LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Pro

g p ram U

pdate 

–

Q J, uarter Ended 

June 30, 2012

July 19, 2012
OVERVIEW

IntroductionThis is the eleventh quarterly report on the Legacy Securities Public-Private Investment Program (“PPIP”). T

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

Treasury expects to provide additional information as the program continues to mature in subsequent quarte

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 binvestment 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 stthe program, Treasury originally committed $22.1 billion of equity and debt in public-private investment fund

established 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 cperiods of up to one-year each, up to a maximum of two years. To qualify for purchase by a PPIF, the securibeen issued prior to 2009 and have originally been rated AAA – or an equivalent rating by two or more natio

statistical rating g or anizations – without rating y y 

s 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 reporteFurthermore, 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

Set forth below is a summary of the original equity and debt capital commitments by PPIF. Thcompleted their fundraising and closed on approximately $7.4 billion of private sector equity ccommitments, which were matched 100 percent by Treasury, representing $14.7 billion of totaequity capital commitments. Treasury also provided $14.7 billion of debt capital commitmentsrepresenting $29.4 billion of total original purchasing power. Summary of Original Capital Commitments by PPIF ($ in Millions)

Original 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 Original Program Commitments 7,350 $ 7,350 $ 14,

$ 

(1) Excludes the effect of any repayments or reductions in the amount of outstanding obligations.(2) 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 F

a 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, 2012, the PPIFdown approximately $24.2 billion of the total original capital committed (82.4% of total original purchasiwhich has been invested in Eligible Assets and cash equivalents pending investment. Excluding PPIFs thcompleted their Investment Period, the PPIFs have drawn-down approximately $19.4 billion of the total committed (82.7% of total purchasing power). In addition, Treasury has received approximately $2.0 bill

cumulative eq y pp y p y pp 

uity distributions, approximately $276 million in cumulative interest payments and approxim

billion in cumulative debt principal payments from the PPIFs as of June 30, 2012.Summary of Paid in Capital by PPIF ($ in Millions)

Fund

Private

Equity

Treasury

Equity

Treasury

Debt Total

Private

Equity

Treasury

Equity

Trea

D

Gross Distrib

Original 

Purchasing 

Power

% OriginalPurchasing 

Power

Gross Paid in Capital(1)

q y q y q y q y

Investment Period Open

AG GECC PPIF Master Fund, L.P. 4,973 $ 1,117 $ $1,117 $2,235 4,470 $ 89.9% 420 $ 420 $ 

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 4,602 1,064 1,064 2,128 4,256 92.5% 517 517 

 

Blackrock PPIF, L.P. 2,780 528 528 1,053 2,109 75.9% 3 3 

 

Marathon Legacy Securities Public-Private Investment Partnership, 475 1,898 475 949 1,898 100.0% 44 44 

 

O kt PPIP F d L P Oaktree PPIP Fund, L.P. 4 643 , 556 556 1 111 , 2 223 , 47 9%. 92 92 

Wellington Management Legacy Securities PPIF Master Fund, LP 4,598 1,149 1,149 2,166 4,465 97.1% 110 110 

 

Investment Period Open - Total Paid in Capital (1) $ 4,890 23,494 $ 4,890 $ 9,642 $ 19,421 $ 82.7% 1,187 $ 1,187 $ 1,

$ 

Investment Period Closed

Invesco Legacy Securities Master Fund, L.P.(3) 581 3,424 581 1,162 2,324 67.9% 715 718 1,

 

RLJ Western Asset Public/Private Master Fund, L.P.(4) 621 2,482 621 1,241 2,482 100.0% 114 114 

 

Total PPIP - Total Paid in Capital (1) $ 6,091 29,400 $ 6,091 $ 12,045 $ 24,227 $ 82.4% 2,016 $ 2,019 $ 2,

$ 

(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.(3) On 9/26/11, Invesco terminated the Investment Period. As a result, Treasury's debt obligation was reduced by approximately $550 million to reflect the amount of debt funded 

time ($345 million). In March 2012, Invesco completed the sale of its remaining holdings of Eligible Assets, returning substantially all of its proceeds to Treasury and the private inverepaying the Treasury debt. Treasury's equity obligation will be reduced upon the final wind-up and liquidation of the fund.

(4) On 7/15/12, RLJ Western terminated the Investment Period. As a result, Treasury's debt obligation was reduced by approximately $0.2 million to reflect the amount of debt fun

this time ($1.2 billion). Treasury's equity obligation will be reduced upon the wind-up and liquidation of the fund.
PORTFOLIO HOLDINGS – SUMMARY BY SECTOR

The total market value of Non-Agency RMBS and CMBS held by all PPIFs was approximately 

$55 

Non-Agency RMBS(2)– $14.3 Billion CMBS – $5.5 Billionof June 30, 2012. Approximately 72% of the portfolio holdings are Non-Agency RMBS and 28The charts below show composition of Eligible Assets by sector(1).

1%

$366 

7%

$4,160 $1,644 

$1,367 

10%

$1,811 

33%

29%

$ ,

12%

$7,074 

50%

Prime Alt-A Subprime 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 $45 million of Other RMBS. Note: Graphs and figures exclude Invesco, which completed the sale of its remaining holdings of Eligible Assets in March 2012, retu

substantially all of its proceeds to Treasury and the private investors.
PORTFOLIO HOLDINGS – NON-AGENCY RMBS

The charts below illustrate the range of market prices of Non-Agency RMBS held by all PPIFs 30 2012 Prices are expressed as a percent of par valuePrime

80 0%

100.0%

Alt-A

80 0%

100.0%

30, 2012. Prices are expressed as a percent of par value.

Median Price: 76.1 Median Price: 59.7

53.0%

37.0% 40.0%

60.0%

80.0%

18 4%

32.1%

39.6%

40.0%60.0%

80.0%

6.0% 4.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

Subprime

18.4%

0.0%

20.0%

< 40 40 - 60 60 - 80 

p Option ARM

60.0%80.0%

100.0%

p

60.0%80.0%

100.0% Median Price: 51.3 Median Price: 60.4

35.6%

26.1% 24.1%

14.2%

0.0%

20.0%40.0%

16.3%

32.7%

46.4%

20.0%40.0%

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. Graphs and figures e

Invesco, which completed the sale of its remaining holdings of Eligible Assets in March 2012, returning substantially all of its proceedTreasury and the private investors.
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

80 0%

100.0%

Super Senior

80 0%

100.0% Median Price: 98.7

are expressed as a percent of par value.

Median Price: 75.6

AM

40.0%

20 0%

40.0%

40.0%60.0%

80.0%

40.0%60.0%80.0%

0.0%

20.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

AJ

0.9% 0.9% 0.9%

0.0%

20.0%

< 40 40 - 60 60 - 80 

59.8%

60.0%80.0%

100.0% Median Price: 82.5

0.0% 1.2%

39.0%

0.0%

20.0%40.0%

< 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 program an

mana

ger. Note 

performance will var

y amon

g PPIFs due to different risk

/return objectives, levera

ge r

PERFORMANCE

g p yg / j ,g 

sector allocations among other reasons. The influence of these factors as well as others on performanevolve over time based on market conditions. PPIFs have been investing for more than two years anthan six months remaining on their three-year investment periods. Performance to date may be disprimpacted by the pace of capital deployment by each PPIF. Because of this, industry practice counsels stage performance analysis done on funds that have yet to complete their investment strategies woulstage, performance analysis done on funds that have yet to complete their investment strategies woul

generate meaningful results and it would be premature to draw long-term conclusions about the perfactive individual PPIFs or PPIP in general from the data reported to date. It should be noted that the past performance of a PPIF is not indicative of its future performance. 

Performance Since Ince

ption as of

June 30, 2012 ($ in Millions)

Investment Net Time Weighted Net Internal

Program - Cumulative Performance

Original Capital 

Commitment (1)

Paid in 

Capital

Net Cumulative 

Distributions (2)

Net Ending 

Capital (2)

N

P

Total - Treasury Equity 7,350 $ 6,091 $ 1,991 $ 5,933 $ (2) Net of management fees 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.(1) Excludes the effect of any repayments or reductions in the amount of outstanding obligations.

p

J , ( )

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)

N

P

Investment Period Open

AG GECC PPIF Master Fund, L.P. 11/12/09 10/30/12 75.6% 19.2% AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 10/02/12 45.6% 15.5% Blackrock PPIF, L.P. 10/16/09 10/02/12 54.0% 15.9% 

Marathon Legacy Securities Public-Private Investment Partnership, 12/15/09 11/25/12 46.4% 13.7% Oaktree PPIP Fund, L.P. 02/19/10 12/18/12 46.3% 21.2% Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 10/01/12 26.4% 7.4% 

Investment Period Closed

Invesco Legacy Securities Master Fund, L.P.(6) 10/13/09 09/26/11 33.5% 18.2% 

RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 07/15/12 53.3% 17.5% 

(1) E i b f h hi d i f h PPIF' I i i l Cl i(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.(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.(6) With respect to Invesco, returns were calculated through March 2012, as the PPIF completed the sale of its remaining holdings of Eligible Assets in March 2012, returning substantially all of its pr

to Treasury and the private investors.
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.