LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Program Update – Quarter Ended June 30, 2013

August 1, 2013
OVERVIEW

2

Introduction

This is the fifteenth quarterly report on the Legacy Securities Public-Private Investment Program (PPIP). This 

report includes a summary of PPIP capital activity and program and fund performance. 

PPIP Overview

PPIP was designed to help restart the market for non-agency residential mortgage-backed securities (RMBS) and 

commercial mortgage-backed securities (CMBS), thereby allowing banks and other financial institutions to re-deploy 

capital 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 small 

businesses were nearly frozen. Since it was launched in March of 2009, PPIP has helped restore the availability of 

credit by facilitating the purchase of these troubled legacy securities. PPIP did so by providing financing on 

attractive 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 investors through 

long-term opportunistic investments in Eligible Assets (as defined below) by following predominantly a buy and 

hold strategy. Under the program, Treasury originally committed $22.4 billion of equity and debt in public-private 

investment funds (PPIFs) established by private sector fund managers for the purpose of purchasing Eligible Assets, 

ultimately dispersing $18.6 billion in debt and equity to the funds. The fund managers and private investors also 

committed capital to the funds. PPIFs had eight-year terms, which were designed to be extendable for consecutive 

periods of up to one-year each, up to a maximum of two years. To qualify for purchase by a PPIF, the securities 

(Eligible Assets) must have been issued prior to 2009 and have originally been rated AAA – or an equivalent rating 

by two or more nationally recognized statistical rating organizations – without ratings enhancement and must be 

secured directly by the actual mortgage loans, leases, or other assets.
OVERVIEW

3

Where Things Stand

The investment period has now ended for all PPIFs. All the funds have now been effectively wound down (i.e., 

either they hold no eligible assets or have closed the fund after distributing all proceeds) and have repaid all 

outstanding Treasury equity and debt.

As of June 30, 2013, Treasury has fully recovered its original investment of $18.6 billion in the PPIP, plus a 

positive return of approximately $3.8 billion through equity and debt repayments, interest, and proceeds in excess 

of original equity capital, including warrant proceeds. Future equity proceeds from the outstanding PPIFs will 

provide an additional positive return for taxpayers.

Additional information on the performance of various markets and key indicators of the availability of credit since 

PPIP was launched can be found in the Timeline of the Financial Crisis and Response in the TARP Four Year 

Retrospective Report. 

The TARP Four Year Retrospective Report can be found at: http://www.treasury.gov/initiatives/financialstability/reports/Documents/TARP%20Four%20Year%20Retrospective%20Report.pdf
CAPITAL ACTIVITY

The following is a summary of the original equity and debt capital commitments by PPIF. The PPIFs completed 

their fundraising and closed on approximately $7.5 billion of private sector equity capital commitments, which 

were matched 100 percent by Treasury, representing $15 billion of total original equity capital commitments. 

Treasury also provided $14.9 billion of debt capital commitments, representing $29.9 billion of total original 

purchasing power. Of the original $29.9 billion committed to the PPIFs the PPIFs drew-down approximately 

$24.9 billion of the total original capital committed (83.2%percent of total original purchasing power), which has 

been invested in Eligible Assets and cash equivalents. Of this amount, $18.6 billion represents Treasury’s total 

investment in the program.

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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

Treasury

Equity

Treasury

Debt Total

Treasury 

Total

AG GECC PPIF Master Fund, L.P. 10/30/09 $ 1,243 $ 1,243 $ 2,487 $ 4,973 $ 1,117 $ 1,117 $ 2,235 $ 4,470 $ 3,352

AllianceBernstein Legacy Securities Master Fund, L.P. 10/02/09 1,150 1,150 2,301 4,602 1,064 1,064 2,128 4,256 3,192

Blackrock PPIF, L.P. 10/02/09 695 695 1,390 2,780 528 528 1,053 2,109 1,581

Invesco Legacy Securities Master Fund, L.P. 09/30/09 856 856 1,712 3,424 581 581 1,162 2,324 1,743

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 11/25/09 475 475 949 1,898 475 475 949 1,898 1,424

Oaktree PPIP Fund, L.P. 12/18/09 1,161 1,161 2,322 4,643 556 556 1,111 2,223 1,667

RLJ Western Asset Public/Private Master Fund, L.P. 11/05/09 621 621 1,241 2,482 621 621 1,241 2,482 1,862

UST/TCW Senior Mortgage Securities Fund, L.P. 09/30/09 156 156 200 513 156 156 200 513 356

Wellington Management Legacy Securities PPIF Master Fund, LP 10/01/09 1,149 1,149 2,299 4,598 1,149 1,149 2,299 4,598 3,448

Total Original Program Commitments $ 7,506 $ 7,506 $ 14,900 $ 29,913 $ 6,248 $ 6,247 $ 12,378 $ 24,873 $ 18,625

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

Gross Paid in Capital(1)
CAPITAL RETURNS

The following is a summary of the total capital returned to PPIP. Treasury’s total investment in PPIP was $18.6 

billion which consisted of $6.2 billion in equity capital and $12.4 billion in debt. As of June 30, 2013 Treasury had 

realized net income of $22.4 billion on the original investment, resulting in a realized net profit of $3.8 billion. As 

of June 30, 2013 Treasury had received $12.7 billion in total debt and interest payments and $9.7 billion in net 

equity payments which consists of equity repayments, dividends, gains and warrant payments. All future PPIP 

payments will be an additional profit for taxpayers. As of June 30, 2013, all treasury equity and debt has been 

repaid and all eligible assets sold.

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Summary of Total PPIP Capital Returned ($ in Millions)

Original Investment $18.6 billion

Total PPIP Net Income $22.4 billion

Net Profit 

$3.8 Billion
CAPITAL RETURNS

The following is a summary of the equity and debt that was paid in capital and gross distributions by each PPIF. As of 

June 30, 2013 Treasury had received total gross distributions of $22.4 billion, made up of approximately $9.6 billion in net 

cumulative equity distributions, $12 billion in cumulative debt principal payments, $320 million in cumulative interest 

payments, and $85 million in warrant payments. 

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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

Treasury 

Interest

Treasury 

Warrant Total

Treasury 

Total

AG GECC PPIF Master Fund, L.P. 1,117 1,117 2,235 4,470 3,352 1,874 1,893 2,235 66 19 6,087 4,213

AllianceBernstein Legacy Securities Master Fund, L.P. 1,064 1,064 2,128 4,256 3,192 1,533 1,545 2,128 58 12 5,277 3,744

Blackrock PPIF, L.P. 528 528 1,053 2,109 1,581 911 921 1,053 34 10 2,930 2,018

Invesco Legacy Securities Master Fund, L.P. 581 581 1,162 2,324 1,743 717 720 1,162 18 3 2,620 1,904

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 475 475 949 1,898 1,424 791 799 949 28 8 2,574 1,784

Oaktree PPIP Fund, L.P. 556 556 1,111 2,223 1,667 742 747 1,111 17 5 2,622 1,880

RLJ Western Asset Public/Private Master Fund, L.P. 621 621 1,241 2,482 1,862 1,031 1,041 1,241 37 11 3,361 2,330

UST/TCW Senior Mortgage Securities Fund, L.P. 156 156 200 513 356 176 176 200 0 1 553 377

Wellington Management Legacy Securities PPIF Master Fund, LP 1,149 1,149 2,299 4,598 3,448 1,781 1,797 2,299 61 16 5,955 4,173

Total PPIP - Total Paid in Capital (1) $ 6,248 $ 6,247 $ 12,378 $ 24,873 $ 18,625 $ 9,556 $ 9,641 $ 12,378 $ 320 $ 85 $ 31,980 $ 22,423

Gross Paid in Capital(1)

(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 Distributions(2)
The following is a summary of Treasury’s equity performance by fund manager since the program’s inception. 

Performance will vary among PPIFs due to different risk/return objectives, leverage ratios, and sector allocations 

among other reasons. 

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

PERFORMANCE

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Program - Cumulative Performance

 Original Capital 

Commitment (1)

Paid in 

Capital

Net Cumulative 

Distributions (2)

Net Ending 

Capital (2)

Net Multiple of 

Paid in Capital (2)(3)

Total - Treasury Equity $ 7,506 $ 6,247 $ 9,616 $ 86 1.55x

(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 Internal 

Rate of Return 

Since Inception (2)(4)

Net Multiple of 

Paid in Capital (2)(5)

AG GECC PPIF Master Fund, L.P. 11/12/09 10/30/12 260.0% 24.8% 1.69x

AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 10/02/12 177.6% 18.7% 1.45x

Blackrock PPIF, L.P. 10/16/09 10/02/12 93.9% 23.1% 1.74x

Invesco Legacy Securities Master Fund, L.P. 10/13/09 09/26/11 33.5% 18.2% 1.23x

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 11/25/12 132.9% 24.6% 1.76x

Oaktree PPIP Fund, L.P. 02/19/10 12/18/12 80.0% 26.3% 1.42x

RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 07/15/12 106.3% 24.1% 1.69x

UST/TCW Senior Mortgage Securities Fund, L.P. 10/19/09 12/04/09 N/A(6) N/A(6) 1.13x

Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 10/01/12 79.6% 20.1% 1.56x

(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

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Non-Agency Residential Mortgage-Backed Securities (RMBS)

Non-Agency Residential Mortgage Backed Securities (RMBS): Type of mortgage-backed security 

that is secured by loans on residential properties that are not issued or guaranteed by Fannie Mae, Freddie 

Mac or Ginnie Mae, or any other United States federal government-sponsored enterprise (GSE) or a 

United States federal government agency. Non-Agency RMBS are typically classified by underlying 

collateral / type of mortgage.

Commercial Mortgage-Backed Securities (CMBS)

Commercial Mortgage Backed Securities (CMBS): Type of mortgage-backed security that is secured 

by loans on commercial properties such as office buildings, retail buildings, apartment buildings, hotels, 

etc. 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 buy any

securities. Any such offer or solicitation with respect to any PPIF may only be made by the applicable fund manager. This 

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 methodology

and are not official Treasury estimates as reported in the Financial Statements or the President’s Budget. Furthermore, 

performance-related returns, as used in this report, may differ materially from estimates reported in the Financial Statements or 

the President’s Budget, which are calculated pursuant to the requirements of the Federal Credit Reform Act of 1990. Treasury’s 

Financial 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.