LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Program Update – Quarter Ended December 31, 2012January 30, 2013
OVERVIEW

IntroductionThis is the thirteenth quarterly report on the Legacy Securities Public-Private Investment Program (PPIP). Th

includes a summary of PPIP capital activity, portfolio holdings and current pricing, and program and fund pe

PPIP OverviewPPIP is designed to support market functioning and facilitate price discovery in the mortgage-backed securiti

allowing banks and other financial institutions to re-deploy capital and extend new credit to households and b

investment objective of PPIP is to generate attractive returns for taxpayers and private investors through lonopportunistic investments in Eligible Assets (as defined below) by following predominantly a buy and hold st

the program, Treasury originally committed $22.1 billion of equity and debt in public-private investment fundestablished by private sector fund managers for the purpose of purchasing Eligible Assets. The fund manage

investors have also committed capital to the funds. PPIFs have eight-year terms which may be extended for c

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

been issued prior to 2009 and have originally been rated AAA – or an equivalent rating by two or more natiostatistical rating organizations – without ratings enhancement and must be secured directly by the actual mort

leases, or other assets (Eligible Assets).Please see page 9 of this program update for a glossary of terms used throughout this document. Additional iPPIP can also be found at www.treasury.gov/initiatives/financial-stability/Pages/default.aspx.

Neither this report nor the information contained herein constitutes an offer to sell or the solicitation of an o

securities. Any such offer or solicitation with respect to any PPIF may only be made by the applicable fund mpresentation 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 methodology and are not official Treasury estimates as reported in the Financial Statements or the President’

Furthermore, performance-related returns, as used in this report, may differ materially from estimates reporte

Financial Statements or the President’s Budget, which are calculated pursuant to the requirements of the FedReform Act of 1990. Treasury’s Financial Statements and the President’s Budget can be found at www.treasury.gov/initiatives/financial-stability/Pages/default.aspx and www.whitehouse.gov/omb/budget, 
CAPITAL ACTIVITY

Following is a summary of the original equity and debt capital commitments by PPIF. The PPIcompleted their fundraising and closed on approximately $7.5 billion of private sector equity ccommitments, which were matched 100 percent by Treasury, representing $15 billion of total oequity capital commitments. Treasury also provided $14.9 billion of debt capital commitmentsrepresenting $29.9 billion of total original purchasing power. Summary of Original Capital Commitments by PPIF ($ in Millions)

Original Equity and Debt Ca

Fund

Closing 

Date

Private

Equity

Treasury

Equity

AG GECC PPIF Master Fund, L.P. 10/30/09 1,243 $ 1,243 $ 

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 10/02/09 1,150 1,150 

 

Blackrock PPIF, L.P. 10/02/09 695 695 

 

Invesco Legacy Securities Master Fund, L.P. 09/30/09 856 856 

 

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

 

Oaktree PPIP Fund, L.P. 12/18/09 1,161 1,161 

 

RLJ Western Asset Public/Private Master Fund, L.P. 11/05/09 621 621 

 

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

 

Wellington Management Legacy Securities PPIF Master Fund, LP 10/01/09 1,149 1,149 

 

Total Original Program Commitments 7,506 $ 7,506 $ 

$ 

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

Following is a summary of equity and debt paid in capital(1) by PPIF. As of December 31, 2012, the PPIF

approximately $24.9 billion of the total original capital committed (83.2% of total original purchasing powinvested in Eligible Assets and cash equivalents, of which $18.6 billion represents Treasury’s investment in 

December 31, 2012 the investment period has ended for all PPIFs.As of December 31, 2012 Treasury has received a total of $17.3 billion made up of approximately $6.3 bilcumulative equity distributions, $10.6 billion in cumulative debt principal payments and $316 million in cupayments. In 2013, year to date, Treasury has received additional income of $1.5 billion from the PPIFs. As a result, fully recovered its original investment of $18.6 billion in the PPIP program – plus a positive return to date Future debt, equity and interest payments will provide an additional positive return for taxpayers.

Summary of Paid in Capital by PPIF ($ in Millions)

Fund

Private

Equity

Treasury

Equity

Treasury

Debt Total

Private

Equity

Treasu

Equi

AG GECC PPIF Master Fund, L.P. 4,973 1,117 1,117 2,235 4,470 89.9% 982 98

 

AllianceBernstein Legacy Securities Master Fund, L.P.(3) 1,064 4,602 1,064 2,128 4,256 92.5% 1,533 1,54

 

Blackrock PPIF, L.P. 2,780 528 528 1,053 2,109 75.9% 911 92

 

Invesco Legacy Securities Master Fund, L.P.(4) 581 3,424 581 1,162 2,324 67.9% 717 72

 

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 1,898 475 475 949 1,898 100.0% 223 22

 

Oaktree PPIP Fund, L.P. 4,643 556 556 1,111 2,223 47.9% 337 33

 

RLJ Western Asset Public/Private Master Fund, L.P.(5) 621 2,482 621 1,241 2,482 100.0% 1,031 1,04

 

UST/TCW Senior Mortgage Securities Fund, L.P. 513 156 156 200 513 100.0% 176 17

 

Wellington Management Legacy Securities PPIF Master Fund, LP 4,598 1,149 1,149 2,299 4,598 100.0% 372 37

 

Total PPIP - Total Paid in Capital (1) $ 6,248 29,913 $ 6,247 $ 12,378 $ 24,873 $ 83.2% 6,281 $ 6,31

$ 

(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 and interest payments for Treasury Debt.

Gro

Original 

Purchasing 

Power

% OriginalPurchasing 

Power

Gross Paid in Capital(1)

Note: Some numbers may not sum due to rounding
PORTFOLIO HOLDINGS – SUMMARY BY SECTOR

Non-Agency RMBS – $5.1 Billion CMBS – $2.0 BillionThe total market value of Non-Agency RMBS and CMBS held by all PPIFs was approximately of December 31, 2012. Approximately 71.6% of the portfolio holdings are Non-Agency RMB

CMBS. The charts below show composition of Eligible Assets by sector(1).

($ in Millions) ($ in Millions)

(1) Please see page 9 for a glossary of Non-agency RMBS and CMBS sector definitions. 

$862 

43%

$16 

1%

AM AJ Other CMB

$2,867 

57% $1,138 

22%

$865 

17%

$211 

4%

Alt-A Prime Subprime Other
PORTFOLIO HOLDINGS – NON-AGENCY RMBS

Prime

17.9%

4.2%

43.2%

34.7%

0.0%

20.0%40.0%60.0%80.0%

100.0%

< 40 40 - 60 60 - 80 80 +

Subprime

16.1%

44.4%

27.2%

12.4%

0.0%

20.0%40.0%60.0%80.0%

100.0%

< 40 40 - 60 60 - 80 80 +

Alt-A

27.2%

13.6%

47.8%

0.0%

20.0%40.0%60.0%80.0%

100.0%

< 40 40 - 60 60 - 80 

The charts below illustrate the range of market prices of Non-Agency RMBS held by all PPIFs December 31, 2012. Prices are expressed as a percent of par value.

Median Price: 76.5 Median Price: 63.7Median Price: 52.0

Note: Pricing is based on UST valuation process on a consistent basis across all PPIFs. Excludes Other RMBS. 
0.0% 2.3%

16.3%

81.4%

0.0%

20.0%40.0%60.0%80.0%

100.0%

< 40 40 - 60 60 - 80 80 +

PORTFOLIO HOLDINGS – CMBS

AJ

AM

0.0% 0.0% 0.0%

100.0%

0.0%

20.0%40.0%60.0%80.0%

100.0%

< 40 40 - 60 60 - 80 80 +

Median Price: 108.2

The charts below illustrate the range of market prices of CMBS held by all PPIFs as of DecemPrices are expressed as a percent of par value.

Median Price: 88.5

Note: Pricing is based on UST valuation process on a consistent basis across all PPIFs. Excludes Other CMBS. 
Following is a summary of performance of Treasury’s equity since inception for the program and by 

manager. Note performance will vary among PPIFs due to different risk/return objectives, leverage rsector allocations among other reasons. The influence of these factors as well as others on performanevolve over time based on market conditions. All PPIFs have completed their three-year investment this stage, performance analysis done on funds that have yet to complete their investment strategies wpremature to draw long-term conclusions about the performance from the data reported to date. It snoted that the current and past performance of a PPIF is not indicative of its future performance. 

Performance Since Inception as of December 31, 2012 ($ in Millions) 

PERFORMANCE

Program - Cumulative Performance

Original Capital 

Commitment (1)

Paid in 

Capital

Net Cumulative 

Distributions (2)

Net En

Ca

Total - Treasury Equity 7,506 $ 6,247 $ 6,293 $ 3

$ 

(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 Intern

Rate of Retur

Since Inceptio

AG GECC PPIF Master Fund, L.P. 11/12/09 10/30/12 125.7% 23.7AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 10/02/12 177.6% 18.7Blackrock PPIF, L.P. 10/16/09 10/02/12 93.9% 23.1Invesco Legacy Securities Master Fund, L.P. 10/13/09 09/26/11 33.5% 18.2Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 11/25/12 94.8% 23.0Oaktree PPIP Fund, L.P. 02/19/10 12/18/12 78.4% 28.1RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 07/15/12 106.3% 24.1UST/TCW Senior Mortgage Securities Fund, L.P. 10/19/09 12/04/09 N/A(6) N/A

Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 10/01/12 72.2% 18.2

(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 (i.e. Prime, Alt-A, Subprime, Option ARM).Prime: Mortgage loan made to a borrower with good credit that generally meets the lender’s sunderwriting criteria. Non-Agency Prime loans generally are loans that exceed the dollar amoufor purchase by the GSEs (jumbo loans), but may include lower balance loans as well.Alt-A: Mortgage loan made to a borrower with good credit but with limited documentation, ocharacteristics that do not meet the standards for Prime loans. An Alt-A loan may have a borrolower FICO score, a higher loan-to-value ratio, or limited or no documentation compared to a Subprime: Mortgage loan made to a borrower with poor credit, typically having a FICO score less.

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 (i.e. Super Senior, AM, AJAM: Mezzanine-level originally rated AAA bond. AM bonds often comprised 10% of a CMBS securitization and therefore had 20% credit enhancement at issuance, versus 30% for Super SeAJ: The most junior bond in a CMBS securitization that attained a AAA rating at issuance.