LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Pro

g p ram U

pdate 

–

Q J, uarter Ended 

June 30, 2011

July 22, 2011
OVERVIEW

IntroductionThis is the seventh quarterly report on the Legacy Securities Public-Private Investment Program (“PPIP”

includes a summary of PPIP capital activity, portfolio holdings and current pricing, and program and funperformance. Treasury expects to provide additional information as the program continues to mature in 

quarterly reports. 

PPIP Overview PPIP OverviewPPIP is designed to support market functioning and facilitate price discovery in the mortgage-backed secallowing banks and other financial institutions to re-deploy capital and extend new credit to households aThe investment objective of PPIP is to generate attractive returns for taxpayers and private investors throopportunistic investments in Eligible Assets (as defined below) by following predominantly a buy and hoUnder the program, Treasury has committed $22.1 billion of equity and debt in public-private investmen(“PPIFs”) established by private sector fund managers for the purpose of purchasing Eligible Assets. The and private investors have also committed capital to the funds. PPIFs have eight-year terms which may b

consecutive periods of up to one-year each, up to a maximum of two years. To qualify for purchase by a securities must have been issued p gy rior to 2009 and have originally been rated AAA – or an eq 

uivalent rat

more nationally recognized statistical rating organizations – without ratings enhancement and must be sethe actual mortgage loans, leases, or other assets (“Eligible Assets”).Please see page 9 of this program update for a glossary of terms used throughout this document. Additioon PPIP can also be found at www.financialstability.gov.Neither this report nor the information contained herein constitutes an offer to sell or the solicitation of any securities. Any such offer or solicitation with respect to any PPIF may only be made by the applicablThis 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-p

h d l d ffi i l T i d i h Fi i l S h P id 

methodology and are not official Treasury estimates as reported in the Financial Statements or the Presid

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

Financial Statements or the President’s Budget, which are calculated pursuant to the requirements of the Credit Reform Act of 1990. Treasury’s Financial Statements and the President’s Budget can be found at 

www.financialstability.gov and www.whitehouse.gov/omb/budget, respectively.
CAPITAL ACTIVITY

Set forth below is a summary of equity and debt capital commitments by PPIF. The PPIFs havtheir fundraising and have closed on approximately $7.4 billion of private sector equity capital commitments, which has been matched 100 percent by Treasury, representing $14.7 billion of capital commitments. Treasury has also provided $14.7 billion of debt capital commitments, re$29.4 billion of total purchasing power. Summary of Capital Commitments by PPIF ($ in Millions)

Closed Equity and Debt Capital Co

Closing Private Treasury Treas

Fund Date Equity Equity DAG GECC PPIF Master Fund, L.P. 10/30/09 1,243 $ 1,243 $ 2,

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 10/02/09 1,150 1,150 2,

 

Blackrock PPIF, L.P. 10/02/09 695 695 1,

 

Invesco Legacy Securities Master Fund L P Invesco Legacy Securities Master Fund, L.P. 09/30/09 09/30/09 856 856 1 

, 

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 2,

 

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

 

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

, 

Total Program Closed Commitments 7,350 $ 7,350 $ 14,

$ 

(1) Excludes $4.1 billion in total purchasing power within UST/TCW Senior Mortgage Securities Fund, L.P., which was wound-up and 

1Q 2010. Treasury realized a profit of $20.1 million on its $156.3 million equity investment in UST/TCW Senior Mortgage Securities Fa 1.13x multiple of paid in capital on Treasury's equity.
CAPITAL ACTIVITY

Set forth below is a summary of equity and debt paid in capital(1) by PPIF. As of June 30, 2011have drawn-down approximately $22.2 billion of the total capital committed (75.6% of total pupower), which has been invested in Eligible Assets and cash equivalents pending investment. ITreasury has received approximately $714 million in net cumulative equity distributions, appro$147 million in cumulative interest payments and approximately $777 million in cumulative depayment f th PPIF f J 30 2011 ts from the PPIFs as of June 30, 2011. Summary of Paid in Capital by PPIF ($ in Millions)

Paid in Capital(1)

F d

Inception 

D

Purchasing 

P

Private

E i

Treasury

E i

Treasury

D b 

Fund Date Power Equity Equity Debt AG GECC PPIF Master Fund, L.P. 11/12/09 4,973 $ $1,117 $1,117 $2,235 

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 4,602 1,035 1,035 2,070 

 

Blackrock PPIF, L.P. 10/16/09 2,780 528 528 1,053 

 

Invesco Legacy Securities Master Fund, L.P. 10/13/09 3,424 581 581 1,162 

 

Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 1,898 475 475 894 

 

Oaktree PPIP Fund, L.P. 02/19/10 4,643 183 183 366 

 

RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 2,482 621 621 1,241 

 

Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 4,598 1,036 1,036 2,041 

 

T l P id i C i l (1) Total Paid in Capital $ 29 400 $ 5 576 $ 5 576 $ 11 062 $ 2

(1) $ 29,400 $ 5,576 $ 5,576 $ 11,062 $ 2

(1) Excludes net cumulative equity distributions and cumulative debt principal payments.
PORTFOLIO HOLDINGS – SUMMARY BY SECTOR

The total market value of Non-Agency RMBS and CMBS held by all PPIFs was approximately Non-Agency RMBS(2)– $16.9 Billion CMBS – $4.4 Billionof June 30, 2011. Approximately 79% of the portfolio holdings are Non-Agency RMBS and 21The charts below show composition of Eligible Assets by sector(1).

$478 $762 11%

17%

$1 963

$1,371 

8%

$5,537 

33%

$1,963

12%

$1,435 

32%

$7,962 

S p r S ni r AM AJ Oth 

47%

Prime Alt-A S bprim Subprime Opti n ARM Option ARM Super Senior AM AJ Othe

($ in Millions) ($ in Millions)

(1) Please see page 9 for a glossary of Non-agency RMBS and CMBS sector definitions. (2) Non-agency RMBS chart excludes $33 million of Other RMBS. 
PORTFOLIO HOLDINGS – NON-AGENCY RMBS

The charts below illustrate the range of market prices of Non-Agency RMBS held by all PPIFs 30 2011 Prices are expressed as a percent of par valuePrime

100.0%

Alt-A

100.0%

30, 2011. Prices are expressed as a percent of par value.

Median Price: 79.6 Median Price: 63.8

46.3% 46.7%

40.0%60.0%80.0%

30.0%

46.9%

40.0%60.0%80.0%

3.4% 3.6%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

10.2% 

0.0%

20.0%

< 40 40 - 60 60 - 80 

Subprime

80.0%

100.0%

Option ARM

80.0%

100.0% Median Price: 54.4 Median Price: 62.0

31.9%

24.7% 25.8%

17.6% 20.0%

40.0%60.0%

14.4%

27.5%

49.7%

20.0%40.0%60.0%

0.0%

< 40 40 - 60 60 - 80 80 +

0.0%

< 40 40 - 60 60 - 80 

Note: Pricing is based on UST valuation process on a consistent basis across all PPIFs. Excludes Other RMBS.
PORTFOLIO HOLDINGS – CMBS

The charts below illustrate the range of market prices of CMBS held by all PPIFs as of June 30are expressed as a percent of par value

88.9% 100.0%

Super Senior AM

100.0% 

Median Price: 96.2

are expressed as a percent of par value.

Median Price: 106.8

AM

40.0%60.0%80.0%

40.0%60.0%80.0%

0.0%

11.1%

0.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

0.0% 0.0% 1.3%

0.0%

20.0%

< 40 40 - 60 60 - 80 

AJ

84.4%

80.0%

100.0% Median Price: 87.7

0 0% 0 0%

20.0% 15.6%40.0%60.0%

0.0% 0.0%

0.0%

< 40 40 - 60 60 - 80 80 +

Note: Pricing is based on UST valuation process on a consistent basis across all PPIFs. Excludes Other CMBS. 
Set forth below is a summary of performance of Treasury’s equity since inception for the prog

PERFORMANCE

fund manager. Note performance will vary among PPIFs due to different risk/return objectiveratios, and sector allocations among other reasons. The influence of these factors as well as othperformance may evolve over time based on market conditions. PPIFs still remain in the early their three-year investment periods and early performance may be disproportionately impacted st t i d t ti t d th f it l d l t b h PPIF B f 

tructuring an

d transaction costs an

d the pace o

f capit

al deployment by eac

h PPIF. Because o

f 

industry practice counsels that, at this stage, any performance analysis done on these funds wogenerate meaningful results and it would be premature to draw any long-term conclusions aboperformance of individual PPIFs or PPIP in general from the data reported to date. For examp

market value of the PPIFs were to remain at current levels going forward then the net rates of market value of the PPIFs were to remain at current levels going forward, then the net rates of 

Treasury’s equity investment would decrease simply due to the passage of time. It should be nocurrent and past performance of a PPIF is not indicative of its future performance. 

Performance Since Inception as of June 30, 2011 ($ in Millions) 

P C li Pf

Capital 

C i

Paid in 

C il

Net Cumulative 

Di ib i (1)

Net Ending 

C il (1)

Program - 

Cumulative 

Performance

Commitment

Capital Distributions (1)

Capital (1)

Treasury Equity 7,350 $ 5,576 $ 714 $ 6,221 $ (1) Net of management fees and expenses attributable to Treasury's equity.(2) 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 Ince

ption Date

Net Time Weighted 

Cumulative Return 

Since Ince

ption (1)(2)

Net Internal 

Rate of Return 

Since Ince

ption (1)(3)

p

p

p

AG GECC PPIF Master Fund, L.P. 11/12/09 65.4% 32.2% AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 33.4% 21.4% Blackrock PPIF, L.P. 10/16/09 39.9% 20.4% Invesco Legacy Securities Master Fund, L.P. 10/13/09 36.3% 24.1% Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 34.3% 18.6% Oaktree PPIP Fund, L.P. 02/19/10 25.4% 19.1% RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 39.6% 23.5% Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 19.1% 8.3% (1) Net of management fees and expenses attributable to Treasury's equity.(2) Time-weighted geometrically linked return calculated on a consistent basis across all PPIFs.(3) Dollar-weighted rate of return calculated on a consistent basis across all PPIFs.(4) 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.
GLOSSARY OF TERMS

Non-Agency Residential Mortgage-Backed Securities (RMBS)Non-A R id i l M B k d S i i (RMBS) Agency Residential Mortgage Backed Securities (RMBS): T f ype o mortgage-b kd 

ac ed 

that is secured by loans on residential properties that are not issued or guaranteed by Fannie MMac 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).

P ir me: M l d b i h d di h ll h l d ’ 

Mortgage loan made to a borrower with good credit that generally meets the lender’s s

underwriting 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, or characteristics that do not meet the standards for Prime loans. An Alt-A loan may have a borro

l r FICO r hi h r l lower FICO score, a higher loan-to-val r ti r li it d r d t ti p r d t 

lue 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.Option ARM: Mortgage loan that gives the borrower a set of choices of how much interest anto pay each month. This may result in negative amortization (i.e. an increasing loan principal b

ti ) me .Commercial Mortgage-Backed Securities (CMBS)Commercial Mortgage Backed Securities (CMBS): Type of mortgage-backed security that by pp g g p g 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, AJSuper Senior: Most senior originally rated AAA bonds in a CMBS securitization with the highcredit enhancement. Credit enhancement refers to the percentage of the underlying mortgage pbalance that must be written down before the bond experiences any losses. Super Senior bondcomprised 70% of a securitization and therefore had 30% credit enhancement at issuance.AM: 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.