LEGACY SECURITIES PUBLIC-PRIVATE

INVESTMENT PROGRAM

Pro

g p ram U

pdate 

–

Q , uarter Ended March 31, 2011

April 21, 2011
OVERVIEW

IntroductionThis is the sixth quarterly report on the Legacy Securities Public-Private Investment Program (

This report includes a summary of PPIP capital activity, portfolio holdings and current pricingprogram and fund performance. Treasury expects to provide additional information as the procontinues to mature in subsequent quarterly reports. 

PPIP OverviewPPIP is designed to support market functioning and facilitate price discovery in the mortgage-securities markets, allowing banks and other financial institutions to re-deploy capital and extento households and businesses The investment objective of PPIP is to generate attractive returto households and businesses. The investment objective of PPIP is to generate attractive retur

taxpayers and private investors through long-term opportunistic investments in Eligible Assets below) by following predominantly a buy and hold strategy. Under the program, Treasury has $22.1 billion of equity and debt in public-private investment funds (“PPIFs”) established by prfund manag pp p g g g p ers for the purpose of purchasing Eligible Assets. The fund managers and private i

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 Psecurities must have been issued prior to 2009 and have originally been rated AAA – or an equby two or more nationally recognized statistical rating organizations – without ratings enhancebe secured directly by the 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 documeinformation on PPIP can also be found at www.financialstability.gov.

Neither this report nor the information contained herein constitutes an offer to sell or the soli

offer to buy any securities. Any such offer or solicitation with respect to any PPIF may only be applicable fund manager. This presentation has not been reviewed by any of the fund manager
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 March 31, 20PPIFs have drawn-down approximately $20.9 billion of the total capital committed (71.2% of purchasing power), which has been invested in Eligible Assets and cash equivalents pending inaddition, Treasury has received approximately $523 million in net cumulative equity distributioapproximately $116 million in cumulative interest payments and approximately $484 million in d bt i i l t f th PPIF f M h 31 2011 debt principal payments from the PPIFs as of March 31, 2011. Summary of Paid in Capital by PPIF ($ 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 $ 1,086 $ 1,086 $ 2,173 $ 

$ 

AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 4,602 978 978 1,955 

 

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 1,898 427 427 854 

 

Oaktree PPIP Fund, L.P. 02/19/10 4,643 117 117 141 

 

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 4,598 921 921 1,841 

 

T l P id i C i l (1) Total Paid in Capital $ 29 400 $ 5 259 $ 5 259 $ 10 420 $ 2

(1) $ 29,400 $ 5,259 $ 5,259 $ 10,420 $ 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)– $17.7 Billion CMBS – $4.4 Billionof March 31, 2011. Approximately 80% of the portfolio holdings are Non-Agency RMBS and The charts below show composition of Eligible Assets by sector(1).

$597 

$906 14%

21%

$1 950

$1,467 

8%

$5,952 

34%

$1,950

11%

$1,176 

27%

$8,272 

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 $43 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 31 2011 Prices are expressed as a percent of par valuePrime

100.0%

Alt-A

100.0%

31, 2011. Prices are expressed as a percent of par value.

Median Price: 82.0 Median Price: 67.4

34.5%

59.4%

40.0%60.0%80.0%

49.7%

40.0%60.0%80.0%

3.2% 3.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

9.4%

22.2% 

0.0%

20.0%

< 40 40 - 60 60 - 80 

Subprime

80.0%

100.0%

Option ARM

80.0%

100.0% Median Price: 61.7 Median Price: 64.8

12.9%

35.4% 30.4%

21.3%

20.0%40.0%60.0%

10.9%

23.6%

53.3%

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 March Prices are expressed as a percent of par value

100.0% 94.4%

Super Senior AM

100.0% 

Median Price: 99.7

Prices are expressed as a percent of par value.

Median Price: 105.0

AM

40.0%60.0%80.0%

40.0%60.0%80.0%

0.0%

5.6%

0.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 80 +

0.0% 0.0% 0.0%

0.0%

20.0%

< 40 40 - 60 60 - 80 

AJ

98.3%

80.0%

100.0% Median Price: 92.4

0 0% 0 0% 1 7%

20.0%40.0%60.0%

0.0% 0.0% 1.7%

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 March 31, 2011 ($ in Millions) 

Capital Paid in Net Cumulative 

(1)

Net Ending 

(1)

Program - Cumulative Performance Commitment Capital Distributions (1) Capital (1) Treasury Equity 7,350 $ 5,259 $ 523 $ 6,461 $ (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 Inception Date

Net Time Weighted 

Cumulative Return 

Since Inception (1)(2)

Net Internal 

Rate of Return 

Since Inception (1)(3)

Fund Inception Date Since Inception ( )( ) Since Inception ( )( ) AG GECC PPIF Master Fund, L.P. 11/12/09 74.5% 51.1% AllianceBernstein Legacy Securities Master Fund, L.P. 10/23/09 40.2% 32.5% Blackrock PPIF, L.P. 10/16/09 49.2% 32.9% Invesco Legacy Securities Master Fund, L.P. 10/13/09 41.9% 30.0% Marathon Legacy Securities Public-Private Investment Partnership, L.P. 12/15/09 44.1% 36.5% Oaktree PPIP Fund, L.P. 02/19/10 27.3% 27.7% Oaktree PPIP Fund, L.P. 02/19/10 27.3% 27.7% RLJ Western Asset Public/Private Master Fund, L.P. 11/23/09 45.1% 33.6% Wellington Management Legacy Securities PPIF Master Fund, LP 10/19/09 29.7% 22.4% (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.