The PPIFs are currently in their third and final year of drawing down capital and making new investments. They may continue to deploy and reinvest their capital in eligible legacy RMBS and CMBS throughout 2012. Thereafter, each PPIF has up to five additional years (which could be extended for an additional two years with Treasury's permission) to manage its portfolio and return the proceeds to the taxpayers and private investors.
In March 2012, Invesco Legacy Securities Master Fund, L.P. became the first of eight remaining PPIFs to sell its remaining investments and earn a profit for the taxpayers. Invesco has repaid all of the approximately $1.2 billion in debt and $581 million in equity capital invested by Treasury in the PPIF. In addition, Treasury received approximately $18 million in interest, $3 million in warrant proceeds, and $135 million in cumulative realized gains in the Invesco PPIF. This leaves seven PPIFs actively investing through the program as of March 2012.
As of June 30, 2012:
• The Public-Private Investment Funds (PPIFs) have drawn-down approximately $24.2 billion of the total capital committed (82.4% of total original purchasing power), which has been invested in Eligible Assets and cash equivalents pending investment, as compared to $23.4 billion as of March 31, 2012. Excluding PPIFs that have completed their investment period, the PPIFs have drawn-down approximately $19.4 billion of the total capital committed (82.7% of total purchasing power). Among the individual PPIFs, RLJ Western and Marathon have drawn the most (100% of their total original purchasing power) and Oaktree has drawn the least (47.9% of its total original purchasing power).
• Treasury has received approximately $2.0 billion in net cumulative equity distributions, approximately $276 million in cumulative interest payments and approximately $2.8 billion in cumulative debt principal payments from the PPIFs. Net internal rates of return for individual PPIFs ranged from 7.4% for Wellington to 21.2% for Oaktree.
• The total market value of Non-Agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) held by all PPIFs was approximately $19.8 billion with approximately 72% of the portfolio holdings in Non-Agency RMBS and 28% in CMBS.
• RLJ Western terminated its Investment Period effective July 15, 2012, and therefore, has begun the wind-down of its fund.
PPIFs have been investing for more than two years and have less than six months remaining on their three-year investment periods.
Treasury provides quarterly reports that include a summary of capital activity, portfolio holdings and current pricing, and the performance of the program and individual funds. Treasury expects to provide additional information as the program continues to mature in subsequent quarterly reports.