LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Program Update – Quarter Ended September 30, 2013October 28, 2013
OVERVIEW

IntroductionThis is the sixteenth quarterly report on the Legacy Securities Public-Private Investment Program (PPreport includes a summary of PPIP capital activity and program and fund performance. PPIP OverviewPPIP was designed to help restart the market for non-agency residential mortgage-backed securities (commercial mortgage-backed securities (CMBS), thereby allowing banks and other financial institutiocapital and extend new credit to households and businesses.As the financial crisis reached its peak, many of the markets that keep credit available for families and businesses were nearly frozen. Since it was launched in March of 2009, PPIP has helped restore the acredit by facilitating the purchase of these troubled legacy securities. PPIP did so by providing finanattractive terms as well as matching the equity investment made by private investors. The investment objective of PPIP has been to generate attractive returns for taxpayers and private inlong-term opportunistic investments in Eligible Assets (as defined below) by following predominantlhold strategy. Under the program, Treasury originally committed $22.4 billion of equity and debt in pinvestment funds (PPIFs) established by private sector fund managers for the purpose of purchasing ultimately dispersing $18.6 billion in debt and equity to the funds. The fund managers and private invcommitted capital to the funds. PPIFs had eight-year terms, which were designed to be extendable foperiods of up to one-year each, up to a maximum of two years. To qualify for purchase by a PPIF, th(Eligible Assets) must have been issued prior to 2009 and have originally been rated AAA – or an eqby two or more nationally recognized statistical rating organizations – without ratings enhancement secured directly by the actual mortgage loans, leases, or other assets.
OVERVIEW

Where Things StandThe investment period has now ended for all PPIFs. All the funds have now been effectively wound either they hold no eligible assets or have closed the fund after distributing all proceeds) and have repoutstanding Treasury equity and debt.As of September 30, Treasury has fully recovered its original investment of $18.6 billion in the PPIP, positive return of over $3.8 billion through equity and debt repayments, interest, and proceeds in excoriginal equity capital, including warrant proceeds. Future equity proceeds from the outstanding PPIFprovide an additional positive return for taxpayers.Additional information on the performance of various markets and key indicators of the availability oPPIP was launched can be found in the History of the Financial Crisis in the Financial Crisis Five Ye

Response, Reform, and Progress report.

The Financial Crisis Five Years Later: Response, Reform, and Progress report can be found at:

http://www.treasury.gov/connect/blog/Documents/FinancialCrisis5Yr_vFINAL.pdf
CAPITAL ACTIVITY

The following is a summary of the original equity and debt capital commitments by PPIF. The PPIFtheir fundraising and closed on approximately $7.5 billion of private sector equity capital commitmenwere matched 100 percent by Treasury, representing $15 billion of total original equity capital commTreasury also provided $14.9 billion of debt capital commitments, representing $29.9 billion of total purchasing power. Of the original $29.9 billion committed to the PPIFs the PPIFs drew-down appro$24.9 billion of the total original capital committed (83.2%percent of total original purchasing powerbeen invested in Eligible Assets and cash equivalents. Of this amount, $18.6 billion represents Treasuinvestment in the program.

Summary of Original Capital Commitments and Paid in Capital by PPIF ($ in Millions)

Original Equity and Debt Capital Commitments (1)

Fund

Closing 

Date

Private

Equity

Treasury

Equity

Treasury

Debt

Purchasing 

Power

Private

Equity

Treasur

Equit

AG GECC PPIF Master Fund, L.P. 10/30/09 1,243 $ 1,243 $ 2,487 $ 4,973 $ 1,117 $ 1,11

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 10/02/09 1,150 1,150 2,301 4,602 1,064 1,06

 

Blackrock PPIF, L.P. 10/02/09 695 695 1,390 2,780 528 52

 

Invesco Legacy Securities Master Fund, L.P. 09/30/09 856 856 1,712 3,424 581 58

 

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 11/25/09 475 475 949 1,898 475 47

 

Oaktree PPIP Fund, L.P. 12/18/09 1,161 1,161 2,322 4,643 556 55

 

RLJ Western Asset Public/Private Master Fund, L.P. 11/05/09 621 621 1,241 2,482 621 62

 

UST/TCW Senior Mortgage Securities Fund, L.P. 09/30/09 156 156 200 513 156 15

 

Wellington Management Legacy Securities PPIF Master Fund, LP 10/01/09 1,149 1,149 2,299 4,598 1,149 1,14

 

Total Original Program Commitments $ 7,506 7,506 $ 14,900 $ 29,913 $ 6,248 $ 6,247 $ 

(1) Excludes the effect of any repayments or reductions in the amount of outstanding obligations.

Gro
CAPITAL RETURNS

The following is a summary of the total capital returned to PPIP. Treasury’s total investment in PPIP billion which consisted of $6.2 billion in equity capital and $12.4 billion in debt. As of September 30Treasury had realized net income of $22.5 billion on the original investment, resulting in a realized neover $3.8 billion. As of September 30, 2013 Treasury had received $12.7 billion in total debt and intepayments and $9.8 billion in net equity payments which consists of equity repayments, dividends, gaiwarrant payments. All future PPIP payments will be an additional profit for taxpayers. As of Septemall treasury equity and debt has been repaid and all eligible assets sold.Summary of Total PPIP Capital Returned ($ in Millions)

Original Investment $18.6 billion

Total PPIP Net Income $22.5 billion

Net Profit

$3.8 Billion

Note: Some numbers may not sum due to rounding
CAPITAL RETURNS

The following is a summary of the equity and debt that was paid in capital and gross distributions by eSeptember 30, 2013 Treasury had received total gross distributions of $22.5 billion, made up of approin net cumulative equity distributions, $12.4 billion in cumulative debt principal payments, $320 millio

interest payments, and $87 million in warrant payments. 

Summary of Paid in Capital and Gross Distributions by PPIF ($ in Millions)

Note: Some numbers may not sum due to rounding

Fund

Private

Equity

Treasury

Equity

Treasury

Debt Total

Treasury 

Total

Private

Equity

Treasury

Equity

Treasury

Debt

Tre

In

AG GECC PPIF Master Fund, L.P. 1,117 1,117 2,235 4,470 3,352 1,874 1,893 2,235 

 

AllianceBernstein Legacy Securities Master Fund, L.P. 1,064 1,064 2,128 4,256 3,192 1,533 1,545 2,128 

 

Blackrock PPIF, L.P. 528 528 1,053 2,109 1,581 911 921 1,053 

 

Invesco Legacy Securities Master Fund, L.P. 581 581 1,162 2,324 1,743 717 720 1,162 

 

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 475 475 949 1,898 1,424 824 833 949 

 

Oaktree PPIP Fund, L.P. 556 556 1,111 2,223 1,667 782 788 1,111 

 

RLJ Western Asset Public/Private Master Fund, L.P. 621 621 1,241 2,482 1,862 1,031 1,041 1,241 

 

UST/TCW Senior Mortgage Securities Fund, L.P. 156 156 200 513 356 176 176 200 

 

Wellington Management Legacy Securities PPIF Master Fund, LP 1,149 1,149 2,299 4,598 3,448 1,784 1,800 2,299 

 

Total PPIP - Total Paid in Capital (1) $ 6,247 6,248 $ 12,378 $ 24,873 $ 18,625 $ 9,632 $ 9,719 $ 12,378 $ 

$ 

(1) Excludes the effect of any repayments or reductions in the amount of outstanding obligations.(2) Excludes the effects of management fees and expenses attributable to either Private Equity or Treasury Equity.

Gross D

Gross Paid in Capital(1)
The following is a summary of Treasury’s equity performance by fund manager since the program’s i

Performance will vary among PPIFs due to different risk/return objectives, leverage ratios, and sectoamong other reasons. 

Performance Since Inception as of September 30, 2013 ($ in Millions) 

PERFORMANCE

Program - Cumulative Performance

Original Capital 

Commitment (1)

Paid in 

Capital

Net Cumulative 

Distributions (2)

Net E

C

Total - Treasury Equity 7,506 $ 6,247 $ 9,693 $ 

$ 

(1) Excludes the effect of any repayments or reductions in the amount of outstanding obligations.(2) Net of management fees, warrants and expenses attributable to Treasury's equity.(3) Calculated as the sum of Net Cumulative Distributions received and Ending Capital balance of Treasury's equity position as a multiple of Paid in Capital.

Fund

Inception 

Date

Investment 

Period

 End Date (1)

Net Time Weighted 

Cumulative Return 

Since Inception (2)(3)

Net Inte

Rate of Ret

Since Incep

AG GECC PPIF Master Fund, L.P. 11/12/09 10/30/12 260.0% 24AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 10/02/12 177.6% 18Blackrock PPIF, L.P. 10/16/09 10/02/12 93.9% 23Invesco Legacy Securities Master Fund, L.P. 10/13/09 09/26/11 33.5% 18Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 11/25/12 132.0% 24Oaktree PPIP Fund, L.P. 02/19/10 12/18/12 73.9% 26RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 07/15/12 106.3% 24UST/TCW Senior Mortgage Securities Fund, L.P. 10/19/09 12/04/09 N/A(6) N/

Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 10/01/12 94.9% 20

(4) Dollar-weighted rate of return calculated on a consistent basis across all PPIFs.(5) Calculated as the sum of Net Cumulative Distributions received and Ending Capital balance of Treasury's equity position as a multiple of Paid in Capital.(6) Not materially significant(1) Expires on or before the third anniversary of the PPIF's Initial Closing.(2) Net of management fees and expenses attributable to Treasury's equity.(3) Time-weighted geometrically linked return calculated on a consistent basis across all PPIFs.
GLOSSARY OF TERMS

Non-Agency Residential Mortgage-Backed Securities (RMBS)Non-Agency Residential Mortgage Backed Securities (RMBS): Type of mortgage-backed that is secured by loans on residential properties that are not issued or guaranteed by Fannie M

Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSEUnited States federal government agency. Non-Agency RMBS are typically classified by underlcollateral / type of mortgage.

Commercial Mortgage-Backed Securities (CMBS)Commercial Mortgage Backed Securities (CMBS): Type of mortgage-backed security that by loans on commercial properties such as office buildings, retail buildings, apartment buildingetc. CMBS are typically classified by position in the capital structure.

Neither this report nor the information contained herein constitutes an offer to sell or the solicitation of an offer to busecurities. Any such offer or solicitation with respect to any PPIF may only be made by the applicable fund manager. presentation has not been reviewed by any of the fund managers.The performance-related returns and valuations in this report are calculated using an independent third-party market 

and are not official Treasury estimates as reported in the Financial Statements or the President’s Budget. Furthermoperformance-related returns, as used in this report, may differ materially from estimates reported in the Financial Stathe President’s Budget, which are calculated pursuant to the requirements of the Federal Credit Reform Act of 1990Financial Statements and the President’s Budget can be found at www.treasury.gov/initiatives/financialstability/Pages/default.aspx and www.whitehouse.gov/omb/budget, respectively.