Deutsche Bank Securities

Offering Circular Supplement (To Offering Circular Dated December 31, 2007) $371,572,054 Freddie Mac Multiclass Certificates, Series 3635 Offered Classes: REMIC Classes shown below and MACR Classes shown on Appendix A Offering Terms: The underwriter named below is offering the Classes in negotiated transactions at varying prices Closing Date: February 26, 2010 REMIC Classes Original Balance Principal Type(1) Class Coupon Interest Type(1) CUSIP Number Final Payment Date Group 1 AC... VA... $127,527,000 9,484,000 SEQ AD/SEQ 5.0% 5.0 FIX FIX 31398W H T 4 31398W J 9 6 February 15, 2038 February 15, 2021 VB... ZA... 1,962,600 13,026,400 AD/SEQ SEQ 5.0 5.0 FIX FIX/Z 31398W J A 3 31398W J D 7 October 15, 2022 February 15, 2040 Group 2 FB... IB... 94,684,375 94,684,375 PT NTL(PT) (2) (2) FLT/W/DLY INV/W/IO/DLY 31398WHY3 31398W J 2 1 October 15, 2037 October 15, 2037 Group 3 A Z...... 25,454,595 1,000,000 SEQ SEQ 4.5 4.5 FIX FIX/Z 31398W H S 6 31398W J C 9 May 15, 2038 February 15, 2040 Group 4 AY... DA... 20,933,084 62,000,000 SEQ SEQ 4.0 3.25 FIX FIX 31398WHV9 31398WHW7 February 15, 2030 July 15, 2027 FA... SD... 15,500,000 15,500,000 SEQ NTL(SEQ) (2) (2) FLT INV/IO 31398WHX5 31398W J 7 0 July 15, 2027 July 15, 2027 TA... 15,500,000 NTL(SEQ) (2) INV/IO 31398W J 8 8 July 15, 2027 Residual R... 0 NPR 0.0 NPR 31398W J 3 9 February 15, 2040 RS... 0 NPR 0.0 NPR 31398W N 4 2 February 15, 2040 (1) See Appendix II to the Offering Circular. (2) See Terms Sheet Interest. The Certificates may not be suitable investments for you. You should not purchase Certificates unless you have carefully considered and are able to bear the associated prepayment, interest rate, yield and market risks of investing in them. Certain Risk Considerations on page S-2 highlights some of these risks. You should purchase Certificates only if you have read and understood this Supplement, the attached Offering Circular and the documents listed under Available Information. We guarantee principal and interest payments on the Certificates. These payments are not guaranteed by and are not debts or obligations of the United States or any federal agency or instrumentality other than Freddie Mac. The Certificates are not tax-exempt. Because of applicable securities law exemptions, we have not registered the Certificates with any federal or state securities commission. No securities commission has reviewed this Supplement. Deutsche Bank Securities January 27, 2010

CERTAIN RISK CONSIDERATIONS Although we guarantee the payments on the Certificates, and so bear the associated credit risk, as an investor you will bear the other risks of owning mortgage securities. This section highlights some of these risks. You should also read Risk Factors and Prepayment, Yield and Suitability Considerations in the Offering Circular for further discussions of these risks. The Certificates May Not be Suitable Investments for You. The Certificates are complex securities. You should not purchase Certificates unless you are able to understand and bear the associated prepayment, interest rate, yield and market risks. In particular, the Interest Only, Inverse Floating Rate, Weighted Average Coupon, Accrual and Residual Classes have special risks and are not suitable for all investors. Prepayments Can Reduce Your Yield. The yield on your Certificates could be lower than you expect if: You buy your Certificates at a premium over their principal amount and principal payments are faster than you expect. You buy your Certificates at a discount to their principal amount and principal payments are slower than you expect. If you buy an Interest Only Class and prepayments are fast, you may not even recover your investment. There may be substantial prepayments in March 2010 and thereafter on Gold PCs, and in April 2010 and thereafter on ARM PCs, as Freddie Mac repurchases substantially all Mortgages that are 120 or more days delinquent from its PC Pools. See the Offering Circular Supplement dated February 15, 2010 to our Mortgage Participation Certificates Offering Circular dated September 25, 2009. The Weighted Average Interest Rate of the Group 2 Assets Can Reduce Your Yield if You Own a Weighted Average Coupon Class. The yields on the Weighted Average Coupon Classes could be lower than you expect if the weighted average interest rate of the Group 2 Assets is lower than you expect. LIBOR Levels Can Reduce Your Yield if You Own a Floating Rate or Inverse Floating Rate Class. The yield on your Certificates could be lower than you expect if: You buy a Floating Rate Class and LIBOR levels are lower than you expect. You buy an Inverse Floating Rate Class and LIBOR levels are higher than you expect. If you buy an Inverse Floating Rate Class, you may not even recover your investment if LIBOR levels are high or prepayments are fast. Most of the Group 2 Assets are Backed By Initial Interest Mortgages. Principal payment and prepayment rates on Initial Interest Mortgages are likely to differ from principal payment and prepayment rates on otherwise similar continuously amortizing Mortgages. See Prepayment and Yield Analysis General. Some of the Group 2 Assets are Backed by Prepayment Penalty Mortgages. The Prepayment Penalty Mortgages require a borrower to pay a prepayment premium under certain circumstances if the borrower prepays the Mortgage during periods of up to five years from origination. A prepayment premium may or may not discourage a borrower from prepaying the Mortgage during the applicable period. We do not pass prepayment premiums through to investors. The Certificates are Subject to Market Risks. You will bear all of the market risks of your investment. The market value of your Certificates will vary over time, primarily in response to changes in prevailing interest rates. If you sell your Certificates when their market value is low, you may experience significant losses. The underwriter named on the front cover (the Underwriter ) intends to make a market for the purchase and sale of the Certificates after they are issued, but has no obligation to do so. A secondary market may not develop. Even if one does develop, it may not be liquid enough to allow you to sell your Certificates easily or at your desired price. Our Multiclass Certificates Offering Circular dated December 31, 2007 (the Offering Circular ), attached to this Supplement, defines many of the terms we use in this Supplement. S-2

TERMS SHEET This Terms Sheet contains selected information about this Series. You should refer to the remainder of this Supplement for further information. In this Supplement, we refer to Classes only by their letter designations. For example, R refers to the R Class of this Series. Payment Dates We make payments of principal and interest on the Certificates on each monthly Payment Date beginning in April 2010 for the Group 2 Classes and March 2010 for the other Classes. Form of Classes Regular and MACR Classes: Book-entry on Fed System Residual Classes: Certificated Interest The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and Appendix A. The following Floating Rate and Inverse Floating Rate Classes bear interest as shown in the following table. The initial Class Coupons apply only to the first Accrual Period. We determine LIBOR using the BBA Method. Class Initial Class Class Coupon Subject to Coupon Class Coupon Formula Minimum Rate Maximum Rate FA.......................... 0.73531% LIBOR + 0.5% 0.5% 7.0% FC*......................... 0.83531 LIBOR + 0.6% 0.6 7.0 SA*......................... 6.26469 6.5% LIBOR 0 6.5 SC*......................... 6.16469 6.4% LIBOR 0 6.4 SD.......................... 6.16469 6.4% LIBOR 0 6.4 TA.......................... 0.1 6.5% LIBOR 0 0.1 * MACR Class. The Weighted Average Coupon Classes bear interest as shown in the following table. The initial Class Coupons apply only to the first Accrual Period. The Class Coupon for each Weighted Average Coupon Class will vary from month to month, as the related Mortgages reduce at different rates, as the weighted average interest rate of the Group 2 Assets varies and as the level of LIBOR varies. As used in the table, WAC means the weighted average interest rate of the Group 2 Assets for the related Payment Date and LIBOR means one-month LIBOR. We determine LIBOR using the BBA method. Class Initial Class Coupon Class Coupon Formula Minimum Class Coupon FB*.......... 0.87875% The lesser of (a) WAC and (b) LIBOR + 0.65% 0.65% IB*........... 5.0125226061 (a) WAC minus (b) LIBOR + 0.65% 0.0 * Delay Class. See Appendix V to the Offering Circular and Payments Interest. S-3

Notional Classes Original Notional Class Principal Amount Reduces Proportionately With Group 2 IB $94,684,375 Group 2 Assets Group 4 SA* $15,500,000 FA (SEQ) SC* 15,500,000 FA (SEQ) SD 15,500,000 FA (SEQ) TA 15,500,000 FA (SEQ) * MACR Class. See Payments Interest Notional Classes. MACR Classes This Series includes MACR Classes. Appendix A shows the characteristics of the MACR Classes and the Combinations of REMIC and MACR Classes. See Appendix III to the Offering Circular for a description of MACR Certificates and exchange procedures and fees. Principal REMIC Classes On each Payment Date, we pay: Accretion Directed and Accrual Sequential Pay Group 1 The ZA Accrual Amount to VA and VB, in that order, until retired, and then to ZA The Group 1 Asset Principal Amount to AC, VA, VB and ZA, in that order, until retired Pass- Through Group 2 The Group 2 Asset Principal Amount to FB, until retired Group 3 Sequential Pay The Z Accrual Amount and the Group 3 Asset Principal Amount to A and Z, in that order, until retired Sequential Pay Group 4 The Group 4 Asset Principal Amount in the following order of priority: 1. To DA and FA, pro rata, until retired 2. To AY, until retired See Payments Principal and Prepayment and Yield Analysis. S-4

MACR Classes On each Payment Date when MACR Certificates are outstanding, we allocate principal payments from the applicable REMIC Certificates to the related MACR Certificates that are entitled to principal, as described under MACR 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 Average Lives (in years)* Group 1 0% 100% 319% 500% 700% AC...................................... 18.5 7.0 2.8 1.7 1.2 AJ....................................... 29.0 20.4 11.4 7.4 5.0 VA... 6.0 6.0 5.5 4.2 3.1 VB...................................... 11.8 11.8 8.3 5.6 3.9 VC... 7.0 7.0 6.0 4.4 3.2 ZA...................................... 29.0 20.4 12.1 8.2 5.7 Group 1 Assets............................. 20.2 9.1 4.2 2.6 1.8 Group 2 CPR Prepayment Assumption 0% 10% 20% 30% 40% FB, IB and Group 2 Assets...................... 17.3 7.6 4.3 2.8 2.0 Group 3 0% 100% 326% 500% 700% A........................................ 18.3 8.6 3.6 2.3 1.6 Z........................................ 29.1 24.4 15.0 10.4 7.2 Group 3 Assets............................. 19.9 9.9 4.2 2.7 1.9 Group 4 0% 100% 207% 350% 500% AY...................................... 18.8 15.7 12.7 9.3 7.0 DA, FA, FC, SA, SC, SD and TA............... 10.3 5.7 3.9 2.7 2.1 Group 4 Assets............................. 12.1 7.8 5.8 4.1 3.1 * We calculate weighted average lives based on the assumptions described in Prepayment and Yield Analysis. The actual weighted average lives are likely to differ from those shown, perhaps significantly. S-5

The Assets The Group 1, 3 and 4 Assets (the PC Assets ) consist of Freddie Mac PCs with the following characteristics: Group Principal Balance Original Term (in years) Interest Rate 1 $152,000,000 30 5.0% 3* 26,454,595 30 4.5 4 98,433,084 20 4.0 * Backed by Relocation Mortgages. See General Information The Mortgages. The Group 2 Assets (the ARM Assets ) consist of $94,684,375 of 30-year Freddie Mac ARM Giant PCs with the Pool Numbers shown in Appendix B. The ARM Assets are backed by 30-year, adjustable rate mortgages ( ARMs ). The ARMs have fixed interest rates for their first five years, after which their interest rates and monthly payment amounts will adjust annually or semi-annually based on One-Year LIBOR or Six-Month LIBOR, as determined under the terms of the ARMs ( One-Year LIBOR and Six-Month LIBOR, respectively), plus a specified percentage, or margin. The interest rates can increase or decrease up to 5% on their initial adjustment date and can increase or decrease up to 1% or 2% on each adjustment date thereafter, subject in each case to a lifetime ceiling, generally of approximately 5% or 6% above their initial fixed rate. Approximately 79.86% of the ARM Assets are backed by Initial Interest Mortgages that require payments of accrued interest (but do not require payments of principal) for up to five or ten years following origination. In addition, approximately 17.95% of the ARM Assets are backed by Prepayment Penalty Mortgages and approximately 7.42% are backed by Reduced Servicing Fee Mortgages. See General Information The Mortgages. See General Information Structure of Transaction. We will publish a Supplemental Statement applicable to this Series shortly after the Closing Date. The Supplemental Statement will contain a schedule of the Assets and other information. See Available Information. Mortgage Characteristics (as of February 1, 2010) PC Assets Assumed Mortgage Characteristics Group Principal Balance Remaining Term to Maturity (in months) Loan Age (in months) Per Annum Interest Rate Per Annum Interest Rate of Related PCs 1 $152,000,000 293 60 5.680% 5.0% 3 26,454,595 335 22 4.961 4.5 4 98,433,084 232 7 4.580 4.0 ARM Assets Mortgage Characteristics Appendix B lists certain characteristics of the Mortgages underlying the ARM Assets. The actual characteristics of the Mortgages differ from those shown, in some cases significantly. See General Information The Mortgages. S-6

AVAILABLE INFORMATION We registered our common stock with the U.S. Securities and Exchange Commission (the SEC ) under the Securities Exchange Act of 1934 (the Exchange Act ), effective July 18, 2008. As a result, we now file annual, quarterly and current reports, proxy statements and other information with the SEC. Prior to July 18, 2008, we prepared an annual Information Statement (containing annual financial disclosures and audited consolidated financial statements) and Information Statement Supplements (containing periodic updates to the annual Information Statement). As described below, we incorporate certain documents by reference in this Supplement, which means that we are disclosing information to you by referring you to those documents rather than by providing you with separate copies. We incorporate the following documents by reference in this Supplement: Our Annual Report on Form 10-K for the year ended December 31, 2008, filed with the SEC on March 11, 2009. All other reports we have filed with the SEC pursuant to Section 13(a) of the Exchange Act since December 31, 2008, excluding any information furnished to the SEC on Form 8-K. All documents that we file with the SEC pursuant to Section 13(a), 13(c) or 14 of the Exchange Act after the date of this Supplement and prior to the termination of the offering of the Certificates, excluding any information that we furnish to the SEC on Form 8-K. Our Mortgage Participation Certificates Offering Circular dated September 25, 2009 and the related Offering Circular Supplement dated February 15, 2010, which together describe Gold PCs and ARM PCs generally. Our Giant and Other Pass-Through Certificates Offering Circular dated December 31, 2007 and the related Offering Circular Supplements dated July 18, 2008 and March 11, 2009, which together describe Gold Giant PCs and ARM Giant PCs generally. Thesedocuments are collectively referred toasthe Incorporated Documents and are considered part of this Supplement. You should purchase Certificates only if you have read and understood this Supplement, the Offering Circular and the Incorporated Documents. Information that we incorporate by reference will automatically update information in this Supplement. We will also publish a Supplemental Statement applicable to this Series shortly after the Closing Date. The Supplemental Statement will contain a schedule of the Assets and other information. You should rely only on the most current information provided or incorporated by reference in this Supplement and any applicable Supplemental Statement. You may read and copy any document we file with the SEC at the SEC s public reference room at 100 F Street, N.E., Washington, D.C. 20549. Please call the SEC at 1-800-SEC-0330 for further information on the public reference room. The SEC also maintains a website at http://www.sec.gov that contains reports, proxy and information statements, and other information regarding companies that file electronically with the SEC. S-7

You can obtain, without charge, copies of the Incorporated Documents, any documents we subsequently file with the SEC, the Trust Agreement and current information concerning the Assets and Certificates, as well as the disclosure documents and current information for any other securities we issue, from our Investor Inquiry Department or our internet website as described on page 4 of the Offering Circular. You can also obtain the documents listed above from the Underwriter at: Deutsche Bank Securities Inc. Attn: Syndication Operations 60 Wall Street New York, New York 10005 (212) 469-5000 The Trust Agreement GENERAL INFORMATION We will form a trust fund to hold the Assets and to issue the Certificates, each pursuant to the Multiclass Certificates Master Trust Agreement dated December 31, 2007 and a Terms Supplement dated the Closing Date (together, the Trust Agreement ). We will act as Trustee and Administrator under the Trust Agreement. You should refer to the Trust Agreement for a complete description of your rights and obligations and those of Freddie Mac. You will acquire your Certificates subject to the terms and conditions of the Trust Agreement, including the Terms Supplement. Form of Certificates The Regular and MACR 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 MACR Class. As an investor in Certificates, you are not necessarily the Holder. See Description of Certificates Form, Holders and Payment Procedures in the Offering Circular. Denominations of Certificates See Description of Certificates Form, Holders and Payment Procedures in the Offering Circular for the minimum denominations of the Classes. Structure of Transaction General This Series is a Double-Tier Series, structured as follows: REMIC Pool Classes Issued from REMIC Pool REMIC Pool Assets Upper-Tier All Regular Classes and R All Lower-Tier regular interests Lower-Tier RS The Assets See Description of Certificates REMIC Pool Structures in the Offering Circular. S-8

The PC Assets The PC Assets are Gold PCs and/or Gold Giant PCs. The ARM Assets The ARM Assets are ARM Giant PCs, which are backed by ARM PCs. Each ARM PC bears interest at an annual rate equal to the weighted average of the interest rates of the related ARMs, less the rates of servicing fees and management and guarantee fees. Each ARM bears interest at an annual rate which is based on the level of One-Year LIBOR or Six-Month LIBOR, plus a margin. The interest rate applicable to a given payment on an ARM PC is the rate in effect for the second month preceding the month in which that payment is made. In general, all principal payments (including prepayments) and scheduled interest payments (less servicing fees and Freddie Mac s management and guarantee fee) on the underlying Mortgages are passed through on the related ARM PC, in each case monthly. The Mortgages The Mortgages underlying the Assets (the Mortgages ) are first lien residential mortgages and mortgage participations. For purposes of this Supplement, we have made certain assumptions regarding the Mortgages underlying the PC Assets, as shown under Terms Sheet Mortgage Characteristics. The weighted average remaining terms to maturity, weighted average loan ages, weighted average remaining terms to amortization (if applicable), weighted average current interest rates and other weighted average characteristics of the Mortgages underlying the ARM Assets, as of February 1, 2010, are shown in Appendix B. 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. Approximately 79.86% of the Group 2 Assets are backed by Initial Interest Mortgages. An Initial Interest Mortgage permits monthly payments of only accrued interest on the principal balance of the Mortgage for a specified extended initial period, followed by monthly payments of principal and interest (subject to periodic adjustments) for the remaining term of the Initial Interest Mortgage. Full or partial prepayments may be made at any time under Initial Interest Mortgages. In the case of a partial prepayment during the initial interest only period, the borrower s monthly payment is reduced to reflect the reduced principal balance of the Initial Interest Mortgage. Approximately 17.95% of the Group 2 Assets are backed by Prepayment Penalty Mortgages. A Prepayment Penalty Mortgage requires prepayment premiums to be paid under certain circumstances when prepayments are made within a specified time period. The requirement to pay prepayment premiums may last up to, but no longer than, five years. are: These Mortgages have various types of prepayment premiums that may be charged. Some examples A specified percentage of the prepayment amount (for example, 1%, 2% or 5%); 5% on prepaid amounts if prepaid in the first year after origination, 4% if prepaid in the second year, or 3% if prepaid in the third year; 6 months advance interest at the interest rate on the Mortgage on prepaid amounts exceeding 20% of the original principal balance; S-9

2% or 5% on prepaid amounts exceeding 20% of the original principal balance; A certain number of months (for example, 2, 3 or 6 months) of advance interest at the interest rate on the Mortgage on the original unpaid principal balance; 2 months advance interest at the interest rate on the Mortgage on one-third of the prepayment amount; and For a prepayment in full, the lesser of a specified percentage of the prepayment amount (for example, 2%) or a certain number of months (for example, 2 months) of advance interest at the interest rate on the Mortgage on 100% of the prepayment amount. Servicers have the option not to enforce prepayment premiums if they result from a sale of the mortgaged property, but otherwise are generally required to enforce them according to the terms of the Mortgage and applicable law. The servicer retains the prepayment premium. It is not passed through to investors. Approximately 7.42% of the Group 2 Assets are backed by Reduced Servicing Fee Mortgages. On account of arrangements between the sellers of these Mortgages and us, Reduced Servicing Fee Mortgages have minimum servicing fee levels that are below 0.25% per annum of the principal balances of such Mortgages, which is the prevailing minimum servicing fee level for Mortgages we acquire. The Mortgages underlying the Group 3 Assets are Relocation Mortgages. A Relocation Mortgage is a Mortgage made to a transferred or newly hired employee to finance a home purchase at a new job location. A Relocation Mortgage usually requires an employer contribution to Mortgage funding, which may be significant. Relocation Mortgages typically are originated by agreement between the employer and a lender under a program administered by the employer or its agent. We may furnish some or all of the Assets from our own portfolio. Assets from our portfolio, or from other sources, may emphasize specific Mortgage characteristics, such as loan purpose, source of origination, geographic distribution or loan size, or specific borrower characteristics, such as credit rating or equity in the property. You can obtain information about the underlying Mortgage characteristics for the Assets from our internet website. Payment Dates; Record Dates PAYMENTS We make payments of principal and interest on the Certificates on each Payment Date, beginning in the month (or second month, in the case of the Group 2 Assets) following the Closing Date. A Payment Date is the 15th of each month or, if the 15th is not a Business Day, the next Business Day. On each Payment Date, any payment on a Certificate is made to the Holder of record as of the end of the preceding calendar month (or second preceding calendar month, in the case of the Group 2 Classes) (each, a Record Date ). Method of Payment You will receive payments on your Certificates in the manner described under Description of Certificates Form, Holders and Payment Procedures in the Offering Circular. S-10

Categories of Classes For purposes of principal and interest payments, we have categorized the Classes as shown under Principal Type and Interest Type on the front cover and Appendix A. Appendix II to the Offering Circular explains the abbreviations used for categories of Classes. Interest We pay 30 days interest on each Payment Date to the Holders of each Class on which interest has accrued, except that the Accrual Classes receive payments as described below. We calculate each interest payment on the outstanding balance of the Class immediately before the Payment Date. We calculate each interest payment on the basis of a 360-day year of twelve 30-day months. Accrual Period The Accrual Period for each Payment Date is: For Fixed Rate Classes the preceding calendar month. For Floating Rate and Inverse Floating Rate Classes other than Group 2 Classes from the 15th of the preceding month to the 15th of the month of that Payment Date. For Group 2 Classes the second preceding calendar month. Fixed Rate Classes The Fixed Rate Classes bear interest at the Class Coupons shown on the front cover and Appendix A. Notional Classes The Notional Classes do not receive principal payments. For calculating interest payments, the Notional Classes have notional principal amounts that will reduce as shown under Terms Sheet Notional Classes. Floating Rate and Inverse Floating Rate Classes The Floating Rate and Inverse Floating Rate Classes bear interest as shown under Terms Sheet Interest. Their Class Coupons are based on one-month LIBOR. We determine LIBOR and calculate the Class Coupons for the Floating Rate and Inverse Floating Rate Classes as described in Appendix V to the Offering Circular. Accrual Classes Z and ZA are Accrual Classes. The Accrual Classes do not receive interest payments; rather, interest accrued on an Accrual Class during each Accrual Period is added to its principal amount on the related Payment Date. We pay principal on each Accrual Class, including accrued interest that has been added to its principal amount, as described under Terms Sheet Principal. Weighted Average Coupon Classes The Weighted Average Coupon Classes bear interest as described under Terms Sheet Interest. S-11

Principal We pay principal on each Payment Date to the Holders of the Classes on which principal is then due. Holders receive principal payments on a pro rata basis among the Certificates of their Class. Amount of Payments The principal payments on the Certificates on each Payment Date equal: The amount of interest accrued on each Accrual Class during the related Accrual Period and not payable as interest on that Payment Date (the Z Accrual Amount and the ZA Accrual Amount ). The amount of principal required to be paid in the same month on the Assets of each Group (the Group 1 Asset Principal Amount, the Group 2 Asset Principal Amount and so forth). Allocation of Payments On each Payment Date, we pay the Accrual Amounts and the Asset Principal Amounts for that Payment Date as described under Terms Sheet Principal. Principal allocable to the Classes receiving payments from a particular Asset Group will be allocated only to those Classes and will not be available for Classes receiving payments from the other Asset Groups. Class Factors General We make Class Factors available on or about the fifth business day of each month after the Closing Date. See Description of Certificates Payments Class Factors in the Offering Circular. Use of Factors You can calculate principal and interest payments by using the Class Factors. For example, the reduction (or for an Accrual Class, the increase) in the balance of a Certificate in February (or March, in the case of the Group 2 Classes) 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 Accrual Class, added to the principal balance of) a Certificate in February (or March, in the case of the Group 2 Classes) will equal 30 days interest at its Class Coupon, accrued during the related Accrual Period, on the balance of that Certificate determined by its January Class Factor. Guarantees We guarantee to each Holder of a Certificate the timely payment of interest at its Class Coupon and the payment of its principal amount as described in this Supplement. See Description of Certificates Payments Guarantees in the Offering Circular. 1% Clean-up Call We have a 1% Clean-up Call Right. If we exercise this right, all of the Classes then outstanding will be paid in full and will retire. See Description of Certificates Payments 1% Clean-up Call in the Offering Circular. S-12

Residual Proceeds Upon surrender of their Certificates to the Registrar, the Holders of each Residual Class will receive the proceeds of any remaining assets of the related REMIC Pool after all required principal and interest payments on the Classes have been made. Any remaining assets are likely to be insignificant. See Description of Certificates Payments Residual Classes in the Offering Circular. General Mortgage Prepayments PREPAYMENT AND YIELD ANALYSIS The rates of principal payments on the Assets and the Certificates will depend on the rates of principal payments, including prepayments, on the underlying Mortgages. The Mortgages are subject to prepayment at any time, subject to any applicable prepayment premium. A prepayment premium may or may not discourage a borrower from prepaying a Mortgage. 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. Initial Interest Mortgages permit borrowers to pay only accrued interest for extended periods without requiring scheduled principal payments. When scheduled principal payments on these Mortgages commence, the required monthly payment may increase substantially because scheduled principal payments are calculated to pay off such a Mortgage over its then remaining term at the then current interest rate. In addition, unless the borrower makes unscheduled principal payments during the interest only period, equity accretion for the borrower during that period will result solely from market price appreciation on the related property. These factors will affect the prepayment behavior of these Mortgages. The weighted average life of an Initial Interest Mortgage will differ from the weighted average life of an otherwise similar ARM having the same principal amount, interest rate and maturity and, as a result, its yield may be more or less than the yield of the otherwise similar ARM, depending on its purchase price. Assets backed by Initial Interest Mortgages may therefore have different yields than Assets backed by otherwise similar ARMs. Moreover, prepayments of Initial Interest Mortgages during the interest only period may affect yields on the related Assets more than similar prepayments would affect the yields on Assets backed by otherwise similar ARMs. Some of the Group 2 Assets are backed by Reduced Servicing Fee Mortgages. These Mortgages may experience different prepayment rates than Mortgages to which our prevailing minimum servicing fee level applies and which have similar interest rates or are included in PCs with similar pass-through rates. 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 borrower will be relocated again and the frequency with which further relocations occur. We do not collect information relating to these factors from mortgage sellers or servicers. Borrowers 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 prepayments on the Relocation Mortgages underlying the Group 3 Assets. S-13

Yield As an investor in the Certificates, your yield will depend on: Your purchase price. The rate of principal payments on the underlying Mortgages. The actual characteristics of the underlying Mortgages. If you own a Floating Rate or Inverse Floating Rate Class, the level of LIBOR. If you own a Fixed Rate or Weighted Average Coupon Class, the delay between each Accrual Period and the related Payment Date. If you own a Weighted Average Coupon Class, the differing rates at which the Group 2 Assets reduce and the effects of periodic interest rate adjustments (and associated interest rate adjustment caps and lifetime ceilings) on the levels of Mortgage payments. 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 Assumptions To prepare the tables in this Supplement, we have made several assumptions. Unless otherwise noted, each table employs the following assumptions (the Modeling Assumptions ), among others: The Mortgages underlying the PC Assets have the characteristics shown under Terms Sheet Mortgage Characteristics. As of February 1, 2010, each Mortgage underlying the ARM Assets has the same characteristics as the weighted average characteristics of all the Mortgages underlying the same ARM Giant PC shown in Appendix B. As of the Closing Date, the Assets have the balances shown under Terms Sheet The Assets. One-Year LIBOR is 1.054% per annum at all times and Six-Month LIBOR is 0.484% per annum at all times. The Classes and Assets always receive payments on the 15th of the month, whether or not a Business Day. We do not exercise our 1% Clean-up Call Right. Each Class is outstanding from the Closing Date to retirement and no exchanges occur. The Modeling Assumptions, like any other stated assumptions, are likely to differ from actual experience in many cases. For example, the Mortgages have characteristics more diverse than those assumed, many Payment Dates will occur on a Business Day after the dates assumed and we may exercise our 1% Clean-up Call Right. Moreover, Mortgage prepayment rates will differ from the percentages of S-14

PSA and CPR shown in the tables. These differences will affect the actual payment behavior, weighted average lives and yields of the Classes, perhaps significantly. See Prepayment, Yield and Suitability Considerations Tabular Information in Supplements in the Offering Circular for descriptions of weighted average life and yield calculations and the PSA and CPR prepayment models. Prepayment and Weighted Average Life Considerations Accretion Directed Classes Payments of principal on the Accretion Directed Classes should be stable in varying degrees under relatively slow prepayment scenarios because the ZA Accrual Amount will be dedicated to making principal payments on those Classes until they retire. The weighted average life of an Accretion Directed Class cannot exceed its weighted average life as shown in the following table under any prepayment scenario, even a scenario where there are no prepayments. Based on the Modeling Assumptions, each Accretion Directed Class would retire on, but not before, its Final Payment Date if the underlying Mortgages prepay at any constant rate at or below the rate shown for that Class until it retires. The principal payment stability of the Accretion Directed Classes is supported primarily by its receipt of the ZA Accrual Amount. They are protected against early retirement by the Class shown in the table below. When that Class retires, however, each Accretion Directed Class, if outstanding, will become sensitive to Mortgage prepayments and may retire before its Final Payment Date. Accretion Directed Classes Maximum Weighted Average Life Class (in years) Final Payment Date Prepayment Rate at or below VA..................... 6.0 February 15, 2021 212% PSA VB..................... 11.8 October 15, 2022 175% PSA VC..................... 7.0 October 15, 2022 175% PSA Protected By AC The underlying Mortgages have characteristics that differ from the Modeling Assumptions. As a result, even if the Mortgages prepay at a rate at or somewhat below the rate shown for an Accretion Directed Class, that Class could retire before its Final Payment Date and its weighted average life could shorten. Sequential Pay Classes The Sequential Pay Classes receive principal payments from their related Assets in a prescribed sequence. Pass-Through Class The Pass-Through Class receives all of the principal payments made on the Group 2 Assets. The sensitivity of the Pass-Through Class to prepayments on the underlying Mortgages is the same as that of the Group 2 Assets. S-15

MACR Classes The payment characteristics of the MACR Classes reflect the payment characteristics of their related REMIC Classes. Declining Balances Table The following table shows: Percentages of original balances (as of the Closing Date) that would be outstanding after each of the Payment Dates shown at various percentages of PSA and CPR. Corresponding weighted average lives. We have prepared this table using the Modeling Assumptions. However, for 0% PSA we have assumed that each Mortgage underlying the PC Assets has (a) an interest rate 2.5% higher than that of the related PCs and (b) a remaining term to maturity of 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-16

Percentages of Original Balances Outstanding* and Weighted Average Lives Group 1 AC AJ VA Date 0% 100% 319% 500% 700% 0% 100% 319% 500% 700% 0% 100% 319% 500% 700% Closing Date... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 February 15, 2011.... 99 91 75 63 49 100 100 100 100 100 93 93 93 93 93 February 15, 2012.... 98 82 56 37 19 100 100 100 100 100 86 86 86 86 86 February 15, 2013.... 96 74 40 19 3 100 100 100 100 100 78 78 78 78 78 February 15, 2014.... 95 66 27 7 0 100 100 100 100 64 70 70 70 70 0 February 15, 2015.... 94 59 17 0 0 100 100 100 93 36 61 61 61 43 0 February 15, 2016.... 92 52 10 0 0 100 100 100 63 20 52 52 52 0 0 February 15, 2017.... 90 46 3 0 0 100 100 100 43 11 43 43 43 0 0 February 15, 2018.... 88 40 0 0 0 100 100 92 29 6 33 33 11 0 0 February 15, 2019.... 86 34 0 0 0 100 100 71 19 4 22 22 0 0 0 February 15, 2020.... 84 29 0 0 0 100 100 55 13 2 11 11 0 0 0 February 15, 2021.... 82 24 0 0 0 100 100 43 9 1 0 0 0 0 0 February 15, 2022.... 79 19 0 0 0 100 100 33 6 1 0 0 0 0 0 February 15, 2023.... 77 15 0 0 0 100 100 25 4 0 0 0 0 0 0 February 15, 2024.... 74 11 0 0 0 100 100 19 3 0 0 0 0 0 0 February 15, 2025.... 71 7 0 0 0 100 100 14 2 0 0 0 0 0 0 February 15, 2026.... 67 3 0 0 0 100 100 11 1 0 0 0 0 0 0 February 15, 2027.... 64 0 0 0 0 100 99 8 1 0 0 0 0 0 0 February 15, 2028.... 60 0 0 0 0 100 83 6 0 0 0 0 0 0 0 February 15, 2029.... 56 0 0 0 0 100 68 4 0 0 0 0 0 0 0 February 15, 2030.... 51 0 0 0 0 100 53 3 0 0 0 0 0 0 0 February 15, 2031.... 46 0 0 0 0 100 40 2 0 0 0 0 0 0 0 February 15, 2032.... 41 0 0 0 0 100 27 1 0 0 0 0 0 0 0 February 15, 2033.... 35 0 0 0 0 100 15 0 0 0 0 0 0 0 0 February 15, 2034.... 29 0 0 0 0 100 4 0 0 0 0 0 0 0 0 February 15, 2035.... 22 0 0 0 0 100 0 0 0 0 0 0 0 0 0 February 15, 2036.... 15 0 0 0 0 100 0 0 0 0 0 0 0 0 0 February 15, 2037.... 8 0 0 0 0 100 0 0 0 0 0 0 0 0 0 February 15, 2038.... 0 0 0 0 0 97 0 0 0 0 0 0 0 0 0 February 15, 2039.... 0 0 0 0 0 50 0 0 0 0 0 0 0 0 0 February 15, 2040.... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Weighted Average Life (Years)... 18.5 7.0 2.8 1.7 1.2 29.0 20.4 11.4 7.4 5.0 6.0 6.0 5.5 4.2 3.1 VB VC ZA Date 0% 100% 319% 500% 700% 0% 100% 319% 500% 700% 0% 100% 319% 500% 700% Closing Date... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 February 15, 2011.... 100 100 100 100 100 94 94 94 94 94 105 105 105 105 105 February 15, 2012.... 100 100 100 100 100 88 88 88 88 88 110 110 110 110 110 February 15, 2013.... 100 100 100 100 100 82 82 82 82 82 116 116 116 116 116 February 15, 2014.... 100 100 100 100 0 75 75 75 75 0 122 122 122 122 121 February 15, 2015.... 100 100 100 100 0 68 68 68 53 0 128 128 128 128 68 February 15, 2016.... 100 100 100 0 0 60 60 60 0 0 135 135 135 119 38 February 15, 2017.... 100 100 100 0 0 52 52 52 0 0 142 142 142 80 22 February 15, 2018.... 100 100 100 0 0 44 44 26 0 0 149 149 149 54 12 February 15, 2019.... 100 100 0 0 0 35 35 0 0 0 157 157 134 37 7 February 15, 2020.... 100 100 0 0 0 26 26 0 0 0 165 165 104 25 4 February 15, 2021.... 98 98 0 0 0 17 17 0 0 0 173 173 80 16 2 February 15, 2022.... 39 39 0 0 0 7 7 0 0 0 182 182 61 11 1 February 15, 2023.... 0 0 0 0 0 0 0 0 0 0 188 188 47 7 1 February 15, 2024.... 0 0 0 0 0 0 0 0 0 0 188 188 35 5 0 February 15, 2025.... 0 0 0 0 0 0 0 0 0 0 188 188 27 3 0 February 15, 2026.... 0 0 0 0 0 0 0 0 0 0 188 188 20 2 0 February 15, 2027.... 0 0 0 0 0 0 0 0 0 0 188 187 14 1 0 February 15, 2028.... 0 0 0 0 0 0 0 0 0 0 188 156 10 1 0 February 15, 2029.... 0 0 0 0 0 0 0 0 0 0 188 127 7 0 0 February 15, 2030.... 0 0 0 0 0 0 0 0 0 0 188 100 5 0 0 February 15, 2031.... 0 0 0 0 0 0 0 0 0 0 188 75 3 0 0 February 15, 2032.... 0 0 0 0 0 0 0 0 0 0 188 51 2 0 0 February 15, 2033.... 0 0 0 0 0 0 0 0 0 0 188 29 1 0 0 February 15, 2034.... 0 0 0 0 0 0 0 0 0 0 188 8 0 0 0 February 15, 2035.... 0 0 0 0 0 0 0 0 0 0 188 0 0 0 0 February 15, 2036.... 0 0 0 0 0 0 0 0 0 0 188 0 0 0 0 February 15, 2037.... 0 0 0 0 0 0 0 0 0 0 188 0 0 0 0 February 15, 2038.... 0 0 0 0 0 0 0 0 0 0 181 0 0 0 0 February 15, 2039.... 0 0 0 0 0 0 0 0 0 0 94 0 0 0 0 February 15, 2040.... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Weighted Average Life (Years)... 11.8 11.8 8.3 5.6 3.9 7.0 7.0 6.0 4.4 3.2 29.0 20.4 12.1 8.2 5.7 * Rounded to nearest whole percentage. S-17

Group 1 Assets Date 0% 100% 319% 500% 700% Closing Date... 100 100 100 100 100 February 15, 2011..... 99 92 79 69 57 February 15, 2012..... 98 85 63 47 32 February 15, 2013..... 97 78 50 32 18 February 15, 2014..... 96 71 39 22 10 February 15, 2015..... 95 65 31 15 6 February 15, 2016..... 93 60 24 10 3 February 15, 2017..... 92 54 19 7 2 February 15, 2018..... 90 49 15 5 1 February 15, 2019..... 89 45 11 3 1 February 15, 2020..... 87 40 9 2 0 February 15, 2021..... 85 36 7 1 0 February 15, 2022..... 83 32 5 1 0 February 15, 2023..... 80 28 4 1 0 February 15, 2024..... 78 25 3 0 0 February 15, 2025..... 75 22 2 0 0 February 15, 2026..... 73 19 2 0 0 February 15, 2027..... 70 16 1 0 0 February 15, 2028..... 66 13 1 0 0 February 15, 2029..... 63 11 1 0 0 February 15, 2030..... 59 9 0 0 0 February 15, 2031..... 55 6 0 0 0 February 15, 2032..... 50 4 0 0 0 February 15, 2033..... 46 2 0 0 0 February 15, 2034..... 40 1 0 0 0 February 15, 2035..... 35 0 0 0 0 February 15, 2036..... 29 0 0 0 0 February 15, 2037..... 22 0 0 0 0 February 15, 2038..... 16 0 0 0 0 February 15, 2039..... 8 0 0 0 0 February 15, 2040..... 0 0 0 0 0 Weighted Average Life (Years)... 20.2 9.1 4.2 2.6 1.8 Group 2 FB, IB and Group 2 Assets CPR Prepayment Assumption Date 0% 10% 20% 30% 40% Closing Date... 100 100 100 100 100 March 15, 2011...... 100 90 80 70 60 March 15, 2012...... 99 80 64 49 36 March 15, 2013...... 98 72 50 34 21 March 15, 2014...... 97 64 40 23 13 March 15, 2015...... 96 57 32 16 7 March 15, 2016...... 95 51 25 11 4 March 15, 2017...... 94 45 20 8 3 March 15, 2018...... 91 39 15 5 2 March 15, 2019...... 87 34 12 4 1 March 15, 2020...... 84 29 9 2 1 March 15, 2021...... 80 25 7 2 0 March 15, 2022...... 76 21 5 1 0 March 15, 2023...... 72 18 4 1 0 March 15, 2024...... 68 16 3 0 0 March 15, 2025...... 64 13 2 0 0 March 15, 2026...... 59 11 2 0 0 March 15, 2027...... 55 9 1 0 0 March 15, 2028...... 50 7 1 0 0 March 15, 2029...... 45 6 1 0 0 March 15, 2030...... 40 5 0 0 0 March 15, 2031...... 35 4 0 0 0 March 15, 2032...... 29 3 0 0 0 March 15, 2033...... 24 2 0 0 0 March 15, 2034...... 18 1 0 0 0 March 15, 2035...... 12 1 0 0 0 March 15, 2036...... 6 0 0 0 0 March 15, 2037 and after..... 0 0 0 0 0 Weighted Average Life (Years)... 17.3 7.6 4.3 2.8 2.0 S-18

Group 3 A Z Group 3 Assets Date 0% 100% 326% 500% 700% 0% 100% 326% 500% 700% 0% 100% 326% 500% 700% Closing Date... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 February 15, 2011.... 99 92 80 70 58 105 105 105 105 105 99 93 81 71 60 February 15, 2012.... 97 85 62 46 31 109 109 109 109 109 98 86 64 49 34 February 15, 2013.... 96 78 48 30 16 114 114 114 114 114 97 79 50 34 19 February 15, 2014.... 95 71 36 19 7 120 120 120 120 120 95 73 40 23 11 February 15, 2015.... 93 65 27 11 2 125 125 125 125 125 94 67 31 16 6 February 15, 2016.... 91 59 20 6 0 131 131 131 131 94 93 61 24 11 4 February 15, 2017.... 89 53 14 2 0 137 137 137 137 53 91 56 19 7 2 February 15, 2018.... 87 48 10 0 0 143 143 143 132 30 89 51 15 5 1 February 15, 2019.... 85 43 6 0 0 150 150 150 90 17 88 47 12 3 1 February 15, 2020.... 83 38 3 0 0 157 157 157 61 9 86 43 9 2 0 February 15, 2021.... 81 34 1 0 0 164 164 164 41 5 84 39 7 2 0 February 15, 2022.... 78 29 0 0 0 171 171 144 28 3 82 35 5 1 0 February 15, 2023.... 75 26 0 0 0 179 179 111 18 2 79 31 4 1 0 February 15, 2024.... 72 22 0 0 0 188 188 85 12 1 77 28 3 0 0 February 15, 2025.... 69 18 0 0 0 196 196 65 8 0 74 25 2 0 0 February 15, 2026.... 66 15 0 0 0 205 205 49 5 0 71 22 2 0 0 February 15, 2027.... 62 12 0 0 0 215 215 37 4 0 68 20 1 0 0 February 15, 2028.... 58 9 0 0 0 224 224 28 2 0 65 17 1 0 0 February 15, 2029.... 54 6 0 0 0 235 235 21 1 0 61 15 1 0 0 February 15, 2030.... 50 3 0 0 0 246 246 15 1 0 57 13 1 0 0 February 15, 2031.... 45 1 0 0 0 257 257 11 1 0 53 11 0 0 0 February 15, 2032.... 40 0 0 0 0 269 231 8 0 0 49 9 0 0 0 February 15, 2033.... 35 0 0 0 0 281 185 5 0 0 44 7 0 0 0 February 15, 2034.... 29 0 0 0 0 294 142 3 0 0 39 5 0 0 0 February 15, 2035.... 23 0 0 0 0 307 102 2 0 0 34 4 0 0 0 February 15, 2036.... 16 0 0 0 0 321 64 1 0 0 28 2 0 0 0 February 15, 2037.... 9 0 0 0 0 336 30 0 0 0 22 1 0 0 0 February 15, 2038.... 2 0 0 0 0 352 0 0 0 0 15 0 0 0 0 February 15, 2039.... 0 0 0 0 0 203 0 0 0 0 8 0 0 0 0 February 15, 2040.... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Weighted Average Life (Years)... 18.3 8.6 3.6 2.3 1.6 29.1 24.4 15.0 10.4 7.2 19.9 9.9 4.2 2.7 1.9 Group 4 AY DA, FA, FC, SA, SC, SD and TA Group 4 Assets Date 0% 100% 207% 350% 500% 0% 100% 207% 350% 500% 0% 100% 207% 350% 500% Closing Date... 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 February 15, 2011.... 100 100 100 100 100 97 92 89 84 79 97 94 91 88 84 February 15, 2012.... 100 100 100 100 100 93 82 73 61 49 95 86 79 69 60 February 15, 2013.... 100 100 100 100 100 90 72 57 40 24 92 78 66 53 40 February 15, 2014.... 100 100 100 100 100 86 62 44 24 7 89 70 56 40 27 February 15, 2015.... 100 100 100 100 85 82 53 32 11 0 86 63 46 30 18 February 15, 2016.... 100 100 100 100 57 77 44 22 2 0 82 56 39 23 12 February 15, 2017.... 100 100 100 79 37 73 36 14 0 0 78 50 32 17 8 February 15, 2018.... 100 100 100 59 25 68 29 6 0 0 74 44 26 12 5 February 15, 2019.... 100 100 100 43 16 62 22 0 0 0 70 38 21 9 3 February 15, 2020.... 100 100 81 31 10 56 15 0 0 0 66 33 17 7 2 February 15, 2021.... 100 100 65 23 7 50 9 0 0 0 61 29 14 5 1 February 15, 2022.... 100 100 51 16 4 44 4 0 0 0 56 24 11 3 1 February 15, 2023.... 100 94 40 11 3 37 0 0 0 0 50 20 8 2 1 February 15, 2024.... 100 76 30 8 2 29 0 0 0 0 44 16 6 2 0 February 15, 2025.... 100 59 22 5 1 21 0 0 0 0 38 13 5 1 0 February 15, 2026.... 100 44 15 3 0 13 0 0 0 0 31 9 3 1 0 February 15, 2027.... 100 30 9 2 0 4 0 0 0 0 24 6 2 0 0 February 15, 2028.... 79 16 5 1 0 0 0 0 0 0 17 3 1 0 0 February 15, 2029.... 41 4 1 0 0 0 0 0 0 0 9 1 0 0 0 February 15, 2030.... 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Weighted Average Life (Years)... 18.8 15.7 12.7 9.3 7.0 10.3 5.7 3.9 2.7 2.1 12.1 7.8 5.8 4.1 3.1 S-19

Yield Tables The following tables show pre-tax yields to maturity (corporate bond equivalent) of specified Classes at various percentages of PSA and CPR and levels of LIBOR. We have prepared these tables using the Modeling Assumptions and the assumed prices in the table captions, plus accrued interest. Actual sales will not necessarily occur at the assumed prices. Pre-Tax Yields Group 2 IB Class (Assumed Price: 6.25%) LIBOR 10% CPR 20% CPR 30% CPR 40% CPR 0.22875%........................ 52.5% 39.5% 25.7% 10.7% 1.22875.......................... 27.3 15.4 2.8 (10.9) 3.23501.......................... (51.7) (59.1) (67.2) (75.8) 5.24127.......................... * * * * Group 4 SA Class (Assumed Price: 12.5%) LIBOR 100% PSA 207% PSA 350% PSA 500% PSA 0.23063%...................... 41.8% 32.6% 18.9% 3.7% 1.23063........................ 32.0 22.4 7.9 (7.9) 3.86532........................ 5.4 (6.4) (23.9) (42.2) 6.50000 and Higher.............. * * * * SC Class (Assumed Price: 12.25%) LIBOR 100% PSA 207% PSA 350% PSA 500% PSA 0.23063%...................... 42.1% 32.9% 19.2% 4.0% 1.23063........................ 32.1 22.5 8.0 (7.9) 3.81532........................ 5.5 (6.4) (23.8) (42.2) 6.40000 and Higher.............. * * * * SD Class (Assumed Price: 12.375%) LIBOR 100% PSA 207% PSA 350% PSA 500% PSA 0.23063%...................... 41.4% 32.2% 18.5% 3.2% 1.23063........................ 31.6 21.9 7.4 (8.5) 3.81532........................ 5.2 (6.7) (24.2) (42.6) 6.40000 and Higher.............. * * * * TA Class (Assumed Price: 0.125%) LIBOR 100% PSA 207% PSA 350% PSA 500% PSA 6.40% and Lower................ 80.8% 72.5% 60.5% 46.9% 6.45........................... 30.2 20.4 5.9 (10.2) 6.50 and Higher................. * * * * * Less than (99.9)%. S-20