$4,922,918,185. Guaranteed REMIC Pass-Through Certificates Fannie Mae REMIC Trust

Transcription

1 Supplement (To Prospectus Supplement dated May 23, 2011) $4,922,918,185 Guaranteed REMIC Pass-Through Certificates Fannie Mae REMIC Trust This is a supplement to the prospectus supplement dated May 23, 2011 (the Prospectus Supplement ). If we use a capitalized term in this supplement without defining it, you will find the definition of that term in the Prospectus Supplement. Notwithstanding anything set forth on page S-13 of the Prospectus Supplement, the Group 6 Cash Flow Distribution Amount will be allocated as follows: % to FQ until retired, and Pass-Through Class % to MQ, BV and BZ, in that order, until retired. Sequential Pay Classes Carefully consider the risk factors on page S-9 of the 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. The certificates, together with any interest thereon, are not guaranteed by the United States and do not constitute a debt or obligation of the United States or any of its agencies or instrumentalities 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 Goldman, Sachs & Co. May 24, 2011

2 Prospectus Supplement (To REMIC Prospectus dated May 1, 2010) $4,922,918,185 Guaranteed REMIC Pass-Through Certificates Fannie Mae REMIC Trust 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 (except in the case of the accrual classes), and principal to the extent available for payment on your class. We will pay principal at rates that may vary from time to time. We may not pay principal to certain classes for long periods of time. 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 Fannie Mae MBS, Fannie Mae Stripped MBS, and an underlying REMIC certificate backed by Fannie Mae Stripped MBS. The mortgage loans underlying the Fannie Mae MBS and Fannie Mae Stripped MBS are first lien, single-family, fixed-rate loans. Carefully consider the risk factors on page S-9 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 Class Group Original Class Balance Principal Type(1) Rate Type(1) CUSIP Number Final Distribution Date FB(2) $ 86,756,521 PAC (3) FLT 31397UL A 5 January 2040 SB(2) ,756,521(4) NTL (3) INV/IO 31397UL B 3 January 2040 PC(2) ,756,522 PAC 3.0% FIX 31397UL C 1 January 2040 PV(2) ,262,790 PAC/AD 5.0 FIX 31397U L D 9 February 2024 PZ(2) ,730,883 PAC 5.0 FIX/Z 31397UL E 7 June 2041 MF ,000,000 SUP (3) FLT 31397U L F 4 June 2041 MS ,000,001 SUP (3) INV 31397ULG2 June 2041 FC(2) ,822,722 PT (3) FLT 31397UL H 0 June 2041 SC(2) ,822,722(4) NTL (3) INV/IO 31397U L J 6 June 2041 A(2) ,007,504 SEQ 4.0 FIX 31397U L K 3 May 2039 B(2) ,756,889 SEQ 4.0 FIX 31397U L L 1 June 2041 DI(2) ,197,830(4) NTL 5.5 FIX/IO 31397ULM9 June 2041 BA(2) ,714,988 SEQ 4.0 FIX 31397UL N 7 July 2040 DB(2) ,461,147 SEQ 4.0 FIX 31397UL P 2 June 2041 FD(2) ,784,129 PT (3) FLT 31397ULQ0 June 2041 SD(2) ,784,129(4) NTL (3) INV/IO 31397UL R 8 June 2041 LA(2) ,119,735 SEQ 4.0 FIX 31397UL S 6 April 2039 LB(2) ,074,094 SEQ 4.0 FIX 31397U LT 4 June 2041 YF(2) ,398,677 PT (3) FLT 31397UL U 1 June 2041 YS(2) ,398,677(4) NTL (3) INV/IO 31397U LV 9 June 2041 AD(2) ,549,099 SEQ 3.0 FIX 31397ULW7 December 2039 IC(2) ,736,199(4) NTL 5.5 FIX/IO 31397UL X 5 December 2039 CE(2) ,751,671 SEQ 4.0 FIX 31397U LY 3 June 2040 DE(2) ,293,940 SEQ 4.0 FIX 31397U L Z 0 June 2041 MT ,953,682 SC/PT 5.0 FIX 31397UMA4 July 2039 WF(2) ,738,461 PT (3) FLT 31397UMB2 June 2041 WS(2) ,738,461(4) NTL (3) INV/IO 31397UMC0 June 2041 MA(2) ,778,792 SEQ 4.0 FIX 31397UMD8 January 2039 MB(2) ,175,054 SEQ 4.0 FIX 31397UME6 June 2041 QF(2) ,061,538 PT (3) FLT 31397UMF3 June 2041 QS(2) ,061,538(4) NTL (3) INV/IO 31397UMG1 June 2041 AN(2) ,013,213 SEQ 3.0 FIX 31397UMH9 September 2039 IN(2) ,638,766(4) NTL 5.5 FIX/IO 31397UMJ5 September 2039 NC(2) ,868,028 SEQ 4.0 FIX 31397UMK2 March 2040 ND(2) ,364,914 SEQ 4.0 FIX 31397UML0 June 2041 FQ(2) ,482,127 PT (3) FLT 31397UQT9 June 2041 SQ(2) ,482,127(4) NTL (3) INV/IO 31397UQU6 June 2041 MQ(2) ,450,633 SEQ 3.5 FIX 31397UQV4 April 2039 BV(2) ,750,772 SEQ/AD 3.5 FIX 31397UQW2 February 2026 BZ(2) ,039,659 SEQ 3.5 FIX/Z 31397UQX0 June 2041 R NPR 0 NPR 31397UMM8 June 2041 RL NPR 0 NPR 31397UMN6 June 2041 (1) See Description of the Certificates The Certificates Class Definitions and Abbreviations in the REMIC prospectus. (2) Exchangeable classes. (3) Based on LIBOR. (4) Notional balances. These classes are interest only classes. See page S-7 for a description of how their notional balances are calculated. If you own certificates of certain classes, you can exchange them for certificates of the corresponding RCR classes to be delivered at the time of exchange. The PF, PS, PB, PD, PA, AT, BT, PT, DT, DY, ET, GT, KT, DG, CT, CD, CG, CJ, NA, NB, NI, CY, FY, SY, LT, NT, QT, HT, GD, GE, TF, TS, GC, GA, GB, GI, NE, WT, YT, MW, FT, ST, TN and TP Classes are the RCR classes. For a more detailed description of the RCR classes, see Schedule 1 attached to this prospectus supplement and Description of the Certificates The Certificates Combination and Recombination in the REMIC prospectus. The dealer will offer the certificates (other than the MT Class) from time to time in negotiated transactions at varying prices. We expect the settlement date to be May 27, See Plan of Distribution in this prospectus supplement. Goldman, Sachs & Co. The date of this Prospectus Supplement is May 23, 2011

3 TABLE OF CONTENTS Page AVAILABLE INFORMATION... S- 3 RECENT DEVELOPMENTS... S- 4 SUMMARY... S- 5 ADDITIONAL RISK FACTOR.... S- 9 DESCRIPTION OF THE CERTIFICATES... S- 9 GENERAL... S- 9 Structure... S- 9 Fannie Mae Guaranty... S-10 Characteristics of Certificates... S-10 Authorized Denominations... S-10 THE TRUST MBS... S-11 THE GROUP 4 SMBS AND GROUP 4 UNDERLYING REMIC CERTIFICATE... S-11 The Group 4 SMBS S-11 The Group 4 Underlying REMIC Certificate S-11 General S-11 DISTRIBUTIONS OF INTEREST... S-11 General... S-11 Delay Classes and No-Delay Classes... S-12 Accrual Classes... S-12 DISTRIBUTIONS OF PRINCIPAL... S-12 STRUCTURING ASSUMPTIONS... S-13 Pricing s... S-13 Prepayment s... S-14 Principal Balance Schedule S-14 Page YIELD TABLES... S-15 General... S-15 The Inverse Floating Rate Classes S-15 The Fixed Rate Only Classes... S-19 WEIGHTED AVERAGE LIVES OF THE CERTIFICATES.... S-21 DECREMENT TABLES.... S-21 CHARACTERISTICS OF THE RESIDUAL CLASSES... S-28 CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES.. S-28 U.S. TREASURY CIRCULAR 230 NOTICE.. S-28 REMIC ELECTIONS AND SPECIAL TAX ATTRIBUTES... S-28 TAXATION OF BENEFICIAL OWNERS OF REGULAR CERTIFICATES.... S-28 TAXATION OF BENEFICIAL OWNERS OF RESIDUAL CERTIFICATES... S-29 TAXATION OF BENEFICIAL OWNERS OF RCR CERTIFICATES... S-29 PLAN OF DISTRIBUTION... S-30 LEGAL MATTERS... S-30 EXHIBIT A... A- 1 SCHEDULE 1... A- 2 PRINCIPAL BALANCE SCHEDULE... B- 1 S-2

4 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 O June 1, 2009, for all MBS issued on or after January 1, 2009, O April 1, 2008, for all MBS issued on or after June 1, 2007 and prior to January 1, 2009, or O January 1, 2006, for all other MBS (as applicable, the MBS Prospectus ); if you are purchasing the Group 4 Class or the R or RL Class our Prospectus for Fannie Mae Stripped Mortgage-Backed Securities dated O January 1, 2009, for all SMBS issued on or after January 1, 2009, O December 1, 2007, for all SMBS issued on or after December 1, 2007 and prior to January 1, 2009, or O May 1, 2002, for all other SMBS (as applicable, the SMBS Prospectus ), if you are purchasing the Group 4 Class or the R or RL Class, the disclosure document relating to the underlying REMIC certificate (the Underlying REMIC Disclosure Document ); and any information incorporated by reference in this prospectus supplement as discussed below and under the heading Incorporation by Reference in the REMIC Prospectus. 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, the SMBS Prospectus and the Underlying REMIC Disclosure Document are incorporated by reference in this prospectus supplement. This means that we are disclosing information in those documents by referring you to them. Those documents are considered part of this prospectus supplement, so you should read this prospectus supplement, and any applicable supplements or amendments, together with those documents. You can obtain copies of the Disclosure Documents by writing or calling us at: Fannie Mae MBS Helpline 3900 Wisconsin Avenue, N.W., Area 2H-3S Washington, D.C (telephone ). In addition, the Disclosure Documents, together with the class factors, are available on our corporate Web site at You also can obtain copies of the REMIC Prospectus, the MBS Prospectus, the SMBS Prospectus and the Underlying REMIC Disclosure Document by writing or calling the dealer at: Goldman, Sachs & Co. Global Operations Mortgage-Backed Securities 30 Hudson Street 36th Floor Jersey City, New Jersey (telephone ). S-3

5 RECENT DEVELOPMENTS On April 20, 2011, Standard and Poor s Ratings Services ( Standard & Poor s ) announced that they had revised their outlook on Fannie Mae s debt issues from stable to negative. Standard & Poor s indicated that this change reflects their revision of the outlook of the United States of America from stable to negative on April 18, 2011, and that pursuant to their government-related entity criteria, the ratings on Fannie Mae (and other government-related entities) are constrained by the long-term sovereign rating on the United States of America. Standard & Poor s affirmed that their credit ratings remain AAA on Fannie Mae long term senior debt, A-1+ on Fannie Mae short term senior debt, and A on Fannie Mae subordinated debt. Standard & Poor s indicated that they would not raise their ratings and outlook on Fannie Mae (and other government-related entities) above those of the United States government as long as the ratings and outlook on the United States of America remain unchanged. Standard & Poor s also indicated that if they were to lower the ratings on the United States of America, the ratings on our debt and our issuer credit rating (and those of other government-related entities) would also likely be lowered. S-4

6 SUMMARY This summary contains only limited information about the certificates. Statistical information in this summary is provided as of May 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 Each Group of Classes Group Assets 1 Group 1 MBS 2 Group 2 MBS 3 Group 3 MBS 4 Group 4 SMBS Class NO REMIC Certificate 5 Group 5 MBS 6 Group 6 MBS Group 1, Group 2, Group 3, Group 5 and Group 6 Characteristics of the Trust MBS Approximate Principal Balance Pass- Through Rate Range of Weighted Average Coupons or WACs (annual percentages) Range of Weighted Average Remaining Terms to Maturity or WAMs (in months) Group 1 MBS $ 255,506, % 5.25% to 7.50% 241 to 360 Group 2 MBS $1,391,763, % 5.75% to 8.00% 241 to 360 Group 3 MBS $ 366,159, % 5.75% to 8.00% 241 to 360 $ 157,542, % 5.75% to 8.00% 241 to 360 $ 698,268, % 5.75% to 8.00% 241 to 360 Group 5 MBS $1,388,000, % 5.75% to 8.00% 241 to 360 Group 6 MBS $ 315,082, % 5.75% to 8.00% 241 to 360 $ 157,092, % 5.75% to 8.00% 241 to 360 $ 158,548, % 5.75% to 8.00% 241 to 360 Assumed Characteristics of the Underlying Mortgage Loans Principal Balance Original Term to Maturity (in months) Remaining Term to Maturity (in months) Loan Age (in months) Rate Group 1 MBS $ 255,506, % Group 2 MBS $1,391,763, % Group 3 MBS $ 366,159, % $ 157,542, % $ 698,268, % Group 5 MBS $1,388,000, % Group 6 MBS $ 315,082, % $ 157,092, % $ 158,548, % S-5

7 The actual remaining terms to maturity, loan ages and interest rates of most of the mortgage loans underlying the Trust MBS will differ from those shown above, perhaps significantly. Group 4 Exhibit A describes the Group 4 SMBS and the Group 4 Underlying REMIC Certificate, including certain information about the related mortgage loans. To learn more about the Group 4 SMBS and the Group 4 Underlying REMIC Certificate, you should obtain from us the current class factors and the related disclosure documents as described on page S-3. Settlement Date We expect to issue the certificates on May 27, Distribution Dates 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. Record Date 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 classes of certificates in the following forms: Fed Book-Entry DTC Book-Entry Physical All classes of certificates other than the MT, R and RL Classes MT Class R and RL Classes Exchanging Certificates Through Combination and Recombination If you own certificates 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 certificates. Schedule 1 lists the available combinations of the certificates eligible for exchange and the related RCR certificates. You can exchange your certificates by notifying us and paying an exchange fee. We will deliver the RCR certificates upon such exchange. We will apply principal and interest payments from exchanged REMIC certificates to the corresponding RCR certificates, on a pro rata basis, following any exchange. Rates During each interest accrual period, the fixed 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 floating rate and inverse floating rate classes will bear interest at the initial interest rates listed below. During each subsequent interest accrual period, the floating rate and inverse floating rate classes will bear interest based on the formulas indicated below, but always subject to the specified maximum and minimum interest rates: Class Initial Rate Maximum Rate Minimum Rate Formula for Calculation of Rate(1) FB % 7.00% 0.45% LIBOR 45 basis points SB % 6.55% 0.00% 6.55% LIBOR S-6

8 Class Initial Rate Maximum Rate Minimum Rate Formula for Calculation of Rate(1) MF % 6.00% 1.45% LIBOR 145 basis points MS % 22.75% 0.00% 22.75% (5 LIBOR) FC % 6.50% 0.60% LIBOR 60 basis points SC % 5.90% 0.00% 5.90% LIBOR FD % 6.50% 0.60% LIBOR 60 basis points SD % 5.90% 0.00% 5.90% LIBOR YF % 6.50% 0.60% LIBOR 60 basis points YS % 5.90% 0.00% 5.90% LIBOR WF % 6.50% 0.60% LIBOR 60 basis points WS % 5.90% 0.00% 5.90% LIBOR QF % 6.50% 0.60% LIBOR 60 basis points QS % 5.90% 0.00% 5.90% LIBOR FQ % 6.50% 0.60% LIBOR + 60 basis points SQ % 5.90% 0.00% 5.9% LIBOR PF % 7.00% 0.40% LIBOR 40 basis points PS % 6.60% 0.00% 6.6% LIBOR FY % 6.50% 0.55% LIBOR 55 basis points SY % 5.95% 0.00% 5.95% LIBOR TF % 6.50% 0.55% LIBOR 55 basis points TS % 5.95% 0.00% 5.95% LIBOR FT % 6.50% 0.58% LIBOR + 58 basis points ST % 5.92% 0.00% 5.92% LIBOR (1) We will establish LIBOR on the basis of the BBA Method. Notional Classes The notional principal balances of the notional classes specified below will equal the percentages of the outstanding balances specified below immediately before the related distribution date: Class SB PS SC DI SD YS IC NI SY WS IN QS TS GI SQ ST % of the FB Class 100% of the FB Class 100% of the FC Class % of the sum of the BA and DB Classes 100% of the FD Class 100% of the YF Class % of the AD Class % of the sum of the CE and AD Classes 100% of the YF Class 100% of the WF Class % of the AN Class 100% of the QF Class 100% of the QF Class % of the sum of the NC and AN Classes 100% of the FQ Class 100% of the FQ Class Distributions of Principal For a description of the principal payment priorities, see Description of the Certificates Distributions of Principal in this prospectus supplement. S-7

9 Weighted Average Lives (years)* Group 1 Classes 0% 100% 120% 200% 250% 450% 650% 900% 1200% FB, SB, PC, PF, PS, PD and PA PV PZ MF and MS PB Group 2 Classes 0% 100% 300% 500% 750% 1000% 1300% FC, SC, DI, AT, BT, PT, DT and DY A B BA DB Group 3 Classes 0% 100% 300% 500% 750% 1000% 1300% FD, SD, YF, YS, ET, GT, KT, CT, CY, FY and SY LA LB AD, IC, CD and CG CE DE DG CJ, NA, NB and NI Group 4 Class 0% 100% 300% 500% 700% 900% 1200% MT Group 5 Classes 0% 100% 300% 500% 750% 1000% 1300% WF, WS, QF, QS, LT, NT, QT, HT, TF, TS and WT MA MB AN, IN, GD and GE NC ND GC, GA, GB and GI NE Group 6 Classes 0% 100% 250% 500% 750% 1000% 1300% FQ, SQ, YT, FT, ST, TN and TP MQ BV BZ MW * Determined as specified under Yield, Maturity and Prepayment Considerations Weighted Average Lives and Final Distribution Dates in the REMIC Prospectus. S-8

10 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 May 1, 2011 (the Issue Date ). We will issue the Guaranteed REMIC Pass- Through Certificates (the REMIC Certificates ) pursuant to that trust agreement and supplement. We will issue the Combinable and Recombinable REMIC Certificates (the RCR Certificates and, together with the REMIC Certificates, the Certificates ) pursuant to a separate trust agreement dated as of May 1, 2010 and a supplement thereto dated as of the Issue Date (together with the trust agreement and supplement relating to the REMIC Certificates, 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 Certificates and RCR Certificates. The assets of the Trust will include: five groups of Fannie Mae Guaranteed Mortgage Pass-Through Certificates (the Group 1 MBS, Group 2 MBS, Group 3 MBS, Group 5 MBS and Group 6 MBS, and together, the Trust MBS ), certain previously issued Fannie Mae Stripped Mortgage-Backed Securities (the Group 4 SMBS ), and a previously issued REMIC certificate (the Group 4 Underlying REMIC Certificate, ) issued from the related Fannie Mae REMIC trust (the Underlying REMIC Trust ) as further described in Exhibit A. The Group 4 Underlying REMIC Certificate evidences a direct or indirect beneficial ownership interest in certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates. The Group 4 SMBS represent beneficial ownership interests in certain interest distributions on mortgage loans underlying certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates (together with the Trust MBS and the Fannie Mae Guaranteed Mortgage Pass-Through Certificates backing the Group 4 Underlying REMIC Certificate, the MBS ). S-9

11 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 include the Lower Tier REMIC and Upper Tier REMIC as real estate mortgage investment conduits (each, a REMIC ) under the Internal Revenue Code of 1986, as amended (the Code ). The following chart contains information about the assets, the regular interests and the residual interests of each REMIC. The REMIC Certificates other than the R and RL Classes are collectively referred to as the Regular Classes or Regular Certificates, and the R and RL Classes are collectively referred to as the Residual Classes or Residual Certificates. REMIC Designation Lower Tier REMIC.... Assets Trust MBS, Group 4 SMBS and Group 4 Underlying REMIC Certificate Regular s s in the Lower Tier REMIC other than the RL Class (the Lower Tier Regular s ) Upper Tier REMIC.... Lower Tier Regular s All Classes of REMIC Certificates other than the R and RL Classes Residual RL R Fannie Mae Guaranty. For a description of our guaranties of the Certificates, the MBS, the Group 4 SMBS and the Group 4 Underlying REMIC Certificate, see the applicable discussions appearing under the heading Fannie Mae Guaranty in the REMIC Prospectus, the MBS Prospectus, the SMBS Prospectus and the Underlying REMIC Disclosure Document, as applicable. Our guaranties are not backed by the full faith and credit of the United States. Characteristics of Certificates. Except as specified below, we will issue the Certificates 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 Certificates deposited in their accounts are Holders or Certificateholders. The MT Class 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. We will issue the Residual Certificates in fully registered, certificated form. The Holder or Certificateholder of a Residual Certificate is its registered owner. A Residual Certificate can be transferred at the corporate trust office of the Transfer Agent, or at the office of the Transfer Agent in New York, New York. U.S. Bank National Association in Boston, Massachusetts will be the initial Transfer Agent. We may impose a service charge for any registration of transfer of a Residual Certificate and may require payment to cover any tax or other governmental charge. See also Characteristics of the Residual Classes below. Authorized Denominations. We will issue the Certificates in the following denominations: Classes Only and Inverse Floating Rate Classes All other Classes (except the R and RL Classes) Denominations $100,000 minimum plus whole dollar increments $1,000 minimum plus whole dollar increments S-10

12 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, fixed-rate, fully-amortizing mortgage loans secured by first mortgages or deeds of trust on single-family residential properties. These Mortgage Loans have original maturities of up to 30 years. For additional information, see Summary Group 1, Group 2, Group 3, Group 5 and Group 6 Characteristics of the Trust MBS and Assumed Characteristics of the Underlying Mortgage Loans in this prospectus supplement and The Mortgage Pools and Yield, Maturity, and Prepayment Considerations in the MBS Prospectus. The Group 4 SMBS and Group 4 Underlying REMIC Certificate The Group 4 SMBS The Group 4 SMBS represent beneficial ownership interests in certain interest distributions on Mortgage Loans underlying the related MBS. The general characteristics of the Group 4 SMBS are described in the SMBS Prospectus. The underlying Mortgage Loans have original maturities of up to 30 years. The Group 4 Underlying REMIC Certificate The Group 4 Underlying REMIC Certificate represents a beneficial ownership interests in the Underlying REMIC Trust. The assets of that trust consist of MBS (or beneficial ownership interests in MBS) having the general characteristics set forth in the MBS Prospectus. The general characteristics of the Group 4 Underlying REMIC Certificate are described in the Underlying REMIC Disclosure Document. There may have been material changes in facts and circumstances since the date we prepared the Underlying REMIC Disclosure Document. These may include changes in prepayment speeds, prevailing interest rates and other economic factors. As a result, the usefulness of the information set forth in that document may be limited. General The general characteristics of the MBS underlying the Group 4 SMBS and the Group 4 Underlying REMIC Certificate are described 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. Distributions on the Group 4 SMBS and the Group 4 Underlying REMIC Certificate will be passed through monthly, beginning in the month after we issue the Certificates. See Exhibit A for certain additional information about the Group 4 SMBS and the Group 4 Underlying REMIC Certificate. Exhibit A is being provided in lieu of a Final Data Statement with respect to the Group 4 SMBS and the Group 4 Underlying REMIC Certificate. For further information about the Group 4 SMBS and the Group 4 Underlying REMIC Certificate, telephone us at Additional information about the Group 4 SMBS and the Group 4 Underlying REMIC Certificate is also available at Distributions of General. The Certificates will bear interest at the rates specified in this prospectus supplement. to be paid on each Certificate (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 Certificate immediately prior to that Distribution Date. For a description of the Accrual Classes, see Accrual Classes below. S-11

13 Delay Classes and No-Delay Classes. the following table: Delay Classes Fixed Rate Classes and the MF and MS Classes The delay Classes and no-delay Classes are set forth in No-Delay Classes Floating Rate and Inverse Floating Rate Classes (other than the MF and MS Classes) See Description of the Certificates The Certificates Distributions on Certificates Distributions in the REMIC Prospectus. Accrual Classes. The PZ and BZ Classes are Accrual Classes. will accrue on each Accrual Class at the applicable annual rate specified on the cover of this prospectus supplement. However, we will not pay any interest on the Accrual Classes. Instead, interest accrued on each Accrual Class will be added as principal to its principal balance on each Distribution Date. We will pay principal on the Accrual Classes as described under Distributions of Principal below. Distributions of Principal On the Distribution Date in each month, we will make payments of principal on the Certificates as described below. Group 1 The PZ Accrual Amount to PV until retired, and thereafter to PZ. Accretion Directed Class and Accrual Class The Group 1 Cash Flow Distribution Amount in the following priority: 1. To the Aggregate Group to its Planned Balance. PAC Group 2. To MF and MS, pro rata, until retired. Support Classes 3. To the Aggregate Group to zero. PAC Group The PZ Accrual Amount is any interest then accrued and added to the principal balance of the PZ Class. The Group 1 Cash Flow Distribution Amount is the principal then paid on the Group 1 MBS. The Aggregate Group consists of the FB, PC, PVand PZ Classes. On each Distribution Date, we will apply payments of principal of the Aggregate Group as follows: first, to FB and PC, pro rata, until retired; and second, to PV and PZ, in that order, until retired. The Aggregate Group has a principal balance equal to the aggregate principal balance of the Classes included in the Aggregate Group. Group 2 The Group 2 Principal Distribution Amount as follows: % to FC until retired, Pass-Through Class % to A and B, in that order, until retired, and % to BA and DB, in that order, until retired. Sequential Pay Classes The Group 2 Principal Distribution Amount is the principal then paid on the Group 2 MBS. S-12

14 Group 3 The Group 3 Principal Distribution Amount as follows: % to FD until retired, % to LA and LB, in that order, until retired, % to YF until retired, and % to AD, CE and DE, in that order, until retired. Pass-Through Class Sequential Pay Classes Pass-Through Class Sequential Pay Classes 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 MT until retired. Structured Collateral/ Pass-Through Class The Group 4 Principal Distribution Amount is the principal then paid on the Group 4 Underlying REMIC Certificate. Group 5 The Group 5 Principal Distribution Amount as follows: % to WF until retired, % to MA and MB, in that order, until retired, % to QF until retired, and % to AN, NC and ND, in that order, until retired. Pass-Through Class Sequential Pay Classes Pass-Through Class Sequential Pay Classes The Group 5 Principal Distribution Amount is the principal then paid on the Group 5 MBS. Group 6 The BZ Accrual Amount to BV until retired, and thereafter to BZ. The Group 6 Cash Flow Distribution Amount as follows: % to FQ until retired, and % to MQ, BV and BZ, in that order, until retired. Accretion Directed Class and Accrual Class Pass-Through Class Sequential Pay Classes The BZ Accrual Amount is any interest then accrued and added to the principal balance of the BZ Class. The Group 6 Cash Flow Distribution Amount is the principal then paid on the Group 6 MBS. Structuring s Pricing s. Except where otherwise noted, the information in the tables in this prospectus supplement has been prepared based on the actual characteristics of each pool of Mortgage Loans backing the Group 4 SMBS and the Group 4 Underlying REMIC Certificate, and S-13

15 the following assumptions (such characteristics and assumptions, collectively, the Pricing s ): the Mortgage Loans underlying the Trust MBS have the original terms to maturity, remaining terms to maturity, loan ages and interest rates specified under Summary Group 1, Group 2, Group 3, Group 5 and Group 6 Assumed Characteristics of the Underlying Mortgage Loans in this prospectus supplement; the Mortgage Loans prepay at the constant percentages of PSA specified in the related tables; the settlement date for the Certificates is May 27, 2011; and each Distribution Date occurs on the 25th day of a month. Prepayment s. 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. Principal Balance Schedule. The Principal Balance Schedule is set forth beginning on page B-1 of this prospectus supplement. The Principal Balance Schedule was prepared based on the Pricing s and the assumption that the related Mortgage Loans prepay at a constant rate within the Structuring Range specified in the chart below. The Effective Range for the Aggregate Group is the range of prepayment rates (measured by constant PSA rates) that would reduce the Aggregate Group to its scheduled balance each month based on the Pricing s. We have not provided separate schedules for the individual Classes included in the Aggregate Group. However, those Classes are designed to receive 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 Aggregate Group schedule). If such separate schedules had been provided for the individual Classes included in the Aggregate Group, we expect that the effective ranges for those Classes would not be narrower than that shown below for the Aggregate Group. Group Structuring Range Initial Effective Range Aggregate Group Planned Balances Between 120% and 250% PSA Between 120% and 250% PSA The Aggregate Group consists of the FB, PC, PV and PZ Classes. See Decrement Tables below for the percentages of original principal balances of the individual Classes included in the Aggregate Group that would be outstanding at various constant PSA rates, including the upper and lower bands of the Structuring Range, based on the Pricing s. We cannot assure you that the balance of the Aggregate Group will conform on any Distribution Date to the balance specified in the Principal Balance Schedule or that distributions of principal of the Aggregate Group will begin or end on the Distribution Dates specified in the Principal Balance Schedule. If you are considering the purchase of a PAC Class, you should first take into account the considerations set forth below. We will distribute any excess of principal distributions over the amount necessary to reduce the Aggregate Group to its scheduled balance in any month. As a result, the likelihood of reducing the Aggregate Group to its scheduled balance each month will not be improved by the averaging of high and low principal distributions from month to month. Even if the related Mortgage Loans prepay at rates falling within the Structuring Range or the Effective Range, principal distributions may be insufficient to reduce the Aggregate Group to its scheduled balance each month if prepayments do not occur at a constant PSA rate. S-14

16 The actual Effective Range at any time will be based upon the actual characteristics of the related Mortgage Loans at that time, which are likely to vary (and may vary considerably) from the Pricing s. As a result, the actual Effective Range will likely differ from the Initial Effective Range specified above. For the same reason, the Aggregate Group might not be reduced to its scheduled balance each month even if the related Mortgage Loans prepay at a constant PSA rate within the Initial Effective Range. This is so particularly if the rate falls at the lower or higher end of the range. The actual Effective Range may narrow, widen or shift upward or downward to reflect actual prepayment experience over time. The principal payment stability of the Aggregate Group will be supported by other Classes. When the supporting Classes are retired, the Aggregate Group, if still outstanding, may no longer have an Effective Range and will be much more sensitive to prepayments of the related Mortgage Loans. Yield Tables General. The tables below illustrate the sensitivity of the pre-tax corporate bond equivalent yields to maturity of the applicable Classes to various constant percentages of PSA and, where applicable to changes in the Index. The tables below are provided for illustrative purposes only and are not intended as a forecast or prediction of the actual yields on the applicable Classes. We calculated the yields set forth in the tables by determining the monthly discount rates that, when applied to the assumed streams of cash flows to be paid on the applicable Classes, would cause the discounted present values of the assumed streams of cash flows 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 Certificates. Accordingly, these calculations do not illustrate the return on any investment in the Certificates when reinvestment rates are taken into account. We cannot assure you that the pre-tax yields on the applicable Certificates will correspond to any of the pre-tax yields shown here, or the aggregate purchase prices of the applicable Certificates will be as assumed. In addition, it is unlikely that the Index will correspond to the levels shown here. Furthermore, because some of the Mortgage Loans are likely to have remaining terms to maturity shorter or longer than those assumed and interest rates higher or lower than those assumed, the principal payments on the Certificates are likely to differ from those assumed. This would be the case even if all Mortgage Loans prepay at the indicated constant percentages of PSA. Moreover, it is unlikely that the Mortgage Loans will prepay at a constant PSA rate until maturity, all of the Mortgage Loans will prepay at the same rate, or the level of the Index will remain constant. The Inverse Floating Rate 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 Mortgage Loans generally can be prepaid at any time without penalty. In addition, the rate of principal payments (including prepayments) of the Mortgage Loans is likely to vary, and may vary considerably, from pool to pool. As illustrated in the applicable tables below, it is possible that S-15

17 investors in the Inverse Floating Rate Classes would lose money on their initial investments under certain Index and prepayment scenarios. Changes in the Index may not correspond to changes in prevailing mortgage interest rates. It is possible that lower prevailing mortgage interest rates, which might be expected to result in faster prepayments, could occur while the level of the Index increased. The information shown in the following yield tables has been prepared on the basis of the Pricing s and the assumptions that the interest rates for the Inverse Floating Rate Classes for the initial Accrual Period are the rates listed in the table under Summary Rates in this prospectus supplement and for each following Accrual Period will be based on the specified level of the Index, and the aggregate purchase prices of these Classes (expressed in each case as a percentage of original principal balance) are as follows: Class Price* SB % MS % SC % SD % YS % WS % QS % SQ % PS % SY % TS % ST % * 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 SB Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 120% 200% 250% 450% 650% 900% 1200% 0.11% % 27.3% 25.0% 25.0% 25.0% 13.1% (3.7)% (26.7)% (54.6)% 0.21% % 26.6% 24.3% 24.3% 24.3% 12.2% (4.6)% (27.7)% (55.6)% 2.21% % 12.2% 9.8% 9.8% 9.8% (5.1)% (24.0)% (48.6)% (77.1)% 4.21% % (3.8)% (6.4)% (6.4)% (6.4)% (25.5)% (47.1)% (73.7)% * 6.55% * * * * * * * * * S-16

18 Sensitivity of the MS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 120% 200% 250% 450% 650% 900% 1200% 0.11% % 21.0% 21.0% 19.6% 17.7% 12.4% 8.2% 3.4% (2.2)% 0.21% % 20.5% 20.5% 19.1% 17.2% 11.9% 7.8% 3.0% (2.6)% 2.21% % 10.8% 10.8% 9.7% 7.8% 3.0% (0.7)% (5.0)% (10.0)% 4.21% % 1.2% 1.2% 0.5% (1.4)% (5.8)% (9.0)% (12.8)% (17.2)% 4.55% (0.3)% (0.4)% (0.4)% (1.1)% (3.0)% (7.2)% (10.4)% (14.1)% (18.4)% Sensitivity of the SC Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.11% % 37.3% 22.2% 5.8% (16.8)% (42.9)% (82.2)% 0.21% % 36.5% 21.4% 5.1% (17.5)% (43.5)% (82.7)% 2.21% % 19.5% 5.3% (9.9)% (31.0)% (55.4)% (92.1)% 4.21% % 1.8% (11.4)% (25.6)% (45.1)% (67.7)% * 5.90% * * * * * * * Sensitivity of the SD Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.11% % 37.8% 22.6% 6.2% (16.4)% (42.6)% (82.0)% 0.21% % 36.9% 21.8% 5.5% (17.1)% (43.2)% (82.5)% 2.21% % 19.9% 5.7% (9.6)% (30.8)% (55.1)% (92.0)% 4.21% % 2.1% (11.1)% (25.3)% (44.9)% (67.5)% * 5.90% * * * * * * * Sensitivity of the YS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.11% % 37.8% 22.6% 6.2% (16.4)% (42.6)% (82.0)% 0.21% % 36.9% 21.8% 5.5% (17.1)% (43.2)% (82.5)% 2.21% % 19.9% 5.7% (9.6)% (30.8)% (55.1)% (92.2)% 4.21% % 2.1% (11.1)% (25.3)% (44.9)% (67.7)% * 5.90% * * * * * * * S-17

19 Sensitivity of the WS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.100% % 37.0% 21.9% 5.6% (17.0)% (43.1)% (82.4)% 0.197% % 36.2% 21.1% 4.8% (17.7)% (43.7)% (82.9)% 2.197% % 19.6% 5.4% (9.8)% (31.0)% (55.3)% (92.1)% 4.197% % 2.4% (10.8)% (25.0)% (44.6)% (67.4)% * 5.900% * * * * * * * Sensitivity of the QS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.100% % 37.0% 21.9% 5.6% (17.0)% (43.1)% (82.5)% 0.197% % 36.2% 21.1% 4.8% (17.7)% (43.7)% (82.9)% 2.197% % 19.6% 5.4% (9.8)% (31.0)% (55.3)% (92.3)% 4.197% % 2.4% (10.8)% (25.0)% (44.6)% (67.6)% * 5.900% * * * * * * * Sensitivity of the SQ Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 250% 500% 750% 1000% 1300% 0.100% % 32.8% 21.7% 1.8% (20.5)% (46.1)% (84.8)% 0.196% % 32.0% 21.0% 1.1% (21.1)% (46.6)% (85.2)% 2.196% % 17.0% 6.6% (12.1)% (33.0)% (57.2)% (93.7)% 4.196% % 1.3% (8.4)% (25.9)% (45.5)% (68.2)% * 5.900% * * * * * * * Sensitivity of the PS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 120% 200% 250% 450% 650% 900% 1200% 0.11% % 26.9% 24.7% 24.7% 24.7% 12.7% (4.1)% (27.2)% (55.1)% 0.21% % 26.3% 24.0% 24.0% 24.0% 11.9% (5.0)% (28.1)% (56.1)% 2.21% % 12.1% 9.7% 9.7% 9.7% (5.2)% (24.1)% (48.7)% (77.2)% 4.21% % (3.7)% (6.3)% (6.3)% (6.3)% (25.3)% (46.9)% (73.5)% * 6.60% * * * * * * * * * S-18

20 Sensitivity of the SY Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.11% % 37.5% 22.3% 6.0% (16.7)% (42.8)% (82.2)% 0.21% % 36.7% 21.5% 5.2% (17.3)% (43.4)% (82.7)% 2.21% % 19.8% 5.6% (9.6)% (30.8)% (55.2)% (92.2)% 4.21% % 2.3% (10.9)% (25.1)% (44.7)% (67.5)% * 5.95% * * * * * * * Sensitivity of the TS Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 300% 500% 750% 1000% 1300% 0.100% % 36.8% 21.7% 5.3% (17.2)% (43.3)% (82.6)% 0.197% % 36.0% 20.9% 4.6% (17.9)% (43.9)% (83.1)% 2.197% % 19.6% 5.4% (9.9)% (31.0)% (55.4)% (92.4)% 4.197% % 2.6% (10.6)% (24.8)% (44.5)% (67.4)% * 5.950% * * * * * * * Sensitivity of the ST Class to Prepayments and LIBOR (Pre-Tax Yields to Maturity) LIBOR 50% 100% 250% 500% 750% 1000% 1300% 0.100% % 32.9% 21.8% 1.9% (20.4)% (46.0)% (84.8)% 0.196% % 32.2% 21.1% 1.3% (20.9)% (46.5)% (85.2)% 2.196% % 17.2% 6.8% (12.0)% (32.9)% (57.0)% (93.6)% 4.196% % 1.5% (8.3)% (25.8)% (45.4)% (68.1)% * 5.920% * * * * * * * The Fixed Rate Only Classes. The yields to investors in the Fixed Rate Only Classes 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 each Fixed Rate Only Class would be 0% if prepayments of the related Mortgage Loans were to occur at the following constant rates: Class % PSA DI % IC % IN % NI % GI % For any Fixed Rate Only Class, if the actual prepayment rate of the related Mortgage Loans were to exceed the level specified for as little as one month while equaling that level for the remaining months, the investors in the applicable Class would lose money on their initial investments. S-19