$6,431,159,414. Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust

Transcription

1 Supplement (To Prospectus Supplement dated September 21, 2001) $6,431,159,414 Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust This is a supplement to the prospectus supplement dated September 21, 2001 (the ""Prospectus Supplement''). If we use a capitalized term in this supplement without deñning it, you will Ñnd the deñnition of that term in the Prospectus Supplement. Notwithstanding anything set forth on page S-23 of the Prospectus Supplement, clause (ii) under the heading ""Group 6 Cash Flow Distribution Amount'' is restated in its entirety to read as follows: ""(ii) sequentially, to the VM, VN and ZM Classes, in that order, until their principal balances are reduced to zero.'' Carefully consider the risk factors starting on page S-10 of the Prospectus Supplement and on page 10 of the REMIC Prospectus. Unless you understand and are able to tolerate these risks, you should not invest in the certiñcates. The certiñcates, together with any interest thereon, are not guaranteed by the United States and do not constitute a debt or obligation of the United States or any agency or instrumentality thereof other than Fannie Mae. The certiñcates are exempt from registration under the Securities Act of 1933 and are ""exempted securities'' under the Securities Exchange Act of The date of this Supplement is November 1, 2001

2 PROSPECTUS SUPPLEMENT (To REMIC Prospectus dated September 18, 1998) $6,431,159,414 The CertiÑcates Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust We, the Federal National Mortgage As- Original Class Principal Interest Interest CUSIP Final sociation (""Fannie Mae''), will issue the Class Group Balance Type Rate Type Number Distribution Date A ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1 $1,000,000,000 SEQ 7.00% FIX M47 June 2031 VA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1 17,145,000 SEQ/AD 7.00 FIX M54 July 2012 VB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1 11,719,500 SEQ/AD 7.00 FIX M62 December 2016 classes of certiñcates listed in the chart on this page. Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1 15,600,000 SEQ 7.00 FIX/Z M70 November 2031 CA(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2 3,800,000,000 SEQ 7.00 FIX M88 September 2031 Payments to CertiÑcateholders VC(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VD(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ,768,000 34,838,000 SEQ/AD SEQ/AD FIX FIX M N20 November 2010 November 2019 ZC(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2 21,500,304 SEQ 7.00 FIX/Z N38 November 2031 We will make monthly payments on the FC(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3 175,000,000 PT (2) FLT N46 November 2031 certiñcates. You, the investor, will IC(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ,000,000(3) 175,000,000(3) NTL NTL (2) (2) INV/IO INV/IO N N61 November 2031 November 2031 receive PA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 35,180,000 PAC 5.00 FIX N79 May 2016 PB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 36,043,000 PAC 5.00 FIX N87 June 2022 PK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 16,436,076(3) NTL 6.50 FIX/IO N95 June 2022 interest accrued on the balance of PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 32,116,000 PAC 6.50 FIX P28 December 2025 PD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 28,216,000 PAC 6.50 FIX P36 May 2028 your certiñcate (except in the case of PE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 35,535,000 PAC 6.50 FIX P44 October 2030 VP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 7,833,000 PAC/AD 6.50 FIX P51 August 2012 the accrual classes), and VQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 3,425,000 PAC/AD 6.50 FIX P69 August 2015 ZP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 7,828,000 PAC 6.50 FIX/Z P77 November 2031 LK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 56,378,000 SCH/AD 6.50 FIX P85 November 2031 ZL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 5,000,000 SUP 6.50 FIX/Z P93 December 2029 principal to the extent available for payment on your class. GA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 15,922,000 SUP 6.50 FIX Q27 July 2030 GB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 6,969,000 SUP 6.50 FIX Q35 November 2030 GC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 3,767,000 SUP 6.50 FIX Q43 December 2030 We may pay principal at rates that vary GD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 4,299,000 SUP 6.50 FIX Q50 February 2031 from time to time. We may not pay princi- GE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 2,428,000 SUP 6.50 FIX Q68 March 2031 GF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 10,868,000 SUP (2) FLT Q76 November 2031 pal to certain classes for long periods of GSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 2,508,000 SUP (2) INV Q84 November 2031 GH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 5,685,000 SUP 6.50 FIX Q92 November 2031 time. FH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5 159,568,529 PT (2) FLT R26 November 2031 SH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5 159,568,529(3) NTL (2) INV/IO R34 November 2031 MA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 75,000,000 SEQ 6.00 FIX R42 July 2030 The Fannie Mae Guaranty TA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 40,000,000 SEQ 5.05 FIX R59 May 2028 TI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 6,333,333(3) NTL 6.00 FIX/IO R67 May 2028 TD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 21,435,000 SEQ 6.00 FIX R75 July 2030 MB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 194,245,000 SEQ 6.00 FIX R83 November 2029 We will guarantee that required payments of principal and interest on the VM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6 12,130,000 SEQ/AD 6.00 FIX S25 January 2011 certiñcates are distributed to investors VN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ,440,000 16,750,000 SEQ/AD SEQ FIX FIX/Z S S41 March 2018 November 2031 on time. FM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7 78,191,065 PT (2) FLT S58 October 2016 SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7 78,191,065(3) NTL (2) INV/IO S66 October 2016 IO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7 78,191,065(3) NTL (4) WAC/IO S74 October 2016 NA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 8 300,235,000 SEQ 6.00 FIX S82 July 2029 The Trusts and their Assets VR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 8 20,133,000 SEQ/AD 6.00 FIX S90 January 2011 VT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 8 25,832,000 SEQ/AD 6.00 FIX T24 March 2018 The trusts will own ZN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 8 27,800,000 SEQ 6.00 FIX/Z T32 November 2031 FI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 9 49,829,016 PT (2) FLT T40 June 2031 Fannie Mae MBS, SI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 9 49,829,016(3) NTL (2) INV/IO T57 June 2031 R ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (5) 0 NPR 0 NPR T65 November 2031 Fannie Mae Stripped MBS, and RA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2 0 NPR 0 NPR T73 November 2031 RB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3 0 NPR 0 NPR T81 November 2031 RC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5 0 NPR 0 NPR T99 November 2031 underlying REMIC certiñcates backed RL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (5) 0 NPR 0 NPR U22 November 2031 by Fannie Mae MBS. (1) Exchangeable classes. described in this prospectus supplement. During the (2) Based on LIBOR. initial interest accrual period, the IO Class is expected The mortgage loans underlying the Fan- (3) Notional balances. These classes are interest to bear interest at the annual rate of approximately nie Mae MBS and the Fannie Mae only classes %. (4) Weighted average coupon class. This class (5) The R and RL Classes relate to Groups 1, 4, 6, 7, 8 Stripped MBS are Ñrst lien, single-family, bears interest at the variable interest rate and 9. Ñxed-rate loans. If you own certiñcates of certain classes, you can exchange them for the corresponding RCR certiñcates to be issued at the time of the exchange. The CB, C and FE Classes are the RCR classes, as further described in this prospectus supplement. The dealer will oåer the certiñcates from time to time in negotiated transactions at varying prices. We expect the settlement date to be October 30, Carefully consider the risk factors starting on page S-10 of this prospectus supplement and on page 10 of the REMIC prospectus. Unless you understand and are able to tolerate these risks, you should not invest in the certiñcates. You should read the REMIC prospectus as well as this prospectus supplement. The certiñcates, together with interest thereon, are not guaranteed by the United States and do not constitute a debt or obligation of the United States or any agency or instrumentality thereof other than Fannie Mae. The certiñcates are exempt from registration under the Securities Act of 1933 and are ""exempted securities'' under the Securities Exchange Act of Goldman, Sachs & Co. The date of this Prospectus Supplement is September 21, 2001

3 TABLE OF CONTENTS Page AVAILABLE INFORMATIONÏÏÏÏÏÏÏÏÏÏ S- 3 Group 4 Principal Distribution AmountÏÏ S-22 REFERENCE SHEET ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 4 ZL Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 ADDITIONAL RISK FACTORS ÏÏÏÏÏÏÏÏ S-10 ZP Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 DESCRIPTION OF THE Group 4 Cash Flow Distribution CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 GENERAL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 Group 5 Principal Distribution AmountÏÏ S-23 Structure ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 Group 6 Principal Distribution AmountÏÏ S-23 Fannie Mae Guaranty ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-12 ZM Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 Characteristics of CertiÑcates ÏÏÏÏÏÏÏÏÏÏ S-12 Group 6 Cash Flow Distribution Authorized Denominations ÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 Distribution DatesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Group 7 Principal Distribution AmountÏÏ S-23 Record Date ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Group 8 Principal Distribution Amount S-24 Class FactorsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 ZN Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 Optional TerminationÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Group 8 Cash Flow Distribution Voting the Underlying REMIC Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 CertiÑcates and the SMBS ÏÏÏÏÏÏÏÏÏÏ S-13 Group 9 Principal Distribution AmountÏÏ S-24 COMBINATION AND RECOMBINATION ÏÏÏÏÏÏ S-13 STRUCTURING ASSUMPTIONSÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Pricing AssumptionsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 ProceduresÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 Prepayment Assumptions ÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 Additional Considerations ÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 Structuring Ranges ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 THE TRUST MBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 Initial EÅective Ranges ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-25 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 YIELD TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-26 Additional Considerations Relating to the Group 7 MBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-15 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-26 THE GROUP 9 UNDERLYING REMIC The Inverse Floating Rate ClassesÏÏÏÏÏÏ S-26 CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-16 The Fixed Rate Interest Only Classes ÏÏÏ S-28 THE SMBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-16 The IO Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-29 Group 3 SMBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-16 WEIGHTED AVERAGE LIVES OF THE Group 5 SMBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17 CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-29 FINAL DATA STATEMENTÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17 DECREMENT TABLESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-30 DISTRIBUTIONS OF INTEREST ÏÏÏÏÏÏÏÏÏÏÏÏ S-17 CHARACTERISTICS OF THE R, RL, RA, RB Categories of Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17 AND RC CLASSES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-38 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-18 CERTAIN ADDITIONAL FEDERAL Interest Accrual Periods ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-19 INCOME TAX CONSEQUENCES ÏÏÏÏ S-39 REMIC ELECTION AND SPECIAL TAX Accrual ClassesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-19 ATTRIBUTES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-39 Notional Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-19 TAXATION OF BENEFICIAL OWNERS OF Weighted Average Coupon Class ÏÏÏÏÏÏÏ S-19 REGULAR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-40 Floating Rate and Inverse Floating Rate TAXATION OF BENEFICIAL OWNERS OF Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-19 RESIDUAL CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-40 CALCULATION OF LIBOR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 TAXATION OF BENEFICIAL OWNERS OF DISTRIBUTIONS OF PRINCIPALÏÏÏÏÏÏÏÏÏÏÏÏ S-20 RCR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Categories of Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Principal Distribution Amount ÏÏÏÏÏÏÏÏ S-21 Combination RCR Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Group 1 Principal Distribution AmountÏÏ S-22 Exchanges ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Z Accrual AmountÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 PLAN OF DISTRIBUTIONÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Group 1 Cash Flow Distribution GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 Increase in CertiÑcatesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-41 Group 2 Principal Distribution AmountÏÏ S-22 LEGAL MATTERSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-42 ZC Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 Group 2 Cash Flow Distribution EXHIBIT A ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1 Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 SCHEDULE 1 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 2 Group 3 Principal Distribution AmountÏÏ S-22 PRINCIPAL BALANCE SCHEDULES B- 1 S-2 Page

4 AVAILABLE INFORMATION You should purchase the certiñcates only if you have read and understood this prospectus supplement and the following documents (the ""Disclosure Documents''): our Prospectus for Fannie Mae Guaranteed REMIC Pass-Through CertiÑcates dated September 18, 1998 (the ""REMIC Prospectus''); our Prospectus for Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates dated October 1, 1999 (the ""MBS Prospectus''); if you are purchasing any Group 3 or Group 5 Class or the RB or RC Class, our Prospectus for Stripped Mortgage-Backed Securities dated March 30, 2000 (the ""SMBS Prospectus''); if you are purchasing any Group 9 Class or the R or RL Class, the disclosure documents relating to the underlying REMIC certiñcates (the ""Underlying REMIC Disclosure Document''); and our Information Statement dated March 30, 2001 and its supplements (the ""Information Statement''). You can obtain copies of the Disclosure Documents by writing or calling us at: Fannie Mae MBS Helpline 3900 Wisconsin Avenue, N.W., Area 2H-3S Washington, D.C (telephone or ). In addition, the Disclosure Documents, together with the class factors, are available on our website located at You also can obtain copies of the Disclosure Documents, except the Underlying REMIC Disclosure Documents, by writing or calling the dealer at: Goldman, Sachs & Co. Prospectus Department 85 Broad Street, Concourse Level New York, New York (telephone ). S-3

5 REFERENCE SHEET This reference sheet is not a summary of the transaction and does not contain complete information about the certiñcates. You should purchase the certiñcates only after reading this prospectus supplement and each of the additional disclosure documents listed on page S-3. Assets Underlying Each Group of Classes Group Assets 1 Group 1 MBS 2 Group 2 MBS 3 Group 3 SMBS 4 Group 4 MBS 5 Group 5 SMBS 6 Group 6 MBS 7 Group 7 MBS 8 Group 8 MBS 9 Class F REMIC CertiÑcate Class S REMIC CertiÑcate Assumed Characteristics of the Mortgage Loans Underlying the Trust MBS and the SMBS (as of October 1, 2001) Approximate Original Weighted Average Approximate Approximate Approximate Term to Remaining Term Weighted Average Weighted Principal Maturity to Maturity Loan Age Average Balance (in months) (in months) (in months) Coupon Group 1 MBS $1,044,464, % Group 2 MBS $3,875,106, % Group 3 SMBS* $ 175,000, % Group 4 MBS $ 300,000, % Group 5 SMBS** $ 159,568, % Group 6 MBS $ 375,000, % Group 7 MBS $ 78,191, % Group 8 MBS $ 374,000, % * The Group 3 SMBS will represent ownership of (i) interest payments at a pass-through rate of 6.5% on an initial notional principal amount of $228,846,154 and (ii) principal payments on an initial principal amount of $175,000,000 of MBS. See ""Description of the CertiÑcatesÌThe SMBS'' in this prospectus supplement. ** The Group 5 SMBS will represent ownership of (i) interest payments at a pass-through rate of 6.0% on an initial notional principal amount of $226,055,416 and (ii) principal payments on an initial principal amount of $159,568,529 of MBS. See ""Description of the CertiÑcatesÌThe SMBS'' in this prospectus supplement. The actual remaining terms to maturity, weighted average loan ages and interest rates of most of the mortgage loans will diåer from the weighted averages shown above, perhaps signiñcantly. Characteristics of the Underlying REMIC CertiÑcates Exhibit A describes the underlying REMIC certiñcates, including certain information about the related mortgage loans. To learn more about the underlying REMIC certiñcates, you should obtain from us the current class factors and disclosure documents for the underlying REMIC certiñcates as described on page S-3. S-4

6 Class Factors The class factors are numbers that, when multiplied by the initial principal balance of a certiñcate, can be used to calculate the current principal balance of that certiñcate (after taking into account principal payments in the same month). We publish the class factors on or shortly after the 11th day of each month. Settlement Date We expect to issue the certiñcates on October 30, Distribution Dates We will make payments on the Group 3, Group 5 and Group 7 Classes on the 18th day of each calendar month, or on the next business day if the 18th day is not a business day. We will make payments on the Group 1, Group 2, Group 4, Group 6, Group 8 and Group 9 Classes on the 25th day of each calendar month or on the next business day if the 25th day is not a business day. Book-Entry and Physical CertiÑcates We will issue the book-entry certiñcates through the U.S. Federal Reserve Banks, which will electronically track ownership of the certiñcates and payments on them. We will issue physical certiñcates in registered, certiñcated form. We will issue the classes of certiñcates in the following forms: Fed Book-Entry All Classes other than the R, RL, RA, RB and RC Classes Physical R, RL, RA, RB and RC Classes Exchanging CertiÑcates Through Combination and Recombination If you own certain certiñcates, you will be able to exchange them for a proportionate interest in the related RCR certiñcates as shown on Schedule 1. We will issue the RCR certiñcates upon the exchange. You can exchange your certiñcates by notifying us and paying an exchange fee. We use the principal and interest of the certiñcates exchanged to pay principal and interest on the related RCR certiñcates. Schedule 1 lists all of the available combinations of the certiñcates eligible for exchange and the related RCR certiñcates. Interest Rates During each interest accrual period, the Ñxed rate classes will bear interest at the applicable annual interest rates listed on the cover of this prospectus supplement or on Schedule 1. During the initial interest accrual period, the weighted average coupon class is expected to be bear interest at the applicable annual rate speciñed on the cover of this prospectus supplement. During subsequent interest accrual periods, this class will bear interest at the variable annual interest rate described in this prospectus supplement. S-5

7 During the initial interest accrual period, the Öoating rate and inverse Öoating rate classes will bear interest at the initial interest rates listed below. During subsequent interest accrual periods, the Öoating rate and inverse Öoating rate classes will bear interest based on the formulas indicated below, but always subject to the speciñed maximum and minimum interest rates: Initial Maximum Minimum Formula for Interest Interest Interest Calculation of Class Rate Rate Rate Interest Rate(1) FC ÏÏÏÏÏ %(2) % 0.55% LIBOR 55 basis points IC ÏÏÏÏÏ %(2) % 0.00% 7.95% LIBOR SE ÏÏÏÏÏ %(2) % 0.00% 7.85% LIBOR GF ÏÏÏÏÏ % % 1.30% LIBOR 130 basis points GS ÏÏÏÏÏ % % 0.00% % ( LIBOR) FH ÏÏÏÏÏ %(2) % 0.60% LIBOR 60 basis points SH ÏÏÏÏÏ %(2) % 0.00% 7.9% LIBOR FM ÏÏÏÏÏ %(2) % 0.25% LIBOR 25 basis points SM ÏÏÏÏÏ %(2) % 0.00% 8.75% LIBOR FI ÏÏÏÏÏ %(2) % 0.60% LIBOR 60 basis points SI ÏÏÏÏÏ %(2) % 0.00% 7.9% LIBOR FE ÏÏÏÏÏ %(2) % 0.65% LIBOR 65 basis points (1) We will establish LIBOR on the basis of the ""BBA Method.'' (2) Assumed initial interest rates. We will calculate the actual interest rates for these classes on October 16, 2001 in the case of the FC, IC, SE, FH, SH, FM, SM and FE Classes, and on October 23, 2001 in the case of the FI and SI Classes. We will apply interest payments from exchanged REMIC certiñcates to the corresponding RCR certiñcates, on a pro rata basis, following any exchange. Notional Classes A notional class will not receive any principal. Its notional principal balance is the balance used to calculate accrued interest. The notional principal balances will equal the percentages of the outstanding balances speciñed below immediately before the related distribution date: Class IC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FC Class SE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FC Class PK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % of the PA and PB Classes SH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FH Class TI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % of the TA Class SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FM Class IO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FM Class SI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FI Class Distributions of Principal Group 1 Principal Distribution Amount Z Accrual Amount To the VA and VB Classes, in that order, to zero, and thereafter to the Z Class. Group 1 Cash Flow Distribution Amount To the A, VA, VB, and Z Classes, in that order, to zero. S-6

8 Group 2 Principal Distribution Amount ZC Accrual Amount To the VC and VD Classes, in that order, to zero, and thereafter to the ZC Class. Group 2 Cash Flow Distribution Amount To the CA, VC, VD and ZC Classes, in that order, to zero. Group 3 Principal Distribution Amount To the FC Class to zero. Group 4 Principal Distribution Amount ZL Accrual Amount To the LK Class to its Scheduled Balance, and thereafter to the ZL Class. ZP Accrual Amount To the VP and VQ Classes, in that order, to zero, and thereafter to the ZP Class. Group 4 Cash Flow Distribution Amount 1. To the PA, PB, PC, PD, PE, VP, VQ, and ZP Classes, in that order, to their Planned Balances. 2. To the LK Class, to its Scheduled Balance. 3. To the ZL, GA, GB, GC, GD and GE Classes, in that order, to zero. 4. To the GH, GF and GS Classes, pro rata, to zero. 5. To the LK Class to zero. 6. To the PA, PB, PC, PD, PE, VP, VQ and ZP Classes, in that order, to zero. Group 5 Principal Distribution Amount To the FH Class to zero. Group 6 Principal Distribution Amount ZM Accrual Amount To the VM and VN Classes, in that order, to zero, and thereafter to the ZM Class. Group 6 Cash Flow Distribution Amount 1. (a) % of that amount to the MA Class to zero, (b) % of that amount to the TA and TD Classes, in that order, to zero and (c) % of that amount to the MB and TD Classes, in that order, to zero. 2. To the VM, VN and ZM Classes, in that order, to zero. Group 7 Principal Distribution Amount To the FM Class to zero. S-7

9 Group 8 Principal Distribution Amount ZN Accrual Amount To the VR and VT Classes, in that order, to zero, and thereafter to the ZN Class. Group 8 Cash Flow Distribution Amount To the NA, VR, VT and ZN Classes, in that order, to zero. Group 9 Principal Distribution Amount To the FI Class to zero. Weighted Average Lives (years)* PSA Prepayment Assumption Group 1 Classes 0% 100% 355% 450% 600% A ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 2 Classes 0% 100% 355% 450% 600% CA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ C ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 3 Classes 0% 100% 230% 350% 500% FC, IC, SE and FE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 4 Classes 0% 100% 263% 300% 500% PA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZP ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GF, GS and GH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption 0% 100% 164% 263% 275% 300% 500% LKÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 5 Classes 0% 100% 193% 300% 500% FH and SH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-8

10 PSA Prepayment Assumption Group 6 Classes 0% 100% 203% 350% 500% MA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TA and TI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 7 Classes 0% 100% 300% 494% 650% 800% FM, SM and IO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 8 Classes 0% 100% 203% 350% 500% NA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 9 Classes 0% 100% 203% 350% 500% FI and SI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Determined as speciñed under ""Description of the CertiÑcatesÌWeighted Average Lives of the CertiÑcates'' in this prospectus supplement. S-9

11 ADDITIONAL RISK FACTORS The rate of principal payments on the cer- and Group 8 MBS and the Group 3 and Group 5 tiñcates will be aåected by the rate of principal SMBS have certain characteristics. However, payments on the underlying mortgage loans. the actual mortgage loans probably will have The rate at which you receive principal pay- diåerent characteristics from those we assumed. ments on the certiñcates will be sensitive to the As a result, your yields could be lower than you rate of principal payments on the mortgage expect, even if the mortgage loans prepay at the loans underlying the related MBS, including indicated constant prepayment rates. In addiprepayments. Because borrowers generally may tion, slight diåerences between the assumed prepay their mortgage loans at any time without mortgage loan characteristics and the actual penalty, the rate of principal payments on the mortgage loans could aåect the weighted avermortgage loans is likely to vary over time. It is age lives of the classes of certiñcates. highly unlikely that the mortgage loans will prepay Level of Öoating rate index aåects yields on certain certiñcates. The yield on any Öoating at any of the prepayment rates we as- rate or inverse Öoating rate certiñcate will be sumed in this prospectus supplement, or aåected by the level of its interest rate index. If at any constant prepayment rate until the level of the index diåers from the level you maturity. expect, then your actual yield may be lower than you expect. Yields may be lower than expected due to unexpected rate of principal payments. The acvalues. Since certain classes do not receive inter- Delay classes have lower yields and market tual yield on your certiñcates probably will be lower than you expect: est immediately following each interest accrual period, these classes have lower yields and lower if you buy your certiñcates at a premium market values than they would if there were no and principal payments are faster than such delay. you expect, or Reinvestment of certiñcate payments may if you buy your certiñcates at a discount not achieve same yields as certiñcates. The rate and principal payments are slower than of principal payments of the certiñcates is unyou expect. certain. You may be unable to reinvest the payments Furthermore, in the case of interest only on the certiñcates at the same yields certiñcates and certiñcates purchased at a premium, provided by the certiñcates. you could lose money on your investment Unpredictable timing of last payment af- if prepayments occur at a rapid rate. fects yields on certiñcates. The actual Ñnal payment In addition, if you buy certiñcates of the of your class is likely to occur earlier, and IO Class and a disproportionately high rate of could occur much earlier, than the Ñnal distribuprepayments occurs on the Group 7 MBS with tion date listed on the cover page of this pro- pass-through rates higher than 9.0%, the yield spectus supplement. If you assume that the on your certiñcates will decrease and may be actual Ñnal payment will occur on the Ñnal lower than you expect. distribution date speciñed, your yield could be You must make your own decisions lower than you expect. about the various applicable assumptions, Some investors may be unable to buy cerincluding prepayment assumptions, when tain classes. Investors whose investment activi- deciding whether to purchase the ties are subject to legal investment laws and certiñcates. regulations, or to review by regulatory authori- ties, may be unable to buy certain certiñcates. Weighted average lives and yields on the You should obtain legal advice to determine certiñcates are aåected by actual characteristics whether you may purchase the certiñcates. of the underlying mortgage loans. We have assumed that the mortgage loans underlying the Uncertain market for the certiñcates could Group 1, Group 2, Group 4, Group 6, Group 7 make them diçcult to sell and cause their values S-10

12 ket. Moreover, you may not be able to sell small or large amounts of certiñcates at prices compa- rable to those available to other investors. You should purchase certiñcates only if you under- stand and can tolerate the risk that the value of your certiñcates will vary over time and that your certiñcates may not be easily sold. to Öuctuate. We cannot be sure that a market for resale of the certiñcates will develop. Further, if a market develops, it may not continue or be suçciently liquid to allow you to sell your certificates. Even if you are able to sell your certiñcates, the sale price may not be comparable to similar investments that have a developed mar- DESCRIPTION OF THE CERTIFICATES The material under this heading summarizes certain features of the CertiÑcates. You will Ñnd additional information about the CertiÑcates in the other sections of this prospectus supplement, as well as in the additional Disclosure Documents and the Trust Agreement. If we use a capitalized term in this prospectus supplement without deñning it, you will Ñnd the deñnition of that term in the applicable Disclosure Document or in the Trust Agreement. General Structure. We will create Ñve separate trusts (""REMIC Trust 1,'' ""REMIC Trust 2,'' ""REMIC Trust 3,'' ""REMIC Trust 4'' and the ""Lower Tier REMIC'' and, collectively, the ""REMIC Trusts'') pursuant to a trust agreement dated as of October 1, 2001 (the ""Issue Date''). We will issue the Guaranteed Pass-Through CertiÑcates (the ""REMIC CertiÑcates'') pursuant to that trust agreement. We will issue the Combinable and Recombinable REMIC CertiÑcates (the ""RCR CertiÑcates'' and, together with the REMIC CertiÑcates, the ""CertiÑcates'') pursuant to a separate trust agreement dated as of the Issue Date (together with the trust agreement relating to the REMIC CertiÑcates, the ""Trust Agreement''). We will execute the Trust Agreement in our corporate capacity and as trustee (the ""Trustee''). In general, the term ""Classes'' includes Classes of the REMIC CertiÑcates and RCR CertiÑcates. Each of the REMIC Trusts will constitute a ""real estate mortgage investment conduit'' (""REMIC'') under the Internal Revenue Code of 1986, as amended (the ""Code''). The Group 1, Group 4, Group 6, Group 7, Group 8 and Group 9 Classes will be ""regular interests'' in REMIC Trust 1. The R Class will be the ""residual interest'' in REMIC Trust 1. The Group 2 Classes will be the ""regular interests'' in REMIC Trust 2. The RA Class will be the ""residual interest'' in REMIC Trust 2. The Group 3 Classes will be the ""regular interests'' in REMIC Trust 3. The RB Class will be the ""residual interest'' in REMIC Trust 3. The Group 5 Classes will be the ""regular interests'' in REMIC Trust 4. The RC Class will be the ""residual interest'' in REMIC Trust 4. The interests in the Lower Tier REMIC other than the RL Class (the ""Lower Tier Regular Interests'') will be the ""regular interests'' in the Lower Tier REMIC. The RL Class will be the ""residual interest'' in the Lower Tier REMIC. The assets of REMIC Trust 1 will consist of the Lower Tier Regular Interests. The assets of REMIC Trust 2 will consist of certain Fannie Mae Guaranteed Mortgage Pass- Through CertiÑcates (the ""Group 2 MBS''). S-11

13 The assets of REMIC Trust 3 and REMIC Trust 4 will consist of two groups of Fannie Mae Stripped Mortgage-Backed Securities (the ""Group 3 SMBS'' and ""Group 5 SMBS,'' respectively, and, together, the ""SMBS''). The assets of the Lower Tier REMIC will consist of: Ñve groups of Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (the ""Group 1 MBS,'' ""Group 4 MBS,'' ""Group 6 MBS,'' ""Group 7 MBS'' and ""Group 8 MBS'' and, together with the Group 2 MBS, the ""Trust MBS''), and certain previously issued REMIC certiñcates (the ""Group 9 Underlying REMIC CertiÑcates'') evidencing beneñcial ownership interests in the related REMIC trust (the ""Underlying REMIC Trust'') as further described in Exhibit A. The assets of the Underlying REMIC Trust evidence direct or indirect beneñcial ownership interests in certain Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates. The SMBS represent beneñcial ownership interests in certain interest and principal distributions on certain Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (together with the Trust MBS and the Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates backing the Underlying REMIC Trust, the ""MBS''). Each MBS represents a beneñcial ownership interest in a pool of Ñrst lien, one- to four-family (""single-family''), Ñxed-rate residential mortgage loans having the characteristics described in this prospectus supplement. Fannie Mae Guaranty. We guarantee that we will distribute to CertiÑcateholders: required installments of principal and interest on the CertiÑcates on time, and the principal balance of each Class of CertiÑcates no later than its Final Distribution Date, whether or not we have received suçcient payments on the MBS. In addition, we guarantee that we will distribute to each holder of an MBS: scheduled installments of principal and interest on the underlying Mortgage Loans on time, whether or not the related borrowers pay us, and the full principal balance of any foreclosed Mortgage Loan, whether or not we recover it. Our guaranty obligations with respect to the Underlying REMIC CertiÑcates are described in the Underlying REMIC Disclosure Documents. Our guarantees are not backed by the full faith and credit of the United States. See ""Description of CertiÑcatesÌThe Fannie Mae Guaranty'' in the REMIC Prospectus, ""Description of CertiÑcatesÌ The Fannie Mae Guaranty'' in the MBS Prospectus, ""Description of the CertiÑcatesÌGeneralÌ Fannie Mae Guaranty'' in the related Underlying REMIC Disclosure Documents and ""The SMBS CertiÑcatesÌFannie Mae Obligations'' in the SMBS Prospectus. Characteristics of CertiÑcates. We will issue the CertiÑcates (except the R, RL, RA, RB and RC Classes) in book-entry form on the book-entry system of the U.S. Federal Reserve Banks. Entities whose names appear on the book-entry records of a Federal Reserve Bank as having had CertiÑcates deposited in their accounts are ""Holders'' or ""CertiÑcateholders.'' A Holder is not necessarily the beneñcial owner of a CertiÑcate. BeneÑcial owners ordinarily will hold CertiÑcates through one or more Ñnancial intermediaries, such as banks, brokerage Ñrms and securities clearing organizations. See ""Description of CertiÑcatesÌDenominations and Form'' in the REMIC Prospectus. We will issue the R, RL, RA, RB and RC CertiÑcates in fully registered, certiñcated form. The ""Holder'' or ""CertiÑcateholder'' of the R, RL, RA, RB or RC CertiÑcate is its registered owner. The R, RL, RA, RB or RC CertiÑcate can be transferred at the corporate trust oçce of the Transfer Agent, or S-12

14 at the oçce of the Transfer Agent in New York, New York. State Street Bank and Trust Company in Boston, Massachusetts (""State Street'') will be the initial Transfer Agent. We may impose a service charge for any registration of transfer of the R, RL, RA, RB or RC CertiÑcate and may require payment to cover any tax or other governmental charge. See also ""ÌCharacteristics of the R Class'' below. The Holders of the R, RA, RB and RC Classes will receive the proceeds of any remaining assets of REMIC Trust 1, REMIC Trust 2, REMIC Trust 3 and REMIC Trust 4, respectively, and the Holder of the RL Class will receive the proceeds of any remaining assets in the Lower Tier REMIC, in each case only by presenting and surrendering the related CertiÑcate at the oçce of the Paying Agent. State Street will be the initial Paying Agent. Authorized Denominations. We will issue the CertiÑcates, other than the R, RL, RA, RB and RC Classes, in minimum denominations of $1,000 and whole dollar increments. We will issue the R, RL, RA, RB and RC Classes as single CertiÑcates with no principal balance. Distribution Dates. We will make monthly payments on the Group 3, Group 5 and Group 7 Classes on the 18th day of each month (or, if the 18th day is not a business day, on the Ñrst business day after the 18th). We will make monthly payments on the Group 1, Group 2, Group 4, Group 6, Group 8 and Group 9 Classes on the 25th day of each month (or, if the 25th day is not a business day, on the Ñrst business day after the 25th). We refer to each of these dates as a ""Distribution Date.'' We will make the Ñrst payments to CertiÑcateholders the month after we issue the CertiÑcates. Record Date. On each Distribution Date, we will make each monthly payment on the CertiÑcates to Holders of record on the last day of the preceding month. Class Factors. On or shortly after the eleventh calendar day of each month, we will publish a factor (carried to eight decimal places) for each Class of CertiÑcates. When the factor is multiplied by the original principal balance (or notional principal balance) of a CertiÑcate of any Class, the product will equal the current principal balance (or notional principal balance) of that CertiÑcate after taking into account payments on the Distribution Date in the same month (as well as any addition to principal in the case of the Accrual Classes). Optional Termination. We will not terminate a REMIC Trust by exercising our right to repurchase the Mortgage Loans underlying any related MBS unless only one Mortgage Loan remains in the related pool, or the principal balance of the pool is less than one percent of its original level. See ""Description of CertiÑcatesÌTermination'' in the MBS Prospectus. Voting the Underlying REMIC CertiÑcates and the SMBS. Holders of the Underlying REMIC CertiÑcates and the SMBS may be asked to vote on issues arising under the applicable trust agreements. If so, the Trustee will vote the related Underlying REMIC CertiÑcates or SMBS as instructed by Holders of CertiÑcates of the Classes backed by those Underlying REMIC CertiÑcates or SMBS. The Trustee must receive instructions from Holders of CertiÑcates having principal balances totaling at least 51% of the aggregate principal balance of all the related Classes outstanding. In the absence of such instructions, the Trustee will vote in a manner consistent, in its sole judgment, with the best interests of CertiÑcateholders. Combination and Recombination General. You are permitted to exchange all or a portion of the CA, VC, VD, ZC, FC and IC Classes of REMIC CertiÑcates for a proportionate interest in the related RCR CertiÑcates in the combinations shown on Schedule 1. You also may exchange all or a portion of the RCR CertiÑcates for the related REMIC CertiÑcates in the same manner. This process may occur repeatedly. S-13

15 Holders of RCR CertiÑcates will be the beneñcial owners of a proportionate interest in the related REMIC CertiÑcates and will receive a proportionate share of the distributions on the related REMIC CertiÑcates. The Classes of REMIC CertiÑcates and RCR CertiÑcates that are outstanding at any given time, and the outstanding principal balances (or notional principal balances) of these Classes, will depend upon any related distributions of principal, as well as any exchanges that occur. REMIC CertiÑcates and RCR CertiÑcates in any combination may be exchanged only in the proportions shown on Schedule 1. Procedures. If a CertiÑcateholder wishes to exchange CertiÑcates, the CertiÑcateholder must notify our Structured Transactions Department through one of our ""REMIC Dealer Group'' dealers in writing or by telefax no later than two business days before the proposed exchange date. The exchange date can be any business day other than the Ñrst or last business day of the month subject to our approval. The notice must include the outstanding principal balance of both the CertiÑcates to be exchanged and the CertiÑcates to be received, and the proposed exchange date. After receiving the Holder's notice, we will telephone the dealer with delivery and wire payment instructions. Notice becomes irrevocable on the second business day before the proposed exchange date. In connection with each exchange, the Holder must pay us a fee equal to 1/32 of 1% of the outstanding principal balance (exclusive of any notional principal balance) of the CertiÑcates to be exchanged. In no event, however, will our fee be less than $2,000. We will make the Ñrst distribution on a REMIC CertiÑcate or an RCR CertiÑcate received in an exchange transaction on the Distribution Date in the following month. We will make that distribution to the Holder of record as of the close of business on the last day of the month of the exchange. Additional Considerations. The characteristics of RCR CertiÑcates will reöect the characteristics of the REMIC CertiÑcates used to form those RCR CertiÑcates. You should also consider a number of factors that will limit a CertiÑcateholder's ability to exchange REMIC CertiÑcates for RCR CertiÑcates or vice versa: At the time of the proposed exchange, a CertiÑcateholder must own CertiÑcates of the related Class or Classes in the proportions necessary to make the desired exchange. A CertiÑcateholder that does not own the CertiÑcates may be unable to obtain the necessary REMIC CertiÑcates or RCR CertiÑcates. The CertiÑcateholder of needed CertiÑcates may refuse to sell them at a reasonable price (or any price) or may be unable to sell them. Certain CertiÑcates may have been purchased and placed into other Ñnancial structures and thus be unavailable. Principal distributions will decrease the amounts available for exchange over time. Only the combinations listed on Schedule 1 are permitted. The Trust MBS General The following table contains certain information about the Trust MBS. The Trust MBS included in each speciñed Group will have the aggregate unpaid principal balance and Pass-Through Rate shown below and the general characteristics described in the MBS Prospectus. The Trust MBS provides that principal and interest on the related Mortgage Loans are passed through monthly. Except as speciñed below in the case of the Group 7 MBS, the Mortgage Loans underlying the Trust MBS are conventional Level Payment Mortgage Loans secured by Ñrst mortgages or deeds of trust on single-family residential properties. All of the Mortgage Loans underlying the Group 1, Group 2, S-14

16 Group 4, Group 6 and Group 8 MBS, and substantially all of the Mortgage Loans underlying the Group 7 MBS have original maturities of up to 30 years. See ""The Mortgage Pools'' and ""Yield Considerations'' in the MBS Prospectus. We expect the characteristics of the Trust MBS and the related Mortgage Loans as of the Issue Date to be as follows: Group 1 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $1,044,464,500 MBS Pass-Through Rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.00% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.25% to 9.50% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 241 months to 360 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 351 months Approximate Weighted Average WALA (Weighted Average Loan Age) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 9 months Group 2 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $3,875,106,304 MBS Pass-Through Rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.00% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.25% to 9.50% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 241 months to 360 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 344 months Approximate Weighted Average WALA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14 months Group 4 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $300,000,000 MBS Pass-Through Rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.50% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.75% to 9.00% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 241 months to 360 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 358 months Approximate Weighted Average WALA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2 months Group 6 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $375,000,000 MBS Pass-Through Rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.00% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.25% to 8.50% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 241 months to 360 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 337 months Approximate Weighted Average WALA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 20 months Group 7 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $78,191,065 Initial Weighted Average MBS Pass-Through Rate ÏÏÏÏÏÏÏÏ 9.855% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 9.25% to 17.65% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 13 months to 282 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 179 months Approximate Weighted Average WALA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 161 months Group 8 MBS Aggregate Unpaid Principal BalanceÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $374,000,000 MBS Pass-Through Rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.00% Range of WACs (annual percentages) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.25% to 8.50% Range of WAMs ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 241 months to 360 months Approximate Weighted Average WAMÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 356 months Approximate Weighted Average WALA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 months Additional Considerations Relating to the Group 7 MBS Approximately 55% of the Mortgage Loans underlying the Group 7 MBS (by aggregate unpaid principal balance as of the Issue Date) are either insured or guaranteed by the Federal Housing S-15

17 Administration (""FHA''), the Department of Veterans AÅairs (""VA'') or the Rural Housing Service (""RHS''). In particular: approximately 25% of the related Mortgage Loans were originated in accordance with FHA or VA underwriting guidelines and were subsequently included in Ginnie Mae pools. However, each such Mortgage Loan was repurchased from the applicable Ginnie Mae pool following an uncured delinquency of at least 90 days. Although these Mortgage Loans are currently performing in accordance with their payment terms, the related servicers have the right to repurchase any such Mortgage Loan that again becomes delinquent for at least 90 days; and approximately 29% of the related Mortgage Loans are held in the form of Fannie Mae Mega CertiÑcates that are backed by ""fully modiñed pass-through'' mortgage-backed securities guaranteed as to timely payment of principal and interest by Ginnie Mae. The Group 9 Underlying REMIC CertiÑcates The Group 9 Underlying REMIC CertiÑcates represent beneñcial ownership interests in the Underlying REMIC Trust. The assets of that trust evidence direct or indirect beneñcial ownership interests in certain MBS having the general characteristics set forth in the MBS Prospectus. Distributions on the Group 9 Underlying REMIC CertiÑcates will be passed through monthly, beginning in the month after we issue the CertiÑcates. The general characteristics of the Group 9 Underlying REMIC CertiÑcates are described in the Underlying REMIC Disclosure Document. See Exhibit A for additional information about the Group 9 Underlying REMIC CertiÑcates. Each MBS evidences beneñcial ownership interests in a pool of conventional Level Payment Mortgage Loans secured by Ñrst mortgages or deeds of trust on single-family residential properties, as described under ""The Mortgage Pools'' and ""Yield Considerations'' in the MBS Prospectus. For further information about the Group 9 Underlying REMIC CertiÑcates, telephone us at or You also may obtain certain information in electronic form by calling us at or There may have been material changes in facts and circumstances since the dates we prepared the Underlying REMIC Disclosure Document. These may include changes in prepayment speeds, prevailing interest rates and other economic factors. As a result, the usefulness of the information set forth in those documents may be limited. The SMBS The general characteristics of the SMBS are described in the SMBS Prospectus. The SMBS provide that certain payments on the related MBS will be passed through monthly. The general characteristics of the MBS are described in the MBS Prospectus. Each MBS evidences beneñcial ownership interests in a pool of conventional Level Payment Mortgage Loans secured by Ñrst mortgages or deed of trust on single-family residential properties, as described under ""The Mortgage Pools'' and ""Yield Considerations'' in the MBS Prospectus. Group 3 SMBS The Group 3 SMBS represent ownership of: interest payments at a pass-through rate of 6.5% on an initial notional principal amount of $228,846,154, and principal payments on an initial principal amount of $175,000,000 of MBS held in the form of a Mega CertiÑcate and included in a Fannie Mae Stripped Mortgage-Backed Security. S-16