantly. If the underlying Mortgages prepay at rates that are generally above the Effective Range, if any, for any Class, its weighted average life may shorten, perhaps significantly. However, the weighted average life of any PC or Scheduled Class could extend (or shorten) under some scenarios, including whipsaw scenarios, involving Mortgage prepayments at rates that, on average, are above (or below) its Effective 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 and Scheduled Classes will receive scheduled payments will not benefit from averaging high and low principal payments in different months. Support Classes The Support Classes support the principal payment stability of the PC and Scheduled 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 (other than MJ) may receive no principal payments from the related sset Principal mounts for extended periods of time, and the principal payment rates of all Support Classes may vary widely from month to month. Relatively fast Mortgage prepayments may significantly shorten, and relatively slow Mortgage prepayments may significantly extend, the weighted average lives of the Support Classes. Sequential Pay Classes The Sequential Pay Classes receive principal payments from their related ssets in a prescribed sequence. Pass-Through Class The Pass-Through Class receives all of the principal payments made on the Group 8 ssets. The sensitivity of the Pass-Through Class to prepayments on the underlying Mortgages is the same as that of the Group 8 ssets. S-19

20 The Multiclass ssets The Multiclass ssets consist of PC Classes, which were structured to receive principal payments in accordance with schedules. ased on the Modeling ssumptions for this Series, the Group 10 ssets (in the aggregate) and Group 11 ssets (in the aggregate) currently do not have Effective Ranges and the Group 1 ssets currently have an Effective Range of 211% PS - 260% PS. We cannot predict whether or for how long the Multiclass ssets might receive scheduled payments. See Prepayment and Yield nalysis in the Multiclass sset Offering Circulars. MCR Classes The payment characteristics of the MCR Classes reflect 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 underlying the PC ssets has (a) an interest rate 2.5% higher than that of the related PCs and (b) a remaining term to maturity of 180, 240 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-20

21 Percentages of Original alances Outstanding* and Weighted verage Lives Group 1 CV, V, EV, GV, HV, IL and V CZ IV, VJ, VK, VL, VM, VN and VT ate 0% 141% 250% 350% 500% 0% 141% 250% 350% 500% 0% 141% 250% 350% 500% Closing ate ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, 2035 and after Weighted verage Life (Years) M V, VC, V, VE, VG, VH and VI Group 1 ssets ate 0% 141% 250% 350% 500% 0% 141% 250% 350% 500% 0% 141% 250% 350% 500% Closing ate ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, 2035 and after Weighted verage Life (Years) * Rounded to nearest whole percentage. S-21

22 Group 2 and Group 2 ssets ate 0% 100% 233% 350% 500% 0% 100% 233% 350% 500% 0% 100% 233% 350% 500% Closing ate ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, Weighted verage Life (Years) Group 3 V V C, C, C, CE, CG, CH and CI ate 0% 120% 200% 250% 400% 0% 120% 200% 250% 400% 0% 120% 200% 250% 400% Closing ate ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, ecember 15, Weighted verage Life (Years) S-22