Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust 2008 … · 2019-07-20 ·...

Prospectus Supplement

(To REMIC Prospectus dated August 1, 2007)

$971,366,690

Guaranteed REMIC Pass-Through CertiÑcatesFannie Mae REMIC Trust 2008-62

Original FinalThe CertiÑcates Class Principal Interest Interest CUSIP DistributionClass Group Balance Type(1) Rate Type(1) Number Date

We, the Federal National Mortgage Associ-BI(2) ÏÏÏÏÏ 1 $ 2,272,727(3) NTL 5.50% FIX/IO 31397LW47 January 2035ation (Fannie Mae), will issue the classes ofAB ÏÏÏÏÏÏÏ 1 50,000,000 SEQ 5.25 FIX 31397LW54 January 2035certiÑcates listed in the chart on this cover.VC(2)ÏÏÏÏÏ 1 5,551,000 SEQ/AD 5.50 FIX 31397LW62 May 2019VD(2)ÏÏÏÏÏ 1 6,355,000 SEQ/AD 5.50 FIX 31397LW70 November 2026ZB(2) ÏÏÏÏÏ 1 6,875,314 SEQ 5.50 FIX/Z 31397LW88 July 2038Payments to CertiÑcateholdersAD ÏÏÏÏÏÏÏ 2 213,978,047 SEQ 4.00 FIX 31397LW96 December 2020DY ÏÏÏÏÏÏÏ 2 71,326,015 SEQ 4.00 FIX 31397L X 2 0 July 2023We will make monthly payments on the

certiÑcates. You, the investor, will receive FB ÏÏÏÏÏÏÏ 3 120,000,000 PT (4) FLT 31397L X 3 8 July 2038SB ÏÏÏÏÏÏÏ 3 120,000,000(3) NTL (4) INV/IO 31397L X 4 6 July 2038

‚ interest accrued on the balance of your FM(2) ÏÏÏÏ 4 37,000,000 PT (4) FLT 31397L X 5 3 July 2038certiÑcate (except in the case of the ac- SM ÏÏÏÏÏÏÏ 4 37,000,000(3) NTL (4) INV/IO 31397L X 6 1 July 2038crual classes), and FN(2)ÏÏÏÏÏ 5 63,000,000 PT (4) FLT 31397L X 7 9 July 2038

SN ÏÏÏÏÏÏÏ 5 63,000,000(3) NTL (4) INV/IO 31397L X 8 7 July 2038‚ principal to the extent available for pay-

FC ÏÏÏÏÏÏÏ 6 80,000,000 PT (4) FLT 31397L X 9 5 July 2038ment on your class. SC ÏÏÏÏÏÏÏ 6 80,000,000(3) NTL (4) INV/IO 31397L Y 2 9 July 2038

BA(2)ÏÏÏÏÏ 6 25,443,000 SEQ 5.50 FIX 31397L Y 3 7 July 2034We will pay principal at rates that may varyBC(2)ÏÏÏÏÏ 6 7,294,000 SEQ 5.50 FIX 31397L Y 4 5 October 2036

from time to time. We may not pay principal BD(2)ÏÏÏÏÏ 6 7,263,000 SEQ 5.50 FIX 31397L Y 5 2 July 2038to certain classes for long periods of time. DA(2) ÏÏÏÏ 7 26,510,000 SEQ 5.50 FIX 31397L Y 6 0 January 2035

DB(2)ÏÏÏÏÏ 7 6,295,000 SEQ 5.50 FIX 31397L Y 7 8 March 2037DC(2)ÏÏÏÏÏ 7 4,695,000 SEQ 5.50 FIX 31397L Y 8 6 July 2038The Fannie Mae GuarantyFD ÏÏÏÏÏÏÏ 7 75,000,000 PT (4) FLT 31397L Y 9 4 July 2038SD ÏÏÏÏÏÏÏ 7 75,000,000(3) NTL (4) INV/IO 31397L Z 2 8 July 2038We will guarantee that required payments ofCA(2)ÏÏÏÏÏ 8 22,071,000 SEQ 5.50 FIX 31397L Z 3 6 October 2034principal and interest on the certiÑcates areCB(2)ÏÏÏÏÏ 8 5,495,000 SEQ 5.50 FIX 31397L Z 4 4 January 2037

available for distribution to investors on time. CD(2)ÏÏÏÏÏ 8 4,434,000 SEQ 5.50 FIX 31397L Z 5 1 July 2038FE ÏÏÏÏÏÏÏ 8 64,000,000 PT (4) FLT 31397L Z 6 9 July 2038SE ÏÏÏÏÏÏÏ 8 64,000,000(3) NTL (4) INV/IO 31397L Z 7 7 July 2038The Trust and its AssetsCI(2) ÏÏÏÏÏ 9 2,272,727(3) NTL 5.50 FIX/IO 31397L Z 8 5 January 2035The trust will own Fannie Mae MBS.AC ÏÏÏÏÏÏÏ 9 50,000,000 SEQ 5.25 FIX 31397L Z 9 3 January 2035VE(2)ÏÏÏÏÏ 9 5,551,000 SEQ/AD 5.50 FIX 31397L 2 A 6 May 2019The mortgage loans underlying the FannieVG(2)ÏÏÏÏÏ 9 6,355,000 SEQ/AD 5.50 FIX 31397L 2 B 4 November 2026Mae MBS are Ñrst lien, single-family Ñxed-ZC(2)ÏÏÏÏÏ 9 6,875,314 SEQ 5.50 FIX/Z 31397L 2 C 2 July 2038

rate loans.R ÏÏÏÏÏÏÏ 0 NPR 0 NPR 31397L 2 D 0 July 2038RL ÏÏÏÏÏÏÏ 0 NPR 0 NPR 31397L 2 E 8 July 2038

Carefully consider the risk factors start- (1) See ""Description of the CertiÑcatesÌClass (3) Notional balances. These classes are interest onlying on page 10 of the REMIC prospectus. DeÑnitions and Abbreviations'' in the REMIC classes. See page S-7 for a description of how their

prospectus. notional balances are calculated.Unless you understand and are able to(2) Exchangeable classes. (4) Based on LIBOR.tolerate these risks, you should not invest

in the certificates.

If you own certiÑcates of certain classes, you can exchange them for certiÑcates of theYou should read the REMIC prospectusas well as this prospectus supplement. corresponding RCR classes to be delivered at the time of exchange. The VA, VB, AI, ZA, AY,The certiÑcates, together with interest FA, BE, PT, BG, CE, DE, GE, CG, DG and DT Classes are the RCR classes. For a morethereon, are not guaranteed by the United detailed description of the RCR classes, see Schedule 1 attached to this prospectus supplementStates and do not constitute a debt or

and ""Description of the CertiÑcatesÌCombination and Recombination'' in the REMICobligation of the United States or anyprospectus.agency or instrumentality thereof other

than Fannie Mae.

The certificates are exempt from registra- The dealer will oÅer the certiÑcates from time to time in negotiated transactions at varyingtion under the Securities Act of 1933 and

prices. We expect the settlement date to be June 30, 2008.are ""exempted securities'' under the Secu-rities Exchange Act of 1934.

Credit SuisseThe date of this Prospectus Supplement is June 23, 2008

TABLE OF CONTENTS

Page Page

AVAILABLE INFORMATIONÏÏÏÏÏÏ S- 3 The Inverse Floating Rate ClassesÏÏ S-15

RECENT DEVELOPMENTS ÏÏÏÏÏÏÏ S- 4 WEIGHTED AVERAGE LIVES OF THE

CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-17SUMMARY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 5DECREMENT TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-18DESCRIPTION OF THE

CERTIFICATES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10 CHARACTERISTICS OF THE RESIDUAL

CLASSESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-25GENERAL ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10CERTAIN ADDITIONAL FEDERALStructureÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-10

INCOME TAX CONSEQUENCES ÏÏ S-25Fannie Mae Guaranty ÏÏÏÏÏÏÏÏÏÏÏÏ S-10

U.S. TREASURY CIRCULAR 230Characteristics of CertiÑcates ÏÏÏÏÏÏ S-11

NOTICE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-26Authorized Denominations ÏÏÏÏÏÏÏÏ S-11

REMIC ELECTIONS AND SPECIALTHE MBS ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 TAX ATTRIBUTESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-26DISTRIBUTIONS OF INTEREST ÏÏÏÏÏÏÏÏ S-11 TAXATION OF BENEFICIAL OWNERS OF

General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-11 REGULAR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏ S-26

Delay Classes and No-Delay Classes S-11 TAXATION OF BENEFICIAL OWNERS OF

RESIDUAL CERTIFICATES ÏÏÏÏÏÏÏÏÏÏ S-27Accrual Classes ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-12TAXATION OF BENEFICIAL OWNERS OFDISTRIBUTIONS OF PRINCIPAL ÏÏÏÏÏÏÏ S-12

RCR CERTIFICATESÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27STRUCTURING ASSUMPTIONS ÏÏÏÏÏÏÏÏ S-13

PLAN OF DISTRIBUTION ÏÏÏÏÏÏÏÏ S-27Pricing AssumptionsÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-13

LEGAL MATTERSÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27Prepayment Assumptions ÏÏÏÏÏÏÏÏÏ S-14

SCHEDULE 1ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1YIELD TABLES ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14

General ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14

The Fixed Rate Interest OnlyClasses ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-14

S-2

AVAILABLE INFORMATION

You should purchase the certiÑcates only if you have read and understood this prospectussupplement and the following documents (the ""Disclosure Documents''):

‚ our Prospectus for Fannie Mae Guaranteed REMIC Pass-Through CertiÑcates dated August 1,2007 (the ""REMIC Prospectus'');

‚ our Prospectus for Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (Single-Family Residential Mortgage Loans) dated January 1, 2006 (for all MBS issued prior toJune 1, 2007) or dated April 1, 2008 (for all other MBS) (as applicable, the ""MBSProspectus''); and

‚ any information incorporated by reference in this prospectus supplement as discussed belowand under the heading ""Incorporation by Reference'' in the REMIC Prospectus.

The MBS Prospectus is incorporated by reference in this prospectus supplement. This meansthat we are disclosing information in that document by referring you to it. That document isconsidered part of this prospectus supplement, so you should read this prospectus supplement, andany applicable supplements or amendments, together with that document.

You can obtain copies of the Disclosure Documents by writing or calling us at:

Fannie MaeMBS Helpline3900 Wisconsin Avenue, N.W., Area 2H-3SWashington, D.C. 20016(telephone 1-800-237-8627).

In addition, the Disclosure Documents, together with the class factors, are available on our corporateWeb site at www.fanniemae.com.

You also can obtain copies of the REMIC Prospectus and the MBS Prospectus by writing orcalling the dealer at:

Credit Suisse Securities (USA) LLCProspectus Department11 Madison AvenueNew York, NY 10010-3629(telephone 212-325-2580).

S-3

RECENT DEVELOPMENTS

On May 19, 2008, Standard & Poor's Ratings Services (""S&P'') lowered our ""Risk-to-the-Government'' rating from ""AA¿'' to ""A°'' with a negative outlook, and aÇrmed the ""AA¿'' ratingson our preferred stock and subordinated debt with a negative outlook. S&P also aÇrmed the""AAA/A-1°'' rating on our senior unsecured debt with a stable outlook.

On May 6, 2008, Moody's Investors Service (""Moody's'') downgraded our ""Bank FinancialStrength Rating'' from ""B°'' to ""B'' with a negative outlook. Moody's also placed a negative outlookon the ""Aa3'' rating on our preferred stock, and aÇrmed the rating of ""Aaa'' on our senior debt and""Aa2'' on our subordinated debt with a stable outlook. Also on May 6, 2008, Fitch Ratings placed the""AA¿'' rating on our preferred stock on ""Rating Watch Negative,'' and aÇrmed the ratings of ""AAA''on our senior unsecured debt and ""AA¿'' on our subordinated debt with a stable outlook.

Although the certiÑcates being oÅered hereby are not rated, the general market perception of ourability to satisfy our obligations, including our guaranty obligations on the certiÑcates, will aÅect theliquidity and market value of the certiÑcates. Accordingly, you should consider the potential eÅect ofthe recent announcements on the liquidity and market value of your certiÑcates.

S-4

SUMMARY

This summary contains only limited information about the certiÑcates. Statisticalinformation in this summary is provided as of June 1, 2008. You should purchase thecertiÑcates only after reading this prospectus supplement and each of the additionaldisclosure documents listed on page S-3. In particular, please see the discussion of riskfactors that appears in each of those additional disclosure documents.

Assets Underlying Each Group of Classes

Group Assets

1 Group 1 MBS

2 Group 2 MBS

3 Group 3 MBS

4 Group 4 MBS

5 Group 5 MBS

6 Group 6 MBS

7 Group 7 MBS

8 Group 8 MBS

9 Group 9 MBS

Group 1, Group 2, Group 3, Group 4, Group 5, Group 6, Group 7, Group 8 and Group 9

Characteristics of the MBS

Range of WeightedRange of Weighted Average Remaining

Approximate Pass- Average Coupons Terms to MaturityPrincipal Through or WACs or WAMsBalance Rate (annual percentages) (in months)

Group 1 MBS $ 68,781,314 5.50% 5.75% to 8.00% 193 to 360Group 2 MBS $285,304,062 4.00% 4.25% to 6.50% 113 to 180Group 3 MBS $120,000,000 7.00% 7.25% to 9.50% 241 to 360Group 4 MBS $ 37,000,000 7.00% 7.25% to 9.50% 241 to 360Group 5 MBS $ 63,000,000 7.00% 7.25% to 9.50% 241 to 360Group 6 MBS* $120,000,000 6.50% 6.75% to 9.00% 241 to 360Group 7 MBS $112,500,000 6.50% 6.75% to 9.00% 241 to 360Group 8 MBS $ 96,000,000 6.50% 6.75% to 9.00% 241 to 360Group 9 MBS $ 68,781,314 5.50% 5.75% to 8.00% 193 to 360

* As further described in this prospectus supplement, the mortgage loans underlying the Group 6 MBS provide forinterest only periods that may range from at least 7 to no more than 10 years following origination. The assumedremaining term to expiration of the interest only periods for those mortgage loans is set forth below.

S-5

Assumed Characteristics of the Underlying Mortgage Loans

RemainingTerm to

Original Remaining ExpirationTerm to Term to of Interest

Principal Maturity Maturity Loan Age Interest Only PeriodBalance (in months) (in months) (in months) Rate (in months)

Group 1 MBS $ 68,781,314 360 310 45 5.95% N/AGroup 2 MBS $285,304,062 180 128 48 4.56% N/AGroup 3 MBS $120,000,000 360 352 7 7.73% N/AGroup 4 MBS $ 37,000,000 360 359 1 7.52% N/AGroup 5 MBS $ 63,000,000 360 359 1 7.64% N/AGroup 6 MBS $120,000,000 360 357 3 7.13% 117Group 7 MBS $112,500,000 360 352 6 7.11% N/AGroup 8 MBS $ 96,000,000 360 356 3 7.02% N/AGroup 9 MBS $ 68,781,314 360 310 45 5.95% N/A

The actual remaining terms to maturity, loan ages, interest rates and, if applicable, terms toexpiration of interest only period of most of the mortgage loans underlying the MBS will diÅer fromthose shown above, perhaps signiÑcantly.

Settlement Date

We expect to issue the certiÑcates on June 30, 2008.

Distribution Dates

We will make payments on the certiÑcates on the 25th day of each calendar month, or on the nextbusiness day if the 25th day is not a business day.

Record Date

On each distribution date, we will make each monthly payment on the certiÑcates to holders ofrecord on the last day of the preceding month.

Book-Entry and Physical CertiÑcates

We will issue the classes of certiÑcates in the following forms:

Fed Book-Entry Physical

All classes of certiÑcates other than the R and RL Classes R and RL Classes

Exchanging CertiÑcates Through Combination and Recombination

If you own certiÑcates of a class designated as ""exchangeable'' on the cover of this prospectussupplement, you will be able to exchange them for a proportionate interest in the related RCRcertiÑcates. Schedule 1 lists the available combinations of the certiÑcates eligible for exchange and therelated RCR certiÑcates. You can exchange your certiÑcates by notifying us and paying an exchangefee. We will deliver the RCR certiÑcates upon such exchange.

We will apply principal and interest payments from exchanged REMIC certiÑcates to thecorresponding RCR certiÑcates, on a pro rata basis, following any exchange.

S-6

Interest Rates

During each interest accrual period, the Ñxed rate classes will bear interest at the applicableannual interest rates listed on the cover of this prospectus supplement or on Schedule 1.

During the initial interest accrual period, the Öoating rate and inverse Öoating rate classes willbear interest at the initial interest rates listed below. During subsequent interest accrual periods, theÖoating rate and inverse Öoating rate classes will bear interest based on the formulas indicated below,but always subject to the speciÑed maximum and minimum interest rates:

Initial Maximum Minimum Formula forInterest Interest Interest Calculation of

Class Rate Rate Rate Interest Rate(1)

FB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.400% 7.00% 0.95% LIBOR ° 95 basis pointsSB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.600% 6.05% 0.00% 6.05% ¿ LIBORFM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.250% 7.00% 0.80% LIBOR ° 80 basis pointsSM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.750% 6.20% 0.00% 6.2% ¿ LIBORFN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.250% 7.00% 0.80% LIBOR ° 80 basis pointsSN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.750% 6.20% 0.00% 6.2% ¿ LIBORFC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.450% 7.00% 1.00% LIBOR ° 100 basis pointsSC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.550% 6.00% 0.00% 6% ¿ LIBORFD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.425% 7.00% 0.95% LIBOR ° 95 basis pointsSD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.575% 6.05% 0.00% 6.05% ¿ LIBORFE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.370% 7.00% 0.89% LIBOR ° 89 basis pointsSE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.630% 6.11% 0.00% 6.11% ¿ LIBORFA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 3.250% 7.00% 0.80% LIBOR ° 80 basis points

(1) We will establish LIBOR on the basis of the ""BBA Method.''

Notional Classes

The notional principal balances of the notional classes will equal the percentages of theoutstanding balances speciÑed below immediately before the related distribution date:

Class

BI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.545454% of the AB ClassSB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FB ClassSM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FM ClassSN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FN ClassSC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FC ClassSD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FD ClassSE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 100% of the FE ClassCI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.545454% of the AC ClassAI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.545454% of the sum of the AB and AC Classes

Distributions of Principal

For a description of the principal payment priorities, see ""Description of the CertiÑcatesÌDistributions of Principal'' in this prospectus supplement.

S-7

Weighted Average Lives (years)*

PSA Prepayment Assumption

Group 1 Classes 0% 100% 214% 350% 500%

BI and AB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.6 6.0 3.3 2.0 1.4VC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.9 5.9 5.6 4.3 3.3VD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.8 13.8 9.5 6.5 4.7ZB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.3 20.0 15.3 10.9 7.9


Group 2 Classes 0% 100% 142% 300% 500%

AD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 7.0 3.3 2.9 1.9 1.3DY ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 13.8 8.8 8.4 6.8 5.0


Group 3 Classes 0% 100% 400% 685% 1025% 1370%

FB and SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.3 11.3 4.2 2.6 1.8 1.3


Group 4 Classes 0% 100% 400% 685% 1025% 1370%

FM and SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.3 11.7 4.6 3.0 2.2 1.7


Group 5 Classes 0% 100% 400% 685% 1025% 1370%

FN and SN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.3 11.7 4.6 3.0 2.2 1.7


Group 6 Classes 0% 100% 400% 632% 950% 1265%

FC, SC and PT ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 22.9 12.5 4.6 3.1 2.2 1.7BAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 19.9 7.4 2.5 1.8 1.4 1.2BCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.1 17.7 5.9 3.9 2.7 2.2BDÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 29.1 24.9 10.7 6.8 4.4 3.2BEÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.5 9.7 3.2 2.3 1.7 1.4BGÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.1 21.3 8.3 5.3 3.6 2.7


Group 7 Classes 0% 100% 300% 460% 700% 920%

DAÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 18.0 6.9 3.1 2.2 1.6 1.3DBÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.6 18.5 8.2 5.6 3.7 2.9DCÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 29.3 25.4 14.6 9.9 6.4 4.7FD and SD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.1 11.2 5.4 3.7 2.6 2.0


Group 8 Classes 0% 100% 300% 460% 700% 920%

CA ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.8 6.9 3.2 2.3 1.8 1.5CB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.4 18.1 8.1 5.6 3.8 3.0CDÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 29.3 25.3 14.4 9.8 6.4 4.8FE and SEÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.1 11.4 5.6 3.9 2.8 2.2


Group 9 Classes 0% 100% 214% 350% 500%

CI and AC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.6 6.0 3.3 2.0 1.4VE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.9 5.9 5.6 4.3 3.3VG ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.8 13.8 9.5 6.5 4.7ZC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.3 20.0 15.3 10.9 7.9

S-8


Group 1/Group 9 Classes 0% 100% 214% 350% 500%

VA(1)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.9 5.9 5.6 4.3 3.3VB(2)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.8 13.8 9.5 6.5 4.7ZA(3) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.3 20.0 15.3 10.9 7.9AI(4) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.6 6.0 3.3 2.0 1.4AY(5)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.3 19.2 13.2 8.8 6.1


Group 4/Group 5 Class 0% 100% 400% 685% 1025% 1370%

FA(6)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.3 11.7 4.6 3.0 2.2 1.7


Group 7/Group 8 Classes 0% 100% 300% 460% 700% 920%

CE(7)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 17.9 6.9 3.1 2.3 1.7 1.4DE(8)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.5 18.3 8.2 5.6 3.8 2.9GE(9)ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 29.3 25.4 14.5 9.8 6.4 4.7CG(10) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 19.8 9.1 4.1 2.9 2.1 1.7DG(11) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 28.3 21.4 10.9 7.4 4.9 3.7DT(12) ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 21.1 11.3 5.5 3.8 2.7 2.1

* Determined as speciÑed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives andFinal Distribution Dates'' in the REMIC Prospectus.

(1) The VA Class is an RCR class formed from a combination of the VC Class in Group 1 and the VE Class inGroup 9.

(2) The VB Class is an RCR class formed from a combination of the VD Class in Group 1 and the VG Class inGroup 9.

(3) The ZA Class is an RCR class formed from a combination of the ZB Class in Group 1 and the ZC Class inGroup 9.

(4) The AI Class is an RCR class formed from a combination of the BI Class in Group 1 and the CI Class inGroup 9.

(5) The AY Class is an RCR class formed from a combination of the VC, VD and ZB Classes in Group 1 and theVE, VG and ZC Classes in Group 9.

(6) The FA Class is an RCR class formed from a combination of the FM Class in Group 4 and the FN Class inGroup 5.

(7) The CE Class is an RCR class formed from a combination of the DA Class in Group 7 and the CA Class inGroup 8.

(8) The DE Class is an RCR class formed from a combination of the DB Class in Group 7 and the CB Class inGroup 8

(9) The GE Class is an RCR class formed from a combination of the DC Class in Group 7 and the CD Class inGroup 8.

(10) The CG Class is an RCR class formed from a combination of the DA and DB Classes in Group 7 and the CAand CB Classes in Group 8.

(11) The DG Class is an RCR class formed from a combination of the DB and DC Classes in Group 7 and the CBand CD Classes in Group 8.

(12) The DT Class is an RCR class formed from a combination of the DA, DB and DC Classes in Group 7 and theCA, CB and CD Classes in Group 8.

S-9

DESCRIPTION OF THE CERTIFICATES

The material under this heading describes the principal features of the CertiÑcates. You will Ñndadditional information about the CertiÑcates in the other sections of this prospectus supplement, aswell as in the additional Disclosure Documents and the Trust Agreement. If we use a capitalized termin this prospectus supplement without deÑning it, you will Ñnd the deÑnition of that term in theapplicable Disclosure Document or in the Trust Agreement.

General

Structure. We will create the Fannie Mae REMIC Trust speciÑed on the cover of thisprospectus supplement (the ""Trust'') pursuant to a trust agreement dated as of August 1, 2007 and asupplement thereto dated as of June 1, 2008 (the ""Issue Date''). We will issue the GuaranteedREMIC Pass-Through CertiÑcates (the ""REMIC CertiÑcates'') pursuant to that trust agreement andsupplement. We will issue the Combinable and Recombinable REMIC CertiÑcates (the ""RCRCertiÑcates'' and, together with the REMIC CertiÑcates, the ""CertiÑcates'') pursuant to a separatetrust agreement dated as of August 1, 2007 and a supplement thereto dated as of the Issue Date(together with the trust agreement and supplement relating to the REMIC CertiÑcates, the""Trust Agreement''). We will execute the Trust Agreement in our corporate capacity and as trustee(the ""Trustee''). In general, the term ""Classes'' includes the Classes of REMIC CertiÑcates and RCRCertiÑcates.

The assets of the Trust will include nine groups of Fannie Mae Guaranteed Mortgage Pass-Through CertiÑcates (the ""Group 1 MBS,'' ""Group 2 MBS,'' ""Group 3 MBS,'' ""Group 4 MBS,''""Group 5 MBS,'' ""Group 6 MBS,'' ""Group 7 MBS,'' ""Group 8 MBS'' and ""Group 9 MBS,'' andtogether, the ""MBS'').

Each MBS represents a beneÑcial ownership interest in a pool of Ñrst lien, one- to four-family(""single-family''), Ñxed-rate residential mortgage loans (the ""Mortgage Loans'') having the charac-teristics described in this prospectus supplement.

The Trust will include the ""Lower Tier REMIC'' and ""Upper Tier REMIC as ""real estatemortgage investment conduits'' each, a (""REMIC'') under the Internal Revenue Code of 1986, asamended (the ""Code'').

The following chart contains information about the assets, the ""regular interests'' and the""residual interests'' of each REMIC. The REMIC CertiÑcates other than the R and RL Classes arecollectively referred to as the ""Regular Classes'' or ""Regular CertiÑcates,'' and the R and RL Classesare collectively referred to as the ""Residual Classes'' or ""Residual CertiÑcates.''

ResidualREMIC Designation Assets Regular Interests Interest

Lower Tier REMIC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ MBS Interests in the Lower RLTier REMIC other thanthe RL Class (the ""LowerTier Regular Interests'')

Upper Tier REMIC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Lower Tier Regular All Classes of REMIC RInterests CertiÑcates other than

the R and RL Classes

Fannie Mae Guaranty. For a description of our guaranties of the CertiÑcates and the MBS, see""Description of the CertiÑcatesÌFannie Mae Guaranty'' in the REMIC Prospectus and ""Descriptionof the CertiÑcatesÌFannie Mae Guaranty'' in the MBS Prospectus. Our guaranties are not backed bythe full faith and credit of the United States.

S-10

Characteristics of CertiÑcates. Except as speciÑed below, we will issue the CertiÑcates in book-entry form on the book-entry system of the U.S. Federal Reserve Banks. Entities whose names appearon the book-entry records of a Federal Reserve Bank as having had CertiÑcates deposited in theiraccounts are ""Holders'' or ""CertiÑcateholders.''

We will issue the Residual CertiÑcates in fully registered, certiÑcated form. The ""Holder'' or""CertiÑcateholder'' of a Residual CertiÑcate is its registered owner. A Residual CertiÑcate can betransferred at the corporate trust oÇce of the Transfer Agent, or at the oÇce of the Transfer Agent inNew York, New York. U.S. Bank National Association (""US Bank'') in Boston, Massachusetts will bethe initial Transfer Agent. We may impose a service charge for any registration of transfer of aResidual CertiÑcate and may require payment to cover any tax or other governmental charge. See also""ÌCharacteristics of the Residual Classes'' below.

Authorized Denominations. We will issue the CertiÑcates in the following denominations:

Classes Denominations

Inverse Floating Rate and Interest $100,000 minimum plus whole dollar incrementsOnly Classes

All other Classes (except the R and $1,000 minimum plus whole dollar incrementsRL Classes)

The MBS

The MBS provide that principal and interest on the related Mortgage Loans are passed throughmonthly. The Mortgage Loans underlying the MBS are conventional, Ñxed-rate, fully-amortizingmortgage loans secured by Ñrst mortgages or deeds of trust on single-family residential properties.These Mortgage Loans have original maturities of up to 30 years in the case of the Group 1, Group 3,Group 4, Group 5, Group 6, Group 7, Group 8 and Group 9 MBS, and up to 15 years in the case of theGroup 2 MBS.

The Mortgage Loans underlying the Group 6 MBS provide for interest only periods that mayrange from at least 7 to no more than 10 years following origination. See ""Risk FactorsÌPrepaymentFactorsÌReÑnance EnvironmentÌFixed-rate and adjustable-rate mortgage loans with long initialinterest-only payment periods may be more likely to be reÑnanced than other mortgage loans'' in theMBS Prospectus.

For additional information, see ""SummaryÌGroup 1, Group 2, Group 3, Group 4, Group 5,Group 6, Group 7, Group 8 and Group 9ÌCharacteristics of the MBS'' and ""ÌAssumed Characteris-tics of the Underlying Mortgage Loans'' in this prospectus supplement and ""The Mortgage Pools'' and""Yield, Maturity, and Prepayment Considerations'' in the MBS Prospectus.

Distributions of Interest

General. The certiÑcates will bear interest at the rates speciÑed in this prospectus supplementon a 30/360 basis. Interest to be paid on each CertiÑcate (or added to principal, in the case of theAccrual Classes) on a Distribution Date will consist of one month's interest on the outstandingbalance of that CertiÑcate immediately prior to that Distribution Date. For a description of theAccrual Classes, see ""ÌAccrual Classes'' below.

Delay Classes and No-Delay Classes. The ""delay'' Classes and ""no-delay'' Classes are set forth inthe following table:

Delay Classes No-Delay Classes

Fixed Rate Classes Floating Rate and Inverse Floating Rate Classes

See ""Description of the CertiÑcatesÌDistributions on CertiÑcatesÌInterest Distributions'' in theREMIC Prospectus.

S-11

Accrual Classes. The ZB, ZC and ZA Classes are Accrual Classes. Interest will accrue on eachAccrual Class at the applicable annual rate speciÑed on the cover of this prospectus supplement or onSchedule 1. However, we will not pay any interest on the Accrual Classes. Instead, interest accrued onan Accrual Class will be added as principal to its principal balance on each Distribution Date. We willpay principal on each Accrual Class as described under ""ÌDistributions of Principal'' below.

Distributions of Principal

On each Distribution Date in each month, we will make payments of principal on the certiÑcatesdescribed below.

‚ Group 1

AccretionEThe ZB Accrual Amount to VC and VD, in that order, until retired, and thereafter DirectedFClasses andto ZB. Accrual ClassH

E

SequentialThe Group 1 Cash Flow Distribution Amount to AB, VC, VD and ZB, in that order, FPay Classes

Huntil retired.

The ""ZB Accrual Amount'' is any interest then accrued and added to the principal balance of theZB Class.

The ""Group 1 Cash Flow Distribution Amount'' is the principal then paid on the Group 1 MBS.

‚ Group 2

EThe Group 2 Principal Distribution Amount to AD and DY, in that order, until SequentialFPay Classesretired.H

The ""Group 2 Principal Distribution Amount'' is the principal then paid on the Group 2 MBS.

‚ Group 3

EPass-ThroughFThe Group 3 Principal Distribution Amount to FB until retired. ClassH


‚ Group 4

E

Pass-ThroughThe Group 4 Principal Distribution Amount to FM until retired. FClass

H


‚ Group 5

E

Pass-ThroughFThe Group 5 Principal Distribution Amount to FN until retired. Class

H


S-12

‚ Group 6

The Group 6 Principal Distribution Amount as follows:

EPass-ThroughFÌ 66.6666666667% to FC until retired, and ClassH

E

SequentialFÌ 33.3333333333% to BA, BC and BD, in that order, until retired. Pay ClassesH


‚ Group 7


EPass-ThroughFÌ 66.6666666667% to FD until retired, and ClassH

E

SequentialFÌ 33.3333333333% to DA, DB and DC, in that order, until retired. Pay ClassesH


‚ Group 8


EPass-ThroughFÌ 66.6666666667% to FE until retired, and ClassH

E

SequentialFÌ 33.3333333333% to CA, CB and CD, in that order, until retired. Pay ClassesH


‚ Group 9

EAccretionThe ZC Accrual Amount to VE and VG, in that order, until retired, and thereafterDirected

FClasses andto ZC.Accrual Class

H

EThe Group 9 Cash Flow Distribution Amount to AC, VE, VG and ZC, in that order,Sequential

FPay Classesuntil retired.H

The ""ZC Accrual Amount'' is any interest then accrued and added to the principal balance of theZC Class.

The ""Group 9 Cash Flow Distribution Amount'' is the principal then paid on the Group 9 MBS.

Structuring Assumptions

Pricing Assumptions. Except where otherwise noted, the information in the tables in thisprospectus supplement has been prepared based on the following assumptions (the ""PricingAssumptions''):

‚ the Mortgage Loans underlying the MBS have the original terms to maturity, remaining termsto maturity, loan ages and interest rates speciÑed under ""SummaryÌGroup 1, Group 2,Group 3, Group 4, Group 5, Group 6, Group 7, Group 8 and Group 9ÌAssumed Characteristicsof the Underlying Mortgage Loans'' in this prospectus supplement;

S-13

‚ all of the Mortgage Loans underlying the Group 6 MBS have the remaining term to expirationof their interest only periods speciÑed under ""SummaryÌGroup 1, Group 2, Group 3, Group 4,Group 5, Group 6, Group 7, Group 8 and Group 9ÌAssumed Characteristics of the UnderlyingMortgage Loans'' in this prospectus supplement;

‚ the Mortgage Loans prepay at the constant percentages of PSA speciÑed in the related tables;

‚ the settlement date for the CertiÑcates is June 30, 2008; and

‚ each Distribution Date occurs on the 25th day of a month.

Prepayment Assumptions. The prepayment model used in this prospectus supplement is PSA.For a description of PSA, see ""Yield, Maturity and Prepayment ConsiderationsÌPrepaymentModels'' in the REMIC Prospectus.

It is highly unlikely that prepayments will occur at any constant PSA rate or at any other constantrate.

Yield Tables

General. The tables below illustrate the sensitivity of the pre-tax corporate bond equivalentyields to maturity of the applicable Classes to various constant percentages of PSA and wherespeciÑed, to changes in the Index. We calculated the yields set forth in the tables by

‚ determining the monthly discount rates that, when applied to the assumed streams of cashÖows to be paid on the applicable Classes, would cause the discounted present values of theassumed streams of cash Öows to equal the assumed aggregate purchase prices of thoseClasses, 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 reinvestdistributions on the CertiÑcates. Accordingly, these calculations do not illustrate the return on anyinvestment in the CertiÑcates when reinvestment rates are taken into account.

We cannot assure you that

‚ the pre-tax yields on the applicable CertiÑcates will correspond to any of the pre-tax yieldsshown here, or

‚ the aggregate purchase prices of the applicable CertiÑcates will be as assumed.

In addition, it is unlikely that the Index will correspond to the levels shown here. Furthermore,because some of the Mortgage Loans are likely to have remaining terms to maturity shorter or longerthan those assumed and interest rates higher or lower than those assumed, the principal payments onthe CertiÑcates are likely to diÅer from those assumed. This would be the case even if all MortgageLoans prepay at the indicated constant percentages of PSA. Moreover, it is unlikely that

‚ the Mortgage Loans will prepay at a constant PSA rate until maturity,

‚ all of the Mortgage Loans will prepay at the same rate, or

‚ the level of the Index will remain constant.

The Fixed Rate Interest Only Classes. The yields to investors in the Fixed Rate InterestOnly Classes will be very sensitive to the rate of principal payments (including prepay-ments) of the related Mortgage Loans. The Mortgage Loans generally can be prepaid atany time without penalty. On the basis of the assumptions described below, the yield to

S-14

maturity on each Fixed Rate Interest Only Class would be 0% if prepayments of the relatedMortgage Loans were to occur at the following constant rates:

Class % PSA

BI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 262%CI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 262%AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 262%

For any Fixed Rate Interest Only Class, if the actual prepayment rate of the relatedMortgage Loans were to exceed the level speciÑed for as little as one month while equalingthat level for the remaining months, the investors in the applicable Class would lose moneyon their initial investments.

The information shown in the following yield tables has been prepared on the basis of the PricingAssumptions and the assumption that the aggregate purchase prices of the Fixed Rate Interest OnlyClasses (expressed in each case as a percentage of the original principal balance) are as follows:

Class Price*

BI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.625%CI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.625%AI ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 14.625%

* The prices do not include accrued interest. Accrued interest has been added to the prices in calculatingthe yields set forth in the tables below.

Sensitivity of the BI Class to Prepayments


50% 100% 214% 350% 500%

Pre-Tax Yields to MaturityÏÏÏÏÏÏ 30.9% 24.9% 8.2% (16.5)% (47.0)%

Sensitivity of the CI Class to Prepayments


50% 100% 214% 350% 500%


Sensitivity of the AI Class to Prepayments


50% 100% 214% 350% 500%


The Inverse Floating Rate Classes. The yields on the Inverse Floating Rate Classes will besensitive in varying degrees to the rate of principal payments, including prepayments, ofthe related Mortgage Loans and to the level of the Index. The Mortgage Loans generallycan 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 considera-bly, from pool to pool. As illustrated in the applicable tables below, it is possible thatinvestors in the Inverse Floating Rate Classes would lose money on their initial invest-ments under certain Index and prepayment scenarios.

S-15

Changes in the Index may not correspond to changes in prevailing mortgage interest rates. It ispossible that lower prevailing mortgage interest rates, which might be expected to result in fasterprepayments, 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 PricingAssumptions and the assumptions that

‚ the interest rates for the Inverse Floating Rate Classes for the initial Interest Accrual Periodare the rates listed in the table under ""SummaryÌInterest Rates'' in this prospectussupplement and for each following Interest Accrual Period will be based on the speciÑed levelof the Index, and

‚ the aggregate purchase prices of those Classes (expressed in each case as a percentage oforiginal principal balance) are as follows:

Class Price*

SB ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.06250%SM ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.75000%SN ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.59375%SC ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.50000%SD ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 5.50000%SE ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 6.25000%

* The prices do not include accrued interest. Accrued inter-est has been added to the prices in calculating the yieldsset 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% 400% 685% 1025% 1370%

0.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 105.1% 102.4% 85.5% 68.5% 46.8% 22.7%2.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 63.1% 60.4% 43.3% 26.1% 3.8% (21.1)%4.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 24.2% 21.4% 3.6% (14.8)% (39.1)% (67.0)%6.05% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

Sensitivity of the SM Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)


LIBOR 50% 100% 400% 685% 1025% 1370%

0.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 96.1% 94.1% 81.9% 70.0% 55.5% 40.3%2.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 58.9% 56.6% 43.1% 30.0% 13.8% (3.0)%4.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 24.0% 21.4% 5.7% (9.9)% (29.4)% (49.9)%6.20% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

S-16

Sensitivity of the SN Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)


LIBOR 50% 100% 400% 685% 1025% 1370%

0.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 120.6% 118.7% 107.0% 95.6% 81.7% 67.1%2.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 73.7% 71.6% 58.7% 46.1% 30.8% 14.7%4.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 30.5% 28.0% 12.8% (2.2)% (20.9)% (40.3)%6.20% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

Sensitivity of the SC Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)


LIBOR 50% 100% 400% 632% 950% 1265%

0.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 119.0% 116.7% 103.2% 92.3% 77.0% 61.1%2.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 71.5% 69.1% 54.7% 43.1% 26.6% 9.5%4.45% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 27.9% 25.2% 8.9% (4.5)% (23.9)% (44.2)%6.00% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

Sensitivity of the SD Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)


LIBOR 50% 100% 300% 460% 700% 920%

0.475% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 117.6% 115.0% 104.4% 95.6% 82.0% 69.0%2.475% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 70.3% 67.7% 56.9% 47.9% 34.0% 20.6%4.475% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 26.9% 24.1% 12.6% 3.1% (12.1)% (26.9)%6.050% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

Sensitivity of the SE Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)


LIBOR 50% 100% 300% 460% 700% 920%

0.48% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 102.3% 100.1% 91.0% 83.6% 72.2% 61.4%2.48% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 61.7% 59.3% 49.6% 41.7% 29.4% 17.8%4.48% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 23.9% 21.3% 10.5% 1.5% (12.6)% (26.2)%6.11% ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ * * * * * *

Weighted Average Lives of the CertiÑcates

For a description of how the weighted average life of a CertiÑcate is determined, see ""Yield,Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution Dates'' inthe REMIC Prospectus.

In general, the weighted average lives of the CertiÑcates will be shortened if the level ofprepayments of principal of the related Mortgage Loans increases. However, the weighted averagelives will depend upon a variety of other factors, including

‚ the timing of changes in the rate of principal distributions,

S-17

‚ the priority sequences of distributions of principal of the Group 1, Group 2, Group 6,Group 7, Group 8 and Group 9 Classes.

See ""ÌDistributions of Principal'' above.

The eÅect of these factors may diÅer as to various Classes and the eÅects on any Class may varyat diÅerent times during the life of that Class. Accordingly, we can give no assurance as to theweighted average life of any Class. Further, to the extent the prices of the CertiÑcates representdiscounts or premiums to their original principal balances, variability in the weighted average lives ofthose Classes of CertiÑcates could result in variability in the related yields to maturity. For an exampleof how the weighted average lives of the Classes may be aÅected at various constant prepayment rates,see the Decrement Tables below.

Decrement Tables

The following tables indicate the percentages of original principal balances of the speciÑed Classesthat would be outstanding after each date shown at various constant PSA rates and the correspondingweighted average lives of those Classes. The tables have been prepared on the basis of the PricingAssumptions.

In the case of the information set forth for each Class under 0% PSA, however, we assumed thatthe Mortgage Loans have the original and remaining terms to maturity and bear interest at the annualrates speciÑed in the table below.

Mortgage Loans Relating to Original and Remaining InterestTrust Assets SpeciÑed Below Terms to Maturity Rates

Group 1 MBS 360 months 8.00%Group 2 MBS 180 months 6.50%Group 3 MBS 360 months 9.50%Group 4 MBS 360 months 9.50%Group 5 MBS 360 months 9.50%Group 6 MBS 360 months* 9.00%Group 7 MBS 360 months 9.00%Group 8 MBS 360 months 9.00%Group 9 MBS 360 months 8.00%

* In addition, we have assumed that the Mortgage Loans underlying the Group 6 MBS have remaining interest onlyperiods of 120 months.

It is unlikely that all of the Mortgage Loans will have the interest rates, loan ages, remainingterms to maturity or, if applicable, remaining interest only periods assumed or that the MortgageLoans will prepay at any constant PSA level.

In addition, the diverse remaining terms to maturity of the Mortgage Loans could produce sloweror faster principal distributions than indicated in the tables at the speciÑed constant PSA rates, evenif the weighted average remaining term to maturity and the weighted average loan age of the MortgageLoans are identical to the weighted averages speciÑed in the Pricing Assumptions. This is the casebecause pools of loans with identical weighted averages are nonetheless likely to reÖect diÅeringdispersions of the related characteristics.

S-18

Percent of Original Principal Balances Outstanding

BI‰ and AB Classes VC Class VD Class ZB Class

PSA Prepayment PSA Prepayment PSA Prepayment PSA PrepaymentAssumption Assumption Assumption Assumption

Date 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 90 80 69 57 93 93 93 93 93 100 100 100 100 100 106 106 106 106 106June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 98 80 63 45 28 86 86 86 86 86 100 100 100 100 100 112 112 112 112 112June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 96 71 49 27 7 78 78 78 78 78 100 100 100 100 100 118 118 118 118 118June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 95 62 36 12 0 70 70 70 70 7 100 100 100 100 100 125 125 125 125 125June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 93 54 25 1 0 61 61 61 61 0 100 100 100 100 22 132 132 132 132 132June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 92 46 16 0 0 52 52 52 0 0 100 100 100 82 0 139 139 139 139 104June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 90 39 8 0 0 42 42 42 0 0 100 100 100 20 0 147 147 147 147 71June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 88 32 1 0 0 32 32 32 0 0 100 100 100 0 0 155 155 155 126 48June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 85 26 0 0 0 21 21 0 0 0 100 100 76 0 0 164 164 164 97 33June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 83 20 0 0 0 9 9 0 0 0 100 100 25 0 0 173 173 173 74 22June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 81 14 0 0 0 0 0 0 0 0 98 98 0 0 0 183 183 165 56 15June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 9 0 0 0 0 0 0 0 0 87 87 0 0 0 193 193 137 42 10June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 75 4 0 0 0 0 0 0 0 0 75 75 0 0 0 204 204 114 32 7June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 72 0 0 0 0 0 0 0 0 0 62 60 0 0 0 216 216 94 24 4June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 68 0 0 0 0 0 0 0 0 0 49 12 0 0 0 228 228 77 18 3June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 64 0 0 0 0 0 0 0 0 0 35 0 0 0 0 241 210 63 13 2June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 60 0 0 0 0 0 0 0 0 0 21 0 0 0 0 254 182 50 9 1June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56 0 0 0 0 0 0 0 0 0 5 0 0 0 0 269 156 40 7 1June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 51 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 131 31 5 *June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 108 24 3 *June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 40 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 87 18 2 *June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 34 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 67 13 1 *June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 27 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 48 8 1 *June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 20 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 30 5 * *June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 12 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 13 2 * *June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 234 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 162 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 84 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 17.6 6.0 3.3 2.0 1.4 5.9 5.9 5.6 4.3 3.3 14.8 13.8 9.5 6.5 4.7 28.3 20.0 15.3 10.9 7.9

AD Class DY Class

PSA Prepayment PSA PrepaymentAssumption Assumption

Date 0% 100% 142% 300% 500% 0% 100% 142% 300% 500%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 95 83 80 68 53 100 100 100 100 100June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 89 67 61 43 22 100 100 100 100 100June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 83 51 45 23 2 100 100 100 100 100June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 76 38 30 8 0 100 100 100 100 65June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 69 25 17 0 0 100 100 100 88 40June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 61 12 6 0 0 100 100 100 61 23June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 53 1 0 0 0 100 100 86 40 13June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 45 0 0 0 0 100 72 58 24 7June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 36 0 0 0 0 100 44 34 13 3June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 26 0 0 0 0 100 17 13 4 1June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 16 0 0 0 0 100 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 5 0 0 0 0 100 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 78 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 40 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 7.0 3.3 2.9 1.9 1.3 13.8 8.8 8.4 6.8 5.0

* Indicates an outstanding balance greater than 0% and less than 0.5% of the original principal balance.** Determined as speciÑed under ""Yield, Maturity and Prepayment ConsiderationsÌWeighted Average Lives and Final Distribution

Dates'' in the REMIC Prospectus.‰ In the case of a Notional Class, the Decrement Table indicates the percentage of the original notional principal balance

outstanding.

S-19

FB and SB‰ Classes FM and SM‰ Classes


Date 0% 100% 400% 685% 1025% 1370% 0% 100% 400% 685% 1025% 1370%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 96 88 81 71 62 99 98 93 89 84 78June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 91 70 52 33 18 99 93 78 64 49 35June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 98 84 52 30 13 3 98 86 59 38 20 7June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 97 78 39 18 5 1 97 80 44 22 7 1June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 96 73 29 10 2 * 96 75 33 13 3 *June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 95 67 22 6 1 * 95 69 25 7 1 *June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 94 62 17 3 * * 94 64 19 4 * *June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 93 57 12 2 * * 93 59 14 3 * *June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 92 53 9 1 * * 92 54 10 1 * *June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 90 49 7 1 * * 90 50 8 1 * *June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 89 45 5 * * * 89 46 6 * * *June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 87 41 4 * * 0 87 42 4 * * *June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 85 37 3 * * 0 85 39 3 * * 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 83 34 2 * * 0 83 35 2 * * 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 81 31 1 * * 0 81 32 2 * * 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 28 1 * * 0 78 29 1 * * 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 75 25 1 * * 0 75 26 1 * * 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 72 22 1 * * 0 72 23 1 * * 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 69 20 * * * 0 69 21 * * * 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 65 17 * * 0 0 65 18 * * * 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 61 15 * * 0 0 61 16 * * 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56 13 * * 0 0 56 14 * * 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 51 11 * * 0 0 51 12 * * 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46 9 * * 0 0 46 10 * * 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 40 7 * * 0 0 40 8 * * 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 33 5 * * 0 0 33 6 * * 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 26 4 * * 0 0 26 4 * * 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 18 2 * * 0 0 18 3 * * 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 10 * * 0 0 0 10 1 * * 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 21.3 11.3 4.2 2.6 1.8 1.3 21.3 11.7 4.6 3.0 2.2 1.7

FN and SN‰ Classes FC, SC‰ and PT Classes BA Class

PSA Prepayment PSA Prepayment PSA PrepaymentAssumption Assumption Assumption

Date 0% 100% 400% 685% 1025%1370% 0% 100% 400% 632% 950% 1265% 0% 100% 400% 632% 950% 1265%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 98 93 89 84 78 100 98 92 88 82 75 100 97 88 81 71 61June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 93 78 64 49 35 100 94 76 64 48 34 100 90 63 43 18 0June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 98 87 59 38 20 7 100 88 58 40 21 8 100 82 34 5 0 0June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 97 80 44 22 7 1 100 83 44 25 9 2 100 73 12 0 0 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 96 75 33 13 3 * 100 78 34 15 4 * 100 65 0 0 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 95 69 25 8 1 * 100 73 26 10 2 * 100 58 0 0 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 94 64 19 4 * * 100 69 19 6 1 * 100 51 0 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 93 59 14 3 * * 100 65 15 4 * * 100 45 0 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 92 55 10 1 * * 100 61 11 2 * * 100 39 0 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 90 50 8 1 * * 100 57 8 1 * * 100 32 0 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 89 46 6 * * * 98 52 6 1 * * 97 25 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 87 42 4 * * * 96 48 5 1 * * 94 18 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 85 39 3 * * 0 94 44 3 * * * 90 11 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 83 35 2 * * 0 91 40 3 * * * 86 5 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 81 32 2 * * 0 89 36 2 * * 0 82 0 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 29 1 * * 0 86 32 1 * * 0 78 0 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 75 26 1 * * 0 83 29 1 * * 0 73 0 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 72 23 1 * * 0 79 26 1 * * 0 67 0 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 69 21 * * * 0 75 23 1 * * 0 61 0 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 65 18 * * * 0 71 20 * * * 0 54 0 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 61 16 * * 0 0 66 18 * * * 0 47 0 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56 14 * * 0 0 61 15 * * * 0 39 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 51 12 * * 0 0 56 13 * * 0 0 31 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46 10 * * 0 0 50 11 * * 0 0 21 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 40 8 * * 0 0 43 9 * * 0 0 11 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 33 6 * * 0 0 36 7 * * 0 0 0 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 26 4 * * 0 0 28 5 * * 0 0 0 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 18 3 * * 0 0 20 3 * * 0 0 0 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 10 1 * * 0 0 10 1 * * 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 21.3 11.7 4.6 3.0 2.2 1.7 22.9 12.5 4.6 3.1 2.2 1.7 19.9 7.4 2.5 1.8 1.4 1.2



outstanding.

S-20

BC Class BD Class BE Class


Date 0% 100% 400% 632% 950% 1265% 0% 100% 400% 632% 950% 1265% 0% 100% 400% 632% 950% 1265%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 98 91 85 78 70June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 86 100 100 100 100 100 100 100 93 71 56 36 19June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 15 0 100 100 100 100 100 46 100 86 49 27 3 0June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 36 0 0 100 100 100 100 49 11 100 79 32 8 0 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 85 0 0 0 100 100 100 85 21 3 100 73 19 0 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 41 0 0 0 100 100 100 53 9 1 100 67 9 0 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 7 0 0 0 100 100 100 33 4 * 100 62 2 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 81 20 2 * 100 57 0 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 62 13 1 * 100 52 0 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 47 8 * * 100 47 0 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 35 5 * * 98 42 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 26 3 * * 95 36 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 19 2 * * 92 31 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 14 1 * * 89 26 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 98 0 0 0 0 100 100 10 1 * * 86 22 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 78 0 0 0 0 100 100 7 * * 0 83 17 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 60 0 0 0 0 100 100 5 * * 0 79 13 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 43 0 0 0 0 100 100 4 * * 0 74 10 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 27 0 0 0 0 100 100 3 * * 0 70 6 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 12 0 0 0 0 100 100 2 * * 0 65 3 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 97 1 * * 0 59 0 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 84 1 * * 0 53 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 71 1 * * 0 46 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 59 * * * 0 39 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 47 * * 0 0 31 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 0 0 0 0 0 100 36 * * 0 0 22 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56 0 0 0 0 0 100 26 * * 0 0 12 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 8 0 0 0 0 0 100 16 * * 0 0 2 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 57 7 * * 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average


BG Class DA Class DB Class


Date 0% 100% 400% 632% 950% 1265% 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 99 95 88 82 74 66 100 100 100 100 100 100June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 93 98 87 68 53 33 16 100 100 100 100 100 100June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 57 23 97 78 47 26 1 0 100 100 100 100 100 33June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 68 25 6 96 69 30 7 0 0 100 100 100 100 28 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 92 42 11 1 94 61 16 0 0 0 100 100 100 71 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 70 26 5 * 93 53 5 0 0 0 100 100 100 29 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 53 16 2 * 91 46 0 0 0 0 100 100 84 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 41 10 1 * 89 39 0 0 0 0 100 100 53 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 31 6 * * 87 33 0 0 0 0 100 100 28 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 23 4 * * 85 27 0 0 0 0 100 100 7 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 17 2 * * 83 21 0 0 0 0 100 100 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 13 1 * * 80 16 0 0 0 0 100 100 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 9 1 * * 77 11 0 0 0 0 100 100 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 7 1 * * 74 6 0 0 0 0 100 100 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 99 5 * * 0 71 1 0 0 0 0 100 100 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 89 4 * * 0 67 0 0 0 0 0 100 88 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 80 3 * * 0 63 0 0 0 0 0 100 71 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 72 2 * * 0 59 0 0 0 0 0 100 55 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 63 1 * * 0 54 0 0 0 0 0 100 40 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 56 1 * * 0 48 0 0 0 0 0 100 26 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 49 1 * * 0 43 0 0 0 0 0 100 12 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 42 * * * 0 36 0 0 0 0 0 100 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 35 * * * 0 29 0 0 0 0 0 100 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 29 * * 0 0 22 0 0 0 0 0 100 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 23 * * 0 0 13 0 0 0 0 0 100 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 18 * * 0 0 4 0 0 0 0 0 100 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 13 * * 0 0 0 0 0 0 0 0 76 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 54 8 * * 0 0 0 0 0 0 0 0 30 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 28 3 * * 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average



Dates'' in the REMIC Prospectus.

S-21

DC Class FD and SD‰ Classes CA Class


Date 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 99 96 92 88 81 76 99 96 90 86 79 73June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 99 91 77 67 53 41 98 88 71 59 41 25June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 98 84 62 48 30 18 97 79 50 29 4 0June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 64 97 78 51 34 17 8 95 70 31 8 0 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 79 28 96 72 41 24 10 4 94 61 17 0 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 45 12 95 67 33 17 6 2 92 53 5 0 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 99 26 5 94 62 27 12 3 1 91 46 0 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 70 15 2 92 57 21 9 2 * 89 39 0 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 50 8 1 91 52 17 6 1 * 87 32 0 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 35 5 * 89 48 14 4 1 * 85 26 0 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 88 25 3 * 88 44 11 3 * * 82 20 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 70 17 2 * 86 40 9 2 * * 80 15 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 56 12 1 * 84 37 7 2 * * 77 9 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 44 9 * * 82 33 6 1 * * 74 4 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 35 6 * * 79 30 4 1 * * 70 0 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 27 4 * * 77 27 3 1 * * 66 0 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 21 3 * * 74 24 3 * * * 62 0 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 17 2 * * 71 22 2 * * * 58 0 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 13 1 * * 67 19 2 * * * 53 0 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 10 1 * * 64 17 1 * * * 47 0 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 7 1 * * 59 15 1 * * * 41 0 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 6 * * * 55 12 1 * * * 35 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 83 4 * * * 50 10 1 * * 0 28 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 68 3 * * * 45 9 * * * 0 20 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 54 2 * * 0 39 7 * * * 0 11 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 40 1 * * 0 32 5 * * * 0 2 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 27 1 * * 0 25 3 * * * 0 0 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 15 * * * 0 18 2 * * * 0 0 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 73 4 * * * 0 9 * * * 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average


CB Class CD Class FE and SE‰ Classes


Date 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 99 97 93 90 86 81June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 99 92 80 72 59 48June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 45 100 100 100 100 100 100 98 85 65 51 34 22June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 33 0 100 100 100 100 100 69 97 79 53 37 19 10June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 72 0 0 100 100 100 100 80 30 96 73 43 26 11 4June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 28 0 0 100 100 100 100 46 13 95 68 34 19 6 2June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 81 0 0 0 100 100 100 96 26 6 94 63 28 13 4 1June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 49 0 0 0 100 100 100 68 15 3 92 58 22 9 2 *June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 24 0 0 0 100 100 100 48 8 1 91 53 18 7 1 *June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 3 0 0 0 100 100 100 34 5 * 89 49 14 5 1 *June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 83 24 3 * 88 45 11 3 * *June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 66 17 2 * 86 41 9 2 * *June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 53 12 1 * 84 37 7 2 * *June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 42 8 * * 82 34 6 1 * *June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 99 0 0 0 0 100 100 33 6 * * 79 31 5 1 * *June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 81 0 0 0 0 100 100 26 4 * * 77 28 4 1 * *June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 65 0 0 0 0 100 100 20 3 * * 74 25 3 * * *June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 49 0 0 0 0 100 100 16 2 * * 71 22 2 * * *June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 34 0 0 0 0 100 100 12 1 * * 67 20 2 * * *June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 20 0 0 0 0 100 100 9 1 * * 64 17 1 * * *June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 7 0 0 0 0 100 100 7 1 * * 59 15 1 * * *June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 93 5 * * * 55 13 1 * * *June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 79 4 * * * 50 11 1 * * *June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 65 3 * * * 45 9 * * * 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 52 2 * * * 39 7 * * * 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 40 1 * * 0 32 6 * * * 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 67 0 0 0 0 0 100 28 1 * * 0 25 4 * * * 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 22 0 0 0 0 0 100 17 * * * 0 18 2 * * * 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 66 7 * * * 0 9 1 * * * 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average




outstanding.

S-22

CI‰ and AC Classes VE Class VG Class ZC Class


Date 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 99 90 80 69 57 93 93 93 93 93 100 100 100 100 100 106 106 106 106 106June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 98 80 63 45 28 86 86 86 86 86 100 100 100 100 100 112 112 112 112 112June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 96 71 49 27 7 78 78 78 78 78 100 100 100 100 100 118 118 118 118 118June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 95 62 36 12 0 70 70 70 70 7 100 100 100 100 100 125 125 125 125 125June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 93 54 25 1 0 61 61 61 61 0 100 100 100 100 22 132 132 132 132 132June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 92 46 16 0 0 52 52 52 0 0 100 100 100 82 0 139 139 139 139 104June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 90 39 8 0 0 42 42 42 0 0 100 100 100 20 0 147 147 147 147 71June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 88 32 1 0 0 32 32 32 0 0 100 100 100 0 0 155 155 155 126 48June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 85 26 0 0 0 21 21 0 0 0 100 100 76 0 0 164 164 164 97 33June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 83 20 0 0 0 9 9 0 0 0 100 100 25 0 0 173 173 173 74 22June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 81 14 0 0 0 0 0 0 0 0 98 98 0 0 0 183 183 165 56 15June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 9 0 0 0 0 0 0 0 0 87 87 0 0 0 193 193 137 42 10June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 75 4 0 0 0 0 0 0 0 0 75 75 0 0 0 204 204 114 32 7June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 72 0 0 0 0 0 0 0 0 0 62 60 0 0 0 216 216 94 24 4June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 68 0 0 0 0 0 0 0 0 0 49 12 0 0 0 228 228 77 18 3June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 64 0 0 0 0 0 0 0 0 0 35 0 0 0 0 241 210 63 13 2June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 60 0 0 0 0 0 0 0 0 0 21 0 0 0 0 254 182 50 9 1June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 56 0 0 0 0 0 0 0 0 0 5 0 0 0 0 269 156 40 7 1June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 51 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 131 31 5 *June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 46 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 108 24 3 *June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 40 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 87 18 2 *June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 34 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 67 13 1 *June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 27 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 48 8 1 *June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 20 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 30 5 * *June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 12 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 13 2 * *June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 273 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 234 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 162 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 84 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average


VA Class VB Class ZA Class AI‰ Class


Date 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500% 0% 100% 214% 350% 500%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 93 93 93 93 93 100 100 100 100 100 106 106 106 106 106 99 90 80 69 57June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 86 86 86 86 86 100 100 100 100 100 112 112 112 112 112 98 80 63 45 28June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 78 78 78 78 78 100 100 100 100 100 118 118 118 118 118 96 71 49 27 7June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 70 70 70 70 7 100 100 100 100 100 125 125 125 125 125 95 62 36 12 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 61 61 61 61 0 100 100 100 100 22 132 132 132 132 132 93 54 25 1 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 52 52 52 0 0 100 100 100 82 0 139 139 139 139 104 92 46 16 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 42 42 42 0 0 100 100 100 20 0 147 147 147 147 71 90 39 8 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 32 32 32 0 0 100 100 100 0 0 155 155 155 126 48 88 32 1 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 21 21 0 0 0 100 100 76 0 0 164 164 164 97 33 85 26 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 9 9 0 0 0 100 100 25 0 0 173 173 173 74 22 83 20 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 98 98 0 0 0 183 183 165 56 15 81 14 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 87 87 0 0 0 193 193 137 42 10 78 9 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 75 75 0 0 0 204 204 114 32 7 75 4 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 62 60 0 0 0 216 216 94 24 4 72 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 49 12 0 0 0 228 228 77 18 3 68 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 35 0 0 0 0 241 210 63 13 2 64 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 21 0 0 0 0 254 182 50 9 1 60 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 5 0 0 0 0 269 156 40 7 1 56 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 131 31 5 * 51 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 108 24 3 * 46 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 87 18 2 * 40 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 67 13 1 * 34 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 48 8 1 * 27 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 30 5 * * 20 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 13 2 * * 12 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 273 0 0 0 0 4 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 234 0 0 0 0 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 162 0 0 0 0 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 84 0 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average




outstanding.

S-23

AY Class FA Class CE Class


Date 0% 100% 214% 350% 500% 0% 100% 400% 685% 1025%1370% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 99 98 93 89 84 78 99 95 89 84 76 69June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 99 93 78 64 49 35 98 87 69 56 37 20June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 98 86 59 38 20 7 97 78 48 28 3 0June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 81 97 80 44 22 7 1 96 69 31 7 0 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 56 96 75 33 13 3 * 94 61 17 0 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 79 38 95 69 25 8 1 * 93 53 5 0 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 60 26 94 64 19 4 * * 91 46 0 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 46 18 93 59 14 3 * * 89 39 0 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 86 35 12 92 55 10 1 * * 87 33 0 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 72 27 8 90 50 8 1 * * 85 26 0 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 60 20 5 89 46 6 * * * 82 21 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 50 15 4 87 42 4 * * * 80 15 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 42 12 2 85 39 3 * * 0 77 10 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 99 34 9 2 83 35 2 * * 0 74 5 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 88 28 6 1 81 32 2 * * 0 70 1 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 77 23 5 1 78 29 1 * * 0 67 0 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 67 18 3 * 75 26 1 * * 0 63 0 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 57 15 2 * 72 23 1 * * 0 58 0 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 48 11 2 * 69 21 * * * 0 53 0 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 40 9 1 * 65 18 * * * 0 48 0 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 32 6 1 * 61 16 * * 0 0 42 0 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 24 5 1 * 56 14 * * 0 0 36 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 17 3 * * 51 12 * * 0 0 28 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 11 2 * * 46 10 * * 0 0 21 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 5 1 * * 40 8 * * 0 0 12 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 33 6 * * 0 0 3 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 86 0 0 0 0 26 4 * * 0 0 0 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 59 0 0 0 0 18 3 * * 0 0 0 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 31 0 0 0 0 10 1 * * 0 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 28.3 19.2 13.2 8.8 6.1 21.3 11.7 4.6 3.0 2.2 1.7 17.9 6.9 3.1 2.3 1.7 1.4

DE Class GE Class CG Class


Date 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 99 96 91 87 81 75June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100 98 90 75 64 49 36June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 39 100 100 100 100 100 100 97 82 58 42 22 8June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 30 0 100 100 100 100 100 66 96 75 44 26 6 0June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 71 0 0 100 100 100 100 80 29 95 69 33 14 0 0June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 28 0 0 100 100 100 100 45 13 94 62 24 6 0 0June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 82 0 0 0 100 100 100 97 26 6 93 56 16 0 0 0June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 51 0 0 0 100 100 100 69 15 3 91 51 10 0 0 0June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 26 0 0 0 100 100 100 49 8 1 90 46 5 0 0 0June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 5 0 0 0 100 100 100 35 5 * 88 41 1 0 0 0June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 85 24 3 * 86 36 0 0 0 0June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 68 17 2 * 84 32 0 0 0 0June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 54 12 1 * 81 28 0 0 0 0June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 0 0 0 0 100 100 43 8 * * 79 24 0 0 0 0June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 99 0 0 0 0 100 100 34 6 * * 76 20 0 0 0 0June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 85 0 0 0 0 100 100 27 4 * * 73 17 0 0 0 0June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 68 0 0 0 0 100 100 21 3 * * 70 13 0 0 0 0June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 52 0 0 0 0 100 100 16 2 * * 66 10 0 0 0 0June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 37 0 0 0 0 100 100 13 1 * * 62 7 0 0 0 0June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 23 0 0 0 0 100 100 10 1 * * 58 5 0 0 0 0June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 10 0 0 0 0 100 100 7 1 * * 53 2 0 0 0 0June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 97 5 * * * 48 0 0 0 0 0June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 81 4 * * * 42 0 0 0 0 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 67 3 * * * 36 0 0 0 0 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 53 2 * * * 30 0 0 0 0 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 0 0 0 0 0 100 40 1 * * 0 22 0 0 0 0 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 72 0 0 0 0 0 100 28 1 * * 0 14 0 0 0 0 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 26 0 0 0 0 0 100 16 * * * 0 5 0 0 0 0 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 70 5 * * * 0 0 0 0 0 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average




S-24

DG Class DT Class


Date 0% 100% 300% 460% 700% 920% 0% 100% 300% 460% 700% 920%

Initial PercentÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 100 100 100 100 100 100June 2009ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 99 97 92 89 83 78June 2010ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 100 99 91 79 69 56 44June 2011ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 100 66 98 85 64 49 32 20June 2012ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 100 61 29 97 79 52 35 18 9June 2013ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 84 35 13 96 73 42 25 10 4June 2014ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 100 60 20 6 95 67 34 18 6 2June 2015ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 90 42 11 2 94 62 27 13 3 1June 2016ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 72 30 6 1 92 57 22 9 2 *June 2017ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 58 21 4 * 91 53 18 6 1 *June 2018ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 47 15 2 * 89 49 14 5 1 *June 2019ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 37 11 1 * 88 44 11 3 * *June 2020ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 30 8 1 * 86 41 9 2 * *June 2021ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 24 5 * * 84 37 7 2 * *June 2022ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 19 4 * * 82 34 6 1 * *June 2023ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 100 15 3 * * 79 31 4 1 * *June 2024ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 91 12 2 * * 77 28 4 1 * *June 2025ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 82 9 1 * * 74 25 3 * * *June 2026ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 73 7 1 * * 71 22 2 * * *June 2027ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 65 5 1 * * 67 19 2 * * *June 2028ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 57 4 * * * 64 17 1 * * *June 2029ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 49 3 * * * 59 15 1 * * *June 2030ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 42 2 * * * 55 13 1 * * *June 2031ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 35 2 * * * 50 11 1 * * 0June 2032ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 29 1 * * * 45 9 * * * 0June 2033ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 23 1 * * 0 39 7 * * * 0June 2034ÏÏÏÏÏÏÏÏÏÏÏÏÏ 100 17 1 * * 0 32 5 * * * 0June 2035ÏÏÏÏÏÏÏÏÏÏÏÏÏ 84 12 * * * 0 25 4 * * * 0June 2036ÏÏÏÏÏÏÏÏÏÏÏÏÏ 59 7 * * * 0 18 2 * * * 0June 2037ÏÏÏÏÏÏÏÏÏÏÏÏÏ 31 2 * * * 0 9 1 * * 0 0June 2038ÏÏÏÏÏÏÏÏÏÏÏÏÏ 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** ÏÏÏÏÏÏ 28.3 21.4 10.9 7.4 4.9 3.7 21.1 11.3 5.5 3.8 2.7 2.1



Characteristics of the Residual Classes

A Residual CertiÑcate will be subject to certain transfer restrictions. See ""Description of theCertiÑcatesÌSpecial Characteristics of the Residual CertiÑcates'' and ""Material Federal Income TaxConsequencesÌTaxation of BeneÑcial Owners of Residual CertiÑcates'' in the REMIC Prospectus.

Treasury Department regulations (the ""Regulations'') provide that a transfer of a ""noneconomicresidual interest'' will be disregarded for all federal tax purposes unless no signiÑcant purpose of thetransfer is to impede the assessment or collection of tax. A Residual CertiÑcate will constitute anoneconomic residual interest under the Regulations. Having a signiÑcant purpose to impede theassessment or collection of tax means that the transferor of a Residual CertiÑcate had ""improperknowledge'' at the time of the transfer. See ""Description of the CertiÑcatesÌSpecial Characteristicsof the Residual CertiÑcates'' in the REMIC Prospectus. You should consult your own tax advisorregarding the application of the Regulations to a transfer of a Residual CertiÑcate.

CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES

The CertiÑcates and payments on the CertiÑcates are not generally exempt from taxation.Therefore, you should consider the tax consequences of holding a CertiÑcate before you acquire one.The following tax discussion supplements the discussion under the caption ""Material Federal IncomeTax Consequences'' in the REMIC Prospectus. When read together, the two discussions describe thecurrent federal income tax treatment of beneÑcial owners of CertiÑcates. These two tax discussions donot purport to deal with all federal tax consequences applicable to all categories of beneÑcial owners,some of which may be subject to special rules. In addition, these discussions may not apply to yourparticular circumstances for one of the reasons explained in the REMIC Prospectus. You shouldconsult your own tax advisors regarding the federal income tax consequences of holding and disposing

S-25

of CertiÑcates as well as any tax consequences arising under the laws of any state, local or foreigntaxing jurisdiction.

U.S. Treasury Circular 230 Notice

The tax discussions contained in the REMIC Prospectus (including the sections entitled""Material Federal Income Tax Consequences'' and ""ERISA Considerations'') and this prospectussupplement were not intended or written to be used, and cannot be used, for the purpose of avoidingUnited States federal tax penalties. These discussions were written to support the promotion ormarketing of the transactions or matters addressed in this prospectus supplement. You should seekadvice based on your particular circumstances from an independent tax advisor.

REMIC Elections and Special Tax Attributes

We will make a REMIC election with respect to each REMIC set forth in the table under""Description of the CertiÑcatesÌGeneralÌStructure.'' The Regular Classes will be designated as""regular interests'' and the Residual Classes will be designated as the ""residual interests'' in theREMICs as set forth in that table. Thus, the REMIC CertiÑcates and any related RCR CertiÑcatesgenerally will be treated as ""regular or residual interests in a REMIC'' for domestic building and loanassociations, as ""real estate assets'' for real estate investment trusts, and, except for the ResidualClasses, as ""qualiÑed mortgages'' for other REMICs. See ""Material Federal Income Tax Conse-quencesÌREMIC Election and Special Tax Attributes'' in the REMIC Prospectus.

Taxation of BeneÑcial Owners of Regular CertiÑcates

The Notional Classes, the Accrual Classes and the DY Class will be issued with original issuediscount (""OID''), and certain other Classes of REMIC CertiÑcates may be issued with OID. If aClass is issued with OID, a beneÑcial owner of a CertiÑcate of that Class generally must recognizesome taxable income in advance of the receipt of the cash attributable to that income. See ""MaterialFederal Income Tax ConsequencesÌTaxation of BeneÑcial Owners of Regular CertiÑcatesÌTreat-ment of Original Issue Discount'' in the REMIC Prospectus. In addition, certain Classes of REMICCertiÑcates may be treated as having been issued at a premium. See ""Material Federal Income TaxConsequencesÌTaxation of BeneÑcial Owners of Regular CertiÑcatesÌRegular CertiÑcates Pur-chased at a Premium'' in the REMIC Prospectus.

The Prepayment Assumptions that will be used in determining the rate of accrual of OID will beas follows:

Group Prepayment Assumption

1 214% PSA2 142% PSA3 685% PSA4 685% PSA5 685% PSA6 632% PSA7 460% PSA8 460% PSA9 214% PSA

See ""Material Federal Income Tax ConsequencesÌTaxation of BeneÑcial Owners of Regular CertiÑ-catesÌTreatment of Original Issue Discount'' in the REMIC Prospectus. No representation is madeas to whether the Mortgage Loans underlying the MBS will prepay at any of those rates or any otherrate. See ""Description of the CertiÑcatesÌWeighted Average Lives of the CertiÑcates'' in thisprospectus supplement and ""Yield, Maturity and Prepayment ConsiderationsÌWeighted AverageLives and Final Distribution Dates'' in the REMIC Prospectus.

S-26

Taxation of BeneÑcial Owners of Residual CertiÑcates

The Holder of a Residual CertiÑcate will be considered to be the holder of the ""residual interest''in the related REMIC. Such Holder generally will be required to report its daily portion of the taxableincome or net loss of the REMIC to which that CertiÑcate relates. In certain periods, a Holder of aResidual CertiÑcate may be required to recognize taxable income without being entitled to receive acorresponding amount of cash. Pursuant to the Trust Agreement, we will be obligated to provide to theHolder of a Residual CertiÑcate (i) information necessary to enable it to prepare its federal incometax returns and (ii) any reports regarding the Residual Class that may be required under the Code.See ""Material Federal Income Tax ConsequencesÌTaxation of BeneÑcial Owners of ResidualCertiÑcates'' in the REMIC Prospectus.

Taxation of BeneÑcial Owners of RCR CertiÑcates

The RCR Classes will be created, sold and administered pursuant to an arrangement that will beclassiÑed as a grantor trust under subpart E, part I of subchapter J of the Code. The RegularCertiÑcates that are exchanged for RCR CertiÑcates set forth in Schedule 1 (including any exchangeseÅective on the Settlement Date) will be the assets of the trust, and the RCR CertiÑcates willrepresent an ownership interest of the underlying Regular CertiÑcates. For a general discussion of thefederal income tax treatment of beneÑcial owners of Regular CertiÑcates, see ""Material FederalIncome Tax Consequences'' in the REMIC Prospectus.

Generally, the ownership interest represented by an RCR certiÑcate will be one of two types. AcertiÑcate of a Strip RCR Class (a ""Strip RCR CertiÑcate'') will represent the right to receive adisproportionate part of the principal or interest payments on one or more underlying RegularCertiÑcates. A certiÑcate of a Combination RCR Class (a ""Combination RCR CertiÑcate'') willrepresent beneÑcial ownership of undivided interests in two or more underlying Regular CertiÑcates.All of the RCR CertiÑcates are Combination RCR CertiÑcates. See ""Material Federal Income TaxConsequencesÌTaxation of BeneÑcial Owners of RCR CertiÑcates'' in the REMIC Prospectus for ageneral discussion of the federal income tax treatment of beneÑcial owners of RCR CertiÑcates.

PLAN OF DISTRIBUTION

We are obligated to deliver the CertiÑcates to Credit Suisse Securities (USA) LLC (the""Dealer'') in exchange for the MBS. The Dealer proposes to oÅer the CertiÑcates directly to the publicfrom time to time in negotiated transactions at varying prices to be determined at the time of sale. TheDealer may eÅect these transactions to or through other dealers.

LEGAL MATTERS

Sidley Austin LLP will provide legal representation for Fannie Mae. McKee Nelson LLP willprovide legal representation for the Dealer.

S-27

A-1

Schedule

1

Available

Recom

bin

ati

ons(

1)

RE

MIC

Certi

Ñcate

sR

CR

Certi

Ñcate

s

Fin

al

Orig

inal

RC

RO

rig

inal

Prin

cip

al

Inte

rest

Inte

rest

CU

SIP

Dis

trib

uti

on

Cla

sses

Bala

nces

Cla

sses

Bala

nces

Type(2)

Rate

Type(2)

Num

ber

Date

Recom

bin

ati

on 1

VC

$5,5

51,0

00

VA

(3)

$11,1

02,0

00

SE

Q/A

D5.5

%FIX

31397L

2R

9M

ay 2

019

VE

5,5

51,0

00

Recom

bin

ati

on 2

VD

6,3

55,0

00

VB

(4)

12,7

10,0

00

SE

Q/A

D5.5

FIX

31397L

2S7

Novem

ber

2026

VG

6,3

55,0

00

Recom

bin

ati

on 3

BI

2,2

72,7

27(5)

AI(

6)

4,5

45,4

54(5)

NT

L5.5

FIX

/IO

31397L

2U

2Jan

uar

y 2

035

CI

2,2

72,7

27(5)

Recom

bin

ati

on 4

ZB

6,8

75,3

14

ZA

(7)

13,7

50,6

28

SE

Q5.5

FIX

/Z

31397L

2T

5July

2038

ZC

6,8

75,3

14

Recom

bin

ati

on 5

ZB

6,8

75,3

14

AY

(8)(9)

37,5

62,6

28

SE

Q5.5

FIX

31397L

2V

0July

2038

VC

5,5

51,0

00

VD

6,3

55,0

00

ZC

6,8

75,3

14

VE

5,5

51,0

00

VG

6,3

55,0

00

Recom

bin

ati

on 6

FM

37,0

00,0

00

FA

(10)

100,0

00,0

00

PT

(11)

FLT

31397L

2F5

July

2038

FN

63,0

00,0

00

Recom

bin

ati

on 7

BA

25,4

43,0

00

BE

32,7

37,0

00

SE

Q5.5

FIX

31397L

2G

3O

ctober

2036

BC

7,2

94,0

00

Recom

bin

ati

on 8

BD

7,2

63,0

00

PT

40,0

00,0

00

PT

5.5

FIX

31397L

2J7

July

2038

BA

25,4

43,0

00

BC

7,2

94,0

00

A-2

RE

MIC

Certi

Ñcate

sR

CR

Certi

Ñcate

s

Fin

al

Orig

inal

RC

RO

rig

inal

Prin

cip

al

Inte

rest

Inte

rest

CU

SIP

Dis

trib

uti

on

Cla

sses

Bala

nces

Cla

sses

Bala

nces

Type(2)

Rate

Type(2)

Num

ber

Date

Recom

bin

ati

on 9

BD

$7,2

63,0

00

BG

$14,5

57,0

00

SE

Q5.5

%FIX

31397L

2H

1July

2038

BC

7,2

94,0

00

Recom

bin

ati

on 1

0D

A26,5

10,0

00

CE

(12)

48,5

81,0

00

SE

Q5.5

FIX

31397L

2K

4Jan

uar

y 2

035

CA

22,0

71,0

00

Recom

bin

ati

on 1

1D

B6,2

95,0

00

DE

(13)

11,7

90,0

00

SE

Q5.5

FIX

31397L

2L

2M

arch

2037

CB

5,4

95,0

00

Recom

bin

ati

on 1

2D

C4,6

95,0

00

GE

(14)

9,1

29,0

00

SE

Q5.5

FIX

31397L

2M

0July

2038

CD

4,4

34,0

00

Recom

bin

ati

on 1

3D

A26,5

10,0

00

CG

(15)

60,3

71,0

00

SE

Q5.5

FIX

31397L

2N

8M

arch

2037

DB

6,2

95,0

00

CA

22,0

71,0

00

CB

5,4

95,0

00

Recom

bin

ati

on 1

4D

B6,2

95,0

00

DG

(16)

20,9

19,0

00

SE

Q5.5

FIX

31397L

2P

3July

2038

CB

5,4

95,0

00

DC

4,6

95,0

00

CD

4,4

34,0

00

Recom

bin

ati

on 1

5D

A26,5

10,0

00

DT

(17)

69,5

00,0

00

PT

5.5

FIX

31397L

2Q

1July

2038

CA

22,0

71,0

00

DB

6,2

95,0

00

CB

5,4

95,0

00

DC

4,6

95,0

00

CD

4,4

34,0

00

A-3

(1)

RE

MIC

Cer

tiÑca

tes

and R

CR

Cer

tiÑca

tes

in e

ach R

ecom

bin

atio

n m

ay b

e ex

chan

ged o

nly

in t

he

pro

port

ions

of

ori

ginal pri

nci

pal

or

notional

pri

nci

pal

bal

ance

s fo

r th

ere

late

d C

lass

es s

how

n in t

his

Sch

edule

1 (

dis

rega

rdin

g an

y r

etir

ed C

lass

es). For

exam

ple

, if a

par

ticu

lar

Rec

om

bin

atio

n incl

udes

tw

o R

EM

IC C

lass

es a

nd o

ne

RC

R C

lass

whose

ori

ginal pri

nci

pal

bal

ance

s sh

ow

n in the

sched

ule

reÖ

ect a

1:1

:2 r

elat

ionsh

ip, th

e sa

me

1:1

:2 r

elat

ionsh

ip a

mong

the

ori

ginal pri

nci

pal

bal

ance

s of th

ose

RE

MIC

and

RC

R C

lass

es m

ust

be

mai

nta

ined

in a

ny e

xch

ange

. T

his

is

true

even

if, a

s a

resu

lt o

f th

e ap

plica

ble

pay

men

t pri

ori

ty s

equen

ce, th

e re

lationsh

ip b

etw

een t

hei

r cu

rren

tpri

nci

pal

bal

ance

s has

chan

ged o

ver

tim

e. M

ore

over

, if a

s a

resu

lt o

f a

pro

pose

d e

xch

ange

, a

Cer

tiÑca

tehold

er w

ould

hold

a R

EM

IC C

ertiÑca

te o

r R

CR

Cer

tiÑca

te o

f a

Cla

ssin

an a

mount

less

than

the

applica

ble

min

imum

den

om

inat

ion for

that

Cla

ss, th

e C

ertiÑca

tehold

er w

ill be

unab

le t

o e

Åec

t th

e pro

pose

d e

xch

ange

. See

""D

escr

iption o

f th

eC

ertiÑca

tesÌ

Gen

eral

ÌA

uth

ori

zed D

enom

inations'' in

this

pro

spec

tus

supple

men

t.(2)

See

""D

escr

iption o

f th

e C

ertiÑca

tesÌ

Cla

ss D

eÑnitio

ns

and A

bbre

via

tions'

' in

the

RE

MIC

Pro

spec

tus.

(3)

The

VA

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e V

C C

lass

in G

roup 1

and t

he

VE

Cla

ss in G

roup 9

.(4)

The

VB

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e V

D C

lass

in G

roup 1

and t

he

VG

Cla

ss in G

roup 9

.(5)

Notional

bal

ance

s. T

hes

e C

lass

es a

re I

nte

rest

Only

Cla

sses

. See

pag

es S

-7 for

a des

crip

tion o

f how

thei

r notional

bal

ance

s ar

e ca

lcula

ted.

(6)

The

AI

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e B

I C

lass

in G

roup 1

and t

he

CI

Cla

ss in G

roup 9

.(7)

The

ZA

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e ZB

Cla

ss in G

roup 1

and t

he

ZC

Cla

ss in G

roup 9

.(8)

The

AY

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e V

C, V

D a

nd Z

B C

lass

es in G

roup 1

and t

he

VE

, V

G a

nd Z

C C

lass

es in G

roup 9

.(9)

Pri

nci

pal

pay

men

ts o

n t

he

RE

MIC

Cer

tiÑca

tes

in R

ecom

bin

atio

n 5

fro

m t

he

ZB

Acc

rual

Am

ount

and Z

C A

ccru

al A

mount

will be

pai

d a

s in

tere

st o

n t

he

rela

ted R

CR

Cer

tiÑca

tes

and t

hus

will not

reduce

the

pri

nci

pal

bal

ance

s of th

ose

RC

R C

ertiÑca

tes.

(10)

The

FA

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e FM

Cla

ss in G

roup 4

and t

he

FN

Cla

ss in G

roup 5

.(11)

For

a des

crip

tion o

f th

is inte

rest

rat

e, s

ee ""S

um

mar

yÌ

Inte

rest

Rat

es'' in t

his

pro

spec

tus

supple

men

t.(12)

The

CE

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

A C

lass

in G

roup 7

and t

he

CA

Cla

ss in G

roup 8

.(13)

The

DE

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

B C

lass

in G

roup 7

and t

he

CB

Cla

ss in G

roup 8

.(14)

The

GE

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

C C

lass

in G

roup 7

and t

he

CD

Cla

ss in G

roup 8

.(15)

The

CG

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

A a

nd D

B C

lass

es in G

roup 7

and t

he

CA

and C

B C

lass

es in G

roup 8

.(16)

The

DG

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

B a

nd D

C C

lass

es in G

roup 7

and t

he

CB

and C

D C

lass

es in G

roup 8

.(17)

The

DT

Cla

ss is

an R

CR

Cla

ss f

orm

ed f

rom

a c

om

bin

atio

n o

f th

e D

A, D

B a

nd D

C C

lass

es in G

roup 7

and t

he

CA

, C

B a

nd C

D C

lass

es in G

roup 8

.

No one is authorized to give information or to

make representations in connection with the Cer-

tiÑcates other than the information and representa-

tions contained in this Prospectus Supplement and $971,366,690the additional Disclosure Documents. You must

not rely on any unauthorized information or repre-

sentation. This Prospectus Supplement and the

additional Disclosure Documents do not constitute

an oÅer or solicitation with regard to the CertiÑ-

cates if it is illegal to make such an oÅer or

solicitation to you under state law. By delivering

this Prospectus Supplement and the additional

Disclosure Documents at any time, no one implies

that the information contained herein or therein is

correct after the date hereof or thereof.

The Securities and Exchange Commission has

not approved or disapproved the CertiÑcates or Guaranteed REMICdetermined if this Prospectus Supplement is truth-

Pass-Through CertiÑcatesful and complete. Any representation to the con-

trary is a criminal oÅense.

Fannie Mae REMIC Trust 2008-62

PROSPECTUS SUPPLEMENT

Credit SuisseTABLE OF CONTENTS

Page

Table of Contents ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 2

Available Information ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 3

Recent Developments ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 4

Summary ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S- 5

Description of the CertiÑcates ÏÏÏÏÏÏÏÏÏÏÏ S-10June 23, 2008

Certain Additional Federal Income Tax

ConsequencesÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-25

Plan of DistributionÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27

Legal MattersÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ S-27

Schedule 1 ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ A- 1

Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust 2008 … · 2019-07-20 ·...

Documents

Transcript of Guaranteed REMIC Pass-Through CertiÑcates Fannie Mae REMIC Trust 2008 … · 2019-07-20 ·...