$812,605,041. Freddie Mac. Multiclass CertiÑcates, Series 3155

Transcription

1 OÅering Circular Supplement $812,605,041 (To OÅering Circular ated June 1, 2003) Freddie Mac Multiclass CertiÑcates, Series 3155 OÅered Classes: REMIC Classes shown below, Call Class 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; we have agreed to purchase all of G, GI and GN Closing ate: May 30, 2006 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 5 C ÏÏÏÏÏÏÏ$117,250,000 SPP/SEQ/S 5.75% FIX 31396R4C8 November 15, 2024 FO ÏÏÏÏÏÏÏ$ 16,360,800 PC I 0.0% PO 31396R4N4 May 15, 2036 CE ÏÏÏÏÏÏÏ 31,500,000 SPP/SEQ/NS 5.75 FIX 31396R4E4 November 15, 2024 FT ÏÏÏÏÏÏÏ 63,338,967 PT (3) FLT 31396R 4 P 9 May 15, 2036 CYÏÏÏÏÏÏÏ 26,250,000 SEQ 6.0 FIX 31396R 4 J 3 May 15, 2026 J ÏÏÏÏÏÏÏ 11,820,000 SUP 6.0 FIX 31396R59 October 15, 2034 I ÏÏÏÏÏÏÏ 4,885,416 NTL(SPP/SEQ/S) 6.0 FIX/IO 31396R4Y0 November 15, 2024 J ÏÏÏÏÏÏÏ 4,159,000 SUP 6.0 FIX 31396R5C7 ugust 15, 2035 IN ÏÏÏÏÏÏÏ 1,312,500 NTL(SPP/SEQ/NS) 6.0 FIX/IO 31396R4Z7 November 15, 2024 JC ÏÏÏÏÏÏÏ 3,484,000 SUP 6.0 FIX 31396R55 pril 15, 2036 J ÏÏÏÏÏÏÏ 537,000 SUP 6.0 FIX 31396R5E3 May 15, 2036 Group 2 L ÏÏÏÏÏÏÏ 4,724,000 SUP 6.0 FIX 31396R 5 F 0 October 15, 2035 VÏÏÏÏÏÏÏ 63,836,000 SC/SEQ 5.5 FIX 31396RMG9 March 15, 2030 L ÏÏÏÏÏÏÏ 1,584,000 SUP 6.0 FIX 31396R5G8 March 15, 2036 ZÏÏÏÏÏÏÏ 18,000,000 SC/SEQ 5.5 FIX/Z 31396RMH7 March 15, 2030 LC ÏÏÏÏÏÏÏ 745,936 SUP 6.0 FIX 31396R5H6 May 15, 2036 LL ÏÏÏÏÏÏÏ 5,000,000 SUP/RTL 6.0 FIX 31396R 5 J 2 October 15, 2035 Group 3 LT ÏÏÏÏÏÏÏ 2,820,000 PC II 6.0 FIX 31396R5K9 May 15, 2036 G ÏÏÏÏÏÏÏ 78,850,000 GMC/SPP/SEQ/S 5.5 FIX 31396RPY7 May 15, 2016 M ÏÏÏÏÏÏ 1,748,000 SCH 6.0 FIX 31396R5L7 February 15, 2036 GÏÏÏÏÏÏÏ 42,500,000 SEQ 6.0 FIX 31396R 4 S 3 May 15, 2026 M ÏÏÏÏÏÏ 520,000 SCH 6.0 FIX 31396R5M5 May 15, 2036 GI ÏÏÏÏÏÏÏ 6,570,833 NTL(SPP/SEQ/S) 6.0 FIX/IO 31396R4W4 ugust 15, 2024 MC ÏÏÏÏÏÏ 4,669,000 SUP 6.0 FIX 31396R5N3 March 15, 2035 GN ÏÏÏÏÏÏ 49,800,000 SPP/SEQ/NS 6.0 FIX 31396R4X2 ugust 15, 2024 M ÏÏÏÏÏÏ 1,204,000 SUP 6.0 FIX 31396R 5 P 8 September 15, 2035 GX(2)ÏÏÏÏ 157,700,000 SPP/SEQ/S 5.75 FIX 31396R P 6 8 ugust 15, 2024 ME ÏÏÏÏÏÏ 916,000 SUP 6.0 FIX 31396R5Q6 January 15, 2036 HCÏÏÏÏÏÏÏ 78,850,000 GMC/SPP/SEQ/S 6.0 FIX 31396R P 9 2 May 15, 2016 MG ÏÏÏÏÏÏ 943,000 SUP 6.0 FIX 31396R5R4 May 15, 2036 PF ÏÏÏÏÏÏÏ 65,443,200 PC I (3) FLT 31396R 5 S 2 May 15, 2036 Group 4 PS ÏÏÏÏÏÏÏ 65,443,200 NTL(PC I) (3) INV/IO 31396R5T0 May 15, 2036 OÏÏÏÏÏÏÏ 5,930,326 SC/PT/SUP 0.0 PO 31396RM95 October 15, 2035 ST ÏÏÏÏÏÏÏ 63,338,967 NTL(PT) (3) INV/IO 31396R5Z6 May 15, 2036 F ÏÏÏÏÏÏÏ 55,914,505 SC/PT/SUP (3) FLT 31396RM0 October 15, 2035 FC ÏÏÏÏÏÏÏ 38,218,477 SC/PT/SUP (3) FLT 31396RMC8 November 15, 2035 Residual S ÏÏÏÏÏÏÏ 9,319,084 SC/PT/SUP (3) INV/S 31396RME4 October 15, 2035 R ÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31396R5U7 May 15, 2036 SC ÏÏÏÏÏÏÏ 6,369,746 SC/PT/SUP (3) INV/S 31396RMF1 November 15, 2035 RÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31396RPC5 May 15, 2016 RS ÏÏÏÏÏÏÏ 0 NPR 0.0 NPR 31396R 5 V 5 May 15, 2036 (1) See ppendix II to the OÅering Circular and Payments Ì Categories of Classes. (2) This Class backs the Guaranteed Maturity Classes and will not be oåered initially. See Terms Sheet Ì Guaranteed Maturity Classes. (3) See Terms Sheet Ì Interest. The CertiÑcates may not be suitable investments for you. You should not purchase CertiÑcates unless you have carefully considered and are able to bear the associated prepayment, interest rate, yield and market risks of investing in them. Certain Risk Considerations on page S-2 highlights some of these risks. You should purchase CertiÑcates only if you have read and understood this Supplement, the attached OÅering Circular and the documents listed under vailable Information. We guarantee principal and interest payments on the CertiÑcates and the proceeds due on the Call Class upon exercise of the 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. pril 20, 2006

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, Support, ccrual, Call, Retail and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. The yield on your CertiÑcates could be lower than you expect if: You buy your CertiÑcates at a premium over their principal amount and principal payments are faster than you expect. You buy your CertiÑcates at a discount to their principal amount and principal payments are slower than you expect. This is especially true for a Principal Only Class. If you buy an Interest Only Class and prepayments are fast, you may not even recover your investment. LIOR Levels Can Reduce Your Yield if You Own a Floating Rate or Inverse Floating Rate Class. The yield on your CertiÑcates could be lower than you expect if: You buy a Floating Rate Class and LIOR levels are lower than you expect. You buy an Inverse Floating Rate Class and LIOR levels are higher than you expect. If you buy an Interest Only Inverse Floating Rate Class, you may not even recover your investment if LIOR levels are high or prepayments are fast. The Retail Class Has Special Payment Rules. If you invest in the Retail Class, you will receive principal payments in $1,000 increments called ""Retail Class Units,'' subject to the priorities and limitations described in ppendix IV to the OÅering Circular. The weighted average lives and yields of individual Retail Class Units will vary among diåerent investors. 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 the Call Class. The value of the Call Class will depend primarily on the market value of the 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 Call Right. If you own the 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 June Form of Classes Regular (non-retail) and MCR Classes: ook-entry on Fed System Retail Class: ook-entry on TC System Residual and Call Classes: CertiÑcated Guaranteed Maturity Classes The Call Class, Callable Class and Underlying REMIC Class related to the Guaranteed Maturity Classes shown on the front cover are shown below. Call CUSIP Underlying Guaranteed Class Number REMIC Class Callable Class Maturity Classes Final Payment ate G RPZ4 GX GY G and HC May 15, 2016 The Holder of the Call Class may direct Freddie Mac to redeem the Guaranteed Maturity Classes on their Final Payment ate and acquire the 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. O and FO are Principal Only Classes and do not bear interest. S-3

4 The Floating Rate and Inverse Floating Rate Classes bear interest as shown in the following table. The initial Class Coupons apply only to the Ñrst ccrual Period. We determine LIOR using the Method. Initial Class Class Coupon Subject to Class Coupon Class Coupon Formula Minimum Rate Maximum Rate Group 4 F* ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.702% LIOR 0.65% 0.65% 7.0% F ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LIOR 0.65% FC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LIOR 0.65% S* ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % (LIOR 6.0) S ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % (LIOR 6.0) SC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % (LIOR 6.0) Group 5 FT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LIOR 0.3% PF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LIOR 0.35% PS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % LIOR ST ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % LIOR * MCR Class. See ppendix V to the OÅering Circular and Payments Ì Interest. Notional Classes Original Notional Class Principal mount Reduces Proportionately With Group 1 I $ 4,885,416 C (SPP/SEQ/S) IN 1,312,500 CE (SPP/SEQ/NS) IO* 6,197,916 C and CE, as a whole (SEQ) Group 3 GI $ 6,570,833 GX (SPP/SEQ/S) Group 5 PS $65,443,200 PF (PC I) ST 63,338,967 FT (PT) * MCR Class. See Payments Ì Interest Ì Notional Classes. MCR Classes This Series includes MCR Classes. ppendix shows the characteristics of the MCR Classes and the Combinations of REMIC and MCR Classes. See ppendix III to the OÅering Circular for a description of MCR CertiÑcates and exchange procedures and fees. Principal REMIC Classes On each Payment ate, we pay: SPP/SEQ/ NS Group 1 The Group 1 sset Principal mount, in the following order of priority: 1. eginning in June 2010, up to the Group 1 Priority mount to CE, while outstanding S-4

5 S 2. To C, until retired NS 3. To CE, until retired SEQ 4. To CY, until retired Group 1 eñnitions: The Group 1 Priority mount for any Payment ate is the lesser of (i) 99% of the Group 1 sset Principal mount for that Payment ate and (ii) the sum of (a) 2 times the Group 1 asic Percentage times the Group 1 asic Principal mount for that Payment ate and (b) 0.5 times the Group 1 Prepayment Percentage of the Group 1 Principal Prepayment mount for that Payment ate. The Group 1 asic Percentage for any Payment ate is the percentage derived by dividing (i) the sum of $15,750,000 and the outstanding principal balance of CE by (ii) the aggregate outstanding principal balance of C and CE, in each case immediately before that Payment ate. The Group 1 asic Principal mount for any Payment ate is the aggregate amount of scheduled principal payments required to be made on the Group 1 ssets on that Payment ate, exclusive of amounts attributable to prepayments. For this purpose, we calculate scheduled principal payments on the Group 1 ssets on the basis of the current weighted average interest rate and weighted average remaining term to maturity of the underlying Mortgages. The Group 1 Principal Prepayment mount for any Payment ate is the excess of (a) the Group 1 sset Principal mount for that Payment ate over (b) the Group 1 asic Principal mount for that Payment ate. The Group 1 Prepayment Percentage for each Payment ate is the following: 50% from June 2010 through May % thereafter. Group 2 SC/ The Group 2 sset Principal mount and the ccrual mount to V and Z, in that Sequential Pay order, until retired Group 3 The Group 3 sset Principal mount in the following order of priority: NS 1. Up to the Group 3 Priority mount, to GN, while outstanding S 2. To GX, until retired NS 3. To GN, until retired SEQ 4. To G, until retired On each Payment ate, principal payments allocated to GX, as described above, will SEQ/S be distributed to G and HC, pro rata, while outstanding S-5

6 Group 3 eñnitions: The Group 3 Priority mount for any Payment ate is the sum of (i) 80% of the Group 3 asic Principal mount for that Payment ate and (ii) 0.8 times the Group 3 Prepayment Percentage times the lesser of (a) 0.25% of the principal balance of the Group 3 ssets, after giving eåect to their reduction on that Payment ate, and (b) the Group 3 Principal Prepayment mount for that Payment ate. The Group 3 asic Principal mount for any Payment ate is the aggregate amount of scheduled principal payments required to be made on the Group 3 ssets on that Payment ate, exclusive of amounts attributable to prepayments. For this purpose, we calculate scheduled principal payments on the Group 3 ssets on the basis of the current weighted average interest rate and weighted average remaining term to maturity of the underlying Mortgages. The Group 3 Principal Prepayment mount for any Payment ate is the excess of (a) the Group 3 sset Principal mount for that Payment ate over (b) the Group 3 asic Principal mount for that Payment ate. The Group 3 Prepayment Percentage for any Payment ate is the following: 0% from June 2006 through May % from June 2009 through May % from June 2010 through May % from June 2011 and thereafter. SC/Pass- Through/ Support Group 4 The Group 4 sset Principal mount attributable to 3083-X to O, F and S, pro rata, until retired The Group 4 sset Principal mount attributable to 3062-UL, 3062-UM and 3062-UN to FC and SC, pro rata, until retired Pass- Through Group 5 The Group 5 sset Principal mount, allocated concurrently: % to FT, until retired % as follows: Type I PC a. To FO and PF, pro rata, until reduced to their ggregate Targeted alance b. Concurrently: i % as follows: Type II PC. To LT, until reduced to its Targeted alance. To L and LL, pro rata, until retired Support C. To L and LC, in that order, until retired Type II PC. To LT, until retired S-6

7 ii % as follows: Scheduled. To M and M, in that order, until reduced to their ggregate Targeted alance Support. To MC, M, ME and MG, in that order, until retired Scheduled C. To M and M, in that order, until retired Support iii % to J, J, JC and J, in that order, until retired Type I PC c. To FO and PF, pro rata, until retired The ""ggregate Targeted alances'' and ""Targeted alances'' are in ppendix. They were calculated using the following Structuring Ranges. Type I PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Structuring Range 100% PS - 300% PS 135% PS - 330% PS 135% PS - 250% 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. Retail Class LL is a Retail Class. If you own the Retail Class, you will receive principal payments in $1,000 Retail Class Units, as described in ppendix IV to the OÅering Circular. See Prepayment and Yield nalysis Ì Prepayment and Weighted verage Life Considerations Ì Retail Class. REMIC Status We will form an Upper-Tier REMIC Pool, a Lower-Tier REMIC Pool and a Guaranteed Maturity REMIC Pool for this Series. We will elect to treat each REMIC Pool as a REMIC under the Code. 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 the Call Class, you will be treated for federal income tax purposes as purchasing a call option on the 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 September 1, S-7

8 Weighted verage Lives (in years)* Group 1 PS Prepayment ssumption 0% 100% 230% 350% 500% C, C and I ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CE, CG and IN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CJ, CK and IOÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 1 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 PS Prepayment ssumption 0% 100% 172% 300% 400% V ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 PS Prepayment ssumption 0% 100% 233% 350% 500% G, G and HCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ G ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GI and GX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 4 PS Prepayment ssumption 0% 100% 178% 300% 400% O, F, S and Group 4 ssets (3083-X) ÏÏÏÏÏÏÏ F and S ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FC, SC and Group 4 ssets (3062-UL, 3062-UM and 3062-UN) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * 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-8

9 Group 5 PS Prepayment ssumption 0% 100% 270% 300% 600% FO, PF and PS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FT, ST and Group 5 ssets ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ J ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ L and LL** ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ L ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ M ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ME ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ** The weighted average lives for the Retail Class apply to that Class as a whole. The weighted average lives of Retail Class Units will vary among diåerent investors. The ssets The Group 1, 3 and 5 ssets (the ""PC ssets'') consist of Freddie Mac PCs with the following characteristics: Original Term Group Principal alance (in years) Interest Rate 1 $175,000, % 3 250,000, ,016, The Group 2 and 4 ssets (the ""Multiclass ssets'') consist of: Percentage of Class Factor Class in This alance in for Month of Class Principal/ Group Class Series This Series Closing ate Coupon Interest Type Final Payment ate 2825-QM % $30,000, % PC/FIX March 15, PM ,836, PC/FIX March 15, UL ,138, SUP/FIX January 15, UM(1) 3062-UN(1) ,612,000 15,838, SUP/FIX SUP/FIX November 15, 2034 November 15, X(1)(2) ,163, SC/PT/SUP/FIX October 15, 2035 (1) MCR Class (2) This Class is backed by 3049-O, a SUP/PO Class, 3049-Z, a SUP/FIX/Z Class, and 3049-T, a PC II/FIX Class. The ssets of this Series also include a $ Retail Rounding ccount, which we will use for principal payments on the Retail Class as described in ppendix IV to the OÅering Circular. We have agreed to sell the Group 3 ssets to the Underwriter for inclusion in this Series. See General Information Ì Structure of Transaction and Exhibits I through III. We will publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. See vailable Information. S-9

10 Mortgage Characteristics (as of May 1, 2006) PC ssets Ì ssumed Mortgage Characteristics Remaining Term Per nnum to Maturity Loan ge Per nnum Interest Rate Group Principal alance (in months) (in months) Interest Rate of Related PCs 1 $175,000, % 6.0% 3 250,000, % 5 190,016, % Multiclass ssets Ì Mortgage Characteristics Weighted verage Remaining Term Weighted verage Weighted verage Per nnum to Maturity Loan ge Per nnum Interest Rate Group Series (in months) (in months) Interest Rate of Related PCs % 5.5% / The actual characteristics of the Mortgages diåer from those shown, in some cases signiñcantly. See General Information Ì The Mortgages. S-10

11 VILLE INFORMTION You should purchase CertiÑcates only if you have read and understood this Supplement, the OÅering Circular and the following documents: Our Mortgage Participation CertiÑcates OÅering Circular dated October 14, 2005 and the related OÅering Circular Supplement dated ecember 1, 2005, which together describe Gold PCs generally. Our Giant and Other Pass-Through CertiÑcates OÅering Circular dated September 1, 2005, which describes Gold Giant PCs generally. If you are investing in a Group 2 or 4 Class, our OÅering Circular Supplements for the related Multiclass ssets (each a ""Multiclass sset OÅering Circular''), the front covers, Terms Sheets and, if applicable, MCR tables from which are in Exhibits I through III. Our Information Statement dated June 14, 2005 and any subsequent Information Statement and Information Statement Supplements published through the time of purchase. This Supplement incorporates by reference the documents listed above. We will also publish a Supplemental Statement applicable to this Series shortly after the Closing ate. The Supplemental Statement will contain a schedule of the ssets and other information. You should rely only on the most current information provided or incorporated by reference in this Supplement and any applicable Supplemental Statement. You can obtain the documents listed above, the greement and current information concerning the ssets and the CertiÑcates from our Investor Inquiry epartment or our Internet Web-Site as described on page 3 of the OÅering Circular. You can also obtain the documents listed above from the Underwriter at: Greenwich Capital Markets, Inc. Prospectus epartment 600 Steamboat Road Greenwich, Connecticut (203) GENERL INFORMTION The greement We will create the CertiÑcates under the Multiclass CertiÑcates greement dated June 1, 2003 and a Terms Supplement dated the Closing ate (together, the ""greement''). You should refer to the greement for a complete description of your rights and obligations and those of Freddie Mac. You will acquire your CertiÑcates subject to the terms and conditions of the greement, including the Terms Supplement. S-11

12 Form of CertiÑcates The non-retail Regular and MCR Classes are issued, held and transferable on the Fed System. The Retail Class is issued, held and transferable on the TC System in $1,000 Retail Class Units. The Residual Classes are issued and held in certiñcated form and are transferable at the oçce of the Registrar. The 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 non-retail Regular or MCR Class. TC or its nominee is the Holder of the Retail Class. s an investor in CertiÑcates, you are not necessarily the Holder. See escription of CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular. enominations of CertiÑcates The Inverse Floating Rate and Shifting Payment Percentage 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 CertiÑcates Ì Form, Holders and Payment Procedures in the OÅering Circular for the minimum denominations of the other Classes. Structure of Transaction Callable Pool This Series has one Callable Pool, as follows: Callable Class Call Class Callable Pool sset Issued from Issued from (Underlying Callable Pool Callable Pool REMIC Class) GY G1 GX REMIC Pools This Series has three REMIC Pools, as follows: REMIC Pool Interests Issued from REMIC Pool REMIC Pool ssets Upper-Tier ll Regular Classes (other than ll Lower-Tier REMIC Pool Guaranteed Maturity Classes) and R regular interests and Retail Rounding ccount Lower-Tier RS The ssets Guaranteed Maturity G, HC and R GY (Callable Class) Pool See escription of CertiÑcates Ì REMIC Pool Structures in the OÅering Circular. The PC ssets The PC ssets are Gold PCs and/or Gold Giant PCs. S-12

13 The Multiclass ssets The Multiclass ssets consist of previously issued Freddie Mac REMIC and MCR CertiÑcates, which represent interests in their underlying PCs. For additional information about the Multiclass ssets, see the Multiclass sset OÅering Circulars and other related information on our Internet Web-Site. We have attached the front covers, Terms Sheets and, if applicable, MCR tables from the Multiclass sset OÅering Circulars as Exhibits to this Supplement. There may have been material changes since we prepared the Multiclass sset OÅering Circulars, including changes in prepayment rates, prevailing interest rates and other economic factors. These changes may limit the usefulness of, and be inconsistent with the assumptions used in preparing, the Multiclass sset OÅering Circulars. The Mortgages The Mortgages underlying the ssets (the ""Mortgages'') are Ñxed-rate, Ñrst lien residential mortgages and mortgage participations. For purposes of this Supplement, we have made certain assumptions regarding the Mortgages underlying the PC ssets, as shown under Terms Sheet Ì Mortgage Characteristics. The weighted average remaining terms to maturity, weighted average loan ages and weighted average interest rates of the Mortgages underlying the Multiclass ssets, as of May 1, 2006, are shown under Terms Sheet Ì Mortgage Characteristics. However, the actual characteristics of most of the Mortgages diåer from those assumed or shown, perhaps signiñcantly. This is the case even if the weighted average characteristics of the Mortgages are the same as those of mortgages having the characteristics assumed or shown. 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''). On each Payment ate, TC remits payments on the Retail Class to those TC Participants that held Retail Class Units of record as of the related Record ate. S-13

14 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. The following deñnition also applies to certain Classes of this Series: Freddie Mac Standard bbreviation Category of Class eñnition Interest S Structured Formula Floating Rate and Inverse Floating Rate Classes with Class Coupons that are periodically reset using a formula other than an Index (without any multiplier) plus a constant, in the case of Floating Rate Classes, or a constant minus an Index (without any multiplier), in the case of Inverse Floating Rate Classes, and which are not designated as Toggle Classes. We pay 30 days' interest on each Payment ate to the Holders of each Class on which interest has accrued, except that the ccrual Class receives payments as described below. We calculate each interest payment on the outstanding balance of the Class as of the related Record ate and on the basis of a 360-day year of twelve 30-day months. ccrual Period The ""ccrual Period'' for each Payment ate is: For Fixed Rate Classes Ì the preceding calendar month. For Floating Rate and Inverse Floating Rate Classes Ì from the 15th of the preceding month to the 15th of the month of that Payment ate. Fixed Rate Classes The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and ppendix. Principal Only Classes The Principal Only Classes are shown under Terms Sheet Ì Interest. They do not bear interest. Call Class G1 is a Call Class and does not bear interest. S-14

15 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 Class Z is an ccrual Class. It does not receive interest payments; rather, interest accrued on the ccrual Class during each ccrual Period is added to its principal amount on the related Payment ate. We pay principal on the 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, subject to special allocation procedures for investors in the Retail Class. mount of Payments The principal payments on the CertiÑcates on each Payment ate equal: The amount of interest accrued on the ccrual Class during the related ccrual Period and not payable as interest on that Payment ate (the ""ccrual mount''). 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 mount and the sset Principal mounts for that Payment ate as described under Terms Sheet Ì Principal. Principal allocable to the Classes receiving payments from a particular sset Group will be allocated only to those Classes and will not be available for Classes receiving payments from the other sset Groups. Retail Class ppendix IV to the OÅering Circular describes how we make principal payments on the Retail Class. S-15

16 Call Class The Call Class does not receive payments of principal. The Call Class has a notional principal amount equal at all times to the aggregate principal amount of the Guaranteed Maturity Classes. 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 the 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 Class Factor for the 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 on (or for the 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. (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 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 the Call Class all proceeds due upon exercise of the 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 UN and 3083-X may, and the other Multiclass ssets will not, become subject to the similar 1% Clean-up Call Rights in their Series. See escription of CertiÑcates Ì Payments Ì 1% Clean-up Call in the OÅering Circular. Residual Proceeds Upon surrender of their CertiÑcates to the Registrar, the Holders of each Residual Class will receive the proceeds of any remaining assets of the related REMIC Pool after all required principal and interest payments on the Classes have been made. ny remaining assets are likely to be insigniñcant. For R, they will include the Retail Rounding ccount. See escription of CertiÑcates Ì Payments Ì Residual Classes in the OÅering Circular. S-16

17 General Mortgage Prepayments PREPYMENT N YIEL NLYSIS The rates of principal payments on the ssets and the CertiÑcates will depend on the rates of principal payments, including prepayments, on the underlying Mortgages. The Mortgages are subject to prepayment at any time without penalty. Mortgage prepayment rates Öuctuate continuously and, in some market conditions, substantially. See Prepayment, Yield and Suitability Considerations Ì Prepayments in the OÅering Circular for a discussion of Mortgage prepayment considerations and risks. Yield s an investor in the CertiÑcates, your yield will depend on: Your purchase price. The rate of principal payments on the underlying Mortgages. The actual characteristics of the underlying Mortgages. If you own a Floating Rate or Inverse Floating Rate Class, the level of LIOR. If you own a Fixed Rate Class, the delay between its ccrual Period and the related Payment ate. If you own Retail Class Units, when they retire as a result of the special Retail Class principal payment rules described in ppendix IV to the OÅering Circular. If you own a Group 2 or 4 Class, the payment priorities of the related Multiclass ssets in their own Series, as described in the Terms Sheets of the Multiclass sset OÅering Circulars. See Prepayment, Yield and Suitability Considerations Ì Yields in the OÅering Circular for a discussion of yield considerations and risks. Suitability The CertiÑcates may not be suitable investments for you. See Prepayment, Yield and Suitability Considerations Ì Suitability in the OÅering Circular for a discussion of suitability considerations and risks. Modeling ssumptions To prepare the tables in this Supplement, we have made several assumptions. Unless otherwise noted, each table employs the following assumptions (the ""Modeling ssumptions''), among others: The Mortgages underlying the PC ssets have the characteristics shown under Terms Sheet Ì Mortgage Characteristics. s of May 1, 2006, each Mortgage underlying the Multiclass ssets has a remaining term to maturity equal to the weighted average remaining term to maturity, a loan age S-17

18 equal to the weighted average loan age, and an interest rate equal to the weighted average interest rate, of all the Mortgages underlying the same PC. s of the Closing ate, the ssets have the balances shown under Terms Sheet Ì The ssets. The Multiclass ssets receive payments as described in the Multiclass sset OÅering Circulars. The Classes and ssets always receive payments on the 15th of the month, whether or not a usiness ay. We do not exercise our 1% Clean-up Call Right. We do not round Retail Class principal payments to multiples of $1,000. 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 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. 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 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 EÅective Range shown in the following table. Class Initial EÅective Ranges Type I PC FO and PF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC LT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled M ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Range 100% PS - 300% PS 135% PS - 330% PS 135% PS - 329% PS 135% PS - 303% PS S-18

19 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 ""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 EÅective Range will no longer exist. If a Type II PC or Scheduled 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 Type I PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Type II PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Scheduled ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Supported by Type II PC, Scheduled and Support L, L, LC and LL MC, M, ME and MG 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 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 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 and Scheduled Classes will receive scheduled payments will not beneñt from averaging high and low principal payments in diåerent months. Support Classes The following discussion relates to the Group 5 Support Classes. We have classiñed the Group 4 Classes as Support Classes because their underlying ssets are 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 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-19

20 Shifting Payment Percentage Classes Groups 1 and 3 include Shifting Payment Percentage Classes. These Classes consist of Non- ccelerated Securities and ccelerated Securities. The Non-ccelerated Securities are entitled to an allocation of principal up to the related Priority mount before any principal received on the underlying ssets is payable to the related ccelerated Securities. Each Priority mount includes a prescribed allocation of scheduled principal payments and prepayments on the underlying Mortgages that varies over time. s a result of these allocations, under many prepayment scenarios the weighted average lives of the Non-ccelerated Securities should be more stable, and those of the related ccelerated Securities should be less stable, than would be the case if they received principal payments in a strictly sequential manner. Sequential Pay Classes The Sequential Pay Classes receive principal payments from their related ssets in a prescribed sequence, subject to any applicable Priority mount. Pass-Through Classes Each Pass-Through Class receives all or a speciñed portion of the principal payments made on the related ssets. The sensitivity of a Pass-Through Class to prepayments on the underlying Mortgages is the same as that of the related ssets. The Multiclass ssets The Group 2 ssets consist of PC Classes, which were designed to receive principal payments in accordance with schedules. ased on the Modeling ssumptions for this Series, these PC Classes currently do not have any EÅective Range or Rate. We cannot predict whether or for how long any such Class might adhere to its schedule. The Group 4 ssets consist of Support Classes. These Support Classes may receive no principal payments for extended periods of time and may receive principal payments that vary widely from month to month. See Prepayment and Yield nalysis in the Multiclass sset OÅering Circulars. MCR Classes The payment characteristics of the MCR Classes reöect the payment characteristics of their related REMIC Classes. Retail Class Principal payments on the Retail Class will depend on the prepayment rate on the underlying Mortgages. s a result, it is uncertain when principal payments on the Retail Class will begin, how fast they will occur and when the Retail Class will retire. Under some prepayment scenarios, your Retail Class Units could retire on the Ñrst Payment ate. On the other hand, they could retire as late as the Final Payment ate for the Retail Class. S-20

21 The amount of principal available for payment on the Retail Class on any given Payment ate will be limited. s a result, if you request a Retail Class principal payment, your request may not be honored until long after you submit it. The likelihood that your request will be honored at any particular time will depend in part on the number of Retail Class Units owned by eceased Owners who have a prior right of payment and on the number of Retail Class Units owned by other Living Owners who have submitted requests. On the other hand, the amount of principal available for payment on the Retail Class on any given Payment ate could exceed the amount necessary to honor all requests. In that case, you may receive principal payments you did not request. When prevailing interest rates are higher than the Class Coupon of the Retail Class, a greater number of investors in that Class are likely to request Retail Class principal payments. t the same time, however, Mortgage prepayment rates are likely to decline, reducing the funds available for Retail Class principal payments. y contrast, Mortgage prepayment rates are likely to accelerate when prevailing interest rates decline, while investors may be less likely to request Retail Class principal payments. If your Retail Class Units are selected for payment under such conditions, you may not be able to reinvest your payments in comparable securities at as high a yield. The following table shows the amounts that would be available for principal payments on the Retail Class during the twelve-month periods indicated at various percentages of PS. We have prepared this table using the Modeling ssumptions. ecause you will receive principal payments on the Retail Class in multiples of $1,000 and subject to special payment rules, you may not receive a principal payment on any particular date. S-21

22 mounts vailable for Principal Payments LL Class (mounts in Thousands) Twelve Consecutive PS Prepayment ssumption Months Through 100% 270% 300% 600% May 15, 2007 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ$ 0 $ 493 $ 603 $1,708 May 15, 2008 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 1,085 1,319 3,292 May 15, 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 1,265 1,514 0 May 15, 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ,074 0 May 15, 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ May 15, 2033 and after ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Total* ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ$5,000 $5,000 $5,000 $5,000 * Totals may not equal sums of columns due to rounding. The amounts available for principal payments on the Retail Class during any twelve-month period are likely to diåer in many cases from the amounts shown in the table. The weighted average lives of the Retail Class shown in the declining balances table below apply to that Class as a whole; the weighted average lives of your Retail Class Units will vary, and may vary signiñcantly, from the weighted average life of the Retail Class. We cannot predict the weighted average life of the Retail Class as a whole, much less the weighted average life of any particular Retail Class Unit. S-22