MORTGAGE DATA 30-yr. Fixed 15-yr. Fixed 5-yr Treasury 1-yr Treasury- MBA Refi Home Purchase Rate Mortgage Rate Mortgage Indexed ARMs Indexed ARMs Index Index Week ending 01/12/12 3.89%

2012 2011 2010 ABS (Public + 144A) 10,383.2 4,542.7 2,863.6 ABS (Public + 144A excluding CDOs) 10,202.7 4,542.7 2,863.6 ABS (Public Only) 8,334.8 3,144.7 241.6 ABS (144A Only) 2,048.4 1,397.9 2,622.0 Non-Agency MBS 1,048.3 1,603.1 - Agency MBS - 19,495.5 518.7 CMBS - - -

Manager Activity: Autos Book Runner Amount (US$ Mil) Rank Mkt.

According to Standard & Poor's 2012 CMBS outlook, as much as 63% of $19 billion in 2007 vintage five-year CMBS loans coming due in 2012 could fail to refinance in case borrowers are not willing to put in additional equity. The rating agency bases its estimate on the $13.3 billion of these five-year CMBS loans for which S&P has adequate net operating income data. Based on this balance, S&P expects about $7 billion to $8 billion of 2007 vintage loans to face refinancing difficulties.

In the emerging markets at the edges of Europe, 2011 did not generate much excitement for global structured finance players; many of the deals that did go cross-border were purchased by multilateral banks. This is understandable given the crisis engulfing their neighbors.

Sears Holdings Corp. announced on Dec. 27 that it is closing up to 120 Kmart & Sears full-line stores.

With major investors exiting the reverse mortgage space, originations of government-backed Home Equity Conversion Mortgages have dropped by 950 to 1,100 loans a month.

The surge in refinancings this fall pushed Fannie Mae's issuance of MBS to $63.7 billion in November, up 20% from the prior month.

Massasuchetts Mutual Life Insurance Co. has filed a lawsuit against Merrill Lynch, Deutsche Bank Securities, Goldman Sachs, JPMorgan Securities, and RBS Securities, according to the Boston Business Journal.

Federal regulators are seeking comment on a proposal that aims to lessen banks' reliance on credit ratings by proposing three methods for assessing risk on firms' trading books.

It would seem hard to defend the so-called dual-tracking of foreclosure proceedings and loan modifications.

Consumers are having a tough time qualifying for a mortgage these days, and even a federal program designed to provide financing for low- and moderate-income borrowers is winnowing out applicants with low credit scores.