Bear, Stearns & Co. Inc.

Transcription

1 Prospectus Supplement (To REMIC Prospectus dated May 1, 2002) $2,315,000,000 Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust The CertiÑcates Original Final Class Principal Interest Interest CUSIP Distribution We, the Federal National Mortgage Association Class Group Balance Type Rate Type Number Date (Fannie Mae), will issue the classes of certiñ- AQ(1) ÏÏÏÏÏÏ 1 $ 1,459,713 TAC/AD 5.00% FIX 31394UAD4 October 2035 cates listed in the chart on this page. BC(1) ÏÏÏÏÏÏ 1 42,625,000 PAC 5.00 FIX 31394UAE2 October 2035 DA(1) ÏÏÏÏÏÏ 1 4,000,000 TAC/AD/JMP 5.00 FIX 31394UAA0 October 2035 Payments to CertiÑcateholders FL(1) ÏÏÏÏÏÏ 1 8,069,444 SUP (2) FLT 31394UAF9 October 2035 FN(1) ÏÏÏÏÏÏ 1 25,000,000 TAC/AD (2) FLT 31394UAG7 October 2035 We will make monthly payments on the certiñ- FW(1)ÏÏÏÏÏÏ 1 20,000,000 TAC/AD (2) FLT 31394UA5 October 2035 cates. You, the investor, will receive GB(1) ÏÏÏÏÏÏ 1 78,220,229 TAC/AD/JMP 5.00 FIX 31394UAJ1 October 2035 GM(1) ÏÏÏÏÏ 1 34,000,000 TAC/AD/JMP 4.25 FIX 31394UAK8 October 2035 interest accrued on the balance of your certiñ- A(1) ÏÏÏÏÏÏ 1 10,000,000 TAC/AD (3) DRB 31394UAL6 May 2035 cate (except in the case of the accrual clas- B(1)ÏÏÏÏÏÏ 1 3,000,000 TAC/AD (4) ARB 31394UAM4 May 2035 ses), and IG(1)ÏÏÏÏÏÏÏ 1 5,100,000(5) NTL 5.00 FIX/IO 31394UAN2 October 2035 I(1) ÏÏÏÏÏÏ 1 34,080,200(5) NTL 5.00 FIX/IO 31394UAP7 November 2025 principal to the extent available for payment IM(1) ÏÏÏÏÏÏ 1 131,331,000(5) NTL 5.00 FIX/IO 31394UAQ5 March 2034 on your class. IN(1) ÏÏÏÏÏÏ 1 107,332,000(5) NTL 5.00 FIX/IO 31394UAR3 October 2035 JZ(1)ÏÏÏÏÏÏÏ 1 14,271,000 SUP 5.00 FIX/Z 31394UAS1 October 2035 We may pay principal at rates that vary from KQ(1) ÏÏÏÏÏÏ 1 8,767,000 PAC 5.00 FIX 31394UAT9 October 2035 time to time. We may not pay principal to KU(1)ÏÏÏÏÏÏ 1 4,400,000 SEG(PAC)/PAC/AD 5.00 FIX 31394UAU6 October 2035 certain classes for long periods of time. KY(1) ÏÏÏÏÏÏ KZ(1) ÏÏÏÏÏÏ ,759 2,700,000 SEG(PAC)/SUP/AD SUP/AD/NSJ FIX FIX/Z 31394UAV UAW2 October 2035 October 2035 The Fannie Mae Guaranty LF(1) ÏÏÏÏÏÏ 1 25,000,000 TAC/AD/JMP 5.00 FIX 31394UAX0 October 2035 LZ(1) ÏÏÏÏÏÏ 1 9,616,667 SUP/AD/JMP 5.00 FIX/Z 31394UAY8 October 2035 We will guarantee that required payments of principal and interest on the certiñcates are ON(1) ÏÏÏÏÏÏ 1 107,332,000 PAC (6) PO 31394UBB7 October 2035 MF(1)ÏÏÏÏÏÏ MO(1) ÏÏÏÏÏ ,000, ,331,000 SUP PAC (2) (6) FLT PO 31394UAZ UBA9 October 2034 March 2034 distributed to investors on time. SL(1) ÏÏÏÏÏÏ 1 1,613,889 SUP (2) INV 31394UBC5 October 2035 SM(1)ÏÏÏÏÏÏ 1 10,000,000 SUP (2) INV 31394UBD3 October 2034 The Trust and its Assets SN(1) ÏÏÏÏÏÏ 1 10,000,000 TAC/AD (2) INV 31394UBE1 October 2035 SW(1)ÏÏÏÏÏÏ 1 10,000,000 TAC/AD (2) INV 31394UBF8 October 2035 The trust will own TA(1) ÏÏÏÏÏÏ 1 50,000,000 TAC/AD/JMP 5.00 FIX 31394UBG6 October 2035 TZ(1) ÏÏÏÏÏÏ 1 2,456,330 SUP 5.00 FIX/Z 31394UB4 October 2035 Fannie Mae MBS and VZ(1) ÏÏÏÏÏÏ 1 24,616 TAC/AD 5.00 FIX/Z 31394UBJ0 October 2035 an underlying RCR certiñcate backed by Fan- WA(1) ÏÏÏÏÏ 1 340,802,000 PAC 4.50 FIX 31394UBK7 November 2025 nie Mae MBS. WB(1) ÏÏÏÏÏ 1 121,195,000 PAC 5.00 FIX 31394UBL5 February 2029 WC(1)ÏÏÏÏÏÏ 1 133,303,000 PAC 5.00 FIX 31394UBM3 December 2031 The mortgage loans underlying the Fannie Mae YZ(1) ÏÏÏÏÏÏ 1 26,041 SUP/AD 5.00 FIX/Z 31394UBN1 October 2035 MBS are Ñrst lien, single-family, Ñxed-rate ZE(1) ÏÏÏÏÏÏ 1 12,526,731 SUP/AD/NSJ 5.00 FIX/Z 31394UBP6 October 2035 ZG(1) ÏÏÏÏÏÏ 1 44,731,102 SUP/AD/JMP 5.00 FIX/Z 31394UBQ4 October 2035 loans. ZJ(1)ÏÏÏÏÏÏÏ 1 121,060 SUP/AD 5.00 FIX/Z 31394UBR2 October 2035 ZK(1) ÏÏÏÏÏÏ 1 8,241 SEG(PAC)/SUP 5.00 FIX/Z 31394UBS0 October 2035 Carefully consider the risk factors start- ZQ(1) ÏÏÏÏÏÏ 1 50,000 SUP/AD 5.00 FIX/Z 31394UBT8 October 2035 ZR(1) ÏÏÏÏÏÏ 1 5,241,935 SUP/AD/NSJ 5.00 FIX/Z 31394UBU5 October 2035 ing on page S-16 of this prospectus sup- ZU(1) ÏÏÏÏÏÏ 1 16,984,274 SUP/AD/JMP 5.00 FIX/Z 31394UBV3 October 2035 plement and on page 10 of the REMIC ZX(1) ÏÏÏÏÏÏ 1 1,083,969 SUP 5.00 FIX/Z 31394UBW1 October 2035 prospectus. Unless you understand and AS ÏÏÏÏÏÏÏÏÏ 2 4,687,500 SC/PT (2) FLT/T 31394UBX9 July 2035 are able to tolerate these risks, you KA ÏÏÏÏÏÏÏÏÏ 2 10,312,500 SC/PT (2) INV/T 31394UBY7 July 2035 should not invest in the certiñcates. AE(1) ÏÏÏÏÏÏ 3 20,000,000 SUP 5.50 FIX 31394UBZ4 October 2035 AI ÏÏÏÏÏÏÏÏÏ 3 41,666,666(5) NTL 6.00 FIX/IO 31394UCA8 October 2035 You should read the REMIC prospectus as FC(1) ÏÏÏÏÏÏ 3 96,452,400 TAC/AD (2) FLT 31394UCB6 October 2035 well as this prospectus supplement. Z(1) ÏÏÏÏÏÏ 3 11,706,000 SUP 5.50 FIX/Z 31394UCC4 October 2035 IP(1)ÏÏÏÏÏÏÏ 3 27,439,583(5) NTL 6.00 FIX/IO 31394UCD2 August 2035 The certiñcates, together with interest SC(1) ÏÏÏÏÏÏ 3 35,073,600 TAC/AD (2) INV 31394UCE0 October 2035 thereon, are not guaranteed by the United YD(1) ÏÏÏÏÏÏ 3 7,493,000 PAC 5.50 FIX 31394UCG5 October 2035 States and do not constitute a debt or SK(1) ÏÏÏÏÏÏ 4 39,982,400 TAC/AD (2) INV 31394UC3 October 2035 obligation of the United States or any agency WI(1) ÏÏÏÏÏÏ 4 27,439,583(5) NTL 6.00 FIX/IO 31394UCJ9 August 2035 YC(1) ÏÏÏÏÏÏ 3 329,275,000 PAC 5.00 FIX 31394UCF7 August 2035 or instrumentality thereof other than WJ(1) ÏÏÏÏÏÏ 4 329,275,000 PAC 5.00 FIX 31394UCK6 August 2035 WK(1) ÏÏÏÏÏ 4 7,493,000 PAC 5.50 FIX 31394UCL4 October 2035 Fannie Mae. WZ(1)ÏÏÏÏÏÏ 4 13,298,000 SUP 5.50 FIX/Z 31394UCM2 October 2035 XF(1) ÏÏÏÏÏÏ 4 109,951,600 TAC/AD (2) FLT 31394UCN0 October 2035 The certiñcates are exempt from registration YI(1)ÏÏÏÏÏÏÏ 4 41,666,666(5) NTL 6.00 FIX/IO 31394UCP5 October 2035 under the Securities Act of 1933 and are R ÏÏÏÏÏÏÏÏÏ 0 0 NPR 0.00 NPR 31394UCQ3 October 2035 ""exempted securities'' under the Securities RL ÏÏÏÏÏÏÏÏÏ 0 0 NPR 0.00 NPR 31394UCR1 October 2035 Exchange Act of (1) Exchangeable classes. (4) The B Class will bear no interest during the Ñrst 60 interest (2) Based on LIBOR. accrual periods. Thereafter the B Class will bear interest at (3) The A Class will bear interest during the Ñrst 60 the annual rate of % interest accrual periods at the annual rate of 6.50%. (5) Notional balances. These classes are interest only classes. Thereafter the A Class will bear no interest. (6) Principal only classes. If you own certiñcates of certain classes, you can exchange them for the corresponding RCR certiñcates to be issued at the time of the exchange. The KB, GW, JK, KW, WD, WE, WG, W, LB, PA, TB, YA, YE, AD, Y, WL, WM, XB, ET and AX Classes are the RCR classes, as further described in this prospectus supplement. The dealer will oåer the certiñcates (other than the I, IM, IN, MO, ON, WA, WB, WC, IP, YC, YD, WI, WJ, WK and YI Classes) from time to time in negotiated transactions at varying prices. We expect the settlement date to be September 29, Fannie Mae initially will retain the I, IM, IN, MO, ON, WA, WB, WC, IP, YC, YD, WI, WJ, WK and YI Classes. Bear, Stearns & Co. Inc. The date of this Prospectus Supplement is August 17, 2005

2 TABLE OF CONTENTS Page AVAILABLE INFORMATION ÏÏÏÏÏÏÏÏ S- 3 Group 2 Principal Distribution Amount S-33 INCORPORATION BY REFERENCE S- 3 Group 3 Principal Distribution Amount S-33 RECENT DEVELOPMENTS ÏÏÏÏÏÏÏÏÏ S- 4 Z Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-33 REFERENCE SEET ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 7 Group 3 Cash Flow Distribution ADDITIONAL RISK FACTORS ÏÏÏÏÏÏ S-16 AmountÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-33 DESCRIPTION OF TE Group 4 Principal Distribution Amount S-34 CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-18 WZ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-34 GENERAL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-18 Structure ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-18 Group 4 Cash Flow Distribution AmountÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-34 Fannie Mae Guaranty ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-19 STRUCTURING ASSUMPTIONS Characteristics of CertiÑcates ÏÏÏÏÏÏÏÏ S-19 ÏÏÏÏÏÏÏÏÏÏÏ S-35 Authorized Denominations ÏÏÏÏÏÏÏÏÏÏ S-20 Pricing s ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-35 Distribution Dates ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 s ÏÏÏÏÏÏÏÏÏÏÏ S-35 Record Date ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 Structuring Ranges and Rates ÏÏÏÏÏÏÏ S-35 Class FactorsÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 Initial EÅective Ranges ÏÏÏÏÏÏÏÏÏÏÏÏÏ S-36 No Optional Termination ÏÏÏÏÏÏÏÏÏÏÏ S-20 YIELD TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-37 Voting the Group 2 Underlying RCR GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-37 CertiÑcate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 The A and B Classes ÏÏÏÏÏÏÏÏÏÏÏÏ S-38 COMBINATION AND RECOMBINATION ÏÏÏÏ S-20 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 The Fixed Rate Interest Only ProceduresÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-20 Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-38 Additional Considerations ÏÏÏÏÏÏÏÏÏÏÏ S-21 The Principal Only Classes ÏÏÏÏÏÏÏÏÏÏ S-40 TE TRUST MBSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-21 The Inverse Floating Rate Classes and TE GROUP 2 UNDERLYING RCR the AS and KA Classes ÏÏÏÏÏÏÏÏÏÏÏ S-41 CERTIFICATE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 WEIGTED AVERAGE LIVES OF TE FINAL DATA STATEMENT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-22 CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-43 DISTRIBUTIONS OF INTEREST ÏÏÏÏÏÏÏÏÏÏ S-23 DECREMENT TABLESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-44 Categories of Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 CARACTERISTICS OF TE R AND GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-23 RL CLASSES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-66 Interest Accrual PeriodsÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 CERTAIN ADDITIONAL FEDERAL Accrual ClassesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 INCOME TAX CONSEQUENCES ÏÏ S-67 Notional ClassesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 U.S. TREASURY CIRCULAR 230 NOTICE S-67 Floating Rate, Inverse Floating Rate REMIC ELECTIONS AND SPECIAL TAX and Toggle ClassesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-24 ATTRIBUTES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-67 CALCULATION OF LIBOR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-25 TAXATION OF BENEFICIAL OWNERS OF DISTRIBUTIONS OF PRINCIPAL ÏÏÏÏÏÏÏÏÏÏ S-25 REGULAR CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏ S-67 Categories of Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-25 TAXATION OF BENEFICIAL OWNERS OF Principal Distribution AmountÏÏÏÏÏÏÏ S-26 RESIDUAL CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏ S-68 Group 1 Principal Distribution Amount S-27 TAXATION OF BENEFICIAL OWNERS OF ZJ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 RCR CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-68 YZ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-68 ZQ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 Combination RCR Classes ÏÏÏÏÏÏÏÏÏÏÏ S-68 ZX Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 TZ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 Exchanges ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-69 JZ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27 TAX RETURN DISCLOSURE REQUIREMENTS ZK Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-28 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-69 VZ Accrual Amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-28 PLAN OF DISTRIBUTION ÏÏÏÏÏÏÏÏÏÏÏ S-69 Group 1 Cash Flow Distribution GeneralÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-69 AmountÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-28 Increase in CertiÑcates ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-69 ZE Accrual Amount, ZG Accrual LEGAL MATTERS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-69 Amount, KZ Accrual Amount, LZ EXIBIT AÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1 Accrual Amount, ZR Accrual Amount, ZU Accrual Amount and SCEDULE 1 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 2 Remaining Group 1 Cash Flow PRINCIPAL BALANCE Distribution AmountÏÏÏÏÏÏÏÏÏÏÏÏ S-28 SCEDULESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ B- 1 S-2 Page

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 May 1, 2002 (the ""REMIC Prospectus''); our Prospectus for Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (Single- Family Residential Mortgage Loans) dated July 1, 2004 (the ""MBS Prospectus''); if you are purchasing any Group 2 Class or the R or RL Class, the disclosure document relating to the Group 2 Underlying RCR CertiÑcate (the ""Underlying REMIC Disclosure Document''); and any information incorporated by reference in this prospectus supplement as discussed below under the heading ""Incorporation by Reference.'' You can obtain copies of the Disclosure Documents by writing or calling us at: Fannie Mae MBS elpline 3900 Wisconsin Avenue, N.W., Area 2-3S 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 Disclosure Documents, except the Underlying REMIC Disclosure Document, by writing or calling the dealer at: Bear Stearns & Co. Inc. c/o ADP Financial Services Prospectus Department 1155 Long Island Avenue Edgewood, New York (telephone ). INCORPORATION BY REFERENCE In this prospectus supplement, we are incorporating by reference the MBS Prospectus and the Underlying REMIC Disclosure Document described above. In addition, we are incorporating by reference the documents listed below. This means that we are disclosing information to you by referring you to these documents. These documents are considered part of this prospectus supplement, so you should read this prospectus supplement, and any applicable supplements or amendments, together with these documents. You should rely only on the information provided or incorporated by reference in this prospectus supplement, the REMIC Prospectus and the MBS Prospectus and any applicable supplements or amendments. We incorporate by reference the following documents we have Ñled, or may Ñle, with the Securities and Exchange Commission (""SEC''): our Annual Report on Form 10-K for the Ñscal year ended December 31, 2003 (""Form 10-K''); all other reports we have Ñled pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934 since the end of the Ñscal year covered by the Form 10-K until the date of this prospectus supplement, excluding any information ""furnished'' to the SEC on Form 8-K; and S-3

4 all proxy statements that we Ñle with the SEC and all documents that we Ñle with the SEC pursuant to Section 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934 subsequent to the date of this prospectus supplement and prior to the completion of the oåering of the certiñcates, excluding any information we ""furnish'' to the SEC on Form 8-K. Any information incorporated by reference in this prospectus supplement is deemed to be modiñed or superseded for purposes of this prospectus supplement to the extent information contained or incorporated by reference in this prospectus supplement modiñes or supersedes such information. In such case, the information will constitute a part of this prospectus supplement only as so modiñed or superseded. We Ñle annual, quarterly and current reports, proxy statements and other information with the SEC. You can obtain copies of the periodic reports we Ñle with the SEC without charge by calling or writing our OÇce of Investor Relations, Fannie Mae, 3900 Wisconsin Avenue, NW, Washington, DC 20016, telephone: (202) The periodic and current reports that we Ñle with the SEC are also available on our Web site. Information appearing on our Web site is not incorporated in this prospectus supplement except as speciñcally stated in this prospectus supplement. In addition, you may read our SEC Ñlings and other information about Fannie Mae at the oçces of the New York Stock Exchange, the Chicago Stock Exchange and the PaciÑc Exchange. Our SEC Ñlings are also available at the SEC's Web site at You also may read and copy any document we Ñle with the SEC by visiting the SEC's Public Reference Room at 100 F Street, N.E., Washington, DC Please call the SEC at SEC-0330 for further information about the operation of the Public Reference Room. We are providing the address of the SEC's Web site solely for the information of prospective investors. Information appearing on the SEC's Web site is not incorporated in this prospectus supplement except as speciñcally stated in this prospectus supplement. RECENT DEVELOPMENTS On December 21, 2004, our Board of Directors (the ""Board'') announced the retirement of Chairman and Chief Executive OÇcer Franklin D. Raines and the resignation of Vice Chairman and Chief Financial OÇcer J. Timothy oward. The Board further announced that the Audit Committee of the Board dismissed KPMG LLP as our independent auditor. On January 4, 2005, the Audit Committee of the Board approved the engagement of Deloitte & Touche LLP (""Deloitte'') as our independent auditor. Deloitte will serve as our auditor for each of the Ñscal years 2001, 2002, 2003 and Stephen B. Ashley, a member of the Board, currently is serving as the non-executive Chairman of the Board. On June 1, 2005, the Board announced that it had selected Daniel. Mudd, the former Chief Operating OÇcer of Fannie Mae, to be the new President and Chief Executive OÇcer. Mr. Mudd had been serving as the interim Chief Executive OÇcer since the retirement of Mr. Raines. Executive Vice President Robert Levin currently is serving as the interim Chief Financial OÇcer. On December 15, 2004, the OÇce of the Chief Accountant of the Securities and Exchange Commission (""SEC'') issued a statement (the ""Statement'') regarding certain accounting issues relating to Fannie Mae, including determinations by the SEC that we should (i) restate our Ñnancial statements to eliminate the use of hedge accounting under Financial Accounting Standard No. 133, Accounting for Derivative Instruments and edging Activities (""FAS 133''), (ii) evaluate the accounting under Financial Accounting Standard No. 91, Accounting for Nonrefundable Fees and Costs Associated with Originating or Acquiring Loans and Initial Direct Costs of Leases (""FAS 91'') and restate our Ñnancial statements Ñled with the SEC if the amounts required for correction are material, and (iii) re-evaluate the information prepared under generally accepted accounting principles (""GAAP'') and non-gaap information that we previously provided to investors. On S-4

5 December 16, 2004, we Ñled a Current Report on Form 8-K with the SEC that includes a copy of the Statement. As a result of the SEC's Ñndings, we will restate our Ñnancial results from 2001 through June 30, 2004 to comply fully with the SEC's determination. In a Form 12b-25 Ñled with the SEC on November 15, 2004, we estimated that a loss of hedge accounting under FAS 133 for all derivatives could result in recording into earnings a net cumulative loss on derivative transactions of approximately $9.0 billion as of September 30, (We estimate that as of December 31, 2004, this net cumulative after-tax loss was approximately $8.4 billion.) We also stated that there would be a corresponding decrease to retained earnings and, accordingly, regulatory capital. In a Form 12b-25 Ñled with the SEC on March 17, 2005, we stated that if we do not qualify for hedge accounting for mortgage commitments accounted for as derivatives since our July 1, 2003 adoption of Financial Accounting Standard No. 149, Amendment of Statement 133 on Derivative Instruments and edging Activities (""FAS 149''), we estimate that we would be required to record in earnings a net cumulative after-tax loss related to these commitments of approximately $2.4 billion as of December 31, We are working to determine the eåect of the restatement, including the eåect on each prior reporting period. We expect that the impact will be material to our reported GAAP and core business results for many, if not all, periods and will vary substantially from period to period based on the amount and types of derivatives held and Öuctuations in interest rates and volatility. Our restated Ñnancial statements also will reöect corrections as a result of our misapplication of FAS 91 for each prior reporting period described above. We also will consider the impact, if any, of the SEC's decision on FAS 91 for periods prior to those described above. Accordingly, on December 17, 2004, the Audit Committee of the Board concluded that our previously Ñled interim and audited Ñnancial statements and the independent auditor's reports thereon for the periods from January 2001 through the second quarter of 2004 should no longer be relied upon because such Ñnancial statements were prepared applying accounting practices that did not comply with GAAP. We have not yet Ñled our quarterly reports on Form 10-Q for the quarters ended September 30, 2004, March 31, 2005 and June 30, 2005, or our annual report on Form 10-K for the year ended December 31, The Ñnancial information regarding our anticipated results of operations for the quarter ended September 30, 2004 that was contained in our Form 12b-25 Ñled on November 15, 2004 and in a Form 8-K Ñled on November 16, 2004 was prepared applying the same policies and practices, and, accordingly, should not be relied upon. The Audit Committee has discussed the matters described above and in a Form 8-K Ñled with the SEC on December 22, 2004 with KPMG LLP, our independent auditor through December 21, On September 20, 2004, the OÇce of Federal ousing Enterprise Oversight (""OFEO'') delivered its report to the Board of its Ñndings to date of the agency's special examination. Among other matters, the OFEO report raised a number of questions and concerns about our accounting policies and practices with respect to FAS 91 and FAS 133. On February 23, 2005, we announced that OFEO notiñed our Board and management of several additional accounting and internal control issues and questions that OFEO identiñed in its ongoing special examination, and directed that these matters be included in the internal reviews by the Board and management and reviewed by Deloitte. OFEO indicated that it has not completed its review of all aspects of these issues, but has identiñed policies that it believes appear to be inconsistent with generally accepted accounting principles as well as internal control deñciencies that raise safety and soundness concerns. The issues and questions include the following areas: securities accounting, loan accounting, consolidations, accounting for commitments, and practices to smooth certain income and expense amounts. OFEO also raised concerns regarding journal entry controls, systems limitations, and database modiñcations, as well as FAS 149 and new developments relating to FAS 91. A summary of the additional questions raised in OFEO's ongoing special examination of Fannie Mae has been Ñled as an exhibit to a Form 8-K that we Ñled with the SEC on February 23, S-5

6 Our Board and management are addressing the issues and questions raised by OFEO. In addition, the Board designated its Special Review Committee to review the Ñndings of OFEO's September 2004 special examination report. This review, led by former Senator Warren Rudman of the law Ñrm of Paul, Weiss, Rifkind, Wharton & Garrison (""Paul Weiss''), is focused on: accounting issues, including accounting policies, procedures and controls regarding FAS 91 and FAS 133; organization, structure and governance, including Board oversight and management responsibilities and resources; and executive compensation. Paul Weiss' work continues as it examines these areas and other issues that may arise in the course of its review, reporting regularly to the Board. We will report to OFEO regarding each of these issues and will continue to work with OFEO to resolve these matters as part of our ongoing internal reviews and restatement process. In light of the foregoing, management has initiated a comprehensive review of accounting routines and controls, the Ñnancial reporting process and the application of GAAP, which will include the issues OFEO has identiñed, as well as issues identiñed by management and/or Deloitte. Management, working with accounting consultants, will develop a view on these issues, which then will be reviewed with the Audit Committee, Deloitte and OFEO. Upon conclusion of this review, our Ñnancial statements will be restated where necessary and submitted to Deloitte for review as part of its audit. We are providing periodic updates to the SEC and the New York Stock Exchange on the restatement. In addition, the SEC and the U.S. Attorney's OÇce for the District of Columbia are conducting ongoing investigations into these matters. OFEO is required to review our capital classiñcation quarterly, and as of September 30, 2004 and December 31, 2004, classiñed us as ""signiñcantly undercapitalized.'' As a result of this classiñcation, we submitted a capital restoration plan to OFEO in January 2005, and on February 23, 2005, we announced that OFEO approved our proposed capital restoration plan. Under the plan, we detail how we expect to meet our minimum capital requirement on an ongoing basis, as well as achieve OFEO's 30 percent surplus capital requirement by September 30, A summary of the capital restoration plan was Ñled as an exhibit to a Form 8-K that we Ñled with the SEC on February 23, On May 19, 2005, OFEO classiñed us as ""adequately capitalized'' as of March 31, OFEO has noted that this classiñcation is subject to revision pending the outcome of ongoing accounting reviews, and that this classiñcation does not amend any existing capital restoration plans currently in place between Fannie Mae and OFEO. In a Form 12b-25 Ñled with the SEC on August 9, 2005, we reported that, based on our current assessment, we are not likely to complete and Ñle our Annual Report on Form 10-K for the year ended December 31, 2004, which will contain restated Ñnancial information, prior to the second half of We also reported in that Form 12b-25 that we are uncertain whether Deloitte will be able to opine on either the eåectiveness of our internal control over Ñnancial reporting or management's process for assessing the eåectiveness of internal control over Ñnancial reporting as of December 31, 2004 or December 31, We also reported in that Form 12b-25 that current NYSE listing standards allow the NYSE to continue to list the securities of a listed company for up to nine months after a company is delinquent in Ñling its Annual Report on Form 10-K (until December 16, 2005, in the case of Fannie Mae). The NYSE, in its sole discretion, also may extend the listing of a company's securities for another three months after that date, depending on the company's circumstances. Under the rules of the NYSE, Fannie Mae would have a right to a review of any decision to delist its securities by a committee of the NYSE Board of Directors. Forms 8-K that we Ñle with the SEC prior to the completion of the oåering of the certiñcates are incorporated by reference in this prospectus supplement. This means that we are disclosing information to you by referring you to those documents. You should refer to ""Incorporation by Reference'' above for further details on the information that we incorporate by reference in this prospectus supplement and where to Ñnd it. S-6

7 REFERENCE SEET This reference sheet is not a summary of the transaction and does not contain complete information about the certiñcates. You should purchase the certiñcates only after reading this prospectus supplement and each of the additional disclosure documents listed on page S-3. Assets Underlying Each Group of Classes Group Assets 1 Group 1 MBS 2 Class DG RCR CertiÑcate 3 Group 3 MBS 4 Group 4 MBS Assumed Characteristics of the Mortgage Loans Underlying the Trust MBS (as of September 1, 2005) Approximate Approximate Original Weighted Average Weighted Approximate Approximate Term to Remaining Term Average Weighted Principal Maturity to Maturity Loan Age Average Balance (in months) (in months) (in months) Coupon Group 1 MBS $1,300,000, % Group 3 MBS $ 500,000, % Group 4 MBS $ 500,000, % The actual remaining terms to maturity, weighted average loan ages and interest rates of most of the mortgage loans will diåer from the weighted averages shown above, perhaps signiñcantly. Characteristics of the Group 2 Underlying RCR CertiÑcate Exhibit A describes the Group 2 Underlying RCR CertiÑcate, including certain information about the related mortgage loans. To learn more about the Group 2 Underlying RCR CertiÑcate, you should obtain from us the current class factor and the related disclosure document as described on page S-3. Class Factors The class factors are numbers that, when multiplied by the initial principal balance of a certiñcate, can be used to calculate the current principal balance of that certiñcate (after taking into account principal payments in the same month). We publish the class factors on or shortly after the 11th day of each month. Settlement Date We expect to issue the certiñcates on September 29, 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. Book-Entry and Physical CertiÑcates We will issue the book-entry certiñcates through the U.S. Federal Reserve Banks and DTC, as applicable, which will electronically track ownership of the certiñcates and payments on them. We will issue physical certiñcates in registered, certiñcated form. S-7

8 We will issue the classes of certiñcates in the following forms: Fed Book-Entry DTC Book-Entry Physical All classes of certiñcates other than XB R and RL Classes the XB, R and RL Classes Exchanging CertiÑcates Through Combination and Recombination If you own certain certiñcates, you will be able to exchange them for a proportionate interest in the related RCR certiñcates as shown on Schedule 1. We will issue the RCR certiñcates upon such exchange. You can exchange your certiñcates by notifying us and paying an exchange fee. We use the principal and interest of the certiñcates exchanged to pay principal and interest on the related RCR certiñcates. Schedule 1 lists the available combinations of the certiñcates eligible for exchange and the related RCR certiñcates. Interest Rates During each interest accrual period, the Ñxed rate classes, the descending rate class and the ascending rate class will bear interest at the applicable annual interest rates listed or described on the cover of this prospectus supplement or on Schedule 1. During each interest accrual period, the XB Class will bear interest at the weighted average coupon rate described on Schedule 1. During the initial interest accrual period, the Öoating rate, inverse Öoating rate and toggle classes will bear interest at the initial interest rates listed below. During subsequent interest accrual periods, 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) FL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 1.35% LIBOR 135 basis points FN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.40% LIBOR 40 basis points FW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.30% LIBOR 30 basis points MF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.50% LIBOR 50 basis points SL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% 23.25% (5 x LIBOR) SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 3.00% 9.5% LIBOR SN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% 16.5% (2.5 x LIBOR) SW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% 14.4% (2 x LIBOR) AS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% (2) KA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% (3) FC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.30% LIBOR 30 basis points SC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% 19.8% (2.75 x LIBOR) SK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.00% 19.8% (2.75 x LIBOR) XF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ % % 0.30% LIBOR 30 basis points (1) We will establish LIBOR on the basis of the ""BBA Method.'' (2) The applicable interest rate for the AS Class each month will be determined as follows: If LIBOR is: Applicable Rate Less than or equal to 5.0% ÏÏÏÏÏÏÏÏÏÏ 0.00% Greater than 5.0%ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.60% (3) The applicable interest rate for the KA Class each month will be determined as follows: If LIBOR is: Applicable Rate Less than or equal to 5.0% ÏÏÏÏÏÏÏÏÏÏ 8.00% Greater than 5.0%ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 0.00% We will apply interest payments from exchanged REMIC certiñcates to the corresponding RCR certiñcates, on a pro rata basis, following any exchange. S-8

9 Notional Classes A notional class will not receive any principal. Its notional principal balance is the balance used to calculate accrued interest. The notional principal balances will equal the percentages of the outstanding balances speciñed below immediately before the related distribution date: Class IG ÏÏÏÏÏÏÏÏÏÏÏ I ÏÏÏÏÏÏÏÏÏÏÏ IM ÏÏÏÏÏÏÏÏÏÏÏ IN ÏÏÏÏÏÏÏÏÏÏÏ AI ÏÏÏÏÏÏÏÏÏÏÏ IP ÏÏÏÏÏÏÏÏÏÏÏ WI ÏÏÏÏÏÏÏÏÏÏÏ YI ÏÏÏÏÏÏÏÏÏÏÏ 15% of the GM Class 10% of the WA Class 100% of the MO Class 100% of the ON Class % of the sum of the AE, FC, Z, SC, YC and YD Classes % of the YC Class % of the WJ Class % of the sum of the SK, WJ, WK, WZ and XF Classes Distributions of Principal Group 1 Principal Distribution Amount ZJ Accrual Amount 1. To Aggregate Group III to zero. 2. To the ZE and ZG, in that order, to zero. 3. Thereafter to the ZJ Class. YZ Accrual Amount To the LF, KZ and LZ Classes, in that order, to zero, and thereafter to the YZ Class. ZQ Accrual Amount To the TA, ZR and ZU Classes, in that order, to zero, and thereafter to the ZQ Class. ZX Accrual Amount 1. To Aggregate Group II to its Targeted Balance. 2. To the AQ Class to its Targeted Balance. 3. Thereafter to the ZX Class. TZ Accrual Amount To Aggregate Group IV to its Targeted Balance, and thereafter to the TZ Class. JZ Accrual Amount To Aggregate Group V to its Targeted Balance, and thereafter to the JZ Class. ZK Accrual Amount 1. To the KU Class to its Planned Balance. 2. To the KY Class to zero. 3. Thereafter to the ZK Class. VZ Accrual Amount To the FN and SN Classes, pro rata, to zero, and thereafter to the VZ Class. Group 1 Cash Flow Distribution Amount To Aggregate Group I to its Planned Balance. S-9

10 ZE Accrual Amount, ZG Accrual Amount, KZ Accrual Amount, LZ Accrual Amount, ZR Accrual Amount, ZU Accrual Amount and Remaining Group 1 Cash Flow Distribution Amount 1. (a) % of the remaining Group 1 Cash Flow Distribution Amount as follows: Ñrst, to Aggregate Group II to its Targeted Balance; second, to the AQ Class to its Targeted Balance; third, to the ZX Class to zero; fourth, to Aggregate Group II to zero; and Ñfth, to the AQ Class to zero, (b) % of such remaining Group 1 Cash Flow Distribution Amount, plus the ZE Accrual Amount and ZG Accrual Amount, as follows: Ñrst, if and only if either the principal balance of the Group 1 MBS is less than the product of the principal balance of the Group 1 MBS for the preceding month multiplied by the Group 1 MBS SpeciÑed Percentage or the principal balance of the ZE Class has been reduced to zero and the principal balance of the Group 1 MBS is less than the Group 1 MBS SpeciÑed Balance, then as follows: Ñrst, to the ZE Class to zero; second, to the ZG Class to zero; third, to Aggregate Group III to zero; and fourth, to the ZJ Class to zero; second, to Aggregate Group III to its Targeted Balance; third, to the ZG and ZE Classes, in that order, to zero; fourth, to Aggregate Group III to zero; and Ñfth, to the ZJ Class to zero, (c) % of such remaining Group 1 Cash Flow Distribution Amount, plus the KZ Accrual Amount and LZ Accrual Amount, as follows: Ñrst, if and only if either the principal balance of the Group 1 MBS is less than the aggregate principal balance of the product of the Group 1 MBS for the preceding month multiplied by the Group 1 MBS SpeciÑed Percentage or the principal balance of the KZ Class has been reduced to zero and the principal balance of the Group 1 MBS is less than the Group 1 MBS SpeciÑed Balance, then as follows: Ñrst, to the KZ Class to zero; second, to the LZ Class to zero; third, to the LF Class to zero; and fourth, to the YZ Class to zero; second, to the LF Class to its Targeted Balance; third, to the LZ and KZ Classes, in that order, to zero; S-10

11 fourth, to the LF Class to zero; and Ñfth, to the YZ Class to zero, (d) % of such remaining Group 1 Cash Flow Distribution Amount as follows: Ñrst, to Aggregate Group IV to its Targeted Balance; second, to the TZ Class to zero; and third, to Aggregate Group IV to zero, (e) % of such remaining Group 1 Cash Flow Distribution Amount as follows: Ñrst, to the BC Class to its Planned Balance; second, to Aggregate Group V to its Targeted Balance; third, to the JZ Class to zero; fourth, to Aggregate Group V to zero; and Ñfth, to the BC Class to zero, (f) % of such remaining Group 1 Cash Flow Distribution Amount as follows: Ñrst, to the KQ Class to its Planned Balance; second, to Aggregate Group VI to its Planned Balance; third, to the MF and SM Classes, pro rata, to zero; fourth, to the FL and SL Classes, pro rata, to zero; Ñfth, to Aggregate Group VI to zero; and sixth, to the KQ Class to zero, and (g) % of such remaining Group 1 Cash Flow Distribution Amount, plus the ZR Accrual Amount and ZU Accrual Amount, as follows: Ñrst, if and only if either the principal balance of the Group 1 MBS is less than the product of the principal balance of the Group 1 MBS for the preceding month multiplied by the Group 1 MBS SpeciÑed Percentage or the principal balance of the ZR Class has been reduced to zero and the principal balance of the Group 1 MBS is less than the Group 1 MBS SpeciÑed Balance, then as follows: Ñrst, to the ZR Class to zero; second, to the ZU Class to zero; third, to the TA Class to zero; and fourth, to the ZQ Class to zero. second, to the TA Class to its Targeted Balance; third, to the ZU and ZR Classes, in that order, to zero; fourth, to the TA Class to zero; and Ñfth, to the ZQ Class to zero. 2. The remaining Group 1 Cash Flow Distribution Amount to Aggregate Group I to zero. For a description of Aggregate Groups I, II, III, IV, V and VI, see ""Description of the CertiÑcatesÌDistributions of PrincipalÌGroup 1 Principal Distribution Amount'' in this prospectus supplement. S-11

12 Group 2 Principal Distribution Amount To the AS and KA Classes, pro rata, to zero. Group 3 Principal Distribution Amount Z Accrual Amount To Aggregate Group VIII to its Targeted Balance, and thereafter to the Z Class. Group 3 Cash Flow Distribution Amount 1. To Aggregate Group VII to its Planned Balance. 2. (a) % of the remaining amount to the AE Class to zero, and (b) % of such remaining amount as follows: Ñrst, to Aggregate Group VIII to its Targeted Balance; second, to the Z Class to zero; and third, to Aggregate Group VIII to zero. 3. To Aggregate Group VII to zero. For a description of Aggregate Group VII and Aggregate Group VIII, see ""Description of the CertiÑcatesÌDistributions of PrincipalÌGroup 3 Principal Distribution Amount'' in this prospectus supplement. Group 4 Principal Distribution Amount WZ Accrual Amount To Aggregate Group X to its Targeted Balance, and thereafter to the WZ Class. Group 4 Cash Flow Distribution Amount 1. To Aggregate Group IX to its Planned Balance. 2. To Aggregate Group X to its Targeted Balance. 3. To WZ Class to zero. 4. To Aggregate Group X to zero. 5. To Aggregate Group IX to zero. For a description of Aggregate Group IX and Aggregate Group X, see ""Description of the CertiÑcatesÌDistributions of PrincipalÌGroup 4 Principal Distribution Amount'' in this prospectus supplement. We will apply principal payments from exchanged REMIC certiñcates to the corresponding RCR certiñcates, on a pro rata basis, following any exchange. S-12

13 Weighted Average Lives (years)* PSA Group 1 Classes 0% 100% 115% 128% 160% 171% 183% 209% 210% 226% 227% 250% 263% 350% 500% AQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ BC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ DA, GB, GM and IG ÏÏ FL, SL and KWÏÏÏÏÏÏÏ FN and SN ÏÏÏÏÏÏÏÏÏÏÏ FW and SW ÏÏÏÏÏÏÏÏÏÏ A and B ÏÏÏÏÏÏÏÏÏÏ I, WA, WG and W IM, MO and WDÏÏÏÏÏÏ IN, ON and WE ÏÏÏÏÏÏ JZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MF and SM ÏÏÏÏÏÏÏÏÏÏ TA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GW, KB and TB ÏÏÏÏÏÏ JK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13

14 Group 1 Classes (continued) 4% 4.1% AQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ BC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ DA, GB, GM and IG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FL, SL and KW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FN and SNÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FW and SW ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A and B ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ I, WA, WG and W ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IM, MO and WD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IN, ON and WE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ KZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LF ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MF and SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ TZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ VZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZJ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZQ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZR ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZU ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ZX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ GW, KB and TBÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ JK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ LB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Group 2 Classes 0% 100% 250% 350% 500% AS and KA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ PSA Group 3 Classes 0% 100% 150% 180% 319% 400% 500% AE and Y ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ FC and SCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Z ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ IP, YC and YE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YDÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ADÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14

15 PSA Group 4 Classes 0% 100% 150% 180% 319% 400% 500% SK, XF and AX ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WI, WJ and WL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WK ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WZ ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ WM and XB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ YI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ETÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * Determined as speciñed under ""Description of the CertiÑcatesÌWeighted Average Lives of the CertiÑcates'' in this prospectus supplement. S-15

16 ADDITIONAL RISK FACTORS The rate of principal payments on the cer- You may obtain additional information tiñcates will be aåected by the rate of principal about the Group 2 Underlying RCR CertiÑcate payments on the underlying mortgage loans. by reviewing its current class factor in light of The rate at which you receive principal pay- other information available in the related discloments on the certiñcates will be sensitive to the sure document. You may obtain that document rate of principal payments on the mortgage from us as described on page S-3. loans underlying the related MBS, including Yields may be lower than expected due to prepayments. Because borrowers generally may unexpected rate of principal payments. The acprepay their mortgage loans at any time without tual yield on your certiñcates probably will be penalty, the rate of principal payments on the lower than you expect: mortgage loans is likely to vary over time. It is highly unlikely that the mortgage loans will if you buy your certiñcates at a premium prepay and principal payments are faster than you expect, or at any of the prepayment rates we assumed in this prospectus supplement, or if you buy your certiñcates at a discount and principal payments are slower than at any constant prepayment rate until you expect. maturity. Furthermore, in the case of interest only Payments on the Group 2 Classes also will certiñcates and certiñcates purchased at a prebe aåected by the payment priority governing mium, you could lose money on your investment the Group 2 Underlying RCR CertiÑcate. If you if prepayments occur at a rapid rate. invest in any Group 2 Classes, the rate at which urricane Katrina may present risk of inyou receive payments also will be aåected by the creased mortgage loan defaults. In late August priority sequence governing principal payments 2005, urricane Katrina and related events on the Group 2 Underlying RCR CertiÑcate. caused catastrophic damage to extensive areas along the Gulf Coast, including portions of In particular, as described in the underlying coastal and inland Louisiana, Mississippi, Ala- REMIC disclosure document, principal paybama and Florida. The full extent of the physiments on the Group 2 Underlying RCR CertiÑcal damage resulting from severe Öooding, high cate are governed by a principal balance winds and environmental contamination reschedule. As a result, the Group 2 Underlying mains uncertain. undreds of thousands of peo- RCR CertiÑcate may receive principal payments ple have been displaced and interruptions in the at a rate faster or slower than would otherwise regional economy have been signiñcant. Alhave been the case. In some cases, the Group 2 though the long-term eåects are unclear, these Underlying RCR CertiÑcate may receive no events could lead to a general economic downprincipal payments for extended periods. Preturn in the Gulf Coast region, including job payments on the related mortgage loans may losses and declines in real estate values. Accordhave occurred at a rate faster or slower than the ingly, defaults on any mortgage loans in the rate initially assumed. This prospectus suppleaåected areas may increase, in turn resulting in ment contains no information as to whether early payments of principal to holders of certiñcates the Group 2 Underlying RCR CertiÑcate backed by those mortgage loans. has adhered to its principal balance You must make your own decisions schedule, about the various applicable assumptions, including prepayment assumptions, when any related Support classes remain out- deciding whether to purchase the standing, or certiñcates. the Group 2 Underlying RCR CertiÑcate Weighted average lives of the Jump and otherwise has performed as originally Non-Sticky Jump Classes are especially sensianticipated. tive to prepayments under certain scenarios. S-16