Monthly Report on Credit and Liquidity Programs
and the Balance Sheet

Appendix A

Additional Information Provided Pursuant to Section 129 of the Emergency Economic Stabilization Act of 2008

In light of improved functioning of financial markets, on February 1, 2010, the Federal Reserve closed the Term Securities Lending Facility (TSLF), Primary Dealer Credit Facility (PDCF), the Commercial Paper Funding Facility (CPFF), and the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF). As of that date, all loans under the TSLF, PDCF, and AMLF had been repaid in full, with interest, in accordance with the terms of each facility, and each of the facilities resulted in no loss to the Federal Reserve or taxpayers. All remaining commercial paper holdings of the CPFF matured on April 26, 2010, and the CPFF LLC was dissolved on August 30, 2010, following the payment of expenses and the termination or expiration of existing contractual agreements. The CPFF did not result in any loss to the Federal Reserve or taxpayers.

AIG, on September 30, 2010, announced a comprehensive recapitalization plan designed to restructure the assistance provided by the U.S. government to the company. The company completed the Recapitalization on January 14, 2011. At closing of the Recapitalization, AIG repaid in full the amount then outstanding under the revolving credit facility established by the FRBNY, including all accrued interest and fees. The FRBNY also received the full amount, including all accrued dividends, of the SPV Preferred Interests in AIA Aurora LLC and ALICO Holdings LLC, two SPVs formed as part of the March 2009 restructuring of the U.S. government’s assistance. The FRBNY received the SPV Preferred Interests as part of the March 2009 restructuring in exchange for an equivalent reduction of the amount of debt then outstanding on the revolving credit facility. As part of the Recapitalization, AIG redeemed a portion of the FRBNY’s SPV Preferred Interests with cash proceeds from asset dispositions, and purchased the remaining SPV Preferred Interests, valued at approximately $20 billion, from the FRBNY through a draw on the Treasury’s Series F preferred stock commitment. AIG then transferred the SPV Preferred Interests purchased from the FRBNY to the Treasury as consideration for the draw on the available Series F funds. At the time of the closing, the collateral backing the remaining SPV Preferred Interests received by the Treasury had an estimated value of more than $25 billion. The revolving credit facility, and the SPV Preferred Interests held by the FRBNY in connection with the revolving credit facility, did not result in any loss to the Federal Reserve or taxpayers.

On March 1, 2012, the loan from the FRBNY to Maiden Lane II LLC was repaid in full with interest, in accordance with the terms of the facility. This loan did not result in any loss to the Federal Reserve or taxpayers. The FRBNY has announced that the Maiden Lane II facility resulted a net gain of approximately $2.8 billion for the benefit of the U.S. public.

On June 14, 2012, the loans from the FRBNY to Maiden Lane LLC and Maiden Lane III LLC were repaid in full with interest, in accordance with the terms of the respective facilities. These loans did not result in any loss to the Federal Reserve or taxpayers. The FRBNY, through its outside advisors, will continue to sell the remaining assets from the Maiden Lane LLC and Maiden Lane III LLC portfolios as market conditions warrant and if the sales represent good value for the public. There is no fixed timeframe for these sales. Under the terms of the LLC’s aggreements, proceeds from future sales in Maiden Lane LLC would be used to retire the subordinated loan extended by JPMorgan Chase & Co., after which the FRBNY would receive all residual proceeds. Proceeds from future sales in Maiden Lane LLC would be used to repay the equity contribution extended by AIG, after which the FRBNY would receive 2/3rds of residual proceeds.

For the reasons discussed below, the Board does not anticipate that the Federal Reserve or taxpayers will incur any net loss on the loans provided by the FRBNY under the Term Asset-Backed Securities Loan Facility (TALF). In making this assessment, the Board has considered, among other things, the terms and conditions governing the facility and the type, nature, and value of the current collateral or other security arrangements.

TALF

Under the TALF, the FRBNY made loans on a collateralized basis to holders of eligible ABS and CMBS. The potential for the Federal Reserve or taxpayers to incur any net loss on the TALF loans extended by the FRBNY to the holders of ABS and CMBS is mitigated by the quality of the collateral, the risk assessment performed by the FRBNY on all pledged collateral, and the margin by which the value of the collateral exceeds the amount of the loan (the haircut). Potential losses to the Federal Reserve also are mitigated by the portion of interest on the TALF loans to borrowers transferred to TALF LLC and by the credit protection provided by the Treasury under the TARP (initially $20 billion and subsequently reduced to $4.3 billion in light of the $43 billion in TALF loans outstanding when the TALF closed to new lending on June 30, 2010), both of which are available to TALF LLC to purchase any collateral received by the FRBNY from a borrower in lieu of repaying a TALF loan or foreclosed upon due to a default by the borrower. All TALF loans were extended by the FRBNY and will mature over the next several years, with all loans maturing no later than March 30, 2015.

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