$249,054,280. Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust

Transcription

1 Prospectus Supplement (To REMIC Prospectus dated August 1, 2007) $249,054,280 The CertiÑcates Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust We, the Federal National Mortgage Associa- Original Class Principal Interest Interest CUSIP Final Distribution tion (Fannie Mae), will issue the classes of Class Group Balance Type(1) Rate Type(1) Number Date certificates listed in the chart on this cover. PAÏÏÏÏÏÏÏ 1 $26,393,111 SC/SEG(TAC)/TAC/AD 6.0% FIX 31397LWY1 September 2037 Payments to CertiÑcateholders ZD(2) ÏÏÏ 1 4,541,912 SC/SEG(TAC)/SUP/AD 6.0 FIX/Z 31397LWZ8 September 2037 We will make monthly payments on the ZE(2) ÏÏÏ 1 18,167,642 SC/SUP 6.0 FIX/Z 31397LXA2 September 2037 certiñcates. You, the investor, will receive TA ÏÏÏÏÏÏ 2 12,968,391 SC/SEG(TAC)/TAC/AD 6.0 FIX 31397LXB0 June 2036 ZA(2)ÏÏÏ 2 4,813,835 SC/SEG(TAC)/SUP/AD 6.0 FIX/Z 31397LXC8 June 2036 interest accrued on the balance of your Z(2) ÏÏÏÏ 2 9,268,257 SC/SUP 6.0 FIX/Z 31397LXD6 June 2036 certiñcate (except in the case of the accrual classes), and AB ÏÏÏÏÏÏ 3 46,361,063 PT 4.0 FIX 31397LXE4 June 2023 principal to the extent available for payment AI ÏÏÏÏÏÏ 3 12,643,926(3) NTL 5.5 FIX/IO 31397LXF1 June 2023 on your class. FA(2) ÏÏÏ 4 35,083,700 SC/PT (4) FLT 31397LXG9 November 2036 We will pay principal at rates that may SA ÏÏÏÏÏÏ 4 35,083,700(3) NTL (4) INV/IO 31397LXH7 November 2036 vary from time to time. We may not pay BA ÏÏÏÏÏÏ 5 12,528,274 SC/PT 4.5 FIX 31397LXJ3 November 2036 principal to certain classes for long periods FB(2) ÏÏÏ 5 50,113,095 SC/PT (4) FLT 31397LXK0 November 2036 of time. SB ÏÏÏÏÏÏ 5 50,113,095(3) NTL (4) INV/IO 31397LXL8 November 2036 The Fannie Mae Guaranty MA ÏÏÏÏÏÏ 6 26,000,000 TAC/AD 5.0 FIX 31397LXM6 June 2028 We will guarantee that required payments MZ ÏÏÏÏÏÏ 6 2,815,000 SUP 5.0 FIX/Z 31397LXN4 June 2028 of principal and interest on the certiñcates R ÏÏÏÏÏÏÏ 0 NPR 0 NPR 31397LXP9 September 2037 are available for distribution to investors on time. (1) See ""Description of the CertiÑcatesÌ (3) Notional balances. These classes are Class DeÑnitions and Abbreviations'' in interest only classes. See page S-7 for The Trust and its Assets the REMIC prospectus. a description of how their notional (2) Exchangeable classes. balances are calculated. The trust will own (4) Based on LIBOR. underlying RCR and REMIC certiñcates backed by Fannie Mae MBS and If you own certiñcates of certain classes, you can exchange them for certiñcates of Fannie Mae MBS. the corresponding RCR classes to be delivered at the time of exchange. The ZC, ZB The mortgage loans underlying the Fannie and F Classes are the RCR classes. For a more detailed description of the RCR Mae MBS are Ñrst lien, single-family, Ñxedclasses, see Schedule 1 attached to this prospectus supplement and ""Description of rate loans. the CertiÑcatesÌCombination and Recombination'' in the REMIC prospectus. The dealer will oåer the certiñcates from time to time in negotiated transactions at varying prices. We expect the settlement date to be May 30, Carefully consider the risk factors on page S-8 of this prospectus supplement and starting 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 Deutsche Bank Securities The date of this Prospectus Supplement is May 22, 2008

2 TABLE OF CONTENTS Page AVAILABLE INFORMATION ÏÏÏÏÏ S- 3 The Fixed Rate Interest Only Class S-15 RECENT DEVELOPMENTS ÏÏÏÏÏÏÏ S- 4 The Inverse Floating Rate Classes S-15 SUMMARY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 5 WEIGHTED AVERAGE LIVES OF THE ADDITIONAL RISK FACTOR ÏÏÏÏÏ S- 8 CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-16 DESCRIPTION OF THE DECREMENT TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17 CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 CHARACTERISTICS OF THE RESIDUAL GENERAL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 CLASS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 Structure ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 8 CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES ÏÏ S-22 Fannie Mae Guaranty ÏÏÏÏÏÏÏÏÏÏÏÏ S- 9 U.S. TREASURY CIRCULAR 230 Characteristics of CertiÑcates ÏÏÏÏÏÏ S- 9 NOTICE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 Authorized Denominations ÏÏÏÏÏÏÏÏ S- 9 REMIC ELECTION AND SPECIAL TAX THE UNDERLYING REMIC ATTRIBUTES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 TAXATION OF BENEFICIAL OWNERS OF THE TRUST MBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 REGULAR CERTIFICATES ÏÏÏÏÏÏÏÏÏÏ S-22 DISTRIBUTIONS OF INTEREST ÏÏÏÏÏÏÏÏ S-10 TAXATION OF BENEFICIAL OWNERS OF General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 RESIDUAL CERTIFICATES ÏÏÏÏÏÏÏÏÏÏ S-23 Delay Classes and No-Delay Classes S-10 TAXATION OF BENEFICIAL OWNERS OF Accrual Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 RCR CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 DISTRIBUTIONS OF PRINCIPAL ÏÏÏÏÏÏÏ S-11 PLAN OF DISTRIBUTION ÏÏÏÏÏÏÏÏ S-24 STRUCTURING ASSUMPTIONS ÏÏÏÏÏÏÏÏ S-13 LEGAL MATTERSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 Pricing AssumptionsÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13 EXHIBIT A ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1 Prepayment Assumptions ÏÏÏÏÏÏÏÏÏ S-13 SCHEDULE 1ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 3 Principal Balance SchedulesÏÏÏÏÏÏÏ S-13 PRINCIPAL BALANCE SCHEDULES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YIELD TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 B- 1 General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14 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 April 1, 2008 (for all other MBS) (as applicable, the ""MBS Prospectus''); if you are purchasing any Group 1, Group 2, Group 4 or Group 5 Class or the R Class, the disclosure documents relating to the applicable underlying RCR or REMIC certiñcates (the ""Underlying REMIC Disclosure Documents''); 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 the Underlying REMIC Disclosure Documents 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 Documents by writing or calling the dealer at: Deutsche Bank Securities Inc. Syndicate Operations 60 Wall Street New York, New York (telephone ). S-3

4 RECENT DEVELOPMENTS On May 19, 2008, Standard & Poor's Ratings Services (""S&P'') lowered our ""Risk-to-the- Government'' rating from ""AA '' to ""A '' with a negative outlook, and açrmed the ""AA '' ratings on our preferred stock and subordinated debt with a negative outlook. S&P also açrmed the ""AAA/A-1 '' rating on our senior unsecured debt with a stable outlook. On May 6, 2008, Moody's Investors Service (""Moody's'') downgraded our ""Bank Financial Strength Rating'' from ""B '' to ""B'' with a negative outlook. Moody's also placed a negative outlook on the ""Aa3'' rating on our preferred stock, and açrmed the rating of ""Aaa'' on our senior debt and ""Aa2'' on our subordinated debt with a stable outlook. Also on May 6, 2008, Fitch Ratings placed the ""AA '' rating on our preferred stock on ""Rating Watch Negative,'' and açrmed the ratings of ""AAA'' on our senior unsecured debt and ""AA '' on our subordinated debt with a stable outlook. Although the certiñcates being oåered hereby are not rated, the general market perception of our ability to satisfy our obligations, including our guaranty obligations on the certiñcates, will aåect the liquidity and market value of the certiñcates. Accordingly, you should consider the potential eåect of the recent announcements on the liquidity and market value of your certiñcates. S-4

5 SUMMARY This summary contains only limited information about the certiñcates. Statistical information in this summary is provided as of May 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 Class DA RCR CertiÑcate Class CA RCR CertiÑcate 2 Class DM REMIC CertiÑcate 3 Group 3 MBS 4 Class FC REMIC CertiÑcate Class CS REMIC CertiÑcate 5 Class FG REMIC CertiÑcate Class SG REMIC CertiÑcate Class SH RCR CertiÑcate 6 Group 6 MBS Group 1, Group 2, Group 4 and Group 5 Exhibit A describes the underlying RCR and REMIC certiñcates in Group 1, Group 2, Group 4 and Group 5, including certain information about the related mortgage loans. To learn more about the underlying RCR and REMIC certiñcates, you should obtain from us the current class factors and the related disclosure documents as described on page S-3. Group 3 and Group 6 Characteristics of the Trust MBS Range of Weighted Range of Weighted Average Remaining Approximate Pass- Average Coupons Terms to Maturity Principal Through or WACs or WAMs Balance Rate (annual percentages) (in months) Group 3 MBS $46,361, % 5.75% to 8.00% 60 to 180 Group 6 MBS $28,815, % 5.25% to 7.50% 181 to 240 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 3 MBS $46,361, % Group 6 MBS $28,815, % The actual remaining terms to maturity, loan ages and interest rates of most of the mortgage loans underlying the Trust MBS will diåer from those shown above, perhaps signiñcantly. S-5

6 Settlement Date We expect to issue the certiñcates on May 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 Class Physical R Class 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 or on Schedule 1. 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 each subsequent interest accrual period, 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) FA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.54% 7.00% 0.95% LIBOR 95 basis points SA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.46% 6.05% 0.00% 6.05% LIBOR FB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.54% 7.00% 0.95% LIBOR 95 basis points SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.46% 6.05% 0.00% 6.05% LIBOR F ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.54% 7.00% 0.95% LIBOR 95 basis points (1) We will establish LIBOR on the basis of the ""BBA Method.'' S-6

7 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 AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % of the AB Class SA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FA Class SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FB 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)* PSA Prepayment Assumption Group 1 Classes 0% 100% 225% 235% 490% 750% 1000% PAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 2 Classes 0% 100% 225% 235% 430% 650% 900% TAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 3 Classes 0% 100% 237% 350% 500% AB and AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 4 Classes 0% 100% 300% 580% 900% 1200% FA and SAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 5 Classes 0% 100% 300% 580% 900% 1200% BA, FB and SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 6 Classes 0% 100% 185% 350% 500% MA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Prepayment Assumption Group 4/Group 5 Class 0% 100% 300% 580% 900% 1200% F ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Determined as speciñed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' in the REMIC Prospectus. The F Class is an RCR class formed from a combination of the FA Class in Group 4 and the FB Class in Group 5. S-7

8 ADDITIONAL RISK FACTOR Payments on the Group 1 and Group 2 any related support classes remain out- Classes will be affected by the payment priorities standing, or governing the related underlying RCR or REMIC certificates. If you invest in any Group 1 or the Class DA RCR Certificate Group 2 Classes, the rate at which you receive otherwise has performed as originally payments also will be affected by the priority anticipated. sequences governing principal payments on the related underlying RCR or REMIC certificates. In addition, as described in the related un- derlying disclosure documents, the Class In particular, as described in the related 85-CA RCR Certificate in Group 1 and the underlying disclosure document, principal payport Group 2 Underlying REMIC Certificate are sup- ments on the Class DA RCR Certificate classes. A support class is entitled to receive in Group 1 are governed by a principal balance principal payments on a distribution date only if schedule. As a result, that certificate may receive scheduled payments of principal have been made principal payments at a rate faster or slower than on certain other classes in the related underlying would otherwise have been the case. In some REMIC trust. Accordingly, a support class may cases, that certificate may receive no principal receive no principal payments for extended peri- payments for extended periods. Prepayments on ods or may receive principal payments that vary the related mortgage loans may have occurred at widely from period to period. a rate faster or slower than the rate initially assumed. This prospectus supplement contains You may obtain additional information no information as to whether about the underlying RCR and REMIC certifi- cates by reviewing their current class factors in the Class DA RCR Certificate light of other information available in the related has adhered to its principal balance disclosure documents. You may obtain those docschedule, uments from us as described on page S-3. 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 May 1, 2008 (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. S-8

9 The assets of the Trust will include: four groups of previously issued RCR or REMIC certiñcates (the ""Group 1 Underlying RCR CertiÑcates,'' ""Group 2 Underlying REMIC CertiÑcate,'' ""Group 4 Underlying REMIC CertiÑcates'' and ""Group 5 Underlying REMIC and RCR CertiÑcates,'' and together, the ""Underlying REMIC CertiÑcates'') issued from the related Fannie Mae REMIC trusts (the ""Underlying REMIC Trusts'') as further described in Exhibit A, and two groups of Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (the ""Group 3 MBS,'' and ""Group 6 MBS,'' and together, the ""Trust MBS''). The Underlying REMIC CertiÑcates 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. The Trust will constitute a ""real estate mortgage investment conduit'' (""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 interest'' of the REMIC. The REMIC CertiÑcates other than the R Class are collectively referred to as the ""Regular Classes'' or ""Regular CertiÑcates,'' and the R Class is referred to as the ""Residual Class'' or ""Residual CertiÑcate.'' Residual Assets Regular Interests Interest REMIC ÏÏÏÏÏÏÏ Underlying REMIC CertiÑcates All Classes of REMIC CertiÑcates R and Trust MBS other than the R Class Fannie Mae Guaranty. For a description of our guaranties of the CertiÑcates, the Underlying REMIC CertiÑcates and the Trust MBS, see ""Description of the CertiÑcatesÌFannie Mae Guaranty'' in the REMIC Prospectus, ""Description of the CertiÑcatesÌGeneralÌFannie Mae Guaranty'' in the applicable Underlying REMIC Disclosure Documents and ""Description of the CertiÑcatesÌFannie Mae Guaranty'' in the MBS Prospectus. 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 the Residual CertiÑcate in fully registered, certiñcated form. The ""Holder'' or ""CertiÑcateholder'' of the Residual CertiÑcate is its registered owner. The 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 the Residual CertiÑcate and may require payment to cover any tax or other governmental charge. See also ""ÌCharacteristics of the Residual Class'' below. Authorized Denominations. We will issue the CertiÑcates in the following denominations: Classes Interest Only and Inverse Floating Rate Classes All other Classes (except the R Class) Denominations $100,000 minimum plus whole dollar increments $1,000 minimum plus whole dollar increments S-9

10 The Underlying REMIC CertiÑcates The Underlying REMIC CertiÑcates represent beneñcial ownership interests in the related Underlying REMIC Trusts. The assets of those trusts consist of MBS (or beneñcial ownership interests in 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 2 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 Underlying REMIC CertiÑcates will be passed through monthly, beginning in the month after we issue the CertiÑcates. The general characteristics of the Underlying REMIC CertiÑcates are described in the Underlying REMIC Disclosure Documents. See Exhibit A for certain additional information about the Underlying REMIC CertiÑcates. For further information about the Underlying REMIC CertiÑcates, telephone us at Additional information about the Underlying REMIC CertiÑcates is also available at There may have been material changes in facts and circumstances since the dates we prepared the Underlying REMIC Disclosure Documents. 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 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 15 years in the case of the Group 3 MBS, and up to 20 years in the case of the Group 6 MBS. For additional information, see ""SummaryÌGroup 3 and Group 6ÌCharacteristics of the Trust 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. 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 Classes) 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 Classes, see ""ÌAccrual Classes'' 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 and Inverse Floating Rate Classes See ""Description of the CertiÑcatesÌDistributions on CertiÑcatesÌInterest Distributions'' in the REMIC Prospectus. S-10

11 Accrual Classes. The ZD, ZE, ZA, Z, MZ, ZC and ZB Classes are Accrual Classes. Interest will accrue on each Accrual Class at the applicable annual rate speciñed on the cover of this prospectus supplement or on Schedule 1. However, we will not pay any interest on the Accrual Classes. Instead, interest accrued on an Accrual Class will be added as principal to its principal balance on each Distribution Date. We will pay principal on each 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 E Accretion F TAC Group and Accrual Class The ZE Accrual Amount to Aggregate Group I to its Targeted Balance, and thereafter Directed/ to ZE. H The ZD Accrual Amount to PA to its Targeted Balance, and thereafter to ZD. Accretion E F Directed/ TAC Class and H Accrual Class The Group 1 Cash Flow Distribution Amount in the following priority: 1. To Aggregate Group I to its Targeted Balance. E TAC Group F H E E Support 2. To ZE until retired. F Class Collateral H 3. To Aggregate Group I until retired. E F TAC Group H H F Structured The ""ZE Accrual Amount'' is any interest then accrued and added to the principal balance of the ZE Class. The ""ZD Accrual Amount'' is any interest then accrued and added to the principal balance of the ZD Class. The ""Group 1 Cash Flow Distribution Amount'' is the principal then paid on the Group 1 Underlying RCR CertiÑcates. ""Aggregate Group I'' consists of the PA and ZD Classes. On each Distribution Date, we will apply payments of principal of Aggregate Group I as follows: Ñrst, to PA to its Targeted Balance; second, to ZD until retired; and third, to PA until retired. Aggregate Group I has a principal balance equal to the aggregate principal balance of the Classes included in that Aggregate Group. Group 2 E Accretion F TAC Group and Accrual Class The Z Accrual Amount to Aggregate Group II to its Targeted Balance, and thereafter Directed/ to Z. H The ZA Accrual Amount to TA to its Targeted Balance, and thereafter to ZA. Accretion E F Directed/ TAC Class and H Accrual Class S-11

12 The Group 2 Cash Flow Distribution Amount in the following priority: 1. To Aggregate Group II to its Targeted Balance. E TAC Group F H E E Support 2. To Z until retired. F Class Collateral H F Structured 3. To Aggregate Group II until retired. E F TAC Group H H The ""Z Accrual Amount'' is any interest then accrued and added to the principal balance of the Z Class. The ""ZA Accrual Amount'' is any interest then accrued and added to the principal balance of the ZA Class. The ""Group 2 Cash Flow Distribution Amount'' is the principal then paid on the Group 2 Underlying REMIC CertiÑcate. ""Aggregate Group II'' consists of the TA and ZA Classes. On each Distribution Date, we will apply payments of principal of Aggregate Group II as follows: Ñrst, to TA to its Targeted Balance; second, to ZA until retired; and third, to TA until retired. Aggregate Group II has a principal balance equal to the aggregate principal balance of the Classes included in that Aggregate Group. Group 3 The Group 3 Principal Distribution Amount to AB until retired. E F Pass-Through Class 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 FA until retired. Structured E F Collateral/ Pass-Through H Class The ""Group 4 Principal Distribution Amount'' is the principal then paid on the Group 4 Underlying REMIC CertiÑcates. Group 5 The Group 5 Principal Distribution Amount to BA and FB, pro rata, until retired. E Structured F Collateral/ Pass-Through H Classes The ""Group 5 Principal Distribution Amount'' is the principal then paid on the Group 5 Underlying REMIC and RCR CertiÑcates. S-12

13 Group 6 The Group 6 Principal Distribution Amount in the following priority: E 1. To MA to its Targeted Balance. F TAC Class H E Support Class F 2. To MZ until retired. H E TAC Class F 3. To MA until retired. H The ""Group 6 Principal Distribution Amount'' is the sum of the principal then paid on the Group 6 MBS plus any interest then accrued and added to the principal balance of the MZ Class. 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 Underlying REMIC CertiÑcates, the applicable priority sequences aåecting principal payments on the Group 1 Underlying RCR CertiÑcates and the Group 2 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 3 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 May 30, 2008; 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. It is highly unlikely that prepayments will occur at any constant PSA rate or at any other constant rate. Principal Balance Schedules. The Principal Balance Schedules are set forth beginning on page B-1 of this prospectus supplement. The Principal Balance Schedules were prepared based on the Pricing Assumptions and the assumption that the related Mortgage Loans prepay at the applicable Structuring Speed speciñed in the chart below. We have not provided separate schedules for the individual Classes included in the Aggregate Groups. However, these Classes are designed to receive S-13

14 principal distributions in the same fashion as if separate schedules had been provided (with schedules based on the same underlying assumptions that apply to the related Aggregate Group schedule). Groups and Classes Structuring Speeds Aggregate Group I Targeted Balances (1) PA Class Targeted Balances 235% PSA Aggregate Group II Targeted Balances 225% PSA TA Class Targeted Balances 235% PSA MA Class Targeted Balances 185% PSA (1) The Targeted Balances for Aggregate Group I have been structured at 225% PSA, but only hold at constant rates between 245% and 349% PSA. The Aggregate Groups consist of the following Classes: Aggregate Group I ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PA and ZD Aggregate Group II ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TA and ZA See ""ÌDecrement Tables'' below for the percentages of original principal balances of the individual Classes included in the applicable Aggregate Groups that would be outstanding at various constant PSA rates, based on the Pricing Assumptions. We cannot assure you that the balance of any Aggregate Group or Class will conform on any Distribution Date to the balance speciñed in the Principal Balance Schedules or that distributions of principal of any Aggregate Group or Class will begin or end on the Distribution Dates speciñed in the Principal Balance Schedules. If you are considering the purchase of a TAC 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 an Aggregate Group or Class to its scheduled balance in any month. As a result, the likelihood of reducing an Aggregate Group or 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 each Aggregate Group or Class that has a scheduled balance will be supported by one or more other Classes. 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. S-14

15 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 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 AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 488% 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* AIÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 9.0% * 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 AI Class to Prepayments PSA Prepayment Assumption 50% 100% 237% 350% 500% Pre-Tax Yields to MaturityÏÏÏÏÏÏ 32.4% 29.0% 19.2% 10.8% (1.0)% The Inverse Floating Rate Classes. The yields on the Inverse Floating Rate 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 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. S-15

16 The information shown in the following yield tables has been prepared on the basis of the Pricing Assumptions and the assumptions that the interest rates for the Inverse Floating Rate Classes for the initial Interest Accrual Period are the rates listed in the table under ""SummaryÌInterest Rates'' in this 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 6.375% SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.125% * 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) PSA Prepayment Assumption LIBOR 50% 100% 300% 580% 900% 1200% 0.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 94.2% 90.2% 73.3% 47.7% 14.1% (23.9)% 2.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 55.4% 51.8% 36.6% 13.4% (17.1)% (51.8)% 4.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 19.3% 16.0% 2.3% (18.6)% (46.1)% (78.0)% 6.05% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * * Sensitivity of the SB Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) PSA Prepayment Assumption LIBOR 50% 100% 300% 580% 900% 1200% 0.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 98.9% 94.7% 77.7% 51.6% 17.4% (21.3)% 2.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 58.2% 54.5% 39.1% 15.6% (15.2)% (50.3)% 4.59% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 20.4% 17.1% 3.4% (17.7)% (45.4)% (77.3)% 6.05% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * * 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, the priority sequences of distributions of principal of the Group 1, Group 2 and Group 6 Classes, and in the case of the Group 1 and Group 2 Classes, the applicable priority sequences aåecting principal payments on the related Underlying REMIC CertiÑcates. See ""ÌDistributions of Principal'' above and ""Description of the CertiÑcatesÌDistributions of Principal'' in the Underlying REMIC Disclosure Documents. 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 Remaining Mortgage Loans Relating to Terms Terms Interest Trust Assets SpeciÑed Below to Maturity to Maturity Rates Group 1 Underlying RCR CertiÑcates 360 months (1) 8.50% Group 2 Underlying REMIC CertiÑcate 360 months 336 months(2) 8.50% Group 3 MBS 180 months 180 months 8.00% Group 4 Underlying REMIC CertiÑcates 360 months 341 months 9.00% Group 5 Underlying REMIC and RCR CertiÑcates 360 months 341 months 9.00% Group 6 MBS 240 months 240 months 7.50% (1) The Mortgage Loans backing the Group 1 Underlying RCR CertiÑcates are assumed to have the following remaining terms to maturity: DAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ CAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 336 months 351 months (2) In addition, we have assumed that the Mortgage Loans backing the Group 2 Underlying REMIC CertiÑcate have a remaining interest only period of 96 months. S-17

18 It is unlikely that all of the Mortgage Loans will have the interest rates, loan ages, 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. Percent of Original Principal Balances Outstanding PA Class ZD Class ZE Class PSA Prepayment PSA Prepayment PSA Prepayment Assumption Assumption Assumption Date 0% 100% 225% 235% 490% 750% 1000% 0% 100% 225% 235% 490% 750% 1000% 0% 100% 225% 235% 490% 750% 1000% Initial PercentÏÏÏÏÏÏÏÏÏ May 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2035 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2036 ÏÏÏÏÏÏÏÏÏÏÏÏÏ * * May 2037 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2038 ÏÏÏÏÏÏÏÏÏÏÏÏÏ 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. S-18

19 ZC Class TA Class ZA Class PSA Prepayment PSA Prepayment PSA Prepayment Assumption Assumption Assumption Date 0% 100% 225% 235% 490% 750% 1000% 0% 100% 225% 235% 430% 650% 900% 0% 100% 225% 235% 430% 650% 900% Initial PercentÏÏÏÏÏÏÏÏÏ May 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2035 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2036 ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46 5 * * May 2037 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2038 ÏÏÏÏÏÏÏÏÏÏÏÏÏ Weighted Average Life (years)** ÏÏÏÏÏÏ Z Class ZB Class PSA Prepayment PSA Prepayment Assumption Assumption Date 0% 100% 225% 235% 430% 650% 900% 0% 100% 225% 235% 430% 650% 900% Initial PercentÏÏÏÏÏÏÏÏÏ May 2009 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2010 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2011 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2012 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2013 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2014 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2015 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2016 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2017 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2018 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2019 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2020 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2021 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2022 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2023 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2024 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2025 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2026 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2027 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2028 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2029 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2030 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2031 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2032 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2033 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2034 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2035 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2036 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2037 ÏÏÏÏÏÏÏÏÏÏÏÏÏ May 2038 ÏÏÏÏÏÏÏÏÏÏÏÏÏ 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. S-19