supplement (to prospectus supplement dated june 23, 2016 ...credit suisse the date of this...

Supplement(To Prospectus Supplement dated June 23, 2016)

$1,555,858,569

Guaranteed REMIC Pass-Through CertificatesFannie Mae REMIC Trust 2016-41

This is a supplement to the prospectus supplement dated June 23, 2016 (the “Prospectus Supplement”). If we usea capitalized term in this supplement without defining it, you will find the definition of that term in the Pro-spectus Supplement.

Notwithstanding anything set forth on page S-14 of the Prospectus Supplement, the interest rate of the AF Classwill in no event be less than 0.50%.

Carefully consider the risk factors on page S-9 of the Prospectus Supplement and starting on page 14of the REMIC Prospectus. Unless you understand and are able to tolerate these risks, you should notinvest in the certificates.

The certificates, together with any interest thereon, are not guaranteed by the United States and do not con-stitute a debt or obligation of the United States or any of its agencies or instrumentalities other than FannieMae.

The certificates are exempt from registration under the Securities Act of 1933 and are “exempted securities”under the Securities Exchange Act of 1934.

Credit SuisseThe date of this Supplement is June 29, 2016

Prospectus Supplement(To REMIC Prospectus dated June 1, 2014)

$1,555,858,569

Guaranteed REMIC Pass-Through CertificatesFannie Mae REMIC Trust 2016-41

The CertificatesWe, the Federal National Mortgage Associa-tion (Fannie Mae), will issue the classes ofcertificates listed in the chart on this cover.

Payments to CertificateholdersWe will make monthly payments on thecertificates. You, the investor, will receive• interest accrued on the balance of your

certificate (except in the case of theaccrual classes), and

• principal to the extent available for pay-ment on your class.

We will pay principal at rates that may varyfrom time to time. We may not pay principalto certain classes for long periods of time.

The Fannie Mae GuarantyWe will guarantee that required payments ofprincipal and interest on the certificates areavailable for distribution to investors ontime.

The Trust and its AssetsThe trust will own• Fannie Mae MBS backed by first lien,

single-family fixed-rate loans,• underlying REMIC and RCR certificates

backed by Fannie Mae MBS, and• Fannie Mae MBS backed by first lien,

single-family adjustable-rate loans.

The mortgage loans backing the underlyingREMIC and RCR certificates are first lien,single-family, fixed-rate loans.

Class Group

OriginalClass

BalancePrincipalType(1)

InterestRate

InterestType(1)

CUSIPNumber

FinalDistribution

Date

MK(2) . . . 1 $ 47,889,000 SEQ 3.0% FIX 3136ASA55 August 2039MB(2) . . . 1 4,329,000 SEQ 3.0 FIX 3136ASA63 September 2040MA(2) . . . 1 2,762,000 SEQ 3.0 FIX 3136ASA71 June 2041MV . . . . . 1 7,829,000 SEQ/AD 3.0 FIX 3136ASA89 August 2029MZ . . . . . 1 16,317,338 SEQ 3.0 FIX/Z 3136ASA97 July 2046

A . . . . . 2 41,298,546 SC/PT 4.5 FIX 3136ASB21 June 2041

HA . . . . . 3 69,051,253 SC/PAC/AD 2.0 FIX 3136ASB39 May 2044HZ . . . . . 3 6,736,493 SC/SUP 2.0 FIX/Z 3136ASB47 May 2044

AF . . . . . 4 827,418,111 PT (3) FLT/AFC 3136ASB54 July 2046AS . . . . . 4 827,418,111(4) NTL (5) WAC/IO 3136ASB62 July 2046

CJ(2) . . . . 5 297,607,824 PT 1.5 FIX 3136ASB70 July 2046IO(2) . . . . 5 208,325,476(4) NTL 5.0 FIX/IO 3136ASB88 July 2046

(Table continued on next page)

If you own certificates of certain classes, you can exchange them for certificates of thecorresponding RCR classes to be delivered at the time of exchange. The NT, NC, CH,CK, CL, CE, CG, FD, SD, FC and SC Classes are the RCR classes. For a moredetailed description of the RCR classes, see Schedule 1 attached to this prospectussupplement and “Description of the Certificates—Combination and Recombination—RCR Certificates” in the REMIC prospectus.

Except as described below, the dealer will offer the certificates from time to time innegotiated transactions at varying prices. We expect the settlement date to be June 29,2016. We expect initially to retain certain certificates of the Group 4 and Group 5Classes. In addition, we will assign the A, B and C Classes to Fannie Mae Mega trusts.See “Plan of Distribution” in this prospectus supplement.

Carefully consider the risk factors on page S-9 of this prospectus supplement and starting on page 14 of the REMICprospectus. 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 obligationof 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 SecuritiesExchange Act of 1934.

Credit SuisseThe date of this Prospectus Supplement is June 23, 2016

Class Group

OriginalClass

BalancePrincipalType(1)

InterestRate

InterestType(1)

CUSIPNumber

FinalDistribution

Date

B . . . . . 6 $ 124,005,204 SC/PT 5.5% FIX 3136ASB96 June 2041

C . . . . . 7 110,614,800 SC/PT 5.5 FIX 3136ASC20 June 2041

R . . . . . 0 NPR 0 NPR 3136ASC38 July 2046

(1) See “Description of the Certificates—ClassDefinitions and Abbreviations” in the REMICprospectus.

(2) Exchangeable classes.(3) Based on LIBOR and subject to the limitations

described on page S-14.

(4) Notional principal balances. These classes areinterest only classes. See page S-7 for adescription of how their notional principalbalances are calculated.

(5) The interest rate of the AS Class is calculatedas described on pages S-14 and S-15.

i

TABLE OF CONTENTS

Page

AVAILABLE INFORMATION . . . . . . S- 3SUMMARY . . . . . . . . . . . . . . . . . . . . . . . . S- 5ADDITIONAL RISK FACTOR . . . . . . S- 9DESCRIPTION OF THE

CERTIFICATES . . . . . . . . . . . . . . . . . S- 9GENERAL . . . . . . . . . . . . . . . . . . . . . . . . S- 9

Structure . . . . . . . . . . . . . . . . . . . . . . S- 9Fannie Mae Guaranty . . . . . . . . . . . S-10Characteristics of Certificates . . . . . S-10Authorized Denominations . . . . . . . S-10

THE FIXED RATE MBS . . . . . . . . . . . . . S-11THE UNDERLYING REMIC AND RCR

CERTIFICATES . . . . . . . . . . . . . . . . . . . S-11THE ARM MBS . . . . . . . . . . . . . . . . . . . S-12

General . . . . . . . . . . . . . . . . . . . . . . . . S-12Characteristics of the Hybrid ARM

Loans . . . . . . . . . . . . . . . . . . . . . . . . S-12Applicable Index . . . . . . . . . . . . . . S-12Initial Interest Only Periods . . . . S-12Initial Fixed-Rate Periods . . . . . . S-13ARM Rate Changes . . . . . . . . . . . . S-13Initial ARM Rate Change Caps . . . S-13Subsequent ARM Rate Change

Caps . . . . . . . . . . . . . . . . . . . . . . . S-13Lifetime Cap and Floor . . . . . . . . S-13Monthly Payments . . . . . . . . . . . . S-13Prepayment Premium Periods . . S-13

DISTRIBUTIONS OF INTEREST . . . . . . . . S-13General . . . . . . . . . . . . . . . . . . . . . . . . S-13Delay Classes and No-Delay

Classes . . . . . . . . . . . . . . . . . . . . . . S-14Accrual Classes . . . . . . . . . . . . . . . . . S-14The AF Class . . . . . . . . . . . . . . . . . . . S-14The AS Class . . . . . . . . . . . . . . . . . . . S-14

DISTRIBUTIONS OF PRINCIPAL . . . . . . . S-15

Page

STRUCTURING ASSUMPTIONS . . . . . . . . S-16Pricing Assumptions . . . . . . . . . . . . S-16Prepayment Assumptions . . . . . . . . S-17Principal Balance Schedule . . . . . . S-17

YIELD TABLES AND ADDITIONAL

YIELD CONSIDERATIONS . . . . . . . . . . S-17General . . . . . . . . . . . . . . . . . . . . . . . . S-17The Fixed Rate Interest Only

Class . . . . . . . . . . . . . . . . . . . . . . . . S-18The Inverse Floating Rate

Classes . . . . . . . . . . . . . . . . . . . . . . S-19The AS Class . . . . . . . . . . . . . . . . . . . S-20

WEIGHTED AVERAGE LIVES OF THE

CERTIFICATES . . . . . . . . . . . . . . . . . . S-20DECREMENT TABLES . . . . . . . . . . . . . . . S-20CHARACTERISTICS OF THE RESIDUAL

CLASS . . . . . . . . . . . . . . . . . . . . . . . . . S-24CERTAIN ADDITIONAL FEDERAL

INCOME TAX CONSEQUENCES . . S-24REMIC ELECTION AND SPECIAL TAX

ATTRIBUTES . . . . . . . . . . . . . . . . . . . . S-25TAXATION OF BENEFICIAL OWNERS OF

REGULAR CERTIFICATES . . . . . . . . . . S-25TAXATION OF BENEFICIAL OWNERS OF

RESIDUAL CERTIFICATES . . . . . . . . . S-25TAXATION OF BENEFICIAL OWNERS OF

RCR CERTIFICATES . . . . . . . . . . . . . . S-26TAX AUDIT PROCEDURES . . . . . . . . . . . S-26FOREIGN INVESTORS . . . . . . . . . . . . . . . S-26

PLAN OF DISTRIBUTION . . . . . . . . . S-27CREDIT RISK RETENTION . . . . . . . S-27LEGAL MATTERS . . . . . . . . . . . . . . . . S-27EXHIBIT A-1 . . . . . . . . . . . . . . . . . . . . . . A- 1EXHIBIT A-2 . . . . . . . . . . . . . . . . . . . . . . A- 3SCHEDULE 1 . . . . . . . . . . . . . . . . . . . . . A-12PRINCIPAL BALANCE

SCHEDULE . . . . . . . . . . . . . . . . . . . . . B- 1

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AVAILABLE INFORMATION

You should purchase the certificates 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 Certificates datedJune 1, 2014 (the “REMIC Prospectus”);

• our Prospectus for Fannie Mae Guaranteed Pass-Through Certificates (Single-FamilyResidential Mortgage Loans) dated

O June 1, 2016, for all MBS issued on or after June 1, 2016,

O October 1, 2014, for all MBS issued on or after October 1, 2014 and prior to June 1, 2016,

O March 1, 2013, for all MBS issued on or after March 1, 2013 and prior to October 1,2014,

O February 1, 2012, for all MBS issued on or after February 1, 2012 and prior to March 1,2013,

O July 1, 2011, for all MBS issued on or after July 1, 2011 and prior to February 1, 2012,

O June 1, 2009, for all MBS issued on or after January 1, 2009 and prior to July 1, 2011,

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 a Group 2, Group 3, Group 6 or Group 7 Class or the R Class, thedisclosure documents relating to the applicable underlying REMIC and RCR certificates(the “Underlying REMIC Disclosure Documents”); and

• any information incorporated by reference in this prospectus supplement as discussedbelow and under the heading “Incorporation by Reference” in the REMIC Prospectus.

For a description of current servicing policies generally applicable to existing Fannie MaeMBS pools, see “Yield, Maturity and Prepayment Considerations” in the MBS Prospectus datedJune 1, 2016.

The MBS Prospectus and the Underlying REMIC Disclosure Documents are incorporated byreference in this prospectus supplement. This means that we are disclosing information in thosedocuments by referring you to them. Those documents are considered part of this prospectussupplement, so you should read this prospectus supplement, and any applicable supplements oramendments, together with those documents.

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 800-2FANNIE).

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

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You also can obtain copies of the REMIC Prospectus, the MBS Prospectus and the UnderlyingREMIC Disclosure Documents by writing or calling the dealer at:

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

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SUMMARY

This summary contains only limited information about the certificates. Statisticalinformation in this summary is provided as of June 1, 2016. You should purchase thecertificates 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 MBS2 Class 2009-65-JY RCR Certificate

Class 2009-80-PM RCR CertificateClass 2009-106-DZ REMIC CertificateClass 2011-54-ZD RCR CertificateClass 2011-76-DM REMIC Certificate

3 Class 2014-78-PA RCR Certificate4 Group 4 MBS5 Group 5 MBS6 Class 2011-52-KA RCR Certificate

Class 2011-52-KB RCR Certificate7 Class 2011-52-LA RCR Certificate

Class 2011-52-LB RCR Certificate

Group 1 and Group 5 MBS

Characteristics of the Fixed Rate MBS

ApproximatePrincipalBalance

Pass-Through

Rate

Range of WeightedAverage Coupons

or WACs(annual percentages)

Range of WeightedAverage RemainingTerms to Maturity

or WAMs(in months)

Group 1 MBS $ 79,126,338 3.00% 3.25% to 5.50% 241 to 360Group 5 MBS $ 36,909,042 5.00% 5.25% to 7.50% 80 to 360

$260,698,782 5.00% 5.25% to 7.50% 80 to 360

Assumed Characteristics of the Underlying Mortgage Loans

PrincipalBalance

OriginalTerm toMaturity

(in months)

RemainingTerm toMaturity

(in months)Loan Age

(in months)Interest

Rate

Group 1 MBS $ 79,126,338 360 358 1 3.800%Group 5 MBS $ 36,909,042 360 193 155 5.729%

$260,698,782 360 198 162 5.510%

The actual remaining terms to maturity, loan ages and interest rates of most of the mortgageloans underlying the fixed rate MBS will differ from those shown above, and may differsignificantly. See “Risk Factors—Risks Relating to Yield and Prepayment—Yields on andweighted average lives of the certificates are affected by actual characteristics of the mortgage loansbacking the series trust assets” in the REMIC Prospectus.

S-5

Group 2, Group 3, Group 6 and Group 7 Underlying REMIC and RCR Certificates

Exhibit A-1 describes the underlying REMIC and RCR certificates in Group 2, Group 3,Group 6 and Group 7, including certain information about the related mortgage loans. To learnmore about the underlying REMIC and RCR certificates, you should obtain from us the currentclass factors and the related disclosure documents as described on page S-3.

Group 4 MBS

The first table in Exhibit A-2 of this prospectus supplement lists certain assumed character-istics of the mortgage loans underlying the adjustable-rate MBS in Group 4. The assumed charac-teristics appearing in Exhibit A-2 may not reflect the actual characteristics of the individualadjustable-rate mortgage loans included in the related pools. The actual characteristics of most ofthe related mortgage loans may differ from those specified in Exhibit A-2, and may differsignificantly.

The second table in Exhibit A-2 of this prospectus supplement lists the pool numbers of theadjustable-rate MBS expected to be included in the Trust.

Settlement Date

We expect to issue the certificates on June 29, 2016.

Distribution Dates

We will make payments on the certificates on the 25th day of each calendar month, or on thenext 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 holdersof 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 Physical

All classes of certificates other than the R Class R Class

Exchanging Certificates Through Combination and Recombination

If you own certificates 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 RCRcertificates. Schedule 1 lists the available combinations of the certificates eligible for exchangeand the related RCR certificates. You can exchange your certificates by notifying us and paying anexchange fee. We will deliver the RCR certificates upon such exchange.

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

Interest Rates

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

S-6

During each interest accrual period, the AF and AS Classes will bear interest at the appli-cable annual rates described under “Description of the Certificates—Distributions of Interest—The AF Class” and “—The AS Class,” respectively, in this prospectus supplement.

During the initial interest accrual period, the floating rate and inverse floating rate classes(other than the AF Class) will bear interest at the initial interest rates listed below. During eachsubsequent interest accrual period, the floating rate and inverse floating rate classes (other thanthe AF Class) will bear interest based on the formulas indicated below, but always subject to thespecified maximum and minimum interest rates:

Class

InitialInterest

Rate

MaximumInterest

Rate

MinimumInterest

Rate

Formula forCalculation of

Interest Rate(1)

FD . . . . . . . . . . . . . . . . . . . . . . . . . 0.79530% 6.50% 0.35% LIBOR + 35 basis pointsSD . . . . . . . . . . . . . . . . . . . . . . . . . 5.70470% 6.15% 0.00% 6.15% � LIBORFC . . . . . . . . . . . . . . . . . . . . . . . . . 0.84530% 6.50% 0.40% LIBOR + 40 basis pointsSC . . . . . . . . . . . . . . . . . . . . . . . . . 5.65470% 6.10% 0.00% 6.1% � LIBOR

(1) We will establish LIBOR on the basis of the “ICE Method.”

Notional Classes

The notional principal balances of the notional classes specified below will equal the percen-tages of the outstanding balances specified below immediately before the related distribution date:

Class

AS. . . . . . . . . . . . . . . . . . . . . . . 100% of the AF ClassIO . . . . . . . . . . . . . . . . . . . . . . 69.9999997312% of the CJ ClassSD . . . . . . . . . . . . . . . . . . . . . . 69.9999997312% of the CJ ClassSC . . . . . . . . . . . . . . . . . . . . . . 69.9999997312% of the CJ 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

Weighted Average Lives (years)*

PSA Prepayment AssumptionGroup 1 Classes 0% 100% 275% 600% 900%

MK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13.9 5.5 3.0 1.9 1.5MB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23.6 12.1 6.0 3.3 2.5MA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24.5 13.4 6.7 3.6 2.7MV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.0 7.0 5.5 3.5 2.7MZ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27.6 20.3 12.2 6.4 4.4NT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.2 6.4 3.4 2.1 1.6NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.7 6.0 3.2 2.0 1.6

PSA Prepayment AssumptionGroup 2 Class 0% 100% 250% 468% 800% 1300% 1900%

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.7 8.6 5.0 2.8 1.5 0.7 0.1

PSA Prepayment AssumptionGroup 3 Classes 0% 100% 135% 185% 225% 500% 700% 1000%

HA . . . . . . . . . . . . . . . . . . . . . . . . . 15.8 6.1 5.3 5.3 5.3 2.6 1.8 1.1HZ . . . . . . . . . . . . . . . . . . . . . . . . . . 26.0 16.2 13.0 5.2 2.3 0.4 0.3 0.2

CPR Prepayment AssumptionGroup 4 Classes 0% 5% 10% 15% 25% 50% 75%

AF and AS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.2 7.5 5.7 4.5 3.0 1.4 0.7

PSA Prepayment AssumptionGroup 5 Classes 0% 100% 320% 700% 1100%

CJ, IO, CH, CK, CL, CE, CG, FD, SD, FC and SC . . . . 20.2 6.8 3.7 1.7 0.9

PSA Prepayment AssumptionGroup 6 Class 0% 100% 300% 500% 800% 1200%

B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.4 7.3 4.0 2.5 1.5 0.8

PSA Prepayment AssumptionGroup 7 Class 0% 100% 300% 500% 800% 1200%

C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16.4 8.1 4.2 2.6 1.5 0.8

* Determined as specified under “Yield, Maturity and Prepayment Considerations—Weighted Average Livesand Final Distribution Dates” in the REMIC Prospectus.

S-8

ADDITIONAL RISK FACTOR

Payments on the Group 3 Classes will beaffected by the applicable payment prioritygoverning the Group 3 Underlying RCRCertificate. If you invest in a Group 3 Class,the rate at which you receive payments will beaffected by the applicable priority sequencegoverning principal payments on the Group 3Underlying RCR Certificate.

In particular, as described in the relatedUnderlying REMIC Disclosure Document,principal payments on the Group 3 UnderlyingRCR Certificate are governed by a principalbalance schedule. As a result, the Group 3Underlying RCR Certificate may receiveprincipal payments faster or slower than wouldotherwise have been the case. In some cases, itmay receive no principal payments forextended periods. Prepayments on the relatedmortgage loans may have occurred at a ratefaster or slower than the rate initiallyassumed. In certain high prepaymentscenarios, it is possible that the effect of aprincipal balance schedule on principal

payments over time may be eliminated. In sucha case, the Group 3 Underlying RCR Certificatewould receive principal payments at rates thatmay vary widely from period to period. Thisprospectus supplement contains no informationas to whether

• the Group 3 Underlying RCR Certifi-cate has adhered to the relatedprincipal balance schedule,

• any related support classes remainoutstanding, or

• the Group 3 Underlying RCR Certifi-cate otherwise has performed asoriginally anticipated.

You may obtain additional informationabout the underlying REMIC and RCR certifi-cates by reviewing their current class factorsin light of other information available in therelated Underlying REMIC DisclosureDocuments. You may obtain those documentsfrom us as described on page S-3.

DESCRIPTION OF THE CERTIFICATES

The material under this heading describes the principal features of the Certificates. You willfind additional information about the Certificates in the other sections of this prospectus supple-ment, as well as in the additional Disclosure Documents and the Trust Agreement. If we use acapitalized term in this prospectus supplement without defining it, you will find the definition ofthat 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 thisprospectus supplement (the “Trust”) pursuant to a trust agreement dated as of May 1, 2010 and asupplement thereto dated as of June 1, 2016 (the “Issue Date”). We will issue the GuaranteedREMIC Pass-Through Certificates (the “REMIC Certificates”) pursuant to that trust agreementand supplement. We will issue the Combinable and Recombinable REMIC Certificates (the “RCRCertificates” and, together with the REMIC Certificates, the “Certificates”) pursuant to a separatetrust 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 “TrustAgreement”). 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 RCRCertificates.

The assets of the Trust will include:

• two groups of Fannie Mae Guaranteed Mortgage Pass-Through Certificates having fixedpass-through rates (the “Group 1 MBS” and “Group 5 MBS,” and together, the “FixedRate MBS”),

S-9

• four groups of previously issued REMIC and RCR Certificates (the “Group 2 UnderlyingREMIC and RCR Certificates,” “Group 3 Underlying RCR Certificate,” “Group 6 UnderlyingRCR Certificates,” and “Group 7 Underlying RCR Certificates,” and together, the“Underlying REMIC and RCR Certificates”) issued from the related Fannie Mae REMICtrusts (the “Underlying REMIC Trusts”), as further described in Exhibit A-1, and

• one group of Fannie Mae Guaranteed Mortgage Pass-Through Certificates having variablepass-through rates (the “Group 4 MBS” or “ARM MBS”).

The Fixed Rate MBS and the ARM MBS are referred to collectively as the “Trust MBS.”

The Underlying REMIC and RCR Certificates evidence direct or indirect beneficial ownershipinterests in certain Fannie Mae Guaranteed Mortgage Pass-Through Certificates (together withthe Trust MBS, the “MBS”).

Each MBS represents a beneficial ownership interest in a pool of first lien, one- to four-family(“single-family”), fixed-rate or adjustable rate residential mortgage loans (the “Mortgage Loans”)having the characteristics described in this prospectus supplement.

The Trust will constitute a “real estate mortgage investment conduit” (“REMIC”) under theInternal Revenue Code of 1986, as amended (the “Code”).

The following chart contains information about the assets, the “regular interests” and the“residual interest” of the REMIC. The REMIC Certificates other than the R Class are collectivelyreferred to as the “Regular Classes” or “Regular Certificates,” and the R Class is referred to as the“Residual Class” or “Residual Certificate.”

AssetsRegularInterests

ResidualInterest

REMIC . . . . . . . . . . . Trust MBS and UnderlyingREMIC and RCR Certificates

All Classes of REMIC Certificatesother than the R Class

R

Fannie Mae Guaranty. For a description of our guaranties of the Certificates, the MBS andthe Underlying REMIC and RCR Certificates, see the applicable discussions appearing under theheading “Fannie Mae Guaranty” in the REMIC Prospectus, the MBS Prospectus and the Under-lying REMIC Disclosure Documents. Our guaranties are not backed by the full faith and credit ofthe United States.

Characteristics of Certificates. Except as specified below, we will issue the Certificates inbook-entry form on the book-entry system of the U.S. Federal Reserve Banks. Entities whosenames appear on the book-entry records of a Federal Reserve Bank as having had Certificatesdeposited in their accounts are “Holders” or “Certificateholders.”

We will issue the Residual Certificate in fully registered, certificated form. The “Holder” or“Certificateholder” of the Residual Certificate is its registered owner. The Residual Certificate canbe transferred at the corporate trust office of the Transfer Agent, or at the office of the TransferAgent in New York, New York. U.S. Bank National Association in Boston, Massachusetts will bethe initial Transfer Agent. We may impose a service charge for any registration of transfer of theResidual Certificate and may require payment to cover any tax or other governmental charge. Seealso “—Characteristics of the Residual Class” below.

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

Classes Denominations

Interest Only and Inverse FloatingRate Classes

$100,000 minimum plus whole dollar increments

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

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The Fixed Rate MBS

The Fixed Rate MBS provide that principal and interest on the related Mortgage Loans arepassed through monthly. The Mortgage Loans underlying the Fixed Rate 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.

In addition, the pools of mortgage loans backing the Group 1 MBS have been designated as poolsthat include “jumbo-conforming” or “high balance” mortgage loans as described further under “TheMortgage Loans—Mortgage Loans with Original Principal Balances Exceeding our TraditionalConforming Loan Limits” in the MBS Prospectus dated June 1, 2016. For periodic updates to thatdescription, please refer to the Pool Prefix Glossary available on our Web site at www.fanniemae.com.For additional information about the particular pools underlying the Group 1 MBS, see the Final DataStatement for the Trust and the related prospectus supplement for each MBS. See also “RiskFactors—Risks Relating to Yield and Prepayment—Jumbo-conforming” mortgage loans, which haveoriginal principal balances that exceed our traditional conforming loan limits, may prepay at differentrates than conforming balance mortgage loans generally” in the MBS Prospectus dated June 1, 2016.

Furthermore, approximately 12.4% of the Mortgage Loans underlying the Group 5 MBS (byaggregate principal balance at the Issue Date) were subject to prepayment premiums if theborrowers made full or partial prepayments during prepayment premium periods that may rangeup to 60 months from the applicable origination dates. As of the Issue Date, all of those prepay-ment premium periods have expired.

For additional information, see “Summary—Group 1 and Group 5 MBS—Characteristics ofthe Fixed Rate MBS” in this prospectus supplement and “The Mortgage Loan Pools” and Yield,Maturity and Prepayment Considerations” in the MBS Prospectus.

The Underlying REMIC and RCR Certificates

The Underlying REMIC and RCR Certificates represent beneficial ownership interests in therelated Underlying REMIC Trusts. The assets of those trusts consist of MBS (or beneficialownership interests in MBS) having the general characteristics set forth in the MBS Prospectus.Each MBS evidences beneficial ownership interests in a pool of conventional, fixed-rate,fully-amortizing mortgage loans secured by first mortgages or deeds of trust on single-familyresidential properties, as described under “The Mortgage Loan Pools” and “Yield, Maturity andPrepayment Considerations” in the MBS Prospectus.

In addition, the pools of Mortgage Loans backing the Group 2 Underlying REMIC and RCRCertificates have been designated as pools that include “jumbo-conforming” or “high balance”mortgage loans as described further under “The Mortgage Loans—Mortgage Loans with OriginalPrincipal Balances Exceeding our Traditional Conforming Loan Limits” in the MBS Prospectusdated June 1, 2016. For periodic updates to that description, please refer to the Pool PrefixGlossary available on our Web site at www.fanniemae.com. For additional information about theparticular pools backing the Group 2 Underlying REMIC and RCR Certificates, see the Final DataStatements for the related trusts and the related prospectus supplement for each MBS. See also“Risk Factors—Risks Relating to Yield and Prepayment—Jumbo-conforming” mortgage loans,which have original principal balances that exceed our traditional conforming loan limits, mayprepay at different rates than conforming balance mortgage loans generally” in the MBSProspectus dated June 1, 2016.

Distributions on the Underlying REMIC and RCR Certificates will be passed throughmonthly, beginning in the month after we issue the Certificates. The general characteristics of theUnderlying REMIC and RCR Certificates are described in the related Underlying REMICDisclosure Documents. See Exhibit A-1 for certain additional information about the UnderlyingREMIC and RCR Certificates. Exhibit A-1 is provided in lieu of a Final Data Statement withrespect to the Underlying REMIC and RCR Certificates.

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For further information about the Underlying REMIC and RCR Certificates, telephone us at800-2FANNIE. Additional information about the Underlying REMIC and RCR Certificates is alsoavailable at https://mbsdisclosure.fanniemae.com/PoolTalk2/index.html. There may have beenmaterial changes in facts and circumstances since the dates we prepared the Underlying REMICDisclosure Documents. These may include changes in prepayment speeds, prevailing interestrates and other economic factors. As a result, the usefulness of the information set forth in thosedocuments may be limited.

The ARM MBS

Unless otherwise specified, references in this section to percentages of the Hybrid ARM Loans arein each case measured by aggregate principal balance of the Hybrid ARM Loans at the Issue Date.

General

The Mortgage Loans underlying the ARM MBS in Group 4 (the “Hybrid ARM Loans”) willhave the general characteristics described in the MBS Prospectus. In addition, we assume thatthe Hybrid ARM Loans will have the characteristics listed in the first table on Exhibit A-2 to thisprospectus supplement. The ARM MBS provide that principal and interest on the Hybrid ARMLoans are passed through monthly, beginning in the month after we issue the ARM MBS. TheHybrid ARM Loans are conventional, adjustable-rate mortgage loans secured by first mortgagesor deeds of trust on single-family residential properties. The Hybrid ARM Loans have originalmaturities of up to 30 years. See “Description of the Certificates,” “The Mortgage Loan Pools,”“The Mortgage Loans—Adjustable-Rate Mortgage Loans (ARM Loans)” and “Yield, Maturity andPrepayment Considerations” in the MBS Prospectus. See also the second table on Exhibit A-2 tothis prospectus supplement for the pool numbers of the ARM MBS expected to be included in theTrust.

Characteristics of the Hybrid ARM Loans

Applicable Index

After the initial fixed-rate period, the interest rate (the “ARM Rate”) for the Hybrid ARMLoans will adjust semi-annually, based on the Six-Month WSJ LIBOR Index as availablegenerally 25, 30 or 45 days, as applicable, prior to the related interest rate adjustment date. See“The Mortgage Loans—Adjustable-Rate Mortgage Loans (ARM Loans)—ARM Indices” in the MBSProspectus for a description of the index. If the index becomes unavailable, an alternative indexwill be determined in accordance with the terms of the related mortgage note.

Initial Interest Only Periods

The scheduled monthly payments on approximately 80% of the Hybrid ARM Loans repre-sented accrued interest only for periods that generally may range up to 10 years following origi-nation. Beginning with the first monthly payment following the expiration of the applicableinterest only period, the related loan documents provide that the scheduled monthly payment oneach of the related Hybrid ARM Loans will be increased by an amount sufficient to pay accruedinterest at the then current rate and to fully amortize the Hybrid ARM Loan by its scheduledmaturity date. See “Risk Factors—Risks Relating to Yield and Prepayment—Fixed-rate and ARMloans with long initial interest-only payment periods may be more likely to be refinanced or becomedelinquent than other mortgage loans” in the MBS Prospectus dated June 1, 2016.

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Initial Fixed-Rate Periods

For the following approximate percentages of the Hybrid ARM Loans, the interest rates werefixed for the initial periods from origination reflected in the following table (the “Initial FixedRate”):

Initial Fixed-Rate Period3 years 5 years 7 years 10 years

2% 94% 3% 1%

ARM Rate Changes

After the initial fixed-rate period, the ARM Rate of each Hybrid ARM Loan is set semi-annually, subject to the caps and floors described below, to equal the sum of (i) the applicableindex value plus (ii) a specified percentage amount (the “ARM Margin”) that the lender estab-lished when the Hybrid ARM Loan was originated.

Initial ARM Rate Change Caps

For the interest rate adjustment immediately following the end of the initial fixed-rate period,the ARM Rate for each Hybrid ARM Loan generally may not deviate by more than 2, 3, 5 or6 percentage points, as applicable, from the related Initial Fixed Rate.

Subsequent ARM Rate Change Caps

On each semi-annual ARM Rate adjustment date thereafter, the ARM Rate for each HybridARM Loan generally may not deviate by more than 1 or 2 percentage points, as applicable, fromthe related ARM Rate in effect immediately prior to that adjustment date.

Lifetime Cap and Floor

The ARM Rate for each Hybrid ARM Loan, when adjusted on its applicable adjustment date,may not be greater than the maximum ARM Rate (lifetime rate cap) or less than its minimumARM Rate (lifetime floor), as specified in the related mortgage note.

Monthly Payments

After the initial fixed-rate period, the amount of a borrower’s monthly payment is generallysubject to change at six-month intervals after the date specified in the related mortgage note.

Each new monthly payment amount will be calculated to equal an amount necessary to payinterest at the new ARM Rate, adjusted as described above, and, except in the case of any loan thatmay still be in its initial interest only payment period, to fully amortize the outstanding principalbalance of the Hybrid ARM Loan on a level debt service basis over the remainder of its term.

Prepayment Premium Periods

Approximately 17% of the Hybrid ARM Loans were subject to prepayment premiums if theborrowers made full or partial prepayments during prepayment premium periods that may rangeup to 60 months from the applicable origination dates.

Distributions of Interest

General. The Certificates will bear interest at the rates specified in this prospectus supple-ment. Interest to be paid on each Certificate (or added to principal, in the case of the AccrualClasses) on a Distribution Date will consist of one month’s interest on the outstanding balance ofthat Certificate immediately prior to that Distribution Date. For a description of the AccrualClasses, see “—Accrual Classes” below.

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The Floating Rate and Inverse Floating Rate Classes will bear interest at interest rates basedon LIBOR. We currently establish LIBOR on the basis of the “ICE Method” as generally describedunder “Description of the Certificates—Distributions on Certificates—Interest Distributions—Indices for Floating Rate Classes and Inverse Floating Rate Classes” in the REMIC Prospectus.For a description of recent developments affecting LIBOR calculations, see “Risk Factors—RisksRelating to Yield and Prepayment—Intercontinental Exchange Benchmark Administration is thenew LIBOR administrator” in the REMIC Prospectus.

Delay Classes and No-Delay Classes. The “Delay” Classes and “No-Delay” Classes are setforth in the following table:

Delay Classes No-Delay Classes

All interest-bearing Classes other than the FD, SD,FC and SC Classes

FD, SD, FC and SC Classes

See “Description of the Certificates—Distributions on Certificates—Interest Distributions” in theREMIC Prospectus.

Accrual Classes. The MZ and HZ Classes are Accrual Classes. Interest will accrue on eachAccrual 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 eachAccrual Class will be added as principal to its principal balance on each Distribution Date. Wewill pay principal on the Accrual Classes as described under “—Distributions of Principal” below.

The AF Class.

On each Distribution Date, we will pay interest on the AF Class in an amount equal to onemonth’s interest at an annual rate equal to the lesser of

• LIBOR + 50 basis points

or

• the Weighted Average Group 4 MBS Pass-Through Rate

(but in no event less than 0%).

The “Weighted Average Group 4 MBS Pass-Through Rate” for any Distribution Date is equalto the weighted average of the pass-through rates of the Group 4 MBS in effect for calculatingdistributions on that Distribution Date, weighted on the basis of the principal balances of theGroup 4 MBS after giving effect to distributions of principal made on the immediately precedingDistribution Date.

During the initial interest accrual period, the AF Class will bear interest at an annual rate of0.9453%. Our determination of the interest rate for the AF Class will be final and binding in theabsence of manifest error. You may obtain each such interest rate by telephoning us at 800-2FANNIE.

The AS Class.

On each Distribution Date, we will pay interest on the AS Class at an annual rate equal tothe product of

• a fraction, expressed as a percentage, the numerator of which is the excess, if any, of

O the aggregate amount of interest then paid on the Group 4 MBS

over

O the interest payable on the AF Class on that Distribution Date,

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and the denominator of which is the notional principal balance of the AS Class immediatelypreceding that Distribution Date,

multiplied by

• 12.

During the initial interest accrual period, the AS Class is expected to bear interest at anannual rate of approximately 1.468%. Our determination of the interest rate for the AS Class willbe final and binding in the absence of manifest error. You may obtain each such interest rate bytelephoning us at 800-2FANNIE.

Distributions of Principal

On the Distribution Date in each month, we will make payments of principal on the Classes ofREMIC Certificates as described below. Following any exchange of REMIC Certificates for RCRCertificates, we will apply principal payments from the exchanged REMIC Certificates to thecorresponding RCR Certificates on a pro rata basis.

• Group 1

⎫⎬⎭The MZ Accrual Amount to MV until retired, and thereafter to MZ. Accretion

DirectedClass andAccrual Class

⎫⎬⎭The Group 1 Cash Flow Distribution Amount to MK, MB, MA, MV and MZ, in

that order, until retired.SequentialPay Classes

The “MZ Accrual Amount” is any interest then accrued and added to the principal balance ofthe MZ Class.

The “Group 1 Cash Flow Distribution Amount” is the principal then paid on the Group 1 MBS.

• Group 2

⎫⎬⎭The Group 2 Principal Distribution Amount to A until retired. Structured

Collateral/Pass-ThroughClass

The “Group 2 Principal Distribution Amount” is the principal then paid on the Group 2Underlying REMIC and RCR Certificates.

• Group 3

⎫⎬⎭The HZ Accrual Amount to HA to its Planned Balance, and thereafter to HZ. Accretion

Directed/PACClass andAccrual Class

The Group 3 Cash Flow Distribution Amount in the following priority:

⎫⎪⎪⎬⎪⎪⎭

⎫⎬⎭1. To HA to its Planned Balance. PAC Class

StructuredCollateral⎫⎬⎭2. To HZ until retired. Support Class

⎫⎬⎭3. To HA until retired. PAC Class

The “HZ Accrual Amount” is any interest then accrued and added to the principal balance ofthe HZ Class.

The “Group 3 Cash Flow Distribution Amount” is the principal then paid on the Group 3Underlying RCR Certificate.

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• Group 4

⎫⎬⎭The Group 4 Principal Distribution Amount to AF until retired. Pass-ThroughClass

The “Group 4 Principal Distribution Amount” is the principal then paid on the Group 4 MBS.

• Group 5

⎫⎬⎭The Group 5 Principal Distribution Amount to CJ until retired. Pass-ThroughClass

The “Group 5 Principal Distribution Amount” is the principal then paid on the Group 5 MBS.

• Group 6

⎫⎬⎭The Group 6 Principal Distribution Amount to B until retired. Structured


The “Group 6 Principal Distribution Amount” is the principal then paid on the Group 6Underlying RCR Certificates.

• Group 7

⎫⎬⎭The Group 7 Principal Distribution Amount to C until retired. Structured


The “Group 7 Principal Distribution Amount” is the principal then paid on the Group 7Underlying RCR Certificates.

Structuring Assumptions

Pricing Assumptions. Except where otherwise noted, the information in the tables in thisprospectus supplement has been prepared based on the actual characteristics of each pool ofMortgage Loans backing the Underlying REMIC and RCR Certificates, the applicable prioritysequence governing principal payments on the Group 3 Underlying RCR Certificate, and thefollowing assumptions (such characteristics and assumptions, collectively, the “PricingAssumptions”):

• the Mortgage Loans underlying the Fixed Rate MBS have the original terms to maturity,remaining terms to maturity, loan ages and interest rates specified under “Summary—Group 1 and Group 5 MBS—Assumed Characteristics of the Underlying Mortgage Loans”in this prospectus supplement;

• the Hybrid ARM Loans have the characteristics set forth in Exhibit A-2 to this prospectussupplement;

• with respect to the Hybrid ARM Loans, the Six-Month WSJ LIBOR Index value is andremains 0.9439%;

• the Mortgage Loans prepay at the constant percentages of PSA or CPR, as applicable,specified in the related tables;

• the settlement date for the Certificates is June 29, 2016; and

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

The actual remaining terms to maturity, loan ages and interest rates of most of the mortgageloans underlying the Fixed Rate MBS will differ from the assumed characteristics shown in theSummary, and may differ significantly. See “Risk Factors—Risks Relating to Yield and Prepay-ment—Yields on and weighted average lives of the certificates are affected by actual characteristicsof the mortgage loans backing the series trust assets” in the REMIC Prospectus.

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Prepayment Assumptions. The prepayment model used in this prospectus supplement withrespect to all Classes other than the Group 4 Classes is PSA. For a description of PSA, see “Yield,Maturity and Prepayment Considerations—Prepayment Models” in the REMIC Prospectus.

The prepayment model used in this prospectus supplement with respect to the Group 4Classes is CPR. For a description of CPR, see “Yield, Maturity and Prepayment Considerations—Prepayment Models” in the REMIC Prospectus.

It is highly unlikely that prepayments will occur at any constant PSA or CPR rate, as appli-cable, or at any other constant rate.

Principal Balance Schedule. The Principal Balance Schedule for the HA Class is set forthbeginning on page B-1 of this prospectus supplement. The Principal Balance Schedule was preparedbased on the Pricing Assumptions and the assumption that the related Mortgage Loans prepay at aconstant rate within the “Structuring Range” specified in the chart below. The “Effective Range” forthe HA Class is the range of prepayment rates (measured by constant PSA rates) that would reducethe HA Class to its scheduled balance each month based on the Pricing Assumptions.

Class Structuring Range Initial Effective Range

HA Class Planned Balances Between 135% and 225% PSA (1)

(1) The Planned Balances for the HA Class have been structured between 135% and 225% PSA, but only hold between135% and 221% PSA.

We cannot assure you that the balance of the HA Class will conform on anyDistribution Date to the balance specified in the Principal Balance Schedule or thatdistributions of principal of the HA Class will begin or end on the Distribution Datesspecified in the Principal Balance Schedule.

If you are considering the purchase of the HA Class, you should first take into account theconsiderations set forth below.

• We will distribute any excess of principal distributions over the amount necessary to reducethe HA Class to its scheduled balance in any month. As a result, the likelihood of reducingthe HA Class to its scheduled balance each month will not be improved by the averaging ofhigh and low principal distributions from month to month.

• Even if the related Mortgage Loans prepay at rates falling within the Structuring Range orEffective Range, principal distributions may be insufficient to reduce the HA Class to itsscheduled balance each month if prepayments do not occur at a constant PSA rate.

• The actual Effective Range at any time will be based upon the actual characteristics of therelated Mortgage Loans at that time, which are likely to vary (and may vary considerably)from the Pricing Assumptions. As a result, the actual Effective Range will likely differ fromthe Initial Effective Range specified above. For the same reason, the HA Class might not bereduced to its scheduled balance each month even if the related Mortgage Loans prepay ata constant PSA rate within the Initial Effective Range. This is so particularly if the ratefalls at the lower or higher end of the range.

• The actual Effective Range may narrow, widen or shift upward or downward to reflectactual prepayment experience over time.

• The principal payment stability of the HA Class will be supported by the HZ Class. Whenthe HZ Class is retired, the HA Class, if still outstanding, may no longer have an EffectiveRange, and will be much more sensitive to prepayments of the related Mortgage Loans.

Yield Tables and Additional Yield Considerations

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, where

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specified, to changes in the Index. The tables below are provided for illustrative purposesonly and are not intended as a forecast or prediction of the actual yields on the appli-cable Classes. We calculated the yields set forth in the tables by

• determining the monthly discount rates that, when applied to the assumed streams ofcash flows to be paid on the applicable Classes, would cause the discounted presentvalues of the assumed streams of cash flows to equal the assumed aggregate purchaseprices 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 couldreinvest distributions on the Certificates. Accordingly, these calculations do not illustrate thereturn 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-taxyields 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 maturityshorter or longer than those assumed and interest rates higher or lower than those assumed, theprincipal payments (or notional principal balance reductions) on the Certificates are likely todiffer from those assumed. This would be the case even if all Mortgage Loans prepay at theindicated constant percentages of PSA. Moreover, it is unlikely that

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

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

• the level of the Index will remain constant.

The Fixed Rate Interest Only Class. The yield to investors in the Fixed Rate InterestOnly Class 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 tomaturity on the Fixed Rate Interest Only Class would be 0% if prepayments of therelated Mortgage Loans were to occur at the following constant rate:

Class % PSA

IO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335%

If the actual prepayment rate of the related Mortgage Loans were to exceed the levelspecified for as little as one month while equaling that level for the remaining months,the investors in the IO Class would lose money on their initial investments.

The information shown in the following yield table has been prepared on the basis of the PricingAssumptions and the assumption that the aggregate purchase price of the Fixed Rate Interest OnlyClass (expressed as a percentage of the original principal balance) is as follows:

Class Price*

IO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.50%

* The price does not include accrued interest. Accrued interest has been addedto the price in calculating the yields set forth in the table below.

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Sensitivity of the IO Class to Prepayments

PSA Prepayment Assumption50% 100% 320% 700% 1100%

Pre-Tax Yields to Maturity . . . . . . 19.9% 16.5% 1.1% (29.0)% (68.3)%

The Inverse Floating Rate Classes. The yields on the Inverse Floating Rate Classeswill be sensitive in varying degrees to the rate of principal payments (includingprepayments) of the related Mortgage Loans and to the level of the Index. The Mort-gage Loans generally can be prepaid at any time without penalty. In addition, the rateof principal payments (including prepayments) of the Mortgage Loans is likely to vary,and may vary considerably, from pool to pool. As illustrated in the tables below, it ispossible that investors in the Inverse Floating Rate Classes would lose money on theirinitial investments under certain Index and prepayment scenarios.

Changes in the Index may not correspond to changes in prevailing mortgage interest rates. Itis possible that lower prevailing mortgage interest rates, which might be expected to result infaster 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 thePricing Assumptions and the assumptions that

• the interest rates for the Inverse Floating Rate Classes for the initial Interest AccrualPeriod are the rates listed in the table under “Summary—Interest Rates” in thisprospectus supplement and for each following Interest Accrual Period will be based onthe specified levels of 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*

SD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18.00%SC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17.75%

.* The prices do not include accrued interest. Accrued interest has been addedto 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 SD Class to Prepayments and LIBOR(Pre-Tax Yields to Maturity)

PSA Prepayment AssumptionLIBOR 50% 100% 320% 700% 1100%

0.2200% . . . . . . . . . . . . . . . 25.7% 22.3% 6.4% (24.3)% (64.6)%0.4453% . . . . . . . . . . . . . . . 24.2% 20.8% 5.1% (25.5)% (65.5)%2.4453% . . . . . . . . . . . . . . . 11.0% 7.8% (7.1)% (36.1)% (73.9)%4.4453% . . . . . . . . . . . . . . . (4.5)% (7.5)% (21.3)% (48.3)% (83.6)%6.1500% . . . . . . . . . . . . . . . * * * * *

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

PSA Prepayment AssumptionLIBOR 50% 100% 320% 700% 1100%

0.2200% . . . . . . . . . . . . . . . 25.9% 22.5% 6.6% (24.2)% (64.4)%0.4453% . . . . . . . . . . . . . . . 24.4% 21.0% 5.3% (25.3)% (65.4)%2.4453% . . . . . . . . . . . . . . . 11.0% 7.8% (7.1)% (36.1)% (73.9)%4.4453% . . . . . . . . . . . . . . . (4.7)% (7.7)% (21.6)% (48.5)% (83.8)%6.1000% . . . . . . . . . . . . . . . * * * * *

The AS Class. The yield to investors in the AS Class will be very sensitive to the rateof principal payments (including prepayments) of the Hybrid ARM Loans and to the levelof LIBOR. The yield will also be sensitive to the weighted average interest rate of theHybrid ARM Loans. Except as described under “Description of the Certificates—TheARM MBS” in this prospectus supplement, the Hybrid ARM Loans can be prepaid at anytime without penalty. In addition, the rate of principal payments (including prepay-ments) of the Hybrid ARM Loans is likely to vary, and may vary considerably, from poolto pool. Under certain high prepayment or high LIBOR scenarios, in particular, it ispossible that investors in the AS Class would lose money on their initial investments.

Weighted Average Lives of the Certificates

For a description of how the weighted average life of a Certificate is determined, see “Yield,Maturity and Prepayment Considerations—Weighted Average Lives and Final DistributionDates” in the REMIC Prospectus.

In general, the weighted average lives of the Certificates 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,

• the priority sequences of distributions of principal of the Group 1 and Group 3Classes, and

• in the case of the Group 3 Classes, the applicable priority sequence affecting principalpayments on the Group 3 Underlying RCR Certificate.

See “—Distributions of Principal” above and “Description of the Certificates—Distributions ofPrincipal” in the Underlying REMIC Disclosure Documents.

The effect of these factors may differ as to various Classes and the effects on any Class mayvary at different times during the life of that Class. Accordingly, we can give no assurance as tothe weighted average life of any Class. Further, to the extent the prices of the Certificates repre-sent discounts or premiums to their original principal balances, variability in the weightedaverage lives of those Classes of Certificates could result in variability in the related yields tomaturity. For an example of how the weighted average lives of the Classes may be affected atvarious constant prepayment rates, see the Decrement Tables below.

Decrement Tables

The following tables indicate the percentages of original principal balances of the specifiedClasses that would be outstanding after each date shown at various constant PSA or CPR rates,as applicable, and the corresponding weighted average lives of those Classes. The tables havebeen prepared on the basis of the Pricing Assumptions.

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In the case of the information set forth for each Class (other than the Group 4 Classes) under0% PSA, however, we assumed that the Mortgage Loans have the original and remaining terms tomaturity and bear interest at the annual rates specified in the table below.

Mortgage Loans BackingTrust Assets Specified Below

OriginalTerms toMaturity

RemainingTerms toMaturity

InterestRates

Group 1 MBS 360 months 360 months 5.50%Group 2 Underlying REMIC and RCR Certificates 360 months (1) 7.00%Group 3 Underlying RCR Certificate 360 months 341 months 7.00%Group 5 MBS 360 months 360 months 7.50%Group 6 Underlying RCR Certificates 360 months 299 months 8.00%Group 7 Underlying RCR Certificates 360 months 299 months 8.00%

(1) The Mortgage Loans backing the Group 2 Underlying REMIC and RCR Certificates specified below areassumed to have the following remaining terms to maturity:

ClassRemaining Terms

to Maturity

2009-65-JY 278 months2009-80-PM 279 months2009-106-DZ 282 months2011-54-ZD 299 months2011-76-DM 289 months

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

In addition, the diverse remaining terms to maturity of the Mortgage Loans could produceslower or faster principal distributions than indicated in the tables at the specified constant PSAor CPR rates, as applicable, even if the weighted average remaining term to maturity and theweighted average loan age of the Mortgage Loans are identical to the weighted averages specifiedin the Pricing Assumptions. This is the case because pools of loans with identical weightedaverages are nonetheless likely to reflect differing dispersions of the related characteristics.

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Percent of Original Principal Balances Outstanding

MK Class MB Class MA Class MV Class

PSA PrepaymentAssumption




Date 0% 100% 275% 600% 900% 0% 100% 275% 600% 900% 0% 100% 275% 600% 900% 0% 100% 275% 600% 900%

Initial Percent . . . . . . . . 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2017 . . . . . . . . . . . . 98 95 90 82 75 100 100 100 100 100 100 100 100 100 100 94 94 94 94 94June 2018 . . . . . . . . . . . . 95 85 71 45 23 100 100 100 100 100 100 100 100 100 100 87 87 87 87 87June 2019 . . . . . . . . . . . . 93 74 47 5 0 100 100 100 100 0 100 100 100 100 0 80 80 80 80 24June 2020 . . . . . . . . . . . . 90 62 26 0 0 100 100 100 0 0 100 100 100 0 0 73 73 73 35 0June 2021 . . . . . . . . . . . . 88 52 9 0 0 100 100 100 0 0 100 100 100 0 0 66 66 66 0 0June 2022 . . . . . . . . . . . . 85 42 0 0 0 100 100 50 0 0 100 100 100 0 0 59 59 59 0 0June 2023 . . . . . . . . . . . . 82 33 0 0 0 100 100 0 0 0 100 100 0 0 0 51 51 45 0 0June 2024 . . . . . . . . . . . . 78 25 0 0 0 100 100 0 0 0 100 100 0 0 0 44 44 0 0 0June 2025 . . . . . . . . . . . . 75 17 0 0 0 100 100 0 0 0 100 100 0 0 0 35 35 0 0 0June 2026 . . . . . . . . . . . . 71 9 0 0 0 100 100 0 0 0 100 100 0 0 0 27 27 0 0 0June 2027 . . . . . . . . . . . . 67 2 0 0 0 100 100 0 0 0 100 100 0 0 0 19 19 0 0 0June 2028 . . . . . . . . . . . . 63 0 0 0 0 100 56 0 0 0 100 100 0 0 0 10 10 0 0 0June 2029 . . . . . . . . . . . . 59 0 0 0 0 100 0 0 0 0 100 84 0 0 0 1 1 0 0 0June 2030 . . . . . . . . . . . . 54 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2031 . . . . . . . . . . . . 50 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2032 . . . . . . . . . . . . 45 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2033 . . . . . . . . . . . . 39 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2034 . . . . . . . . . . . . 34 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2035 . . . . . . . . . . . . 28 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2036 . . . . . . . . . . . . 21 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2037 . . . . . . . . . . . . 15 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2038 . . . . . . . . . . . . 7 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2039 . . . . . . . . . . . . * 0 0 0 0 100 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2040 . . . . . . . . . . . . 0 0 0 0 0 14 0 0 0 0 100 0 0 0 0 0 0 0 0 0June 2041 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2042 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2043 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2044 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2045 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2046 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** . . . . . . . 13.9 5.5 3.0 1.9 1.5 23.6 12.1 6.0 3.3 2.5 24.5 13.4 6.7 3.6 2.7 7.0 7.0 5.5 3.5 2.7

MZ Class NT Class NC Class




Date 0% 100% 275% 600% 900% 0% 100% 275% 600% 900% 0% 100% 275% 600% 900%

Initial Percent . . . . . . . . 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2017 . . . . . . . . . . . . 103 103 103 103 103 98 95 91 85 78 98 95 91 84 77June 2018 . . . . . . . . . . . . 106 106 106 106 106 96 87 75 52 33 96 87 73 50 30June 2019 . . . . . . . . . . . . 109 109 109 109 109 94 77 54 17 0 94 76 51 13 0June 2020 . . . . . . . . . . . . 113 113 113 113 54 92 67 36 0 0 91 66 32 0 0June 2021 . . . . . . . . . . . . 116 116 116 81 24 89 58 21 0 0 89 56 17 0 0June 2022 . . . . . . . . . . . . 120 120 120 50 11 87 50 9 0 0 86 47 4 0 0June 2023 . . . . . . . . . . . . 123 123 123 31 5 84 42 0 0 0 83 39 0 0 0June 2024 . . . . . . . . . . . . 127 127 118 20 2 81 34 0 0 0 80 31 0 0 0June 2025 . . . . . . . . . . . . 131 131 95 12 1 78 27 0 0 0 77 24 0 0 0June 2026 . . . . . . . . . . . . 135 135 77 8 * 75 21 0 0 0 74 17 0 0 0June 2027 . . . . . . . . . . . . 139 139 62 5 * 72 15 0 0 0 70 11 0 0 0June 2028 . . . . . . . . . . . . 143 143 50 3 * 68 9 0 0 0 66 5 0 0 0June 2029 . . . . . . . . . . . . 148 148 40 2 * 64 4 0 0 0 62 0 0 0 0June 2030 . . . . . . . . . . . . 148 146 32 1 * 60 0 0 0 0 58 0 0 0 0June 2031 . . . . . . . . . . . . 148 131 25 1 * 56 0 0 0 0 54 0 0 0 0June 2032 . . . . . . . . . . . . 148 117 20 * * 52 0 0 0 0 49 0 0 0 0June 2033 . . . . . . . . . . . . 148 103 16 * * 47 0 0 0 0 44 0 0 0 0June 2034 . . . . . . . . . . . . 148 91 12 * * 42 0 0 0 0 39 0 0 0 0June 2035 . . . . . . . . . . . . 148 80 10 * * 37 0 0 0 0 34 0 0 0 0June 2036 . . . . . . . . . . . . 148 69 7 * * 31 0 0 0 0 28 0 0 0 0June 2037 . . . . . . . . . . . . 148 60 6 * * 26 0 0 0 0 22 0 0 0 0June 2038 . . . . . . . . . . . . 148 51 4 * * 19 0 0 0 0 15 0 0 0 0June 2039 . . . . . . . . . . . . 148 42 3 * * 13 0 0 0 0 8 0 0 0 0June 2040 . . . . . . . . . . . . 148 35 2 * * 6 0 0 0 0 1 0 0 0 0June 2041 . . . . . . . . . . . . 144 27 2 * * 0 0 0 0 0 0 0 0 0 0June 2042 . . . . . . . . . . . . 118 21 1 * 0 0 0 0 0 0 0 0 0 0 0June 2043 . . . . . . . . . . . . 91 15 1 * 0 0 0 0 0 0 0 0 0 0 0June 2044 . . . . . . . . . . . . 62 9 * * 0 0 0 0 0 0 0 0 0 0 0June 2045 . . . . . . . . . . . . 32 4 * * 0 0 0 0 0 0 0 0 0 0 0June 2046 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** . . . . . . . 27.6 20.3 12.2 6.4 4.4 15.2 6.4 3.4 2.1 1.6 14.7 6.0 3.2 2.0 1.6

* Indicates an outstanding balance greater than 0% and less than 0.5% of the original principal balance.** Determined as specified under “Yield, Maturity and Prepayment Considerations—Weighted Average Lives and Final

Distribution Dates” in the REMIC Prospectus.

S-22

A Class HA Class



Date 0% 100% 250% 468% 800% 1300% 1900% 0% 100% 135% 185% 225% 500% 700% 1000%

Initial Percent . . . . . . . . 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2017 . . . . . . . . . . . . 98 92 83 70 51 21 0 98 90 87 87 87 79 65 43June 2018 . . . . . . . . . . . . 97 84 69 49 26 5 0 97 80 75 75 75 52 34 13June 2019 . . . . . . . . . . . . 95 77 57 34 13 1 0 95 71 65 65 65 34 16 1June 2020 . . . . . . . . . . . . 93 70 47 24 7 * 0 93 62 55 55 55 21 6 0June 2021 . . . . . . . . . . . . 91 63 38 17 3 * 0 91 54 46 46 46 12 1 0June 2022 . . . . . . . . . . . . 89 57 31 12 2 * 0 88 47 37 37 37 6 0 0June 2023 . . . . . . . . . . . . 86 52 26 8 1 * 0 86 40 30 30 30 2 0 0June 2024 . . . . . . . . . . . . 84 47 21 5 * * 0 83 33 24 24 24 0 0 0June 2025 . . . . . . . . . . . . 81 42 17 4 * * 0 81 27 19 19 19 0 0 0June 2026 . . . . . . . . . . . . 78 37 14 3 * * 0 78 21 14 14 14 0 0 0June 2027 . . . . . . . . . . . . 75 33 11 2 * 0 0 75 15 10 10 10 0 0 0June 2028 . . . . . . . . . . . . 71 29 9 1 * 0 0 71 10 7 7 7 0 0 0June 2029 . . . . . . . . . . . . 68 25 7 1 * 0 0 68 6 5 5 5 0 0 0June 2030 . . . . . . . . . . . . 64 21 5 1 * 0 0 64 2 2 2 2 0 0 0June 2031 . . . . . . . . . . . . 59 18 4 * * 0 0 60 1 1 1 1 0 0 0June 2032 . . . . . . . . . . . . 55 15 3 * * 0 0 55 0 0 0 0 0 0 0June 2033 . . . . . . . . . . . . 50 13 2 * * 0 0 51 0 0 0 0 0 0 0June 2034 . . . . . . . . . . . . 45 11 2 * * 0 0 46 0 0 0 0 0 0 0June 2035 . . . . . . . . . . . . 39 8 1 * * 0 0 40 0 0 0 0 0 0 0June 2036 . . . . . . . . . . . . 33 7 1 * * 0 0 35 0 0 0 0 0 0 0June 2037 . . . . . . . . . . . . 27 5 1 * * 0 0 28 0 0 0 0 0 0 0June 2038 . . . . . . . . . . . . 20 3 * * * 0 0 22 0 0 0 0 0 0 0June 2039 . . . . . . . . . . . . 13 2 * * 0 0 0 15 0 0 0 0 0 0 0June 2040 . . . . . . . . . . . . 5 * * * 0 0 0 7 0 0 0 0 0 0 0June 2041 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2042 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2043 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2044 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2045 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0June 2046 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** . . . . . . . 15.7 8.6 5.0 2.8 1.5 0.7 0.1 15.8 6.1 5.3 5.3 5.3 2.6 1.8 1.1

HZ Class AF and AS† ClassesCJ, IO†, CH, CK, CL, CE, CG, FD,

SD†, FC and SC† Classes


CPR PrepaymentAssumption


Date 0% 100% 135% 185% 225% 500% 700% 1000% 0% 5% 10% 15% 25% 50% 75% 0% 100% 320% 700% 1100%

Initial Percent . . . . . . . . 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100 100June 2017 . . . . . . . . . . . . 102 102 102 82 77 0 0 0 96 91 86 82 72 48 24 99 90 78 56 33June 2018 . . . . . . . . . . . . 104 104 104 65 52 0 0 0 92 83 74 66 52 23 6 98 81 60 31 11June 2019 . . . . . . . . . . . . 106 106 106 51 32 0 0 0 88 75 64 54 37 11 1 97 73 46 17 3June 2020 . . . . . . . . . . . . 108 108 108 40 16 0 0 0 83 68 55 43 26 5 * 96 65 36 9 1June 2021 . . . . . . . . . . . . 111 111 110 32 5 0 0 0 78 61 46 35 19 2 * 95 58 27 5 *June 2022 . . . . . . . . . . . . 113 113 113 29 * 0 0 0 74 54 39 28 13 1 * 93 51 20 3 *June 2023 . . . . . . . . . . . . 115 115 113 28 0 0 0 0 69 48 33 22 9 1 * 92 44 15 2 *June 2024 . . . . . . . . . . . . 117 117 110 26 0 0 0 0 64 42 27 17 6 * * 90 38 11 1 *June 2025 . . . . . . . . . . . . 120 120 102 23 0 0 0 0 58 37 23 14 4 * * 89 32 8 * *June 2026 . . . . . . . . . . . . 122 122 92 20 0 0 0 0 53 32 19 10 3 * * 87 27 6 * *June 2027 . . . . . . . . . . . . 125 125 80 17 0 0 0 0 47 27 15 8 2 * * 85 22 4 * *June 2028 . . . . . . . . . . . . 127 127 66 15 0 0 0 0 42 23 12 6 1 * * 83 17 3 * *June 2029 . . . . . . . . . . . . 130 130 54 13 0 0 0 0 36 18 9 4 1 * 0 80 13 2 * *June 2030 . . . . . . . . . . . . 132 118 44 11 0 0 0 0 30 14 7 3 1 * 0 78 9 1 * *June 2031 . . . . . . . . . . . . 135 96 34 9 0 0 0 0 23 11 5 2 * * 0 75 5 1 * *June 2032 . . . . . . . . . . . . 138 64 23 3 0 0 0 0 17 7 3 1 * * 0 73 2 * * 0June 2033 . . . . . . . . . . . . 140 38 12 0 0 0 0 0 10 4 2 1 * * 0 70 0 0 0 0June 2034 . . . . . . . . . . . . 143 23 3 0 0 0 0 0 4 1 1 * * * 0 66 0 0 0 0June 2035 . . . . . . . . . . . . 146 11 0 0 0 0 0 0 1 * * * * * 0 63 0 0 0 0June 2036 . . . . . . . . . . . . 149 1 0 0 0 0 0 0 * * * * * 0 0 59 0 0 0 0June 2037 . . . . . . . . . . . . 152 0 0 0 0 0 0 0 * * * * * 0 0 55 0 0 0 0June 2038 . . . . . . . . . . . . 155 0 0 0 0 0 0 0 0 0 0 0 0 0 0 50 0 0 0 0June 2039 . . . . . . . . . . . . 158 0 0 0 0 0 0 0 0 0 0 0 0 0 0 46 0 0 0 0June 2040 . . . . . . . . . . . . 162 0 0 0 0 0 0 0 0 0 0 0 0 0 0 40 0 0 0 0June 2041 . . . . . . . . . . . . 157 0 0 0 0 0 0 0 0 0 0 0 0 0 0 35 0 0 0 0June 2042 . . . . . . . . . . . . 73 0 0 0 0 0 0 0 0 0 0 0 0 0 0 29 0 0 0 0June 2043 . . . . . . . . . . . . 16 0 0 0 0 0 0 0 0 0 0 0 0 0 0 22 0 0 0 0June 2044 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 16 0 0 0 0June 2045 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 0June 2046 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** . . . . . . . 26.0 16.2 13.0 5.2 2.3 0.4 0.3 0.2 10.2 7.5 5.7 4.5 3.0 1.4 0.7 20.2 6.8 3.7 1.7 0.9


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-23

B Class C Class



Date 0% 100% 300% 500% 800% 1200% 0% 100% 300% 500% 800% 1200%

Initial Percent . . . . . . . . 100 100 100 100 100 100 100 100 100 100 100 100June 2017 . . . . . . . . . . . . 99 91 79 68 50 27 99 92 80 68 51 27June 2018 . . . . . . . . . . . . 97 82 63 46 25 7 97 84 64 46 26 7June 2019 . . . . . . . . . . . . 96 74 49 31 13 2 96 76 51 31 13 2June 2020 . . . . . . . . . . . . 94 67 39 21 6 1 94 69 40 21 6 1June 2021 . . . . . . . . . . . . 92 60 30 14 3 * 92 63 32 14 3 *June 2022 . . . . . . . . . . . . 90 53 23 9 2 * 90 56 25 10 2 *June 2023 . . . . . . . . . . . . 88 47 18 6 1 * 88 51 19 6 1 *June 2024 . . . . . . . . . . . . 86 41 14 4 * * 86 45 15 4 * *June 2025 . . . . . . . . . . . . 83 36 10 3 * * 83 40 12 3 * *June 2026 . . . . . . . . . . . . 81 31 8 2 * * 81 35 9 2 * *June 2027 . . . . . . . . . . . . 78 26 6 1 * * 78 31 7 1 * *June 2028 . . . . . . . . . . . . 75 21 4 1 * * 75 26 5 1 * *June 2029 . . . . . . . . . . . . 71 17 3 * * * 71 22 4 * * *June 2030 . . . . . . . . . . . . 67 13 2 * * 0 67 19 3 * * 0June 2031 . . . . . . . . . . . . 63 9 1 * * 0 63 15 2 * * 0June 2032 . . . . . . . . . . . . 59 6 1 * * 0 59 12 1 * * 0June 2033 . . . . . . . . . . . . 54 2 * * * 0 54 9 1 * * 0June 2034 . . . . . . . . . . . . 49 0 0 0 0 0 49 6 * * * 0June 2035 . . . . . . . . . . . . 44 0 0 0 0 0 44 3 * * * 0June 2036 . . . . . . . . . . . . 38 0 0 0 0 0 38 * * * * 0June 2037 . . . . . . . . . . . . 31 0 0 0 0 0 31 0 0 0 0 0June 2038 . . . . . . . . . . . . 24 0 0 0 0 0 24 0 0 0 0 0June 2039 . . . . . . . . . . . . 16 0 0 0 0 0 16 0 0 0 0 0June 2040 . . . . . . . . . . . . 8 0 0 0 0 0 8 0 0 0 0 0June 2041 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0June 2042 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0June 2043 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0June 2044 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0June 2045 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0June 2046 . . . . . . . . . . . . 0 0 0 0 0 0 0 0 0 0 0 0Weighted Average

Life (years)** . . . . . . . 16.4 7.3 4.0 2.5 1.5 0.8 16.4 8.1 4.2 2.6 1.5 0.8


Distribution Dates” in the REMIC Prospectus.

Characteristics of the Residual Class

A Residual Certificate will be subject to certain transfer restrictions. See “Description of theCertificates—Special Characteristics of the Residual Certificates” and “Material Federal Income TaxConsequences—Taxation of Beneficial Owners of Residual Certificates” 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 significant purpose of thetransfer is to impede the assessment or collection of tax. A Residual Certificate will constitute anoneconomic residual interest under the Regulations. Having a significant purpose to impede theassessment or collection of tax means that the transferor of a Residual Certificate had “improperknowledge” at the time of the transfer. See “Description of the Certificates—Special Characteristicsof the Residual Certificates” in the REMIC Prospectus. You should consult your own tax advisorregarding the application of the Regulations to a transfer of a Residual Certificate.

CERTAIN ADDITIONAL FEDERAL INCOME TAX CONSEQUENCES

The Certificates and payments on the Certificates are not generally exempt from taxation.Therefore, you should consider the tax consequences of holding a Certificate before you acquireone. The following tax discussion supplements the discussion under the caption “Material FederalIncome Tax Consequences” in the REMIC Prospectus. When read together, the two discussionsdescribe the current federal income tax treatment of beneficial owners of Certificates. These twotax discussions do not purport to deal with all federal tax consequences applicable to all categoriesof beneficial owners, some of which may be subject to special rules. In addition, these discussionsmay not apply to your particular circumstances for one of the reasons explained in the REMICProspectus. You should consult your own tax advisors regarding the federal income taxconsequences of holding and disposing of Certificates as well as any tax consequences arisingunder the laws of any state, local or foreign taxing jurisdiction.

S-24

REMIC Election and Special Tax Attributes

We will make a REMIC election with respect to the REMIC set forth in the table under“Description of the Certificates—General—Structure.” The Regular Classes will be designated as“regular interests” and the Residual Class will be designated as the “residual interest” in theREMIC as set forth in that table. Thus, the REMIC Certificates and any related RCR Certificatesgenerally will be treated as “regular or residual interests in a REMIC” for domestic building andloan associations, as “real estate assets” for real estate investment trusts, and, except for theResidual Class, as “qualified mortgages” for other REMICs. See “Material Federal Income TaxConsequences—REMIC Election and Special Tax Attributes” in the REMIC Prospectus.

Taxation of Beneficial Owners of Regular Certificates

The Accrual Classes and the Notional Classes will be issued with original issue discount(“OID”), and certain other Classes of REMIC Certificates may be issued with OID. If a Class isissued with OID, a beneficial owner of a Certificate of that Class generally must recognize sometaxable income in advance of the receipt of the cash attributable to that income. See “MaterialFederal Income Tax Consequences—Taxation of Beneficial Owners of Regular Certificates—Treatment of Original Issue Discount” in the REMIC Prospectus. In addition, the B and C Classeswill be treated as having been issued at a premium, and certain other Classes of REMIC Certificatesmay be treated as having been issued at a premium. See “Material Federal Income TaxConsequences—Taxation of Beneficial Owners of Regular Certificates—Regular CertificatesPurchased at a Premium” in the REMIC Prospectus.

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

Group Prepayment Assumption

1 275% PSA2 468% PSA3 185% PSA4 15% CPR5 320% PSA6 300% PSA7 300% PSA

See “Material Federal Income Tax Consequences—Taxation of Beneficial Owners of RegularCertificates—Treatment of Original Issue Discount” in the REMIC Prospectus. No representationis made as to whether the Mortgage Loans underlying the MBS will prepay at any of those ratesor at any other rate. See “Description of the Certificates—Weighted Average Lives of the Certifi-cates” in this prospectus supplement and “Yield, Maturity and Prepayment Considerations—Weighted Average Lives and Final Distribution Dates” in the REMIC Prospectus.

Taxation of Beneficial Owners of Residual Certificates

The Holder of a Residual Certificate will be considered to be the holder of the “residualinterest” in the related REMIC. Such Holder generally will be required to report its daily portionof the taxable income or net loss of the REMIC to which that Certificate relates. In certainperiods, a Holder of a Residual Certificate may be required to recognize taxable income withoutbeing entitled to receive a corresponding amount of cash. Pursuant to the Trust Agreement, wewill be obligated to provide to the Holder of a Residual Certificate (i) information necessary toenable it to prepare its federal income tax returns and (ii) any reports regarding the ResidualClass that may be required under the Code. See “Material Federal Income Tax Consequences—Taxation of Beneficial Owners of Residual Certificates” in the REMIC Prospectus.

S-25

Taxation of Beneficial Owners of RCR Certificates

The RCR Classes will be created, sold and administered pursuant to an arrangement that willbe classified as a grantor trust under subpart E, part I of subchapter J of the Code. The RegularCertificates that are exchanged for RCR Certificates set forth in Schedule 1 (including anyexchanges effective on the Settlement Date) will be the assets of the trust, and the RCRCertificates will represent an ownership interest of the underlying Regular Certificates. For ageneral discussion of the federal income tax treatment of beneficial owners of Regular Certificates,see “Material Federal Income Tax Consequences” in the REMIC Prospectus.

Generally, the ownership interest represented by an RCR certificate will be one of two types.A certificate of a Combination RCR Class (a “Combination RCR Certificate”) will represent benefi-cial ownership of undivided interests in one or more underlying Regular Certificates. A certificateof a Strip RCR Class (a “Strip RCR Certificate”) will represent the right to receive a dispropor-tionate part of the principal or interest payments on one or more underlying Regular Certificates.The FD, SD, FC and SC Classes are Classes of Strip RCR Certificates. The remaining RCRClasses are Classes of Combination RCR Certificates. See “Material Federal Income TaxConsequences—Taxation of Beneficial Owners of RCR Certificates” in the REMIC Prospectus for ageneral discussion of the federal income tax treatment of beneficial owners of RCR Certificates.

Tax Audit Procedures

The Bipartisan Budget Act of 2015, which was enacted on November 2, 2015, repeals andreplaces the rules applicable to certain administrative and judicial proceedings regarding aREMIC’s tax affairs, effective beginning with the 2018 taxable year. Under the new rules, apartnership, including for this purpose a REMIC, appoints one person to act as its solerepresentative in connection with IRS audits and related procedures. In the case of a REMIC, therepresentative’s actions, including the representative’s agreeing to adjustments to taxable income,will bind Residual Owners to a greater degree than would actions of the tax matters partner(“TMP”) under current rules. See “Material Federal Income Tax Consequences—Reporting andOther Administrative Matters” in the REMIC Prospectus for a discussion of the TMP. Further, anadjustment to the REMIC’s taxable income following an IRS audit may have to be taken intoaccount by those Residual Owners in the year in which the adjustment is made rather than in theyear to which the adjustment relates, and otherwise in different and potentially less advantageousways than under current rules. In some cases, a REMIC could itself be liable for taxes on incomeadjustments, although it is anticipated that each REMIC will seek to follow procedures in the newrules to avoid entity-level liability to the extent it otherwise may be imposed. The new rules,which will apply to both existing and future REMICs, are complex and likely will be clarified andpossibly revised before going into effect. Residual Owners should discuss with their own taxadvisors the possible effect of the new rules on them.

Foreign Investors

In IRS Notice 2015-66, the IRS announced on September 18, 2015 its intention to push backthe start date of FATCA withholding on gross proceeds from the sale or other disposition of anyproperty of a type that can produce interest from U.S. sources. Under this published guidance, a30-percent United States withholding tax (“FATCA withholding”) will apply to gross proceedsfrom the sale or other disposition of a Regular Certificate beginning on January 1, 2019 that arepaid to a non-U.S. entity that is a “financial institution” and fails to comply with certain reportingand other requirements or to a non-U.S. entity that is not a “financial institution” but fails todisclose the identity of its direct or indirect “substantial U.S. owners” or to certify that it has nosuch owners. FATCA withholding currently applies to payments treated as interest on a RegularCertificate paid to such persons. Various exceptions may apply. You should consult your own taxadvisor regarding the potential application and impact of this withholding tax based on yourparticular circumstances. See “Material Federal Income Tax Consequences—Foreign Investors” inthe REMIC Prospectus.

S-26

PLAN OF DISTRIBUTION

We are obligated to deliver the Group 1 and Group 3 Classes to Credit Suisse Securities(USA) LLC (the “Dealer”) in exchange for the Group 1 MBS and the Group 3 Underlying RCRCertificate.

We will assign the Group 4 MBS and Group 5 MBS to the Trust and may sell certain Certifi-cates of the Group 4 and Group 5 Classes to the Dealer in exchange for cash proceeds. We expectinitially to retain certain Certificates of the Group 4 and Group 5 Classes, and may sell some orall of the retained Certificates at any time in negotiated transactions at varying prices to bedetermined at the time of sale.

In addition, on the Settlement Date, we are obligated to transfer the A Class in Group 2, theB Class in Group 6 and the C Class in Group 7 to Fannie Mae Mega Trust Number 310182(CUSIP Number 31374CRB4), Number 310179 (CUSIP Number 31374CQ82) and Number 310180(CUSIP Number 31374CQ90), respectively, and to deliver the related Mega certificates to theDealer.

The Dealer proposes to offer the Certificates (other than the A, B and C Classes and any Certifi-cates initially retained by us) directly to the public from time to time in negotiated transactions atvarying prices to be determined at the time of sale. The Dealer may effect these transactions to orthrough other dealers.

CREDIT RISK RETENTION

The Certificates satisfy the requirements of the Credit Risk Retention Rule (12 C.F.R. Part1234) jointly promulgated by the Federal Housing Finance Agency (“FHFA”), the SEC and severalother federal agencies. In accordance with 12 C.F.R. 1234.8(a), (i) the Certificates are fullyguaranteed as to timely payment of principal and interest by Fannie Mae and (ii) Fannie Mae isoperating under the conservatorship of FHFA with capital support from the United States.

LEGAL MATTERS

Katten Muchin Rosenman LLP will provide legal representation for Fannie Mae. Morgan, Lewis &Bockius, LLP will provide legal representation for the Dealer.

S-27

Exhibit A-1

Group 2 Underlying REMIC and RCR Certificates

UnderlyingREMICTrust Class

Dateof

IssueCUSIP

NumberInterest

RateInterestType(1)

FinalDistribution

DatePrincipalType(1)

OriginalPrincipalBalanceof Class

June2016Class

Factor

PrincipalBalance inthe Trust

ApproximateWeightedAverage

WAC


WAM(in months)

ApproximateWeightedAverageWALA

(in months)

2009-65 JY August 2009 31396QL72 4.5% FIX September 2039 SEQ $29,607,000 0.21563016 $ 431,260.32 4.965% 270 832009-80 PM September 2009 31398FJM4 4.5 FIX October 2039 PAC 14,762,000 0.99009295 990,092.95 4.914 272 832009-106 DZ December 2009 31398GUX5 4.5 FIX/Z January 2040 SEQ 13,046,287 0.83065392 6,093,904.76 5.653 195 1522011-54 ZD May 2011 31397S6K5 4.5 FIX/Z June 2041 SEQ 45,021,000 0.66236079 29,820,145.13 4.901 292 622011-76 DM(2) July 2011 3136A0XF9 4.5 FIX August 2040 SC/SEQ 6,993,000 0.56673013 3,963,143.80 4.966 279 72

(1) See “Description of the Certificates—Class Definitions and Abbreviations” in the REMIC Prospectus.(2) The Class 2011-76-DM REMIC Certificate is backed by the Class 2010-149-H RCR Certificate, which is a Fixed Rate, SC/PT Class that is backed, in turn, by the Class

2010-81-EW RCR Certificate, which is a Fixed Rate, SC/NAS Class.

Group 3 Underlying RCR Certificate


Dateof

IssueCUSIP

NumberInterest

RateInterestType(1)

FinalDistribution



June2016Class

Factor



WAC


WAM(in months)


(in months)

2014-78 PA November 2014 3136ALR60 2.0% FIX May 2044 PAC $103,754,000 0.80836814 $75,787,746.60 (2) (2) (2)

(1) See “Description of the Certificates—Class Definitions and Abbreviations” in the REMIC Prospectus.(2) The Group 3 Underlying RCR Certificate is formed by a combination of the Fannie Mae REMIC certificates listed below having the following characteristics:

ClassInterest

TypePrincipal

Type


WAC


WAM(in months)


(in months)

2014-78-AB FIX PAC 4.960% 288 602014-78-AC FIX PAC 4.933 290 612014-78-AE FIX PAC 4.984 285 64

Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for thatpool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table wasreduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity.

A-1

Group 6 Underlying RCR Certificates


Dateof

IssueCUSIP

NumberInterest

RateInterestType(1)

FinalDistribution



June2016Class

Factor



WAC


WAM(in months)


(in months)

2011-52 KA May 2011 31397UDJ5 5.5% FIX April 2040 SEQ $538,004,537 0.18089601 $76,820,204.09 6.009% 213 1352011-52 KB May 2011 31397UDK2 5.5 FIX June 2041 SEQ 59,778,282 1.00000000 47,185,000.00 6.009 213 135

(1) See “Description of the Certificates—Class Definitions and Abbreviations” in the REMIC Prospectus.

Group 7 Underlying RCR Certificates


Dateof

IssueCUSIP

NumberInterest

RateInterestType(1)

FinalDistribution



June2016Class

Factor



WAC


WAM(in months)


(in months)

2011-52 LA May 2011 31397UDL0 5.5% FIX April 2040 SEQ $536,761,561 0.15015181 $63,572,023.93 6.122% 242 1072011-52 LB May 2011 31397UDM8 5.5 FIX June 2041 SEQ 59,640,173 1.00000000 47,042,777.00 6.122 242 107

(1) See “Description of the Certificates—Class Definitions and Abbreviations” in the REMIC Prospectus.

Note: For any pool of Mortgage Loans backing an underlying REMIC or RCR certificate, if a preliminary calculation indicated that the sum of the WAM and WALA for thatpool exceeded the longest original term to maturity of any Mortgage Loan in the pool, the WALA used in determining the information shown in the related table wasreduced as necessary to insure that the sum of the WAM and WALA does not exceed such original term to maturity.

A-2

Exhibit A-2

Assumed Characteristics of the Mortgage Loans Underlying the ARM MBS(As of June 1, 2016)

IssueDate

UnpaidPrincipalBalance

NetMortgageRate* (%)

MortgageRate(%)

OriginalTerm

(in months)


(in months)Loan Age

(in months)Margin

(%)

InitialRateCap(%)

PeriodicRateCap(%)

LifetimeRateCap(%)

LifetimeRateFloor

(%)

Monthsto RateChange

RateReset

Frequency(in months)

PaymentReset


RemainingInterest

OnlyPeriod

(in months) Index**

$ 154,948.52 2.285 2.875 360 148 212 2.000 *** N/A 13.1417 2.000 4 6 6 0 WSJ 6 Month LIBOR60,932.97 2.270 2.875 360 149 211 2.000 *** N/A 13.0000 2.000 5 6 6 0 WSJ 6 Month LIBOR73,817.44 2.455 2.875 360 149 211 2.000 *** N/A 13.0000 2.000 5 6 6 0 WSJ 6 Month LIBOR

301,299.01 2.395 2.875 360 149 211 2.000 *** 2.000 13.0347 2.000 5 6 6 0 WSJ 6 Month LIBOR14,941.70 2.455 2.875 360 159 201 2.000 *** N/A 13.3700 2.000 3 6 6 0 WSJ 6 Month LIBOR

241,832.91 2.263 2.875 360 160 200 2.000 *** N/A 13.6202 2.000 4 6 6 0 WSJ 6 Month LIBOR37,919.48 2.415 2.875 360 161 199 2.000 *** 2.000 14.2500 2.000 5 6 6 0 WSJ 6 Month LIBOR

172,886.10 2.395 2.875 360 160 200 2.000 *** 2.000 14.2500 2.000 4 6 6 0 WSJ 6 Month LIBOR51,619.87 2.020 2.625 360 169 191 2.000 *** 2.000 14.7500 2.000 1 6 6 0 WSJ 6 Month LIBOR

4,418,120.05 2.289 2.875 360 207 153 2.000 *** 1.000 10.0496 2.000 3 6 6 0 WSJ 6 Month LIBOR47,601.64 2.290 2.875 360 172 188 2.000 *** 2.000 14.5000 2.000 4 6 6 0 WSJ 6 Month LIBOR72,125.05 2.485 2.875 360 177 183 2.000 *** 2.000 13.2500 2.000 3 6 6 0 WSJ 6 Month LIBOR

8,005.57 2.290 2.875 360 184 176 2.000 *** 6.000† 13.0000 2.000 4 6 6 0 WSJ 6 Month LIBOR161,800.18 2.298 2.875 360 184 176 2.000 *** 2.000 13.0000 2.000 4 6 6 0 WSJ 6 Month LIBOR116,683.79 2.330 2.875 360 186 174 2.000 *** 1.000 10.5000 2.000 6 6 6 0 WSJ 6 Month LIBOR683,466.47 2.301 2.875 360 194 166 2.000 *** 1.000 10.6247 2.000 2 6 6 0 WSJ 6 Month LIBOR263,807.37 2.288 2.875 360 204 156 2.000 *** 1.000 10.6135 2.000 6 6 6 0 WSJ 6 Month LIBOR702,328.33 2.288 2.875 360 207 153 2.000 *** 1.000 9.6858 2.000 3 6 6 0 WSJ 6 Month LIBOR259,783.17 2.258 2.875 360 207 153 2.000 *** 1.000 9.9536 2.000 3 6 6 0 WSJ 6 Month LIBOR385,515.27 2.188 2.875 360 207 153 2.000 *** 1.000 9.4357 2.000 3 6 6 0 WSJ 6 Month LIBOR442,980.86 2.258 2.875 360 208 152 2.000 *** 1.000 9.5605 2.000 4 6 6 0 WSJ 6 Month LIBOR

91,553.50 3.130 3.625 360 195 165 2.750 *** 1.000 11.9017 2.750 3 6 6 N/A WSJ 6 Month LIBOR140,820.45 3.130 3.625 360 203 157 2.750 *** 1.000 10.6250 2.750 5 6 6 N/A WSJ 6 Month LIBOR336,390.43 3.130 3.625 360 203 157 2.750 *** 1.000 10.6692 2.750 5 6 6 N/A WSJ 6 Month LIBOR

2,019,542.67 2.071 2.655 360 205 155 2.000 *** 1.000 10.0111 2.000 2 6 6 0 WSJ 6 Month LIBOR131,704.13 3.130 3.625 360 204 156 2.750 *** 1.000 11.1250 2.750 6 6 6 N/A WSJ 6 Month LIBOR

62,254.60 3.130 3.625 360 204 156 2.750 *** 1.000 10.8750 2.750 6 6 6 N/A WSJ 6 Month LIBOR226,593.66 3.130 3.625 360 204 156 2.750 *** 1.000 10.3750 2.750 6 6 6 N/A WSJ 6 Month LIBOR



2,651,671.88 2.425 3.125 360 202 158 2.250 *** 2.000 11.3848 2.250 4 6 6 N/A WSJ 6 Month LIBOR387,680.13 2.880 3.375 360 205 155 2.750 *** 1.000 10.6663 2.750 1 6 6 N/A WSJ 6 Month LIBOR869,638.01 2.880 3.375 360 205 155 2.750 *** 1.000 10.6179 2.750 1 6 6 N/A WSJ 6 Month LIBOR357,215.22 2.880 3.375 360 205 155 2.750 *** 1.000 10.3984 2.750 1 6 6 N/A WSJ 6 Month LIBOR601,710.92 2.880 3.375 360 205 155 2.750 *** 1.000 10.5628 2.750 1 6 6 N/A WSJ 6 Month LIBOR223,871.34 2.880 3.375 360 205 155 2.750 *** 1.000 10.4654 2.750 1 6 6 N/A WSJ 6 Month LIBOR153,098.77 2.880 3.375 360 205 155 2.750 *** 1.000 10.3750 2.750 1 6 6 N/A WSJ 6 Month LIBOR137,644.39 2.880 3.375 360 205 155 2.750 *** 1.000 10.5000 2.750 1 6 6 N/A WSJ 6 Month LIBOR820,071.53 2.895 3.530 360 206 154 2.750 *** 1.000 10.1043 2.750 2 6 6 N/A WSJ 6 Month LIBOR

5,149,024.00 2.267 2.837 360 211 149 2.000 *** 1.000 9.9651 2.000 3 6 6 0 WSJ 6 Month LIBOR2,089,812.76 2.413 2.875 360 227 133 2.000 *** 1.000 10.5756 2.000 5 6 6 0 WSJ 6 Month LIBOR7,867,593.91 2.334 3.043 360 227 133 2.259 *** 2.000 11.8448 2.259 4 6 6 0 WSJ 6 Month LIBOR

A-3

IssueDate



MortgageRate(%)

OriginalTerm

(in months)


(in months)Loan Age

(in months)Margin

(%)

InitialRateCap(%)

PeriodicRateCap(%)

LifetimeRateCap(%)

LifetimeRateFloor

(%)

Monthsto RateChange

RateReset


PaymentReset


RemainingInterest

OnlyPeriod

(in months) Index**

$ 337,171.21 3.125 3.625 360 206 154 2.750 *** 1.000 10.2938 2.750 2 6 6 N/A WSJ 6 Month LIBOR204,663.18 3.125 3.625 360 206 154 2.750 *** 1.000 11.0000 2.750 2 6 6 N/A WSJ 6 Month LIBOR184,796.39 3.125 3.625 360 206 154 2.750 *** 1.000 10.1250 2.750 2 6 6 N/A WSJ 6 Month LIBOR159,680.74 3.125 3.625 360 206 154 2.750 *** 1.000 10.5000 2.750 2 6 6 N/A WSJ 6 Month LIBOR

7,059,532.29 2.295 2.985 360 205 155 2.250 *** 2.000 10.6983 2.250 2 6 6 N/A WSJ 6 Month LIBOR8,795,475.00 2.245 2.935 360 205 155 2.250 *** 2.000 10.8018 2.250 2 6 6 0 WSJ 6 Month LIBOR

489,607.64 2.488 3.625 360 207 153 2.750 *** 1.000 11.9289 2.750 3 6 6 N/A WSJ 6 Month LIBOR293,565.98 2.492 3.625 360 208 152 2.750 *** 1.000 12.4769 2.750 4 6 6 N/A WSJ 6 Month LIBOR815,121.30 3.003 3.625 360 207 153 2.750 *** 1.000 10.7815 2.750 3 6 6 N/A WSJ 6 Month LIBOR147,466.99 3.125 3.625 360 207 153 2.750 *** 1.000 11.1250 2.750 3 6 6 N/A WSJ 6 Month LIBOR371,047.53 3.125 3.625 360 207 153 2.750 *** 1.000 10.7411 2.750 3 6 6 N/A WSJ 6 Month LIBOR293,118.60 3.125 3.625 360 207 153 2.750 *** 1.000 11.2500 2.750 3 6 6 N/A WSJ 6 Month LIBOR400,122.55 2.379 2.862 360 207 153 2.000 *** 1.000 9.5853 2.000 3 6 6 N/A WSJ 6 Month LIBOR161,511.51 2.398 2.875 360 207 153 2.000 *** 1.000 9.3750 2.000 3 6 6 N/A WSJ 6 Month LIBOR

68,430.71 2.188 2.875 360 209 151 2.000 *** 1.000 10.3750 2.000 5 6 6 0 WSJ 6 Month LIBOR5,669,060.13 2.297 2.815 360 227 133 2.000 *** 1.000 10.4494 2.000 3 6 6 0 WSJ 6 Month LIBOR2,890,250.16 2.297 2.798 360 220 140 2.000 *** 1.000 10.4793 2.000 3 6 6 0 WSJ 6 Month LIBOR2,303,314.51 2.367 2.865 360 231 129 2.000 *** 1.000 10.4142 2.000 3 6 6 0 WSJ 6 Month LIBOR

13,459,062.08 2.344 2.792 360 239 121 2.000 *** 2.000 12.1111 2.000 3 6 6 0 WSJ 6 Month LIBOR1,756,104.42 2.170 2.809 360 204 156 2.000 *** 1.000 9.1051 2.000 3 6 6 0 WSJ 6 Month LIBOR

131,116.01 3.125 3.625 360 209 151 2.750 *** 1.000 10.5000 2.750 5 6 6 N/A WSJ 6 Month LIBOR384,214.49 3.125 3.625 360 208 152 2.750 *** 1.000 10.6945 2.750 4 6 6 N/A WSJ 6 Month LIBOR231,197.06 3.125 3.625 360 209 151 2.750 *** 1.000 11.1755 2.750 5 6 6 N/A WSJ 6 Month LIBOR209,261.45 3.125 3.625 360 209 151 2.750 *** 1.000 10.8750 2.750 5 6 6 N/A WSJ 6 Month LIBOR233,306.11 2.670 3.420 360 210 150 2.750 *** 1.000 11.5025 2.750 1 6 6 N/A WSJ 6 Month LIBOR729,935.93 3.055 3.555 360 210 150 2.750 *** 1.000 11.0337 2.750 5 6 6 N/A WSJ 6 Month LIBOR282,411.41 3.125 3.625 360 209 151 2.750 *** 1.000 10.9744 2.750 5 6 6 N/A WSJ 6 Month LIBOR

27,502.87 3.125 3.625 360 210 150 2.750 *** 1.000 10.6250 2.750 6 6 6 N/A WSJ 6 Month LIBOR234,234.59 3.125 3.625 360 210 150 2.750 *** 1.000 10.8308 2.750 6 6 6 N/A WSJ 6 Month LIBOR193,234.78 3.125 3.625 360 210 150 2.750 *** 1.000 10.9878 2.750 6 6 6 N/A WSJ 6 Month LIBOR185,806.79 3.125 3.625 360 210 150 2.750 *** 1.000 10.8750 2.750 6 6 6 N/A WSJ 6 Month LIBOR768,989.38 2.288 2.875 360 212 148 2.000 *** 1.000 10.0563 2.000 5 6 6 0 WSJ 6 Month LIBOR253,716.75 2.188 2.875 360 213 147 2.000 *** 1.000 9.8750 2.000 3 6 6 0 WSJ 6 Month LIBOR553,964.36 2.258 2.875 360 214 146 2.000 *** 1.000 9.6858 2.000 4 6 6 0 WSJ 6 Month LIBOR666,072.63 2.188 2.875 360 215 145 2.000 *** 1.000 9.6132 2.000 5 6 6 0 WSJ 6 Month LIBOR615,629.66 2.393 3.183 360 215 145 2.313 *** 1.000 9.6311 2.313 5 6 6 N/A WSJ 6 Month LIBOR414,056.93 2.398 2.875 360 214 146 2.000 *** 1.000 9.3166 2.000 4 6 6 N/A WSJ 6 Month LIBOR775,416.57 2.030 2.717 360 211 149 2.000 *** 1.000 10.1118 2.000 2 6 6 0 WSJ 6 Month LIBOR101,204.90 2.875 3.375 360 211 149 2.750 *** 1.000 10.6250 2.750 1 6 6 N/A WSJ 6 Month LIBOR348,023.02 2.875 3.375 360 211 149 2.750 *** 1.000 10.8676 2.750 1 6 6 N/A WSJ 6 Month LIBOR


62,003.25 3.050 3.625 360 210 150 2.750 *** 1.000 11.3750 2.750 6 6 6 N/A WSJ 6 Month LIBOR11,694,899.93 2.408 3.108 360 212 148 2.250 *** 2.000 10.9719 2.250 3 6 6 0 WSJ 6 Month LIBOR

103,515.83 3.125 3.625 360 214 146 2.750 *** 1.000 10.1250 2.750 4 6 6 N/A WSJ 6 Month LIBOR7,123,625.40 2.992 3.800 360 213 147 2.955 *** 1.000 10.0000 2.955 3 6 6 0 WSJ 6 Month LIBOR4,706,391.11 3.032 3.840 360 213 147 2.994 *** 1.000 10.2052 2.994 3 6 6 N/A WSJ 6 Month LIBOR

915,480.32 3.050 3.857 360 213 147 3.000 *** 1.000 9.2489 3.000 3 6 6 0 WSJ 6 Month LIBOR205,297.21 3.008 3.875 360 213 147 3.000 *** 1.000 9.6250 3.000 3 6 6 N/A WSJ 6 Month LIBOR675,246.39 2.950 3.817 360 214 146 2.942 *** 1.000 9.6468 2.942 4 6 6 0 WSJ 6 Month LIBOR

1,450,480.59 3.133 3.875 360 214 146 3.000 *** 1.000 10.2772 3.000 4 6 6 N/A WSJ 6 Month LIBOR8,581,142.23 2.422 3.122 360 213 147 2.250 *** 2.000 10.8305 2.250 3 6 6 N/A WSJ 6 Month LIBOR

A-4

IssueDate



MortgageRate(%)

OriginalTerm

(in months)


(in months)Loan Age

(in months)Margin

(%)

InitialRateCap(%)

PeriodicRateCap(%)

LifetimeRateCap(%)

LifetimeRateFloor

(%)

Monthsto RateChange

RateReset


PaymentReset


RemainingInterest

OnlyPeriod

(in months) Index**

$ 3,612,936.90 2.425 3.125 360 213 147 2.250 *** 2.000 10.8900 2.250 4 6 6 N/A WSJ 6 Month LIBOR1,802,090.04 2.425 3.125 360 214 146 2.250 *** 2.000 10.7760 2.250 4 6 6 N/A WSJ 6 Month LIBOR

29,603,567.13 2.422 3.122 360 213 147 2.250 *** 2.000 10.9293 2.250 3 6 6 0 WSJ 6 Month LIBOR12,373,511.58 2.423 3.123 360 213 147 2.250 *** 2.000 10.8424 2.250 3 6 6 0 WSJ 6 Month LIBOR15,874,520.92 2.422 3.122 360 213 147 2.250 *** 2.000 10.9189 2.250 3 6 6 0 WSJ 6 Month LIBOR

8,637,337.67 2.425 3.125 360 213 147 2.250 *** 2.000 10.8690 2.250 3 6 6 0 WSJ 6 Month LIBOR1,103,387.07 2.398 2.875 360 215 145 2.000 *** 1.000 9.1249 2.000 5 6 6 N/A WSJ 6 Month LIBOR

814,310.41 2.136 2.823 360 216 144 2.000 *** 1.000 9.6074 2.000 5 6 6 0 WSJ 6 Month LIBOR390,186.51 2.220 2.702 360 217 143 2.000 *** 1.000 10.4920 2.000 3 6 6 N/A WSJ 6 Month LIBOR234,328.48 3.125 3.625 360 215 145 2.750 *** 1.000 10.7500 2.750 5 6 6 N/A WSJ 6 Month LIBOR294,250.70 3.125 3.625 360 215 145 2.750 *** 1.000 10.6043 2.750 5 6 6 N/A WSJ 6 Month LIBOR437,020.46 3.125 3.625 360 215 145 2.750 *** 1.000 10.5000 2.750 5 6 6 N/A WSJ 6 Month LIBOR

56,948.38 3.125 3.625 360 215 145 2.750 *** 1.000 10.8750 2.750 5 6 6 N/A WSJ 6 Month LIBOR336,771.79 3.008 3.875 360 214 146 3.000 *** 1.000 9.7818 3.000 4 6 6 0 WSJ 6 Month LIBOR


1,259,374.94 2.425 3.125 360 214 146 2.250 *** 2.000 10.8594 2.250 4 6 6 N/A WSJ 6 Month LIBOR30,345,792.68 2.425 3.125 360 214 146 2.250 *** 2.000 10.8656 2.250 4 6 6 0 WSJ 6 Month LIBOR11,036,531.98 2.425 3.125 360 214 146 2.250 *** 2.000 10.8636 2.250 4 6 6 0 WSJ 6 Month LIBOR





371,568.68 2.975 3.470 360 217 143 2.750 *** 1.000 11.4400 2.750 3 6 6 N/A WSJ 6 Month LIBOR265,701.94 2.057 2.645 360 206 154 2.000 *** 1.000 9.5450 2.000 1 6 6 0 WSJ 6 Month LIBOR

99,544.18 2.258 2.875 360 218 142 2.000 *** 1.000 10.7100 2.000 2 6 6 0 WSJ 6 Month LIBOR754,199.79 2.398 2.875 360 218 142 2.000 *** 1.000 9.9076 2.000 2 6 6 N/A WSJ 6 Month LIBOR261,962.65 2.035 2.722 360 218 142 2.000 *** 1.000 10.3353 2.000 2 6 6 0 WSJ 6 Month LIBOR157,738.57 2.188 2.875 360 219 141 2.000 *** 1.000 10.6250 2.000 3 6 6 0 WSJ 6 Month LIBOR569,721.66 2.288 2.875 360 220 140 2.000 *** 1.000 10.6121 2.000 4 6 6 0 WSJ 6 Month LIBOR




18,038,733.44 2.349 3.033 360 216 144 2.250 *** 2.000 11.2860 2.250 3 6 6 N/A WSJ 6 Month LIBOR14,251,738.82 2.355 3.053 360 216 144 2.250 *** 2.000 11.0838 2.250 4 6 6 0 WSJ 6 Month LIBOR35,600,155.14 2.315 2.984 360 217 143 2.250 *** 2.000 11.5388 2.250 2 6 6 0 WSJ 6 Month LIBOR


438,006.04 3.130 3.625 360 219 141 2.750 *** 1.000 11.6659 2.750 3 6 6 N/A WSJ 6 Month LIBOR168,677.38 2.393 2.875 360 220 140 2.000 *** 1.000 10.7900 2.000 4 6 6 N/A WSJ 6 Month LIBOR450,947.43 2.398 2.875 360 218 142 2.000 *** 1.000 9.1012 2.000 4 6 6 N/A WSJ 6 Month LIBOR113,435.73 2.188 2.875 360 219 141 2.000 *** 1.000 9.6250 2.000 3 6 6 0 WSJ 6 Month LIBOR398,548.53 2.393 2.875 360 220 140 2.000 *** 1.000 10.4592 2.000 4 6 6 N/A WSJ 6 Month LIBOR

A-5

IssueDate



MortgageRate(%)

OriginalTerm

(in months)


(in months)Loan Age

(in months)Margin

(%)

InitialRateCap(%)

PeriodicRateCap(%)

LifetimeRateCap(%)

LifetimeRateFloor

(%)

Monthsto RateChange

RateReset


PaymentReset


RemainingInterest

OnlyPeriod

(in months) Index**

$ 377,665.80 2.398 2.875 360 220 140 2.000 *** 1.000 10.2160 2.000 4 6 6 N/A WSJ 6 Month LIBOR680,653.09 2.295 2.875 360 222 138 2.000 *** 1.000 10.3158 2.000 6 6 6 0 WSJ 6 Month LIBOR317,275.86 2.393 2.875 360 221 139 2.000 *** 1.000 10.5853 2.000 5 6 6 N/A WSJ 6 Month LIBOR404,803.81 2.038 2.625 360 223 137 2.000 *** 1.000 9.8963 2.000 1 6 6 0 WSJ 6 Month LIBOR


73,922.84 3.130 3.625 360 220 140 2.750 *** 1.000 10.8750 2.750 4 6 6 N/A WSJ 6 Month LIBOR217,408.20 3.130 3.625 360 220 140 2.750 *** 1.000 10.2500 2.750 4 6 6 N/A WSJ 6 Month LIBOR243,239.79 3.130 3.625 360 219 141 2.750 *** 1.000 11.3750 2.750 3 6 6 N/A WSJ 6 Month LIBOR531,409.50 3.130 3.625 360 220 140 2.750 *** 1.000 11.1373 2.750 4 6 6 N/A WSJ 6 Month LIBOR


63,043.93 3.130 3.625 360 221 139 2.750 *** 1.000 10.7500 2.750 5 6 6 N/A WSJ 6 Month LIBOR48,877,559.42 2.426 3.120 360 220 140 2.250 *** 2.000 11.4498 2.250 4 6 6 0 WSJ 6 Month LIBOR25,874,790.24 2.417 3.121 360 220 140 2.250 *** 2.000 11.3983 2.250 4 6 6 0 WSJ 6 Month LIBOR10,247,791.05 2.390 3.100 360 220 140 2.250 *** 2.000 11.4505 2.250 4 6 6 N/A WSJ 6 Month LIBOR

3,133,702.42 2.426 3.109 360 220 140 2.250 *** 2.000 11.4272 2.250 4 6 6 N/A WSJ 6 Month LIBOR173,585.62 3.130 3.625 360 221 139 2.750 *** 1.000 10.8750 2.750 5 6 6 N/A WSJ 6 Month LIBOR


2,859,194.40 2.203 2.826 360 220 140 2.000 *** 1.000 10.1421 2.000 4 6 6 0 WSJ 6 Month LIBOR494,268.91 2.248 2.875 360 226 134 2.000 *** 1.000 9.9844 2.000 4 6 6 0 WSJ 6 Month LIBOR279,288.45 2.276 2.875 360 231 129 2.000 *** 1.000 10.4556 2.000 3 6 6 0 WSJ 6 Month LIBOR

16,916,891.19 2.390 3.086 360 224 136 2.250 *** 2.000 11.5592 2.250 3 6 6 0 WSJ 6 Month LIBOR202,959.78 3.130 3.625 360 225 135 2.750 *** 1.000 11.1250 2.750 3 6 6 N/A WSJ 6 Month LIBOR171,271.43 3.165 3.625 360 228 132 2.750 *** 1.000 11.7500 2.750 6 6 6 N/A WSJ 6 Month LIBOR




28,973,687.12 2.396 3.111 360 230 130 2.250 *** 2.000 11.9106 2.250 2 6 6 0 WSJ 6 Month LIBOR18,492,309.88 2.395 3.110 360 230 130 2.250 *** 2.000 11.9226 2.250 2 6 6 0 WSJ 6 Month LIBOR23,842,841.14 2.400 3.115 360 230 130 2.250 *** 2.000 11.8371 2.250 2 6 6 0 WSJ 6 Month LIBOR14,437,248.74 2.389 3.104 360 230 130 2.250 *** 2.000 11.8874 2.250 2 6 6 0 WSJ 6 Month LIBOR

1,520,869.28 2.390 2.875 360 234 126 2.000 *** 1.000 10.3889 2.000 6 6 6 0 WSJ 6 Month LIBOR544,146.09 2.518 2.875 360 232 128 2.000 *** 1.000 10.6413 2.000 4 6 6 N/A WSJ 6 Month LIBOR

2,774,205.39 2.337 2.840 360 234 126 2.000 *** 1.000 10.6173 2.000 5 6 6 0 WSJ 6 Month LIBOR584,362.52 2.413 2.875 360 234 126 2.000 *** 1.000 10.7579 2.000 6 6 6 0 WSJ 6 Month LIBOR261,080.51 2.238 2.860 360 233 127 2.000 *** 1.000 10.3816 2.000 5 6 6 0 WSJ 6 Month LIBOR367,454.83 2.398 2.875 360 233 127 2.000 *** 1.000 10.5203 2.000 5 6 6 N/A WSJ 6 Month LIBOR

76,617.34 2.268 2.625 360 235 125 2.000 *** 1.000 11.0400 2.000 1 6 6 N/A WSJ 6 Month LIBOR1,133,066.62 2.264 2.875 360 235 125 2.000 *** 1.000 10.9484 2.000 3 6 6 0 WSJ 6 Month LIBOR1,290,585.55 2.390 2.875 360 236 124 2.000 *** 1.000 10.9245 2.000 2 6 6 0 WSJ 6 Month LIBOR1,660,520.39 2.385 2.875 360 236 124 2.000 *** 1.000 10.8112 2.000 2 6 6 0 WSJ 6 Month LIBOR

283,209.13 2.231 2.733 360 236 124 2.000 *** 1.000 11.1406 2.000 2 6 6 0 WSJ 6 Month LIBOR102,644.14 2.523 2.875 360 236 124 2.000 *** 1.000 10.2500 2.000 2 6 6 N/A WSJ 6 Month LIBOR267,235.50 2.456 2.813 360 237 123 2.000 *** 1.000 10.7081 2.000 3 6 6 N/A WSJ 6 Month LIBOR880,084.68 2.390 2.875 360 237 123 2.000 *** 1.000 11.1449 2.000 3 6 6 0 WSJ 6 Month LIBOR273,670.64 3.165 3.625 360 233 127 2.750 *** 1.000 11.1250 2.750 5 6 6 N/A WSJ 6 Month LIBOR184,876.68 3.165 3.625 360 233 127 2.750 *** 1.000 11.6250 2.750 5 6 6 N/A WSJ 6 Month LIBOR

A-6

IssueDate



MortgageRate(%)

OriginalTerm

(in months)


(in months)Loan Age

(in months)Margin

(%)

InitialRateCap(%)

PeriodicRateCap(%)

LifetimeRateCap(%)

LifetimeRateFloor

(%)

Monthsto RateChange

RateReset


PaymentReset


RemainingInterest

OnlyPeriod

(in months) Index**

$ 177,648.49 3.165 3.625 360 234 126 2.750 *** 1.000 11.5000 2.750 6 6 6 N/A WSJ 6 Month LIBOR201,820.65 3.165 3.625 360 236 124 2.750 *** 1.000 11.5000 2.750 2 6 6 N/A WSJ 6 Month LIBOR

2,328,225.72 3.286 3.849 360 225 135 3.000 *** 1.000 10.7753 3.000 3 6 6 N/A WSJ 6 Month LIBOR5,561,001.83 2.401 3.081 360 234 126 2.266 *** 2.000 12.3929 2.266 5 6 6 0 WSJ 6 Month LIBOR1,813,585.43 2.393 2.875 360 238 122 2.000 *** 1.000 10.9728 2.000 4 6 6 0 WSJ 6 Month LIBOR1,371,852.26 2.409 2.875 360 239 121 2.000 *** 1.000 10.8657 2.000 5 6 6 0 WSJ 6 Month LIBOR

469,129.59 2.288 2.875 360 240 120 2.000 *** 1.000 11.3576 2.000 6 6 6 0 WSJ 6 Month LIBOR8,300,228.99 2.370 2.795 360 249 111 2.000 *** 2.000 12.1609 2.000 3 6 6 0 WSJ 6 Month LIBOR1,104,606.09 3.414 3.664 360 229 131 2.891 *** 1.000 10.6119 2.891 3 6 6 0 WSJ 6 Month LIBOR4,001,547.81 3.524 3.774 360 225 135 2.931 *** 1.000 10.6883 2.931 4 6 6 0 WSJ 6 Month LIBOR



11,520,259.90 2.199 3.249 360 246 114 2.457 *** 2.000 13.4414 2.457 4 6 6 N/A WSJ 6 Month LIBOR451,727.20 2.294 3.164 360 246 114 2.374 *** 1.000 11.7976 2.374 4 6 6 6 WSJ 6 Month LIBOR194,484.14 1.780 3.125 360 251 109 2.250 *** 1.000 11.6455 2.250 5 6 6 11 WSJ 6 Month LIBOR375,156.80 1.780 3.125 360 251 109 2.250 *** 1.000 11.7500 2.250 5 6 6 N/A WSJ 6 Month LIBOR511,922.59 2.445 3.125 360 252 108 2.250 *** 1.000 12.1634 2.250 6 6 6 12 WSJ 6 Month LIBOR523,232.72 2.328 3.008 360 252 108 2.250 *** 1.000 11.2918 2.250 4 6 6 N/A WSJ 6 Month LIBOR244,343.61 2.445 3.125 360 252 108 2.250 *** 1.000 11.3750 2.250 6 6 6 N/A WSJ 6 Month LIBOR249,774.45 3.165 3.625 360 252 108 2.750 *** 1.000 11.5000 2.750 6 6 6 N/A WSJ 6 Month LIBOR733,866.01 2.271 2.952 360 253 107 2.250 *** 2.000 12.7660 2.250 1 6 6 13 WSJ 6 Month LIBOR


85,235.01 2.645 3.625 360 239 121 2.750 *** 1.000 12.2500 2.750 5 6 6 N/A WSJ 6 Month LIBOR

* The “Net Mortgage Rate” of a Hybrid ARM Loan is equal to its then current interest rate less the sum of the related servicing fee and our guaranty fee (expressed ineach case as an annual percentage).

** For a description of the Index, see “The Mortgage Loans—Adjustable-Rate Mortgage Loans (ARM Loans)—ARM Indices” in the MBS Prospectus.*** We have assumed that all applicable initial fixed-rate periods have expired and that all initial rate adjustments have occurred.

† For additional information about this periodic rate cap, see the prospectus supplement for the related ARM MBS.

Expected ARM MBS(As of June 1, 2016)

The pool numbers of the adjustable-rate MBS expected to be included in the Trust are listed below:

Pool NumberIssue Date UnpaidPrincipal Balance

450699 $ 154,948.52453797 60,932.97453800 73,817.44453962 301,299.01522556 14,941.70526007 241,832.91532301 37,919.48534761 172,886.10546581 51,619.87

A-7


555898 $ 4,418,120.05559394 47,601.64580662 72,125.05603681 8,005.57620269 161,800.18620280 116,683.79653999 683,466.47658397 263,807.37658536 702,328.33658557 259,783.17658558 385,515.27658559 442,980.86668910 91,553.50711467 140,820.45711472 336,390.43722440 2,019,542.67722835 131,704.13722837 62,254.60722839 226,593.66722840 85,797.84722841 70,768.93722844 412,422.60722845 155,853.17726775 2,651,671.88730272 387,680.13730273 869,638.01730275 357,215.22730279 601,710.92730280 223,871.34730282 153,098.77730283 137,644.39731989 820,071.53735606 5,149,024.00735700 2,089,812.76735890 7,867,593.91737791 337,171.21737796 204,663.18737797 184,796.39737801 159,680.74739756 7,059,532.29739758 8,795,475.00741398 489,607.64741399 293,565.98741461 815,121.30742231 147,466.99742234 371,047.53742235 293,118.60742345 400,122.55744643 161,511.51744926 68,430.71745010 5,669,060.13745012 2,890,250.16745037 2,303,314.51745995 13,459,062.08748104 1,756,104.42756437 131,116.01

A-8


756453 $ 384,214.49756454 231,197.06756455 209,261.45762231 233,306.11763219 729,935.93763220 282,411.41763222 27,502.87763223 234,234.59763227 193,234.78763228 185,806.79764171 768,989.38764206 253,716.75764218 553,964.36764220 666,072.63764469 615,629.66764499 414,056.93764534 775,416.57768073 101,204.90768074 348,023.02773961 81,350.74773971 211,800.73775868 62,003.25776488 11,694,899.93777910 103,515.83778129 7,123,625.40778130 4,706,391.11778131 915,480.32778273 205,297.21778274 675,246.39778314 1,450,480.59780286 8,581,142.23780287 3,612,936.90780289 1,802,090.04780291 29,603,567.13780292 12,373,511.58780293 15,874,520.92780294 8,637,337.67780418 1,103,387.07780483 814,310.41780520 390,186.51782228 234,328.48782231 294,250.70782233 437,020.46782236 56,948.38782524 336,771.79782535 4,553,958.85784352 11,862,735.99784353 1,259,374.94784363 30,345,792.68784364 11,036,531.98787641 75,094.21787645 165,467.70787647 206,777.66788353 9,021,807.58789457 13,624,229.92789458 3,335,690.41

A-9


789462 $54,846,675.86791514 231,716.07791517 51,611.67791522 371,568.68791873 265,701.94791971 99,544.18791977 754,199.79792018 261,962.65792049 157,738.57792058 569,721.66792069 40,369.92793028 22,215,068.00793896 193,117.10793897 170,313.79793898 288,771.28795731 6,075,659.95795732 3,733,899.79795999 18,038,733.44796990 14,251,738.82796991 35,600,155.14798484 118,533.13798486 50,333.63798491 438,006.04798701 168,677.38798703 450,947.43798704 113,435.73798705 398,548.53798709 377,665.80798787 680,653.09798805 317,275.86798960 404,803.81799121 89,539.50801340 20,112,742.00803313 73,922.84803314 217,408.20803317 243,239.79803318 531,409.50803595 26,242,338.25803600 7,028,263.21806469 63,043.93806765 48,877,559.42806768 25,874,790.24806774 10,247,791.05806777 3,133,702.42810218 173,585.62810903 8,347,729.58813196 222,497.52813572 2,859,194.40817150 494,268.91817608 279,288.45820603 16,916,891.19823453 202,959.78827098 171,271.43827792 7,764,059.55828847 4,353,785.40834613 158,826.96

A-10


838368 $ 258,261.57840039 8,401,414.69841827 224,993.42843019 28,973,687.12843029 18,492,309.88843030 23,842,841.14843031 14,437,248.74846895 1,520,869.28846914 544,146.09846939 2,774,205.39846942 584,362.52846943 261,080.51851443 367,454.83851449 76,617.34851544 1,133,066.62851547 1,290,585.55851549 1,660,520.39851597 283,209.13851601 102,644.14851604 267,235.50851609 880,084.68863613 273,670.64863614 184,876.68866925 177,648.49869226 201,820.65877005 2,328,225.72879156 5,561,001.83882013 1,813,585.43882054 1,371,852.26882107 469,129.59888554 8,300,228.99907789 1,104,606.09907796 4,001,547.81913260 172,905.37913262 263,005.98913992 28,654,282.62920548 2,032,706.04920955 11,520,259.90923026 451,727.20923782 194,484.14923783 375,156.80945008 511,922.59945018 523,232.72945024 244,343.61945107 249,774.45946447 733,866.01948200 1,915,332.11948203 17,124,173.64960169 85,235.01

A-11

Schedule 1

Available Recombinations(1)

REMIC Certificates RCR Certificates

ClassesOriginalBalances

RCRClasses

OriginalBalances

PrincipalType(2)

InterestRate

InterestType(2)

CUSIPNumber

FinalDistribution

Date

Recombination 1MA $ 2,762,000 NT $ 54,980,000 SEQ 3.00% FIX 3136ASC53 June 2041MK 47,889,000MB 4,329,000

Recombination 2MK 47,889,000 NC 52,218,000 SEQ 3.00 FIX 3136ASC61 September 2040MB 4,329,000

Recombination 3CJ 297,607,824 CH 297,607,824 PT 2.00 FIX 3136ASC79 July 2046IO 29,760,782(3)

Recombination 4CJ 297,607,824 CK 297,607,824 PT 2.25 FIX 3136ASC87 July 2046IO 44,641,174(3)

Recombination 5CJ 297,607,824 CL 297,607,824 PT 2.50 FIX 3136ASC95 July 2046IO 59,521,565(3)

Recombination 6CJ 297,607,824 CE 297,607,824 PT 1.75 FIX 3136ASD29 July 2046IO 14,880,391(3)

Recombination 7CJ 297,607,824 CG 297,607,824 PT 3.00 FIX 3136ASD37 July 2046IO 89,282,347(3)

Recombination 8CJ 208,325,476 FD 208,325,476 PT (4) FLT 3136ASD45 July 2046IO 208,325,476(3) SD 208,325,476(3) NTL (4) INV/IO 3136ASD52 July 2046

A-12

REMIC Certificates RCR Certificates

ClassesOriginalBalances

RCRClasses

OriginalBalances

PrincipalType(2)

InterestRate

InterestType(2)

CUSIPNumber

FinalDistribution

Date

Recombination 9CJ $208,325,476 FC $208,325,476 PT (4) FLT 3136ASD60 July 2046IO 208,325,476(3) SC 208,325,476(3) NTL (4) INV/IO 3136ASD78 July 2046

(1) REMIC Certificates and RCR Certificates in each Recombination may be exchanged only in the proportions of original principal or notional principal balances for therelated Classes shown in this Schedule 1 (disregarding any retired Classes). For example, if a particular Recombination includes two REMIC Classes and one RCRClass whose original principal balances shown in the schedule reflect a 1:1:2 relationship, the same 1:1:2 relationship among the original principal balances of thoseREMIC and RCR Classes must be maintained in any exchange. This is true even if, as a result of the applicable payment priority sequence, the relationship betweentheir current principal balances has changed over time. Moreover, if as a result of a proposed exchange, a Certificateholder would hold a REMIC Certificate or RCRCertificate of a Class in an amount less than the applicable minimum denomination for that Class, the Certificateholder will be unable to effect the proposed exchange.See “Description of the Certificates—General— Authorized Denominations” in this prospectus supplement.

(2) See “Description of the Certificates—Class Definitions and Abbreviations” in the REMIC Prospectus.(3) Notional principal balances. These Classes are Interest Only Classes. See page S-7 for a description of how their notional principal balances are calculated.(4) For a description of these interest rates, see “Summary—Interest Rates” in this prospectus supplement.

A-13

Principal Balance Schedule

HA Class Planned Balances

DistributionDate

PlannedBalance

Initial Balance . . . . . . $69,051,253.00July 2016 . . . . . . . . . . . 68,289,361.30August 2016 . . . . . . . . 67,530,754.37September 2016 . . . . . 66,775,587.45October 2016 . . . . . . . . 66,023,862.63November 2016 . . . . . 65,275,726.48December 2016 . . . . . . 64,531,323.86January 2017 . . . . . . . 63,791,339.34February 2017 . . . . . . 63,055,919.79March 2017 . . . . . . . . . 62,326,009.12April 2017 . . . . . . . . . . 61,601,567.22May 2017 . . . . . . . . . . 60,882,554.26June 2017 . . . . . . . . . . 60,168,930.69July 2017 . . . . . . . . . . . 59,460,657.23August 2017 . . . . . . . . 58,757,694.92September 2017 . . . . . 58,060,005.03October 2017 . . . . . . . . 57,367,549.12November 2017 . . . . . 56,680,289.05December 2017 . . . . . . 55,998,186.91January 2018 . . . . . . . 55,321,205.08February 2018 . . . . . . 54,649,306.21March 2018 . . . . . . . . . 53,982,453.21April 2018 . . . . . . . . . . 53,320,609.25May 2018 . . . . . . . . . . 52,663,737.78June 2018 . . . . . . . . . . 52,011,802.48July 2018 . . . . . . . . . . . 51,364,767.30August 2018 . . . . . . . . 50,722,596.47September 2018 . . . . . 50,085,254.44October 2018 . . . . . . . . 49,452,705.94November 2018 . . . . . 48,824,915.92December 2018 . . . . . . 48,201,849.61January 2019 . . . . . . . 47,583,472.47February 2019 . . . . . . 46,969,750.21March 2019 . . . . . . . . . 46,360,648.79April 2019 . . . . . . . . . . 45,756,134.39May 2019 . . . . . . . . . . 45,156,173.47June 2019 . . . . . . . . . . 44,560,732.68July 2019 . . . . . . . . . . . 43,969,778.95August 2019 . . . . . . . . 43,383,279.42September 2019 . . . . . 42,801,201.47October 2019 . . . . . . . . 42,223,512.71November 2019 . . . . . 41,650,181.00December 2019 . . . . . . 41,081,174.39January 2020 . . . . . . . 40,516,461.20February 2020 . . . . . . 39,956,009.93March 2020 . . . . . . . . . 39,399,789.36April 2020 . . . . . . . . . . 38,847,768.43May 2020 . . . . . . . . . . 38,299,916.35June 2020 . . . . . . . . . . 37,756,202.53July 2020 . . . . . . . . . . . 37,216,596.60August 2020 . . . . . . . . 36,681,068.40September 2020 . . . . . 36,149,587.98October 2020 . . . . . . . . 35,622,125.64November 2020 . . . . . 35,098,651.84December 2020 . . . . . . 34,579,137.28January 2021 . . . . . . . 34,063,552.87

DistributionDate

PlannedBalance

February 2021 . . . . . . $33,551,869.71March 2021 . . . . . . . . . 33,044,059.13April 2021 . . . . . . . . . . 32,540,092.63May 2021 . . . . . . . . . . 32,039,941.96June 2021 . . . . . . . . . . 31,543,579.02July 2021 . . . . . . . . . . . 31,050,975.94August 2021 . . . . . . . . 30,562,105.05September 2021 . . . . . 30,076,938.87October 2021 . . . . . . . . 29,595,450.11November 2021 . . . . . 29,117,611.68December 2021 . . . . . . 28,643,396.69January 2022 . . . . . . . 28,172,778.42February 2022 . . . . . . 27,705,730.37March 2022 . . . . . . . . . 27,242,226.21April 2022 . . . . . . . . . . 26,782,239.80May 2022 . . . . . . . . . . 26,325,745.18June 2022 . . . . . . . . . . 25,872,716.59July 2022 . . . . . . . . . . . 25,423,128.45August 2022 . . . . . . . . 24,976,955.35September 2022 . . . . . 24,534,172.07October 2022 . . . . . . . . 24,095,432.78November 2022 . . . . . 23,662,645.10December 2022 . . . . . . 23,235,732.10January 2023 . . . . . . . 22,814,617.84February 2023 . . . . . . 22,399,227.32March 2023 . . . . . . . . . 21,989,486.49April 2023 . . . . . . . . . . 21,585,322.23May 2023 . . . . . . . . . . 21,186,662.34June 2023 . . . . . . . . . . 20,793,435.52July 2023 . . . . . . . . . . . 20,405,571.39August 2023 . . . . . . . . 20,023,000.43September 2023 . . . . . 19,645,654.02October 2023 . . . . . . . . 19,273,464.38November 2023 . . . . . 18,906,364.60December 2023 . . . . . . 18,544,288.60January 2024 . . . . . . . 18,187,171.16February 2024 . . . . . . 17,834,947.86March 2024 . . . . . . . . . 17,487,555.08April 2024 . . . . . . . . . . 17,144,930.03May 2024 . . . . . . . . . . 16,807,010.71June 2024 . . . . . . . . . . 16,473,735.87July 2024 . . . . . . . . . . . 16,145,045.08August 2024 . . . . . . . . 15,820,878.63September 2024 . . . . . 15,501,177.60October 2024 . . . . . . . . 15,185,883.78November 2024 . . . . . 14,874,939.73December 2024 . . . . . . 14,568,288.70January 2025 . . . . . . . 14,266,363.72February 2025 . . . . . . 13,969,511.13March 2025 . . . . . . . . . 13,676,825.61April 2025 . . . . . . . . . . 13,388,251.87May 2025 . . . . . . . . . . 13,103,735.30June 2025 . . . . . . . . . . 12,823,222.03July 2025 . . . . . . . . . . . 12,546,658.87August 2025 . . . . . . . . 12,273,993.31September 2025 . . . . . 12,005,173.51

DistributionDate

PlannedBalance

October 2025 . . . . . . . . $11,740,148.32November 2025 . . . . . 11,478,867.23December 2025 . . . . . . 11,221,280.38January 2026 . . . . . . . 10,967,338.56February 2026 . . . . . . 10,716,993.19March 2026 . . . . . . . . . 10,470,196.32April 2026 . . . . . . . . . . 10,226,900.62May 2026 . . . . . . . . . . 9,987,059.38June 2026 . . . . . . . . . . 9,750,626.44July 2026 . . . . . . . . . . . 9,517,556.32August 2026 . . . . . . . . 9,287,804.05September 2026 . . . . . 9,061,325.29October 2026 . . . . . . . . 8,838,076.26November 2026 . . . . . 8,618,013.72December 2026 . . . . . . 8,401,095.04January 2027 . . . . . . . 8,187,278.08February 2027 . . . . . . 7,976,521.30March 2027 . . . . . . . . . 7,768,783.65April 2027 . . . . . . . . . . 7,564,024.66May 2027 . . . . . . . . . . 7,362,204.35June 2027 . . . . . . . . . . 7,163,283.26July 2027 . . . . . . . . . . . 6,967,222.44August 2027 . . . . . . . . 6,773,983.47September 2027 . . . . . 6,583,528.39October 2027 . . . . . . . . 6,395,819.76November 2027 . . . . . 6,210,820.61December 2027 . . . . . . 6,028,494.46January 2028 . . . . . . . 5,848,805.29February 2028 . . . . . . 5,671,717.56March 2028 . . . . . . . . . 5,497,196.18April 2028 . . . . . . . . . . 5,325,206.53May 2028 . . . . . . . . . . 5,155,714.43June 2028 . . . . . . . . . . 4,988,686.15July 2028 . . . . . . . . . . . 4,824,088.37August 2028 . . . . . . . . 4,661,888.25September 2028 . . . . . 4,502,053.34October 2028 . . . . . . . . 4,344,551.63November 2028 . . . . . 4,189,351.52December 2028 . . . . . . 4,036,421.82January 2029 . . . . . . . 3,885,731.75February 2029 . . . . . . 3,737,250.93March 2029 . . . . . . . . . 3,590,949.36April 2029 . . . . . . . . . . 3,446,797.47May 2029 . . . . . . . . . . 3,304,766.02June 2029 . . . . . . . . . . 3,164,826.21July 2029 . . . . . . . . . . . 3,026,949.58August 2029 . . . . . . . . 2,891,108.03September 2029 . . . . . 2,757,273.86October 2029 . . . . . . . . 2,625,419.71November 2029 . . . . . 2,495,518.59December 2029 . . . . . . 2,367,543.85January 2030 . . . . . . . 2,241,469.19February 2030 . . . . . . 2,117,268.67March 2030 . . . . . . . . . 1,994,916.65April 2030 . . . . . . . . . . 1,874,387.88May 2030 . . . . . . . . . . 1,755,657.41

B-1

HA Class (Continued)

DistributionDate

PlannedBalance

June 2030 . . . . . . . . . . $ 1,638,700.59July 2030 . . . . . . . . . . . 1,523,493.15August 2030 . . . . . . . . 1,410,011.09September 2030 . . . . . 1,298,230.75October 2030 . . . . . . . . 1,188,128.78November 2030 . . . . . 1,079,682.12

DistributionDate

PlannedBalance

December 2030 . . . . . . $ 972,868.01January 2031 . . . . . . . 867,664.03February 2031 . . . . . . 764,048.00March 2031 . . . . . . . . . 661,998.06April 2031 . . . . . . . . . . 561,492.62May 2031 . . . . . . . . . . 462,510.41

DistributionDate

PlannedBalance

June 2031 . . . . . . . . . . $ 365,030.40July 2031 . . . . . . . . . . . 269,031.84August 2031 . . . . . . . . 174,494.29September 2031 . . . . . 81,397.53October 2031 and

thereafter . . . . . . . . 0.00

B-2

No one is authorized to give information or to makerepresentations in connection with the Certificatesother than the information and representations con-tained in or incorporated into this ProspectusSupplement and the additional Disclosure Docu-ments. We take no responsibility for anyunauthorized information or representation. ThisProspectus Supplement and the additional DisclosureDocuments do not constitute an offer or solicitationwith regard to the Certificates if it is illegal to makesuch an offer or solicitation to you under state law.By delivering this Prospectus Supplement and theadditional Disclosure Documents at any time, no oneimplies that the information contained herein ortherein is correct after the date hereof or thereof.

Neither the Securities and Exchange Commission norany state securities commission has approved ordisapproved the Certificates or determined if thisProspectus Supplement is truthful and complete.Any representation to the contrary is a criminaloffense.

TABLE OF CONTENTS

Page

Table of Contents . . . . . . . . . . . . . . . . . . . . . . . . . S- 2

Available Information . . . . . . . . . . . . . . . . . . . . . S- 3

Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . S- 5

Additional Risk Factor . . . . . . . . . . . . . . . . . . . . . S- 9

Description of the Certificates . . . . . . . . . . . . . . . S- 9

Certain Additional Federal Income TaxConsequences . . . . . . . . . . . . . . . . . . . . . . . . . . S-24

Plan of Distribution . . . . . . . . . . . . . . . . . . . . . . . S-27

Credit Risk Retention . . . . . . . . . . . . . . . . . . . . . . S-27

Legal Matters . . . . . . . . . . . . . . . . . . . . . . . . . . . . S-27

Exhibit A-1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A- 1

Exhibit A-2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A- 3

Schedule 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-12

Principal Balance Schedule . . . . . . . . . . . . . . . . . B- 1

$1,555,858,569

Guaranteed REMICPass-Through Certificates

Fannie Mae REMIC Trust 2016-41

PROSPECTUS SUPPLEMENT

Credit Suisse

June 23, 2016