$826,968,693. Credit Suisse

Transcription

1 Prospectus Supplement (To REMIC Prospectus dated May 1, 2010) $826,968,693 Guaranteed REMIC Pass-Through Certificates Fannie Mae REMIC Trust (Group 1, Group 2, Group 3, Group 4, Group 5 and Group 6 es Only) The Certificates We, the Federal National Mortgage Association (Fannie Mae), will issue the classes of certificates listed in the chart on this cover. Payments to Certificateholders We will make monthly payments on the certificates. You, the investor, will receive interest accrued on the balance of your certificate, and principal to the extent available for payment on your class. We will pay principal at rates that may vary from time to time. The Fannie Mae Guaranty We will guarantee that required payments of principal and interest on the certificates are available for distribution to investors on time. The Trust and its Assets The trust will own certain underlying Fannie Mae REMIC and RCR certificates backed by Fannie Mae MBS. The mortgage loans underlying the Fannie Mae MBS are first lien, single-family, fixedrate loans. Group A... 1 $226,660,326 SC/PT 5.0% FIX 31398SFT5 September 2033 B ,668,839 SC/PT 7.5 FIX 31398SFU2 August 2030 D ,070,291 SC/PT 6.5 FIX 31398SFV0 June 2028 E ,738,743 SC/PT 6.5 FIX 31398SFW8 June 2032 G ,086,201 SC/PT 7.0 FIX 31398SFX6 September 2029 H ,744,293 SC/PT 7.5 FIX 31398SFY4 November 2030 (1) See Description of the Certificates The Certificates Definitions and Abbreviations in the REMIC prospectus. Only the classes listed in the chart above are described in this prospectus supplement. Certain other classes representing interests in the trust will be offered by a separate prospectus supplement. We expect the settlement date to be October 27, Fannie Mae initially will retain the A, B, D, E, G and H es. See Plan of on page S-14. Credit Suisse (USA) LLC has provided various services to Fannie Mae in connection with the certificates and will act as dealer with respect to certain other classes representing interests in the trust. Carefully consider the risk factors on page S-7 of this prospectus supplement and starting on page 11 of the REMIC prospectus. Unless you understand and are able to tolerate these risks, you should not invest in the certificates. You should read the REMIC prospectus as well as this prospectus supplement. The certificates, 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 certificates are exempt from registration under the Securities Act of 1933 and are exempted securities under the Securities Exchange Act of Credit Suisse October 21, 2010

2 TABLE OF CONTENTS Page AVAILABLE INFORMATION... S- 3 SUMMARY... S- 4 ADDITIONAL RISK FACTOR.... S- 7 DESCRIPTION OF THE CERTIFICATES... S- 7 GENERAL... S- 7 Structure... S- 7 Fannie Mae Guaranty... S- 8 Characteristics of Certificates... S- 8 Authorized Denominations... S- 8 Factors.... S- 8 THE UNDERLYING REMIC CERTIFICATES.... S- 8 DISTRIBUTIONS OF INTEREST... S- 8 General... S- 8 Delay es and No-Delay es... S- 9 Page DISTRIBUTIONS OF PRINCIPAL... S- 9 STRUCTURING ASSUMPTIONS... S-10 Pricing Assumptions... S-10 Prepayment Assumptions... S-10 WEIGHTED AVERAGE LIVES OF THE CERTIFICATES.... S-10 DECREMENT TABLES.... S-10 CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES.. S-13 U.S. TREASURY CIRCULAR 230 NOTICE.. S-13 REMIC ELECTION AND SPECIAL TAX ATTRIBUTES... S-13 TAXATION OF BENEFICIAL OWNERS OF REGULAR CERTIFICATES.... S-13 PLAN OF DISTRIBUTION... S-14 LEGAL MATTERS... S-14 EXHIBIT A... A- 1 S-2

3 AVAILABLE INFORMATION You should purchase the certificates 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 Certificates dated May 1, 2010 (the REMIC Prospectus ); our Prospectus for Fannie Mae Guaranteed Pass-Through Certificates (Single-Family Residential Mortgage Loans) dated January 1, 2006 (the MBS Prospectus ); the disclosure documents relating to the applicable underlying REMIC and RCR certificates (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. For a description of current servicing policies generally applicable to existing Fannie Mae MBS pools, see Yield, Maturity, and Prepayment Considerations in the MBS Prospectus dated June 1, 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 S-3

4 SUMMARY This summary contains only limited information about the certificates. Statistical information in this summary is provided as of October 1, You should purchase the certificates 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 the Certificates Group TA REMIC Certificate PT REMIC Certificate Group A REMIC Certificate PB REMIC Certificate PH REMIC Certificate A REMIC Certificate A REMIC Certificate PA REMIC Certificate PD REMIC Certificate A REMIC Certificate PB REMIC Certificate PC REMIC Certificate A REMIC Certificate 1997-G1-PA REMIC Certificate L REMIC Certificate PB REMIC Certificate PD REMIC Certificate PE REMIC Certificate J REMIC Certificate PG REMIC Certificate J REMIC Certificate PA REMIC Certificate PA REMIC Certificate PB REMIC Certificate PA REMIC Certificate PC REMIC Certificate PA REMIC Certificate TA REMIC Certificate D REMIC Certificate PL REMIC Certificate PA REMIC Certificate PA REMIC Certificate B REMIC Certificate B REMIC Certificate PB REMIC Certificate TD RCR Certificate B REMIC Certificate D RCR Certificate A RCR Certificate G RCR Certificate K RCR Certificate Group L REMIC Certificate PE REMIC Certificate L REMIC Certificate K REMIC Certificate K REMIC Certificate PK REMIC Certificate G REMIC Certificate L REMIC Certificate B REMIC Certificate CB REMIC Certificate M REMIC Certificate L REMIC Certificate N REMIC Certificate DC REMIC Certificate NO RCR Certificate B REMIC Certificate K REMIC Certificate E REMIC Certificate B REMIC Certificate G REMIC Certificate C REMIC Certificate C REMIC Certificate B REMIC Certificate NM REMIC Certificate L REMIC Certificate QE REMIC Certificate S-4

5 Group 4 Group 5 Group TE REMIC Certificate PD REMIC Certificate OG REMIC Certificate PJ REMIC Certificate LJ RCR Certificate PA REMIC Certificate HA REMIC Certificate PK REMIC Certificate E REMIC Certificate PJ REMIC Certificate PJ REMIC Certificate PD REMIC Certificate PG REMIC Certificate BE REMIC Certificate B REMIC Certificate D REMIC Certificate O REMIC Certificate PC REMIC Certificate PC REMIC Certificate KA REMIC Certificate PC REMIC Certificate PA REMIC Certificate KJ REMIC Certificate PH REMIC Certificate PB REMIC Certificate PB REMIC Certificate PB REMIC Certificate QA REMIC Certificate OH RCR Certificate QA RCR Certificate HA REMIC Certificate PB REMIC Certificate D REMIC Certificate C REMIC Certificate G REMIC Certificate L REMIC Certificate C REMIC Certificate C REMIC Certificate H REMIC Certificate HA REMIC Certificate D REMIC Certificate OD REMIC Certificate OD REMIC Certificate LA REMIC Certificate PT REMIC Certificate CB REMIC Certificate BC REMIC Certificate TB REMIC Certificate EC REMIC Certificate CB REMIC Certificate MB RCR Certificate P RCR Certificate B1 REMIC Certificate Group 1, Group 2, Group 3, Group 4, Group 5 and Group 6 Exhibit A describes the underlying REMIC and RCR certificates in Group 1, Group 2, Group 3, Group 4, Group 5 and Group 6, including certain information about the related mortgage loans. To learn more about the underlying REMIC and RCR certificates, you should obtain from us the class factors and the related disclosure documents as described on page S-3. Factors We will publish the class factors for the A, D, E, G and H es on or shortly after the 11th day of each month. We will publish the class factor for the B on or shortly after the 13th day of each month. Settlement We expect to issue the A, B, D, E, G and H es on October 27, s We will make payments on the certificates on the 25th day of each calendar month or on the next business day if the 25th day is not a business day. S-5

6 Record On each distribution date, we will make each monthly payment on the certificates to holders of record on the last day of the preceding month. Book-Entry and Physical Certificates We will issue the certificates in the following forms: Fed Book-Entry DTC Book-Entry Physical A, D, E, G and H es B During each interest accrual period, the A, B, D, E, G and H es will bear interest at the applicable annual interest rates listed on the cover of this prospectus supplement. s of For a description of the required principal payments, see Description of the Certificates s of in this prospectus supplement. Live (years)* PSA Prepayment Assumption Group 1 0% 100% 250% 400% 800% 1600% 2400% A PSA Prepayment Assumption Group 2 0% 100% 250% 395% 800% 1600% 2400% B PSA Prepayment Assumption Group 3 0% 100% 250% 428% 800% 1600% 2400% D PSA Prepayment Assumption Group 4 0% 100% 250% 428% 800% 1600% 2400% E PSA Prepayment Assumption Group 5 0% 100% 250% 386% 800% 1600% 2400% G PSA Prepayment Assumption Group 6 0% 100% 250% 353% 800% 1600% 2400% H * Determined as specified under Yield, Maturity and Prepayment Considerations Lives and s in the REMIC Prospectus. S-6

7 ADDITIONAL RISK FACTOR Our purchases of delinquent loans from our single-family MBS trusts may result in increased rates of principal payments on your certificates. On February 10, 2010, we announced that we intend to increase significantly our purchases of delinquent loans from our single-family MBS trusts. If the MBS directly or indirectly backing your certificates hold delinquent loans, those MBS could as a result experience increased prepayments. In turn, this may result in an increase in the rate of principal payments on your certificates. You should refer to the MBS Prospectus for further information about our option to purchase delinquent loans from MBS pools and to our Web site at for further information about our intention to increase our purchases of delinquent loans from our single-family MBS trusts. DESCRIPTION OF THE CERTIFICATES The material under this heading describes the principal features of the Certificates. You will find additional information about the Certificates 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 defining it, you will find the definition of that term in the applicable Disclosure Document or in the Trust Agreement. General Structure. We will create the Fannie Mae REMIC Trust specified on the cover of this prospectus supplement (the Trust ) pursuant to a trust agreement dated as of May 1, 2010 and a supplement thereto dated as of October 1, 2010 (the Issue ). The trust agreement and supplement are collectively referred to as the Trust Agreement. We will issue the Guaranteed REMIC Pass- Through Certificates (the Certificates ) pursuant to the Trust Agreement. We will execute the Trust Agreement in our corporate capacity and as trustee (the Trustee ). The assets of the Trust will include six groups of previously issued Fannie Mae REMIC and RCR certificates (the Group 1 Underlying REMIC Certificates, Group 2 Underlying REMIC and RCR Certificates, Group 3 Underlying REMIC and RCR Certificates, Group 4 Underlying REMIC and RCR Certificates, Group 5 Underlying REMIC Certificates and Group 6 Underlying REMIC and RCR Certificates, and together the Underlying REMIC Certificates ) issued from the related Fannie Mae REMIC trusts (the Underlying REMIC Trusts ) as described in Exhibit A. The Underlying REMIC and RCR Certificates evidence direct or indirect beneficial ownership interests in certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the MBS ). Each MBS represents a beneficial ownership interest in a pool of first lien, one-to four-family ( single-family ), fixed-rate residential mortgage loans (the Mortgage Loans ) having the characteristics described in this prospectus supplement. The Trust will constitute one or more 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 certain assets of the Trust and regular interests of the related REMIC. The Certificates are collectively referred to as the Regular es or Regular Certificates. Trust Assets Underlying REMIC Certificates Regular s A, B, D, E, G and H es S-7 Residual s One or more non-offered classes

8 Fannie Mae Guaranty. For a description of our guaranties of the Certificates, the MBS and the Underlying REMIC Certificates, see the applicable discussions appearing under the heading Fannie Mae Guaranty in the REMIC Prospectus, the MBS Prospectus and the Underlying REMIC Disclosure Documents. Our guaranties are not backed by the full faith and credit of the United States. Characteristics of Certificates. The A, D, E, G, and H es will be issued in book-entry form on the book-entry system of the U.S. Federal Reserve Banks. Entities whose names appear on the book-entry records of a Federal Reserve Bank as having had Certificates deposited in their accounts are Holders or Certificateholders. The B will be represented by a single certificate (the DTC Certificate ) to be registered at all times in the name of the nominee of The Depository Trust Company ( DTC ), a New Yorkchartered limited purpose trust company, or any successor or depository selected or approved by us. We refer to the nominee of DTC as the Holder or Certificateholder of the DTC Certificate. DTC will maintain the DTC Certificate through its book-entry facilities. Authorized Denominations. es We will issue the Certificates in the following denominations: Denominations A, B, D, E, G and H es $1,000 minimum plus whole dollar increments Factors. On or shortly after the eleventh calendar day of each month, we will publish the class factors for the A, D, E, G, and H es. On or shortly after the thirteenth calendar day of each month, we will publish the class factor for the B. When the applicable class factor is multiplied by the original principal balance of a Certificate of any, the product will equal the current principal balance of that Certificate after taking into account payments on the in the same month. The Underlying REMIC Certificates The Underlying REMIC Certificates represent beneficial ownership interests in the related Underlying REMIC Trusts. The assets of these trusts consist of MBS (or beneficial ownership interests in MBS) having the general characteristics set forth in the MBS Prospectus. Each MBS evidences beneficial ownership interests in a pool of conventional, fixed-rate, fully-amortizing mortgage loans secured by first 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. s on the Underlying REMIC Certificates will be passed through monthly, beginning in the month after we issue the Certificates. The general characteristics of the Underlying REMIC Certificates are described in the applicable Underlying REMIC Disclosure Documents. See Exhibit A for certain additional information about the Underlying REMIC Certificates. Exhibit A is being provided in lieu of a Data Statement with respect to the Underlying REMIC Certificates. For further information about the Underlying REMIC Certificates, telephone us at Additional information about the Underlying REMIC Certificates 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. s of General. The Certificates will bear interest at the rates specified in this prospectus supplement. to be paid on each Certificate on a will consist of one month s interest on the outstanding balance of that Certificate immediately prior to that. S-8

9 Delay es and No-Delay es. the following table: The delay es and no-delay es are set forth in Delay es No-Delay es A, B, D, E, G and H es See Description of the Certificates The Certificates s on Certificates s in the REMIC Prospectus. s of On the in each month, we will make payments of principal on the Certificates as described below. Group 1 The Group 1 Amount to A until retired. Structured Collateral/ Pass-Through The Group 1 Amount is the principal then paid on the Group 1 Underlying REMIC Certificates. Group 2 The Group 2 Amount to B until retired. Structured Collateral/ Pass-Through The Group 2 Amount is the principal then paid on the Group 2 Underlying REMIC and RCR Certificates. Group 3 The Group 3 Amount to D until retired. Structured Collateral/ Pass-Through The Group 3 Amount is the principal then paid on the Group 3 Underlying REMIC and RCR Certificates. Group 4 The Group 4 Amount to E until retired. Structured Collateral/ Pass-Through The Group 4 Amount is the principal then paid on the Group 4 Underlying REMIC and RCR Certificates. Group 5 The Group 5 Amount to G until retired. Structured Collateral/ Pass-Through The Group 5 Amount is the principal then paid on the Group 5 Underlying REMIC Certificates. Group 6 The Group 6 Amount to H until retired. Structured Collateral/ Pass-Through The Group 6 Amount is the principal then paid on the Group 6 Underlying REMIC and RCR Certificates. S-9

10 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 and RCR Certificates, and the following assumptions (such characteristics and assumptions, collectively, the Pricing Assumptions ): the Mortgage Loans prepay at the constant percentages of PSA specified in the related tables; the settlement date for the A, B, D, E, G and H es is October 27, 2010; and each 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 Considerations Prepayment Models in the REMIC Prospectus. It is highly unlikely that prepayments will occur at any constant PSA rate or at any other constant rate. Lives of the Certificates For a description of how the weighted average life of a Certificate is determined, see Yield, Maturity and Prepayment Considerations Lives and s in the REMIC Prospectus. In general, the weighted average lives of the Certificates will be shortened if the level of prepayments of principal of the related Mortgage Loans increases. However, the weighted average life will depend upon a variety of other factors, including the timing of changes in the rate of principal distributions. The effect of these factors may vary as to each and the effects on each may vary at different times during the life of that. Accordingly, we can give no assurance as to the weighted average life of either. Further, to the extent the prices of the Certificates represent discounts or premiums to their original principal balances, variability in the weighted average life of the es could result in variability in the related yields to maturity. For an example of how the weighted average lives of the es may be affected at various constant prepayment rates, see the Decrement Tables below. Decrement Tables The following tables indicate the percentages of original principal balance of the specified es that would be outstanding after each date shown at various constant PSA rates, and the corresponding weighted average lives of those es. The tables have been prepared on the basis of the Pricing Assumptions. In the case of the information set forth for each 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 specified in the table below. Mortgage Loans Backing Trust Assets Specified Below Term to Maturity Remaining Term to Maturity Group 1 Underlying REMIC Certificates 360 months (1) 7.50% Group 2 Underlying REMIC and RCR Certificates 360 months (2) 10.00% Group 3 Underlying REMIC and RCR Certificates 360 months (3) 9.00% Group 4 Underlying REMIC and RCR Certificates 360 months (4) 9.00% Group 5 Underlying REMIC Certificates 360 months (5) 9.50% Group 6 Underlying REMIC and RCR Certificates 360 months (6) 10.00% (1) The Mortgage Loans backing the Group 1 Underlying REMIC Certificates are assumed to have the specified remaining terms to maturity : TA 273 months PT 274 months S-10

11 (2) The Mortgage Loans backing the Group 2 Underlying REMIC and RCR Certificates are assumed to have the specified remaining terms to maturity : A 180 months PB 186 months PH 193 months A 193 months A 193 months PA 201 months PB 201 months PA 201 months PC 201 months PA 201 months PA 193 months PD 194 months A 194 months PB 194 months PC 194 months TA 202 months D 202 months PL 202 months PA 202 months PA 202 months A 194 months 1997-G1-PA 195 months L 196 months PB 196 months PD 196 months B 203 months B 204 months PB 205 months TD 227 months B 229 months PE 197 months J 197 months PG 198 months J 199 months PA 200 months D 231 months A 237 months G 237 months K 237 months (3) The Mortgage Loans backing the Group 3 Underlying REMIC and RCR Certificates are assumed to have the specified remaining terms to maturity : L 155 months PE 155 months L 157 months K 160 months K 161 months PK 168 months G 188 months L 203 months B 204 months CB 204 months M 204 months L 204 months N 205 months DC 205 months NO 205 months B 205 months K 206 months E 206 months B 206 months G 207 months C 207 months C 208 months B 208 months NM 208 months L 209 months QE 211 months (4) The Mortgage Loans backing the Group 4 Underlying REMIC and RCR Certificates are assumed to have the specified remaining terms to maturity : TE 252 months PD 251 months OG 252 months PJ 256 months LJ 257 months QA 258 months OH 258 months QA 258 months HA 259 months PB 259 months (5) The Mortgage Loans backing the Group 5 Underlying REMIC Certificates are assumed to have the specified remaining terms to maturity : PA 193 months HA 194 months PK 194 months E 196 months PJ 196 months PJ 199 months PD 199 months PG 202 months BE 204 months B 204 months D 204 months O 204 months D 204 months C 204 months G 205 months L 205 months C 205 months C 207 months H 207 months HA 207 months D 208 months OD 225 months OD 226 months (6) The Mortgage Loans backing the Group 6 Underlying REMIC and RCR Certificates are assumed to have the specified remaining terms to maturity : PC 232 months PC 232 months KA 232 months PC 232 months PA 232 months KJ 233 months PH 233 months PB 233 months PB 237 months PB 237 months LA 238 months PT 239 months CB 239 months BC 239 months TB 240 months EC 240 months CB 240 months MB 240 months P 240 months B1 240 months It is unlikely that all of the Mortgage Loans will have the loan ages, interest rates or remaining terms to maturity 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 table at the specified 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 specified in the Pricing Assumptions. This is the case because pools of loans with identical weighted averages are nonetheless likely to reflect differing dispersions of the related characteristics. S-11

12 Percent of s Outstanding A B D PSA Prepayment Assumption PSA Prepayment Assumption PSA Prepayment Assumption 0% 100% 250% 400% 800% 1600% 2400% 0% 100% 250% 395% 800% 1600% 2400% 0% 100% 250% 428% 800% 1600% 2400% Initial Percent October October * * * 0 October * * * 0 October * * * 0 October * * * 0 October October October * * * 0 0 October * * * 0 0 October * * * 0 0 October * * * 0 0 October * * * * 0 0 October * * * * * 0 0 October * * * * * * 0 0 October * * * * * * * * 0 0 October * * * * * * * * * * 0 0 October * * * * * * * * * October * * * * * October * * * * * October * * October * * * October * * * October October October October October October October October Life (years)** E G H PSA Prepayment Assumption PSA Prepayment Assumption PSA Prepayment Assumption 0% 100% 250% 428% 800% 1600% 2400% 0% 100% 250% 386% 800% 1600% 2400% 0% 100% 250% 353% 800% 1600% 2400% Initial Percent October * October * * * * 0 October * * * * 0 October * * * * 0 October * * October * * October * * October * * * * * 0 0 October * * * * * 0 0 October * * * * * 0 0 October * * * * * 0 0 October * * * * * 0 0 October * * * * * * 0 0 October * * * * * * 0 0 October * * * * 24 1 * * * * 0 0 October * * * * 14 * * * * * * 0 0 October * * * * 5 * * * * * * 0 0 October * * * * 2 * * * * * * 0 0 October * * * * * * * * October * * * * * October * * * * * * October October October October October October October October October Life (years)** * Indicates an outstanding balance greater than 0% and less than 0.5% of the original principal balance. ** Determined as specified under Yield, Maturity and Prepayment Considerations Lives and s in the REMIC Prospectus. S-12

13 CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES The Certificates and payments on the Certificates are not generally exempt from taxation. Therefore, you should consider the tax consequences of holding a Certificate before you acquire one. The following tax discussion supplements the discussion under the caption Material Federal Income Tax Consequences in the REMIC Prospectus. When read together, the two discussions describe the current federal income tax treatment of beneficial owners of Certificates. These two tax discussions do not purport to deal with all federal tax consequences applicable to all categories of beneficial owners, some of which may be subject to special rules. In addition, these discussions may not apply to your particular circumstances for one of the reasons explained in the REMIC Prospectus. You should consult your own tax advisors regarding the federal income tax consequences of holding and disposing of Certificates as well as any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction. U.S. Treasury Circular 230 Notice The tax discussions contained in the REMIC Prospectus (including the sections entitled Material Federal Income Tax Consequences and ERISA Considerations ) and this prospectus supplement were not intended or written to be used, and cannot be used, for the purpose of avoiding United States federal tax penalties. These discussions were written to support the promotion or marketing of the transactions or matters addressed in this prospectus supplement. You should seek advice based on your particular circumstances from an independent tax advisor. REMIC Election and Special Tax Attributes We will make one or more REMIC elections with respect to the Trust. The Regular es will be designated as regular interests as set forth in the table under Description of the Certificates General Structure. Thus, the Certificates generally will be treated as regular or residual interests in a REMIC for domestic building and loan associations, as real estate assets for real estate investment trusts, and as qualified mortgages for other REMICs. See Material Federal Income Tax Consequences REMIC Election and Special Tax Attributes in the REMIC Prospectus. Taxation of Beneficial Owners of Regular Certificates The A, B, D, E, G and H es will be treated as having been issued at a premium. See Material Federal Income Tax Consequences Taxation of Beneficial Owners of Regular Certificates Regular Certificates Purchased at a Premium in the REMIC Prospectus. The Prepayment Assumptions that will be used in determining the rate of accrual of OID will be as follows: Group Prepayment Assumption 1 400% PSA 2 395% PSA 3 428% PSA 4 428% PSA 5 386% PSA 6 353% PSA See Material Federal Income Tax Consequences Taxation of Beneficial Owners of Regular Certificates Treatment of Issue Discount in the REMIC Prospectus. No representation is made as to whether the Mortgage Loans underlying the MBS will prepay at any of those rates or any other rate. See Description of the Certificates Lives of the Certificates in this prospectus supplement and Yield, Maturity and Prepayment Considerations Lives and s in the REMIC Prospectus. S-13

14 PLAN OF DISTRIBUTION We will provide the Underlying REMIC Certificates to the Trust in exchange for the A, B, D, E, G and H es. On the Settlement, we expect to transfer the A, B, D, E, G and H es to Fannie Mae Mega Trust ( 31374CMD5), Fannie Mae Mega Trust ( 31374CME3), Fannie Mae Mega Trust ( 31374CMF0), Fannie Mae Mega Trust ( 31374CMG8), Fannie Mae Mega Trust ( 31374CMH6) and Fannie Mae Mega Trust ( 31374CMJ2), respectively. We will initially retain the related Mega certificates and may sell them to the public from time to time in negotiated transactions at varying prices to be determined at the time of sale. Credit Suisse (USA) LLC has provided various services to Fannie Mae in connection with the certificates and will act as dealer with respect to certain other classes representing interests in the Trust. LEGAL MATTERS Sidley Austin LLP will provide legal representation for Fannie Mae. Bingham McCutchen LLP will provide legal representation for Credit Suisse (USA) LLC. S-14

15 Exhibit A Group 1 Underlying REMIC Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA TA July DXZ9 5.0% FIX August 2033 PAC $171,941, $ 76,564, % PT August EVH9 5.0 FIX September 2033 SCH 358,044, ,095, Group 2 Underlying REMIC and RCR Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA A October LYB5 7.5% FIX November 2025 PAC $105,350, $ 2,621, % PB April L4P7 7.5 FIX May 2026 PAC 101,930, ,767, PH November K5H6 7.5 FIX December 2026 PAC 719,125, ,036, A November KK FIX December 2026 PAC 393,233, ,788, A November KY FIX December 2026 PAC 99,871, ,400, PA November KY FIX December 2026 PAC 400,501, ,864, PD December NDU2 7.5 FIX January 2027 PAC 30,206, ,082, A December NBU4 7.5 FIX January 2027 PAC 93,589, ,315, PB December NHN4 7.5 FIX December 2026 PAC 312,938, ,066, PC December NFD8 7.5 FIX January 2027 PAC 188,658, ,895, A December K7B7 7.5 FIX January 2027 PAC 159,368, ,313, G01 PA January NPC9 7.5 FIX February 2027 PAC 133,442, ,264, L February NYT2 7.5 FIX March 2027 SEQ 46,700, ,799, PB February NVU2 7.5 FIX March 2027 PAC 219,403, ,033, PD February NWM9 7.5 FIX March 2027 PAC 634,950, ,036, PE March NT FIX April 2027 PAC 14,736, ,345, J March NR FIX April 2027 SEQ 25,000, , PG April PEV4 7.5 FIX May 2027 PAC 24,668, ,432, J May PQC3 7.5 FIX June 2027 SEQ 59,653, ,764, PA June PZU3 7.5 FIX July 2027 PAC 174,780, ,163, PA July QGE8 7.5 FIX August 2027 PAC 500,405, ,754, PB July QAB0 7.5 FIX August 2027 PAC 131,180, ,741, PA July QBA1 7.5 FIX August 2027 PAC 333,778, ,737, PC July QEM2 7.5 FIX August 2027 PAC 178,100, ,888, PA July QDH4 7.5 FIX August 2027 PAC 166,900, ,077, Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for that pool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table was reduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity. A-1

16 Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA TA August QVF8 7.5% FIX September 2027 PAC $249,371, $ 3,695, % D August QHP2 7.5 FIX September 2027 SEQ 16,701, ,984, PL August QJA3 7.5 FIX September 2027 PAC 20,000, ,750, PA August QMZ4 7.5 FIX September 2027 PAC 534,300, ,410, PA August QTE4 7.5 FIX September 2027 PAC 200,162, ,583, B September QZH0 7.5 FIX October 2027 SEQ 497,500, ,252, B October Q4Z4 7.5 FIX November 2027 SEQ 200,000, ,929, PB November RFJ6 7.5 FIX December 2027 PAC 177,132, ,206, TD September W5N7 7.5 FIX October 2029 PAC 66,042, ,137, B November XFB0 7.5 FIX December 2029 SEQ 12,000, ,803, D January XSD2 7.5 FIX February 2030 SEQ 33,742, ,531, A July SEJ6 7.5 FIX August 2030 PT 300,000, ,268, G July SEK3 7.5 FIX August 2030 PT 150,000, ,541, K July SEL1 7.5 FIX August 2030 PT 65,000, ,459, Group 3 Underlying REMIC and RCR Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA L September DMP5 6.5% FIX September 2023 PAC $ 33,860, $ 6,375, % PE September DV FIX September 2023 PAC 46,264, ,704, L November EV FIX November 2023 PAC 75,750, ,218, K February GB FIX February 2024 PAC 46,905, ,695, K March HCY8 6.5 FIX March 2024 PAC 42,830, ,916, PK October LGA7 6.5 FIX October 2024 PAC 20,833, ,831, G June KEN3 6.5 FIX July 2026 SEQ 76,500, ,411, L September QXB5 6.5 FIX October 2027 SEQ 99,253, ,607, B October QM FIX November 2027 SEQ 81,755, ,359, CB October Q3W2 6.5 FIX November 2027 SEQ 78,355, ,035, M October Q3Y8 6.5 FIX November 2027 SEQ 31,307, ,327, L October QY FIX November 2027 SEQ 66,111, ,761, N November RBK7 6.5 FIX December 2027 SEQ 152,136, ,725, DC November RGA4 6.5 FIX December 2027 SEQ 46,290, ,800, NO November RKS0 6.5 FIX December 2027 SEQ 32,224, ,684, B November Q7A6 6.5 FIX December 2027 SEQ 47,449, ,864, K December RTY8 6.5 FIX January 2028 SEQ 51,000, ,161, E December RRK0 6.5 FIX January 2028 SEQ 62,038, ,801, Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for that pool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table was reduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity. A-2

17 Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA B December RMH2 6.5% FIX January 2028 SEQ $ 60,903, $ 4,209, % G January RXM9 6.5 FIX February 2028 SEQ 43,500, ,623, C January RXX5 6.5 FIX February 2028 SEQ 75,000, ,019, C February RF FIX March 2028 SEQ 142,867, ,639, B February RH FIX March 2028 SEQ 139,700, ,518, NM February RG FIX March 2028 SEQ 62,996, ,196, L March R3Y6 6.5 FIX April 2028 SEQ 35,000, ,719, QE May TVK1 6.5 FIX June 2028 PAC 20,820, ,863, Group 4 Underlying REMIC and RCR Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA TE October AKY3 6.5% FIX November 2031 PAC $ 65,866, $22,068, % PD September JK5 6.5 FIX October 2031 PAC 32,204, ,824, OG October V FIX November 2031 PAC 35,000, ,008, PJ February BZJ8 6.5 FIX March 2032 PAC 38,859, ,259, LJ March CXV1 6.5 FIX April 2032 PAC 15,783, ,307, QA April CJ FIX May 2032 PAC 211,778, ,785, OH April C3U6 6.5 FIX May 2032 PAC 37,908, ,725, QA April CZJ6 6.5 FIX May 2032 PAC 423,556, ,923, HA May DFK3 6.5 FIX June 2032 SCH 340,802, ,023, PB May DHN5 6.5 FIX June 2032 PAC 755,200, ,813, Group 5 Underlying REMIC Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA PA November K2N6 7.0% FIX December 2026 PAC $103,340, $2,053, % HA December K5Y9 7.0 FIX January 2027 PAC 145,295, ,191, PK December NCS8 7.0 FIX December 2026 PAC 16,337, ,825, E February NTJ0 7.0 FIX March 2027 SEQ 54,760, ,128, PJ February NQV6 7.0 FIX February 2027 PAC 23,777, ,918, Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for that pool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table was reduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity. A-3

18 Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA PJ May PTR7 7.0% FIX June 2027 PAC $ 19,921, $ 1,948, % PD May PYU4 7.0 FIX June 2027 PAC 11,540, ,917, PG August QTW4 7.0 FIX September 2027 PAC 18,431, ,801, BE October QN FIX November 2027 SEQ 105,608, ,645, B October Q5S9 7.0 FIX November 2027 SEQ 214,400, ,018, D October Q5V2 7.0 FIX November 2027 SEQ 214,400, ,493, O October Q4C5 7.0 FIX November 2027 SEQ 29,015, ,307, D October QS FIX November 2027 SEQ 123,805, ,170, C October QY FIX November 2027 SEQ 100,000, ,024, G November REJ7 7.0 FIX December 2027 SEQ 74,876, ,734, L November RKF8 7.0 FIX December 2027 SEQ 52,528, ,934, C November Q7E8 7.0 FIX December 2027 SEQ 78,904, ,774, C January RUU4 7.0 FIX February 2028 SEQ 68,400, ,010, H January RUX8 7.0 FIX February 2028 SEQ 75,000, ,016, HA January RVA7 7.0 FIX February 2028 SEQ 37,500, ,594, D February RH FIX March 2028 SEQ 47,714, ,253, OD July WRH6 7.0 FIX August 2029 PAC 199,447, ,320, OD August WYY1 7.0 FIX September 2029 PAC 170,564, ,001, Group 6 Underlying REMIC and RCR Certificates Underlying REMIC Trust of Issue of October 2010 Factor in the Trust WAC WAM WALA PC February XWW5 7.5% FIX March 2030 PAC $218,333, $4,729, % PC February XZL6 7.5 FIX March 2030 PAC 107,500, ,907, KA February XJ FIX March 2030 PAC 25,000, ,802, PC February XB FIX March 2030 PAC 106,302, ,126, PA February XUZ0 7.5 FIX March 2030 PAC 100,000, ,387, KJ March XS FIX April 2030 PAC 160,131, ,105, PH March XN FIX April 2030 PAC 41,275, ,301, PB March XX FIX April 2030 PAC 25,000, ,150, PB July SEN7 7.5 FIX August 2030 PAC 207,069, ,145, PB July SGK1 7.5 FIX August 2030 PAC 143,280, ,150, LA August SKS9 7.5 FIX September 2030 PAC 259,430, ,635, PT September SPA3 7.5 FIX October 2030 PAC 234,477, ,522, CB September SQS3 7.5 FIX October 2030 SEQ 333,522, ,838, BC September SRK9 7.5 FIX October 2030 SEQ 470,555, ,479, Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for that pool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table was reduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity. A-4