$524,229,896. Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust

Transcription

1 Prospectus Supplement (To REMIC Prospectus dated August 1, 2007) $524,229,896 The CertiÑcates Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust Original Final Class Principal Interest Interest CUSIP Distribution We, the Federal National Mortgage Association (Fannie Mae), will is- Class Group Balance Type(1) Rate Type(1) Number Date sue the classes of certiñcates listed FA(2) 1 $106,791,733 PT (3) FLT 31396X4B7 December 2037 in the chart on this cover. SA ÏÏ 1 106,791,733(4) NTL (3) INV/IO 31396X4C5 December 2037 PO(2) 1 8,214,749 PT 0.00% PO 31396X4D3 December 2037 Payments to CertiÑcateholders FB ÏÏ 1 30,000,000 PT (3) FLT 31396X4E1 December 2037 SB ÏÏ 1 30,000,000(4) NTL (3) INV/IO 31396X4F8 December 2037 We will make monthly payments on BO(2) 1 1,153,847 PT 0.00 PO 31396X4G6 December 2037 the certiñcates. You, the investor, FD(2) 2 43,208,267 PT (3) FLT 31396X4H4 December 2037 will receive SD ÏÏ 2 43,208,267(4) NTL (3) INV/IO 31396X4J0 December 2037 DO(2) 2 3,323,713 PT 0.00 PO 31396X4K7 December 2037 interest accrued on the balance of your certiñcate (except in the case of the accrual class), and MC ÏÏ 3 50,000,000 SEQ 5.25 FIX 31396X4L5 October 2036 MI ÏÏ 3 9,615,384(4) NTL 6.50 FIX/IO 31396X4M3 October 2036 MJ ÏÏ 3 6,180,000 SEQ 6.50 FIX 31396X4N1 December 2037 principal to the extent available GA ÏÏ 4 100,000,000 SEQ 5.50 FIX 31396X4P6 April 2022 for payment on your class. GB ÏÏ 4 8,700,000 SEQ 5.50 FIX 31396X4Q4 December 2022 We will pay principal at rates that may vary from time to time. We may not pay principal to certain classes for long periods of time. FG(2) 5 77,746,610 SC/TAC/AD (3) FLT 31396X4R2 June 2037 FZ(2) 5 4,524,935 SC/SUP (3) FLT/Z(5) 31396X4S0 June 2037 MT(2) 5 3,047,094 SC/PT (6) T 31396X4T8 June 2037 FM ÏÏ 6 81,338,948 PT (3) FLT 31396X4U5 December 2037 SM ÏÏ 6 81,338,948(4) NTL (3) INV/IO 31396X4V3 December 2037 R ÏÏ 0 NPR 0 NPR 31396X4W1 December 2037 The Fannie Mae Guaranty RL ÏÏ 0 NPR 0 NPR 31396X4X9 December 2037 We will guarantee that required pay- (1) See ""Description of the (4) Notional balances. These classes are interest only ments of principal and interest on the CertiÑcatesÌClass classes. See page S-6 for a description of how their certificates are available for distribu- DeÑnitions and notional balances are calculated. Abbreviations'' in the (5) Floating Rate/Accrual class. tion to investors on time. REMIC prospectus. (6) This class is a toggle class. See pages S-5 and S-6 The Trust and its Assets (2) Exchangeable classes. (3) Based on LIBOR. for a description of its interest rate. The trust will own Fannie Mae MBS and If you own certiñcates of certain classes, you can exchange them for certiñcates of the corresponding RCR classes to be delivered at the time of exchange. an underlying REMIC certiñcate The AO, FE, EO, FH and FK Classes are the RCR classes. For a more detailed backed by Fannie Mae MBS. description of the RCR classes, see Schedule 1 attached to this prospectus supplement and ""Description of the CertiÑcatesÌCombination and Recombi- The mortgage loans underlying the nation'' in the REMIC prospectus. Fannie Mae MBS are Ñrst lien, single-family, Ñxed-rate loans. The dealer will offer the certificates from time to time in negotiated transactions at varying prices. We expect the settlement date to be November 30, Carefully consider the risk factors starting on page S-8 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 MORGAN STANLEY The date of this Prospectus Supplement is November 20, 2007

2 TABLE OF CONTENTS Page AVAILABLE INFORMATIONÏÏÏÏÏÏ S- 3 The Principal Only Classes ÏÏÏÏÏÏÏÏ S-15 SUMMARY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 4 The Fixed Rate Interest Only Class S-16 ADDITIONAL RISK FACTORS ÏÏÏÏ S- 8 WEIGHTED AVERAGE LIVES OF THE DESCRIPTION OF THE CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-16 CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 DECREMENT TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17 GENERAL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 CHARACTERISTICS OF THE RESIDUAL Structure ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 CLASSESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-21 Fannie Mae Guaranty ÏÏÏÏÏÏÏÏÏÏÏÏ S- 9 CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES ÏÏ S-21 Characteristics of CertiÑcates ÏÏÏÏÏÏ S- 9 U.S. TREASURY CIRCULAR 230 Authorized Denominations ÏÏÏÏÏÏÏÏ S- 9 NOTICE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-21 THE TRUST MBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 9 REMIC ELECTIONS AND SPECIAL THE GROUP 5 UNDERLYING REMIC TAX ATTRIBUTESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-21 CERTIFICATEÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 TAXATION OF BENEFICIAL OWNERS OF DISTRIBUTIONS OF INTEREST ÏÏÏÏÏÏÏÏ S-10 REGULAR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏ S-21 General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 TAXATION OF BENEFICIAL OWNERS OF Delay Classes and No-Delay Classes S-10 RESIDUAL CERTIFICATES ÏÏÏÏÏÏÏÏÏÏ S-22 Accrual Class ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 TAXATION OF BENEFICIAL OWNERS OF DISTRIBUTIONS OF PRINCIPAL ÏÏÏÏÏÏÏ S-11 RCR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 STRUCTURING ASSUMPTIONS ÏÏÏÏÏÏÏÏ S-12 PLAN OF DISTRIBUTION ÏÏÏÏÏÏÏÏ S-23 Pricing AssumptionsÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-12 LEGAL MATTERSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 Prepayment Assumptions ÏÏÏÏÏÏÏÏÏ S-12 EXHIBIT A ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1 Principal Balance Schedule ÏÏÏÏÏÏÏ S-12 SCHEDULE 1ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 2 YIELD TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 PRINCIPAL BALANCE SCHEDULEÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 B- 1 The Inverse Floating Rate and Toggle Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 Page S-2

3 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 August 1, 2007 (the ""REMIC Prospectus''); our Prospectus for Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (Single- Family Residential Mortgage Loans) dated January 1, 2006 (for all MBS issued prior to June 1, 2007) or dated June 1, 2007 (for all MBS issued on or after June 1, 2007) (as applicable, the ""MBS Prospectus''); if you are purchasing any Group 5 Class or the R or RL Class, the disclosure document relating to the underlying REMIC certiñcate (the ""Underlying REMIC Disclosure Document''); and any information incorporated by reference in this prospectus supplement as discussed below and under the heading ""Incorporation by Reference'' in the REMIC Prospectus. The MBS Prospectus and Underlying REMIC Disclosure Document are incorporated by reference in this prospectus supplement. This means that we are disclosing information in those documents by referring you to them. Those documents are considered part of this prospectus supplement, so you should read this prospectus supplement, and any applicable supplements or amendments, together with those documents. 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 ). In addition, the Disclosure Documents, together with the class factors, are available on our corporate Web site at You also can obtain copies of the REMIC Prospectus, the MBS Prospectus and the Underlying REMIC Disclosure Document by writing or calling the dealer at: Morgan Stanley & Co. Incorporated c/o Broadridge Financial Solutions Prospectus Department 1155 Long Island Avenue Edgewood, New York (telephone ). S-3

4 SUMMARY This summary contains only limited information about the certiñcates. Statistical information in this summary is provided as of November 1, You should purchase the certiñcates only after reading this prospectus supplement and each of the additional disclosure documents listed on page S-3. In particular, please see the discussion of risk factors that appears in each of those additional disclosure documents. Assets Underlying Each Group of Classes Group Assets 1 Group 1 MBS 2 Group 2 MBS 3 Group 3 MBS 4 Group 4 MBS 5 Class FA REMIC CertiÑcate 6 Group 6 MBS Group 1, Group 2, Group 3, Group 4 and Group 6 Characteristics of the MBS Range of Weighted Range of Weighted Average Coupons Average Remaining Approximate Pass- or WACs Terms to Maturity Principal Through (annual or WAMs Balance Rate percentages) (in months) Group 1 MBS $146,160, % 6.75% to 9.00% 241 to 360 Group 2 MBS $ 46,531, % 6.75% to 9.00% 241 to 360 Group 3 MBS $ 56,180, % 6.75% to 9.00% 241 to 360 Group 4 MBS $108,700, % 5.75% to 8.00% 121 to 180 Group 6 MBS $ 81,338, % 7.25% to 9.50% 241 to 360 Assumed Characteristics of the Underlying Mortgage Loans Original Remaining Term to Term to Principal Maturity Maturity Loan Age Interest Balance (in months) (in months) (in months) Rate Group 1 MBS $146,160, % Group 2 MBS $ 46,531, % Group 3 MBS $ 56,180, % Group 4 MBS $108,700, % Group 6 MBS $ 81,338, % The actual remaining terms to maturity, loan ages and interest rates of most of the mortgage loans underlying the Group 1, Group 2, Group 3, Group 4 and Group 6 MBS will diåer from those shown above, perhaps signiñcantly. Group 5 Exhibit A describes the underlying REMIC certiñcate in Group 5, including certain information about the related mortgage loans. To learn more about the underlying REMIC certiñcate, you should obtain from us the current class factor and the related disclosure document as described on page S-3. S-4

5 Settlement Date We expect to issue the certiñcates on November 30, Distribution Dates We will make payments on the certiñcates on the 25th day of each calendar month, or on the next business day if the 25th day is not a business day. 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. Book-Entry and Physical CertiÑcates We will issue the classes of certiñcates in the following forms: Fed Book-Entry All classes of certiñcates other than the R and RL Classes Physical R and RL Classes Exchanging CertiÑcates Through Combination and Recombination If you own certiñcates of a class designated as ""exchangeable'' on the cover of this prospectus supplement, you will be able to exchange them for a proportionate interest in the related RCR certiñcates. Schedule 1 lists the available combinations of the certiñcates eligible for exchange and the related RCR certiñcates. You can exchange your certiñcates by notifying us and paying an exchange fee. We will deliver the RCR certiñcates upon such exchange. We will apply principal and interest payments from exchanged REMIC certiñcates to the corresponding RCR certiñcates, on a pro rata basis, following any exchange. 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. During the initial interest accrual period, the Öoating rate, inverse Öoating rate and toggle classes (other than the FG, FZ, MT, FH and FK Classes) will bear interest at the initial interest rates listed below. The initial interest rates listed for the FG, FZ, MT, FH and FK Classes are assumed rates. During each subsequent interest accrual period, the Öoating rate, inverse Öoating rate and toggle 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) FA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 7.00% 0.55% LIBOR 55 basis points SA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 6.45% 0.00% 6.45% LIBOR FB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 6.75% 0.70% LIBOR 70 basis points SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 6.05% 0.00% 6.05% LIBOR FD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 7.00% 0.55% LIBOR 55 basis points SD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 6.45% 0.00% 6.45% LIBOR FG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ %(2) 7.00% 0.30% LIBOR 30 basis points FZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ %(2) 7.00% 0.30% LIBOR 30 basis points MT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ %(2) 7.83% 0.00% (3) FM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 7.00% 0.64% LIBOR 64 basis points SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 6.36% 0.00% 6.36% LIBOR S-5

6 Initial Maximum Minimum Formula for Interest Interest Interest Calculation of Class Rate Rate Rate Interest Rate(1) FE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % 7.00% 0.55% LIBOR 55 basis points FH ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ %(2) 7.00% 0.30% LIBOR 30 basis points FK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ %(2) 6.75% 0.34% LIBOR 34 basis points (1) We will establish LIBOR on the basis of the ""BBA Method.'' (2) Assumed initial interest rates. We will calculate the actual initial interest rates for these classes on November 21, 2007 using the applicable formulas. (3) The applicable interest rate for the MT Class during each interest accrual period will be determined as follows: If LIBOR is: Less than or equal to 6.41%ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Greater than 6.41% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Applicable Formulas LIBOR 142 basis points 180.9% (27 LIBOR) Notional Classes The notional principal balances of the notional classes will equal the percentages of the outstanding balances speciñed below immediately before the related distribution date: Class SA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SDÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FA Class 100% of the FB Class 100% of the FD Class % of the MC Class 100% of the FM Class Distributions of Principal For a description of the principal payment priorities, see ""Description of the CertiÑcatesÌ Distributions of Principal'' in this prospectus supplement. Weighted Average Lives (years)* Group 1 Classes 0% 100% 481% 720% 960% FA, SA, PO, FB, SB, BO and AO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 2 Classes 0% 100% 481% 720% 960% FD, SD and DO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-6

7 Group 1/Group 2 Classes 0% 100% 481% 720% 960% FE(1) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ EO(2) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 3 Classes 0% 100% 481% 720% 960% MC and MI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ (1) The FE Class is an RCR class formed from a combination of the FA Class in Group 1 and the FD Class in Group 2. (2) The EO Class is an RCR class formed from a combination of the PO and BO Classes in Group 1 and the DO Class in Group 2. Group 4 Classes 0% 100% 225% 325% 450% GA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 5 Classes LIBOR 0% 145% 400% 600% 800% FG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % % % FZÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % % % MT, FH and FKÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Group 6 Classes 0% 100% 300% 683% 1000% 1350% FM and SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Determined as speciñed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' in the REMIC Prospectus. S-7

8 ADDITIONAL RISK FACTORS The rates of principal payments on the FG and FZ Classes also may be sensitive to LIBOR. The rates of principal payments on the FG and FZ Classes in Group 5 will depend in part on the rate at which interest accrues on the FZ Class. The rate at which interest accrues on the FZ Class in turn will depend on the level of LIBOR in eåect from time to time. In particular, during periods when the level of LIBOR is relatively high, principal of the FG and FZ Classes will be paid more rapidly than would otherwise be the case. Conversely, during periods when the level of LIBOR is relatively low, principal of the FG and FZ Classes will be paid more slowly than would otherwise be the case. Slight changes in LIBOR may signiñcantly aåect the interest rate of the toggle class. The toggle class may be extremely sensitive to certain changes in monthly LIBOR values. In par- ticular, it may experience a dramatic decline in its interest rate and yield as a result of certain changes in LIBOR, even if those changes are slight. For an illustration of this sensitivity, see the related yield table in this prospectus supplement. DESCRIPTION OF THE CERTIFICATES The material under this heading describes the principal 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 the Fannie Mae REMIC Trust speciñed on the cover of this prospectus supplement (the ""Trust'') pursuant to a trust agreement dated as of August 1, 2007 and a supplement thereto dated as of November 1, 2007 (the ""Issue Date''). We will issue the Guaranteed REMIC Pass-Through CertiÑcates (the ""REMIC CertiÑcates'') pursuant to that trust agreement and supplement. 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 August 1, 2007 and a supplement thereto dated as of the Issue Date (together with the trust agreement and supplement 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 the Classes of REMIC CertiÑcates and RCR CertiÑcates. The assets of the Trust will include: Ñve groups of Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (the ""Group 1 MBS,'' ""Group 2 MBS,'' ""Group 3 MBS,'' ""Group 4 MBS'' and ""Group 6 MBS'' and, together, the ""Trust MBS''), and a previously issued REMIC certiñcate (the ""Group 5 Underlying REMIC CertiÑcate'') evidencing a beneñcial ownership interest in the related Fannie Mae 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 (together with the Trust MBS, 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 (the ""Mortgage Loans'') having the characteristics described in this prospectus supplement. S-8

9 The Trust will include the ""Lower Tier REMIC'' and ""Upper Tier REMIC'' as ""real estate mortgage investment conduits'' (each, a ""REMIC'') under the Internal Revenue Code of 1986, as amended (the ""Code''). The following chart contains information about the assets, the ""regular interests'' and the ""residual interests'' of each REMIC. The REMIC CertiÑcates other than the R and RL Classes are collectively referred to as the ""Regular Classes'' or ""Regular CertiÑcates,'' and the R and RL Classes are collectively referred to as the ""Residual Classes'' or ""Residual CertiÑcates.'' Residual REMIC Designation Assets Regular Interests Interest Lower Tier REMIC ÏÏÏÏÏÏÏÏÏÏÏÏÏ Trust MBS and Interests in the Lower RL Group 5 Underlying Tier REMIC other than REMIC CertiÑcate the RL Class (the ""Lower Tier Regular Interests'') Upper Tier REMIC ÏÏÏÏÏÏÏÏÏÏÏÏÏ Lower Tier Regular Group 1, Group 2, R Interests Group 3, Group 4, Group 5 and Group 6 Classes Fannie Mae Guaranty. For a description of our guaranties of the CertiÑcates, the Trust MBS and the Group 5 Underlying REMIC CertiÑcate, see ""Description of the CertiÑcatesÌFannie Mae Guaranty'' in the REMIC Prospectus, ""Description of the CertiÑcatesÌFannie Mae Guaranty'' in the MBS Prospectus and ""Description of the CertiÑcatesÌGeneralÌFannie Mae Guaranty'' in the Underlying REMIC Disclosure Document. Our guaranties are not backed by the full faith and credit of the United States. Characteristics of CertiÑcates. Except as speciñed below, we will issue the CertiÑcates in bookentry 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.'' We will issue each Residual CertiÑcate in fully registered, certiñcated form. The ""Holder'' or ""CertiÑcateholder'' of a Residual CertiÑcate is its registered owner. A Residual CertiÑcate can be transferred at the corporate trust oçce of the Transfer Agent, or at the oçce of the Transfer Agent in New York, New York. U.S. Bank National Association (""US Bank'') in Boston, Massachusetts will be the initial Transfer Agent. We may impose a service charge for any registration of transfer of a Residual CertiÑcate and may require payment to cover any tax or other governmental charge. See also ""ÌCharacteristics of the Residual Classes'' below. Authorized Denominations. We will issue the CertiÑcates in the following denominations: Classes Inverse Floating Rate, Interest Only, Principal Only and Toggle Classes All other Classes (except the R and RL Classes) Denominations $100,000 minimum plus whole dollar increments $1,000 minimum plus whole dollar increments The Trust MBS The Trust MBS provide that principal and interest on the related Mortgage Loans are passed through monthly. The Mortgage Loans underlying the Trust MBS are conventional, Ñxed-rate, fullyamortizing mortgage loans secured by Ñrst mortgages or deeds of trust on single-family residential properties. These Mortgage Loans have original maturities of up to 30 years in the case of the Group 1, Group 2, Group 3 and Group 6 MBS, and up to 15 years in the case of the Group 4 MBS. S-9

10 For additional information, see ""SummaryÌGroup 1, Group 2, Group 3, Group 4 and Group 6Ì Characteristics of the MBS'' and ""ÌAssumed Characteristics of the Underlying Mortgage Loans '' in this prospectus supplement and ""The Mortgage Pools'' and ""Yield, Maturity, and Prepayment Considerations'' in the MBS Prospectus. The Group 5 Underlying REMIC CertiÑcate The Group 5 Underlying REMIC CertiÑcate represents a beneñcial ownership interest in the related 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. Each MBS evidences beneñcial ownership interests in a pool of conventional, Ñxed-rate, fully-amortizing mortgage loans secured by Ñrst mortgages or deeds of trust on single-family residential properties, as described under ""The Mortgage Pools'' and ""Yield, Maturity, and Prepayment Considerations'' in the MBS Prospectus. The Mortgage Loans underlying the Group 5 Underlying REMIC CertiÑcate provide for interest only periods that may range from at least 7 to no more than 10 years following origination. See ""Risk FactorsÌPrepayment FactorsÌReÑnance EnvironmentÌFixed-rate and adjustable-rate mortgage loans with long initial interest-only payment periods may be more likely to be reñnanced than other mortgage loans'' in the MBS Prospectus. Distributions on the Group 5 Underlying REMIC CertiÑcate will be passed through monthly, beginning in the month after we issue the CertiÑcates. The general characteristics of the Group 5 Underlying REMIC CertiÑcate are described in the Underlying REMIC Disclosure Document. See Exhibit A for certain additional information about the Group 5 Underlying REMIC CertiÑcate. For further information about the Group 5 Underlying REMIC CertiÑcate, telephone us at Additional information about the Group 5 Underlying REMIC CertiÑcate is also available at There may have been material changes in facts and circumstances since the date 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 that document may be limited. Distributions of Interest General. The certiñcates will bear interest at the rates speciñed in this prospectus supplement on a 30/360 basis. Interest to be paid on each CertiÑcate (or added to principal, in the case of the Accrual Class) on a Distribution Date will consist of one month's interest on the outstanding balance of that CertiÑcate immediately prior to that Distribution Date. For a description of the Accrual Class, see ""ÌAccrual Class'' below. Delay Classes and No-Delay Classes. the following table: Delay Classes Fixed Rate Classes The ""delay'' Classes and ""no-delay'' Classes are set forth in No-Delay Classes Floating Rate, Inverse Floating Rate and Toggle Classes See ""Description of the CertiÑcatesÌDistributions on CertiÑcatesÌInterest Distributions'' in the REMIC Prospectus. The Dealer will treat the Principal Only Classes as delay Classes solely for the purpose of facilitating trading. Accrual Class. The FZ Class is an Accrual Class. Interest will accrue on the Accrual Class at the applicable annual rate speciñed on the cover of this prospectus supplement. However, we will not pay any interest on the Accrual Class. Instead, interest accrued on the Accrual Class will be added as S-10

11 principal to its principal balance on each Distribution Date. We will pay principal on the Accrual Class as described under ""ÌDistributions of Principal'' below. Distributions of Principal On the Distribution Date in each month, we will make payments of principal on the CertiÑcates as described below. Group 1 The Group 1 Principal Distribution Amount to FA, PO, FB and BO, pro rata, until retired. H The ""Group 1 Principal Distribution Amount'' is the principal then paid on the Group 1 MBS. Group 2 The Group 2 Principal Distribution Amount to FD and DO, pro rata, until retired. E Pass- F Through Classes E Pass- F Through H Classes The ""Group 2 Principal Distribution Amount'' is the principal then paid on the Group 2 MBS. Group 3 The Group 3 Principal Distribution Amount to MC and MJ, in that order, until retired. E Sequential F Pay Classes H The ""Group 3 Principal Distribution Amount'' is the principal then paid on the Group 3 MBS. Group 4 The Group 4 Principal Distribution Amount to GA and GB, in that order, until retired. E Sequential F Pay Classes H The ""Group 4 Principal Distribution Amount'' is the principal then paid on the Group 4 MBS. Group 5 The FZ Accrual Amount to FG to its Targeted Balance, and thereafter to FZ. E Accretion Directed/ F TAC Class and Accrual H Class The Group 5 Cash Flow Distribution Amount as follows: Ì % in the following priority: Ñrst, to FG to its Targeted Balance; E F H TAC Class E E Support second, to FZ until retired; and F Class F Collateral H Classes Structured third, to FG until retired; and E TAC Class F H H S-11

12 Ì % to MT until retired. Structured E F Collateral/ Pass-Through H Class The ""FZ Accrual Amount'' is any interest then accrued and added to the principal balance of the FZ Class. The ""Group 5 Cash Flow Distribution Amount'' is the principal then paid on the Group 5 Underlying REMIC CertiÑcate. Group 6 The Group 6 Principal Distribution Amount to FM until retired. E Pass- F Through H Class The ""Group 6 Principal Distribution Amount'' is the principal then paid on the Group 6 MBS. Structuring Assumptions Pricing Assumptions. Except where otherwise noted, the information in the tables in this prospectus supplement has been prepared based on the actual characteristics of each pool of Mortgage Loans backing the Group 5 Underlying REMIC CertiÑcate and the following assumptions (such characteristics and assumptions, collectively, the ""Pricing Assumptions''): the Mortgage Loans underlying the Trust MBS have the original terms to maturity, remaining terms to maturity, loan ages and interest rates speciñed under ""SummaryÌGroup 1, Group 2, Group 3, Group 4 and Group 6ÌAssumed Characteristics of the Underlying Mortgage Loans'' in this prospectus supplement; the Mortgage Loans prepay at the constant percentages of PSA speciñed in the related tables; the settlement date for the CertiÑcates is November 30, 2007; and each Distribution Date occurs on the 25th day of a month. Prepayment Assumptions. The prepayment model used in this prospectus supplement is PSA. For a description of PSA, see ""Yield, Maturity and Prepayment ConsiderationsÌPrepayment Models'' in the REMIC Prospectus. Principal Balance Schedule. The Principal Balance Schedule for the FG Class is set forth beginning on page B-1 of this prospectus supplement. The Principal Balance Schedule for the FG Class was prepared based on the Pricing Assumptions and the assumption that the related Mortgage Loans prepay at the ""Structuring Speed'' speciñed in the chart below. Class Structuring Speed FG Class Targeted Balances 145% PSA(1) (1) The Targeted Balances for the FG Class also were structured on the basis of an assumed constant LIBOR level of %. We cannot assure you that the balance of the FG Class will conform on any Distribution Date to the balance speciñed in the Principal Balance Schedule or that distributions of principal of the FG Class will begin or end on the Distribution Dates speciñed in the Principal Balance Schedule. If you are considering the purchase of the FG Class, you should Ñrst take into account the considerations set forth below. We will distribute any excess of principal distributions over the amount necessary to reduce the FG Class to its scheduled balance in any month. As a result, the likelihood of reducing the S-12

13 FG Class to its scheduled balance each month will not be improved by the averaging of high and low principal distributions from month to month. The principal payment stability of the FG Class will be supported by the FZ Class. When the FZ Class is retired, the FG Class, if still outstanding, will be much more sensitive to prepayments of the related Mortgage Loans. Yield Tables General. The tables below illustrate the sensitivity of the pre-tax corporate bond equivalent yields to maturity of the applicable Classes to various constant percentages of PSA and, where speciñed, to changes in the Index. We calculated the yields set forth in the tables by determining the monthly discount rates that, when applied to the assumed streams of cash Öows to be paid on the applicable Classes, would cause the discounted present values of the assumed streams of cash Öows to equal the assumed aggregate purchase prices of those Classes, and converting the monthly rates to corporate bond equivalent rates. These calculations do not take into account variations in the interest rates at which you could reinvest distributions on the CertiÑcates. Accordingly, these calculations do not illustrate the return on any investment in the CertiÑcates when reinvestment rates are taken into account. We cannot assure you that the pre-tax yields on the applicable CertiÑcates will correspond to any of the pre-tax yields shown here, or the aggregate purchase prices of the applicable CertiÑcates will be as assumed. In addition, it is unlikely that the Index will correspond to the levels shown here. Furthermore, because some of the Mortgage Loans are likely to have remaining terms to maturity shorter or longer than those assumed and interest rates higher or lower than those assumed, the principal payments on the CertiÑcates are likely to diåer from those assumed. This would be the case even if all Mortgage Loans prepay at the indicated constant percentages of PSA. Moreover, it is unlikely that the Mortgage Loans will prepay at a constant PSA rate until maturity, all of the Mortgage Loans will prepay at the same rate, or the level of the Index will remain constant. The Inverse Floating Rate and Toggle Classes. The yields on the Inverse Floating Rate and Toggle Classes will be sensitive in varying degrees to the rate of principal payments, including prepayments, of the related Mortgage Loans and to the level of the Index. The related Mortgage Loans generally can be prepaid at any time without penalty. In addition, the rate of principal payments (including prepayments) of the Mortgage Loans is likely to vary, and may vary considerably, from pool to pool. As illustrated in the applicable tables below, it is possible that investors in the Inverse Floating Rate Classes would lose money on their initial investments under certain Index and prepayment scenarios. Changes in the Index may not correspond to changes in prevailing mortgage interest rates. It is possible that lower prevailing mortgage interest rates, which might be expected to result in faster prepayments, could occur while the level of the Index increased. The information shown in the yield tables has been prepared on the basis of the Pricing Assumptions and the assumptions that the interest rates for the Inverse Floating Rate and Toggle Classes for the initial Interest Accrual Period are the rates listed in the table under ""SummaryÌInterest Rates'' in this S-13

14 prospectus supplement and for each following Interest Accrual Period will be based on the speciñed level of the Index, and the aggregate purchase prices of those Classes (expressed in each case as a percentage of original principal balance) are as follows: Class Price* SA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.00% SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.00% SD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.25% MT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 99.00% SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.00% * The prices do not include accrued interest. Accrued interest has been added to the prices in calculating the yields set forth in the tables below. In the following yield tables, the symbol * is used to represent a yield of less than (99.9)%. Sensitivity of the SA Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 481% 720% 960% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 108.4% 106.2% 88.8% 77.5% 65.8% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 66.5% 64.1% 45.6% 33.5% 20.9% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.6% 25.0% 4.2% (9.6)% (24.2)% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * Sensitivity of the SB Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 481% 720% 960% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 121.6% 119.4% 102.2% 91.0% 79.5% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 70.6% 68.2% 49.9% 37.9% 25.4% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 24.0% 21.3% 0.3% (13.8)% (28.7)% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * Sensitivity of the SD Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 481% 720% 960% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 125.9% 122.5% 95.3% 76.7% 56.5% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 76.8% 73.6% 47.8% 30.0% 10.6% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 32.0% 28.9% 3.9% (13.5)% (32.7)% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * S-14

15 Sensitivity of the MT Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 145% 400% 600% 800% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2.4% 2.5% 2.6% 2.8% 3.0% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.4% 4.5% 4.7% 4.8% 4.9% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.5% 6.5% 6.7% 6.8% 6.9% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 8.1% 8.1% 8.3% 8.4% 8.5% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.8% 7.8% 8.0% 8.1% 8.2% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.1% 4.1% 4.3% 4.4% 4.6% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0.1% 0.2% 0.4% 0.5% 0.7% Sensitivity of the SM Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 683% 1000% 1350% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 173.9% 171.9% 163.9% 148.0% 134.4% 118.7% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 104.5% 102.4% 93.9% 77.1% 62.7% 46.1% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 42.7% 40.3% 30.4% 10.8% (6.3)% (25.8)% % ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * * The Principal Only Classes. The Principal Only Classes will not bear interest. As indicated in the tables below, a low rate of principal payments (including prepayments) on the related Mortgage Loans will have a negative eåect on the yields to investors in the Principal Only Classes. The information shown in the yield tables has been prepared on the basis of the Pricing Assumptions and the assumption that the aggregate purchase prices of the Principal Only Classes (expressed in each case as a percentage of original principal balance) are as follows: Class Price PO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 69.25% BO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 69.00% DO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 71.25% AO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 69.00% EO ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 69.50% Sensitivity of the PO Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 2.7% 3.6% 11.1% 15.4% 19.4% Sensitivity of the BO Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 2.7% 3.6% 11.2% 15.6% 19.6% S-15

16 Sensitivity of the DO Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 2.6% 3.5% 12.2% 18.2% 24.5% Sensitivity of the AO Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 2.7% 3.6% 11.2% 15.6% 19.6% Sensitivity of the EO Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 2.7% 3.6% 11.5% 16.2% 20.8% The Fixed Rate Interest Only Class. The yield to investors in the Fixed Rate Interest Only Class will be very sensitive to the rate of principal payments (including prepayments) of the related Mortgage Loans. The Mortgage Loans generally can be prepaid at any time without penalty. On the basis of the assumptions described below, the yield to maturity on the Fixed Rate Interest Only Class would be 0% if prepayments of the related Mortgage Loans were to occur at the following constant rate: Class % PSA MI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 548% PSA If the actual prepayment rate of the related Mortgage Loans were to exceed the level speciñed for as little as one month while equaling that level for the remaining months, the investors in the Fixed Rate Interest Only Class would lose money on their initial investments. The information shown in the following yield table has been prepared on the basis of the Pricing Assumptions and the assumption that the aggregate purchase price of the Fixed Rate Interest Only Class (expressed as a percentage of the original principal balance) is as follows: Class Price* MI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.25% * The price does not include accrued interest. Accrued interest has been added to the price in calculating the yields set forth in the table below. Sensitivity of the MI Class to Prepayments 50% 100% 481% 720% 960% Pre-Tax Yields to Maturity ÏÏÏ 35.1% 32.1% 5.2% (13.1)% (30.4)% Weighted Average Lives of the CertiÑcates For a description of how the weighted average life of a CertiÑcate is determined, see ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' in the REMIC Prospectus. S-16

17 In general, the weighted average lives of the CertiÑcates will be shortened if the level of prepayments of principal of the related Mortgage Loans increases. However, the weighted average lives will depend upon a variety of other factors, including the timing of changes in the rate of principal distributions, and the priority sequences of distributions of principal of the Group 3, Group 4 and Group 5 Classes. See ""ÌDistributions of Principal'' above. The eåect of these factors may diåer as to various Classes and the eåects on any Class may vary at diåerent times during the life of that Class. Accordingly, we can give no assurance as to the weighted average life of any Class. Further, to the extent the prices of the CertiÑcates represent discounts or premiums to their original principal balances, variability in the weighted average lives of those Classes of CertiÑcates could result in variability in the related yields to maturity. For an example of how the weighted average lives of the Classes may be aåected at various constant prepayment rates, see the Decrement Tables below. Decrement Tables The following tables indicate the percentages of original principal balances of the speciñed Classes that would be outstanding after each date shown at various constant PSA rates and the corresponding weighted average lives of those Classes. The tables have been prepared on the basis of the Pricing Assumptions. In the case of the information set forth for each Class under 0% PSA, however, we assumed that the Mortgage Loans have the original and remaining terms to maturity and bear interest at the annual rates speciñed in the table below. Original and Mortgage Loans Relating to Remaining Terms Interest Trust Assets SpeciÑed Below to Maturity Rates Group 1 MBS 360 months 9.00% Group 2 MBS 360 months 9.00% Group 3 MBS 360 months 9.00% Group 4 MBS 180 months 8.00% Group 5 Underlying REMIC CertiÑcate (1) 8.50% Group 6 MBS 360 months 9.50% (1) We have assumed that each Mortgage Loan underlying the Group 5 Underlying REMIC CertiÑcate has original and remaining terms to maturity of 360 months and 354 months, respectively. In addition, we have assumed that all of the Mortgage Loans underlying the Group 5 Underlying REMIC CertiÑcate have a remaining interest only period of 113 months. It is unlikely that all of the Mortgage Loans will have the interest rates, remaining terms to maturity or remaining interest only periods assumed or that the Mortgage Loans will prepay at any constant PSA level. In addition, the diverse remaining terms to maturity of the Mortgage Loans could produce slower or faster principal distributions than indicated in the tables at the speciñed constant PSA rates, even if the weighted average remaining term to maturity and the weighted average loan age of the Mortgage Loans are identical to the weighted averages speciñed in the Pricing Assumptions. This is the case because pools of loans with identical weighted averages are nonetheless likely to reöect diåering dispersions of the related characteristics. S-17

18 Percent of Original Principal Balances Outstanding FA, SA, PO, FB, SB, BO and AO Classes FD, SD and DO Classes MC and MI Classes MJ Class PSA Prepayment PSA Prepayment PSA Prepayment PSA Prepayment Assumption Assumption Assumption Assumption Date 0% 100% 481% 720% 960% 0% 100% 481% 720% 960% 0% 100% 481% 720% 960% 0% 100% 481% 720% 960% Initial PercentÏÏÏÏÏÏÏÏÏ November 2008ÏÏÏÏÏÏÏÏ November 2009ÏÏÏÏÏÏÏÏ November 2010ÏÏÏÏÏÏÏÏ November 2011ÏÏÏÏÏÏÏÏ November 2012ÏÏÏÏÏÏÏÏ November 2013ÏÏÏÏÏÏÏÏ November 2014ÏÏÏÏÏÏÏÏ * November 2015ÏÏÏÏÏÏÏÏ * * November 2016ÏÏÏÏÏÏÏÏ * * November 2017ÏÏÏÏÏÏÏÏ * * * * November 2018ÏÏÏÏÏÏÏÏ * * * * * November 2019ÏÏÏÏÏÏÏÏ * * * * * November 2020ÏÏÏÏÏÏÏÏ * * * * * November 2021ÏÏÏÏÏÏÏÏ * * * * * * November 2022ÏÏÏÏÏÏÏÏ * * * * * * November 2023ÏÏÏÏÏÏÏÏ * * * * * * * * November 2024ÏÏÏÏÏÏÏÏ * * * * * * * * November 2025ÏÏÏÏÏÏÏÏ * * * * * * * * November 2026ÏÏÏÏÏÏÏÏ * * * * * * * * November 2027ÏÏÏÏÏÏÏÏ * * * * * * * * November 2028ÏÏÏÏÏÏÏÏ * * * * * * * * November 2029ÏÏÏÏÏÏÏÏ * * * * * * * November 2030ÏÏÏÏÏÏÏÏ * * * * 0 44 * * * * November 2031ÏÏÏÏÏÏÏÏ 45 9 * * * * * * * November 2032ÏÏÏÏÏÏÏÏ 39 7 * * * * * * 0 November 2033ÏÏÏÏÏÏÏÏ 32 6 * * * * * * 0 November 2034ÏÏÏÏÏÏÏÏ 25 4 * * * * * * 0 November 2035ÏÏÏÏÏÏÏÏ 18 2 * * * * * * 0 November 2036ÏÏÏÏÏÏÏÏ 9 1 * * * 0 November 2037ÏÏÏÏÏÏÏÏ Weighted Average Life (years)** ÏÏÏÏÏÏ GA Class GB Class PSA Prepayment PSA Prepayment Assumption Assumption Date 0% 100% 225% 325% 450% 0% 100% 225% 325% 450% Initial PercentÏÏÏÏÏÏÏÏÏ November 2008ÏÏÏÏÏÏÏÏ November 2009ÏÏÏÏÏÏÏÏ November 2010ÏÏÏÏÏÏÏÏ November 2011ÏÏÏÏÏÏÏÏ November 2012ÏÏÏÏÏÏÏÏ November 2013ÏÏÏÏÏÏÏÏ November 2014ÏÏÏÏÏÏÏÏ November 2015ÏÏÏÏÏÏÏÏ November 2016ÏÏÏÏÏÏÏÏ November 2017ÏÏÏÏÏÏÏÏ November 2018ÏÏÏÏÏÏÏÏ November 2019ÏÏÏÏÏÏÏÏ November 2020ÏÏÏÏÏÏÏÏ November 2021ÏÏÏÏÏÏÏÏ November 2022ÏÏÏÏÏÏÏÏ November 2023ÏÏÏÏÏÏÏÏ November 2024ÏÏÏÏÏÏÏÏ November 2025ÏÏÏÏÏÏÏÏ November 2026ÏÏÏÏÏÏÏÏ November 2027ÏÏÏÏÏÏÏÏ November 2028ÏÏÏÏÏÏÏÏ November 2029ÏÏÏÏÏÏÏÏ November 2030ÏÏÏÏÏÏÏÏ November 2031ÏÏÏÏÏÏÏÏ November 2032ÏÏÏÏÏÏÏÏ November 2033ÏÏÏÏÏÏÏÏ November 2034ÏÏÏÏÏÏÏÏ November 2035ÏÏÏÏÏÏÏÏ November 2036ÏÏÏÏÏÏÏÏ November 2037ÏÏÏÏÏÏÏÏ Weighted Average Life (years)** ÏÏÏÏÏÏ * Indicates an outstanding balance greater than 0% and less than 0.5% of the original principal balance. ** Determined as speciñed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' in the REMIC Prospectus. In the case of a Notional Class, the Decrement Table indicates the percentage of the original notional principal balance outstanding. S-18

19 FG Class FG Class FG Class FG Class LIBOR % LIBOR % LIBOR % LIBOR 6.70% PSA Prepayment PSA Prepayment PSA Prepayment PSA Prepayment Assumption Assumption Assumption Assumption Date 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% Initial PercentÏÏÏÏÏÏÏÏÏ November 2008ÏÏÏÏÏÏÏÏ November 2009ÏÏÏÏÏÏÏÏ November 2010ÏÏÏÏÏÏÏÏ November 2011ÏÏÏÏÏÏÏÏ November 2012ÏÏÏÏÏÏÏÏ November 2013ÏÏÏÏÏÏÏÏ November 2014ÏÏÏÏÏÏÏÏ November 2015ÏÏÏÏÏÏÏÏ November 2016ÏÏÏÏÏÏÏÏ * * * * November 2017ÏÏÏÏÏÏÏÏ * * * * November 2018ÏÏÏÏÏÏÏÏ * * * * November 2019ÏÏÏÏÏÏÏÏ * * * * November 2020ÏÏÏÏÏÏÏÏ * * * * * * * * November 2021ÏÏÏÏÏÏÏÏ * * * * * * * * November 2022ÏÏÏÏÏÏÏÏ * * * * * * * * November 2023ÏÏÏÏÏÏÏÏ * * * * * * * * November 2024ÏÏÏÏÏÏÏÏ * * * * * * * * November 2025ÏÏÏÏÏÏÏÏ * * * * 66 * 1 * * 60 * 1 * * November 2026ÏÏÏÏÏÏÏÏ 69 6 * * * 66 2 * * * 61 0 * * * 54 0 * * * November 2027ÏÏÏÏÏÏÏÏ 64 4 * * * 61 * * * * 55 0 * * * 48 0 * * * November 2028ÏÏÏÏÏÏÏÏ 59 2 * * * 55 0 * * * 49 0 * * * 41 0 * * * November 2029ÏÏÏÏÏÏÏÏ 53 * * * * 49 0 * * * 43 0 * * * 34 0 * * * November 2030ÏÏÏÏÏÏÏÏ 47 0 * * * 43 0 * * * 36 0 * * * 26 0 * * * November 2031ÏÏÏÏÏÏÏÏ 40 0 * * * 36 0 * * * 28 0 * * * 17 0 * * * November 2032ÏÏÏÏÏÏÏÏ 33 0 * * * 28 0 * * * 20 0 * * * 8 0 * * * November 2033ÏÏÏÏÏÏÏÏ 25 0 * * * 20 0 * * * 11 0 * * * 0 0 * * * November 2034ÏÏÏÏÏÏÏÏ 17 0 * * * * * * * * 0 November 2035ÏÏÏÏÏÏÏÏ 7 0 * * * * * * * * 0 November 2036ÏÏÏÏÏÏÏÏ 0 0 * * * * * * * * 0 November 2037ÏÏÏÏÏÏÏÏ Weighted Average Life (years)**ïïïïïïï FZ Class FZ Class FZ Class FZ Class LIBOR % LIBOR % LIBOR % LIBOR 6.70% PSA Prepayment PSA Prepayment PSA Prepayment PSA Prepayment Assumption Assumption Assumption Assumption Date 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% 0% 145% 400% 600% 800% Initial PercentÏÏÏÏÏÏÏÏÏ November 2008ÏÏÏÏÏÏÏÏ November 2009ÏÏÏÏÏÏÏÏ November 2010ÏÏÏÏÏÏÏÏ November 2011ÏÏÏÏÏÏÏÏ November 2012ÏÏÏÏÏÏÏÏ November 2013ÏÏÏÏÏÏÏÏ November 2014ÏÏÏÏÏÏÏÏ November 2015ÏÏÏÏÏÏÏÏ November 2016ÏÏÏÏÏÏÏÏ November 2017ÏÏÏÏÏÏÏÏ November 2018ÏÏÏÏÏÏÏÏ November 2019ÏÏÏÏÏÏÏÏ November 2020ÏÏÏÏÏÏÏÏ November 2021ÏÏÏÏÏÏÏÏ November 2022ÏÏÏÏÏÏÏÏ November 2023ÏÏÏÏÏÏÏÏ November 2024ÏÏÏÏÏÏÏÏ November 2025ÏÏÏÏÏÏÏÏ November 2026ÏÏÏÏÏÏÏÏ November 2027ÏÏÏÏÏÏÏÏ November 2028ÏÏÏÏÏÏÏÏ November 2029ÏÏÏÏÏÏÏÏ November 2030ÏÏÏÏÏÏÏÏ November 2031ÏÏÏÏÏÏÏÏ November 2032ÏÏÏÏÏÏÏÏ November 2033ÏÏÏÏÏÏÏÏ November 2034ÏÏÏÏÏÏÏÏ November 2035ÏÏÏÏÏÏÏÏ November 2036ÏÏÏÏÏÏÏÏ November 2037ÏÏÏÏÏÏÏÏ Weighted Average Life (years)**ïïïïïïï * Indicates an outstanding balance greater than 0% and less than 0.5% of the original principal balance. ** Determined as speciñed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' in the REMIC Prospectus. S-19