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Monthly Report on Credit and Liquidity Programs
and the Balance Sheet
| Lending Facilities to Support Overall Market Liquidity | Lending in Support of Specific Institutions | Federal Reserve Banks' Financial Tables |
Lending in Support of Specific Institutions
Quarterly Developments
- In the second quarter of 2012, cash flows generated from the Maiden Lane LLC and Maiden Lane III LLC portfolios were used to repay the remaining balances on the FRBNY’s loans to those LLCs. These repayments totaled approximately $11.9 billion, as presented in tables 14 and 19, and marked the retirement of the last remaining debts owed to the FRBNY from the crisis-era interventions with The Bear Stearns Companies, Inc. (Bear Stearns) and AIG.
Background
During the financial crisis, the Federal Reserve extended credit to certain specific institutions in order to avert disorderly failures that could result in severe dislocations and strains for the financial system as a whole and harm the U.S. economy. In certain other cases, the Federal Reserve committed to extend credit, if necessary, to support important financial firms.
Bear Stearns and Maiden Lane LLC
Background
In March 2008, the FRBNY and JPMorgan Chase & Co. (JPMC) entered into an arrangement related to financing provided by the FRBNY to facilitate the acquisition by JPMC of Bear Stearns. In connection with the transaction, the Federal Reserve Board authorized the FRBNY, under Section 13(3) of the Federal Reserve Act, to extend credit to a Delaware limited liability company, Maiden Lane LLC, to partially fund the purchase of a portfolio of mortgage-related securities, residential and commercial mortgage loans, and associated hedges from Bear Stearns. In the second quarter of 2008, the FRBNY extended credit to Maiden Lane LLC. In addition, JPMC made a $1.15 billion subordinated loan to Maiden Lane LLC that was available to absorb first any losses that may be realized. After repayment in full of the FRBNY’s senior loan and JPMC subordinated loan (each including accrued interest), FRBNY will receive any remaining proceeds. The LLC manages its assets through time to maximize the repayment of credit extended to the LLC and to minimize disruption to the financial markets.
The two-year accumulation period that followed the closing date for Maiden Lane LLC ended on June 26, 2010. Consistent with the terms of the Maiden Lane LLC transaction, the distribution of the proceeds realized on the asset portfolio held by Maiden Lane LLC, after payment of certain fees and expenses, occur on a monthly basis unless otherwise directed by the Federal Reserve. The monthly distributions are used to cover the expenses and repay the obligations of the LLC.
On June 14, 2012, the FRBNY announced that its loan to Maiden Lane LLC had been repaid in full, with interest. This repayment marked the retirement of the remaining debt owed to the FRBNY from the crisis-era intervention with The Bear Stearns Companies, Inc. (Bear Stearns). The FRBNY will continue to sell the remaining assets from the Maiden Lane LLC portfolio as market conditions warrant and if the sales represent good value for the public. In accordance with the Maiden Lane LLC agreements, proceeds from future asset sales will be used to repay the subordinated loan extended by JPMC, after which the FRBNY will receive all residual profits. Additional information is available at www.newyorkfed.org/newsevents/news/markets/2012/an120614.html 
and www.newyorkfed.org/markets/maidenlane.html.
The assets of Maiden Lane LLC are presented weekly in tables 1, 8, and 9 of the H.4.1 statistical release. Additional details on the accounts of Maiden Lane LLC are presented in table 4 of the H.4.1 statistical release. Detailed information on the terms of the loan, the holdings of Maiden Lane LLC (including the CUSIP number, descriptor, and the current principal balance or notional amount outstanding for nearly all of the holdings of Maiden Lane LLC with the exception of residential whole loans), and the sale of Maiden Lane LLC assets (including monthly lists of assets sold from Maiden Lane LLC and quarterly updates on total proceeds from sales and the total amount purchased by each counterparty) is published on the FRBNY website at www.newyorkfed.org/markets/maidenlane.html.
Information about the assets and liabilities of Maiden Lane LLC is presented as of June 30, 2012, in tables 14 through 16 and figure 2. This information is updated on a quarterly basis.
Table 13. Fair value asset coverage of FRBNY loan
Millions of dollars
| Fair value asset coverage of FRBNY loan on 6/30/2012 | Fair value asset coverage of FRBNY loan on 3/31/2012 | |
|---|---|---|
| Maiden Lane LLC | N/A* | 2,261 |
| Maiden Lane II LLC | N/A* | N/A* |
| Maiden Lane III LLC | N/A* | 10,981 |
Note: Unaudited. Fair value asset coverage is the amount by which the fair value of the net portfolio assets of each LLC (refer to table 25) is greater or less than the outstanding balance of the loans extended by the FRBNY, including accrued interest.
* The FRBNY loans to Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC have been repaid in full, including interest. Return to table
Table 14. Maiden Lane LLC outstanding principal balance of loans
Millions of dollars
| FRBNY senior loan | JPMC subordinate loan | |
|---|---|---|
| Since inception | ||
| Principal balance at closing | 28,820 | 1,150 |
| Accrued and capitalized interest to 6/30/2012 | 765 | 271 |
| Repayments to 6/30/2012 | (29,585) | (321) |
| Principal balance on 6/30/2012 (including accrued and capitalized interest) | 0 | 1,100 |
| Most Recent quarterly activity | ||
| Principal balance on 3/31/2012 (including accrued and capitalized interest) | 2,913 | 1,403 |
| Accrued and capitalized interest 3/31/2012 to 6/30/2012 | 3 | 18 |
| Repayment during the period from 3/31/2012 to 6/30/20121 | (2,916) | (321) |
| Principal balance on 6/30/2012 (including accrued and capitalized interest) | 0 | 1,100 |
1. Repayment amount for the period includes $2.6 billion of proceeds received from asset sales. Due to the cash flow cut off date used to calculate the cash available for the repayment, the portion of the repayment amount comprised of sale proceeds may not reconcile to the total sale proceeds reported each month. Proceeds received after the cut off date are applied to the loan in the next monthly payment cycle. Return to table
Table 15. Maiden Lane LLC summary of portfolio composition, cash and cash equivalents, and other assets and liabilities
Millions of dollars
| Fair value on 6/30/20121 | Fair value on 3/31/20121 | |
|---|---|---|
| Federal Agency and GSE MBS | 402 | 422 |
| Non-agency RMBS | 106 | 1,270 |
| Commercial loans | 567 | 1,320 |
| Residential loans | 0 | 3 |
| Swap contracts | 458 | 516 |
| Other investments2 | 367 | 631 |
| Cash and cash equivalents | 1,011 | 1,874 |
| Other assets3 | 9 | 82 |
| Other liabilities4 | (473) | (544) |
| Net assets | 2,447 | 5,574 |
1. Change in fair value from the prior quarter reflects a combination of asset repayment of principal, change in the price of portfolio securities, realized gains and losses as a result of sales, and the disbursement of cash to repay the Senior Loan. Return to table
2. Primarily composed of short-term investments (mainly of U.S. Treasury securities), CMBS, and CDOs. Return to table
3. Including interest and principal receivable and other assets. Return to table
4. Including amounts payable for securities purchased, collateral posted to Maiden Lane LLC by swap counterparties, and other liabilities and accrued expenses. Return to table
Table 16. Maiden Lane LLC securities distribution by sector and rating
Percent, as of June 30, 2012
| Sector1 | Rating | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| AAA | AA+ to AA- | A+ to A- | BBB+ to BBB- | BB+ and lower |
Gov't/ Agency |
Not Rated | Total | ||
| Federal Agency and GSE MBS | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 45.9 | 0.0 | 45.9 | |
| Non-agency RMBS | 0.0 | 0.0 | 0.5 | 0.4 | 11.2 | 0.0 | 0.0 | 12.1 | |
| Other | 0.0 | 3.4 | 0.0 | 15.6 | 7.6 | 11.4 | 4.0 | 41.9 | |
| Total | 0.0 | 3.4 | 0.5 | 15.9 | 18.8 | 57.3 | 4.0 | 100.0 | |
1. Does not include Maiden Lane LLC's swaps and commercial and residential mortgage loans. Return to table
Figure 2. Maiden Lane LLC securities distribution as of June 30, 2012
AIG, Maiden Lane II LLC, and Maiden Lane III LLC
Recent Developments
-
On August 23, 2012, the FRBNY announced that all remaining securities in the Maiden Lane III LLC portfolio have been sold. After the repayment of Maiden Lane III LLC’s liabilities to the FRBNY and AIG, net proceeds from sales of the securities, as well as cash flow the securities generated while held by Maiden Lane III LLC, provided a net gain of approximately $6.6 billion, including $737 million in accrued interest, for the benefit of the U.S. public. Additional information is available at www.newyorkfed.org/newsevents/news/markets/2012/an120823.html and www.newyorkfed.org/markets/ml3_sec_offerings.html.
Background
On September 16, 2008, the Federal Reserve, with the full support of the Treasury, announced that it would lend to AIG to prevent a disorderly failure of this systemically important firm, protect the financial system and the broader economy, and provide the company time to restructure its operations in an orderly manner. At that time, the Federal Reserve, under the authority of Section 13(3) of the Federal Reserve Act, authorized the FRBNY to extend an $85 billion line of credit (the “revolving credit facility”) to AIG. The Federal Reserve and the Treasury subsequently restructured the government’s financial support to AIG as follows:
- On November 10, 2008, the Federal Reserve and the Treasury announced a restructuring as part of which the line of credit extended to AIG was reduced, and which included Federal Reserve loans to two new LLCs, Maiden Lane II LLC and Maiden Lane III LLC. More detail on these LLCs is reported below. Additional information is included in tables 5 and 6 of the H.4.1 statistical release.
- On March 2, 2009, the Federal Reserve and Treasury announced a further restructuring of the government’s assistance to AIG. As part of this restructuring, the FRBNY received $25 billion of preferred interests in two special purpose vehicles (SPVs), AIA Aurora LLC and ALICO Holdings LLC, (the “SPV Preferred Interests”) in exchange for an equivalent reduction of the amount of debt then outstanding on the revolving credit facility. Additional information on the March 2009 restructuring is available at www.federalreserve.gov/newsevents/press/other/20090302a.htm.
On September 30, 2010, AIG announced a comprehensive recapitalization plan (the “Recapitalization”) that included repayment of AIG’s obligations to the FRBNY and termination of the FRBNY’s commitment to lend any further funds. At the closing of the Recapitalization on January 14, 2011, AIG repaid in full the remaining amount 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. AIG purchased a portion of the SPV Preferred Interests from the FRBNY though 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.
On October 31, 2011, the U.S. Government Accountability Office released a report that reviewed the Federal Reserve’s financial assistance to AIG. The report can be found on the Federal Reserve’s audit webpage at www.federalreserve.gov/newsevents/reform_audit_gao.htm. A comprehensive overview of financial assistance provided to AIG is available online at www.federalreserve.gov/monetarypolicy/bst_supportspecific.htm and www.newyorkfed.org/aboutthefed/aig/index.html.
Maiden Lane II LLC
Pursuant to authority granted by the Federal Reserve Board under Section 13(3) of the Federal Reserve Act, on December 12, 2008, the FRBNY lent approximately $19.5 billion to a newly formed Delaware limited liability company, Maiden Lane II LLC, to partially fund the purchase of residential mortgage-backed securities (RMBS) from the securities lending portfolio of several regulated U.S. insurance subsidiaries of AIG. Maiden Lane II LLC acquired the RMBS, which had an aggregate par value of approximately $39.3 billion, at the then-current market value of approximately $20.8 billion, which was substantially below par value.5 The full portfolio of RMBS held by Maiden Lane II LLC served as collateral for the Federal Reserve’s loan to Maiden Lane II LLC. AIG’s insurance subsidiaries also had a $1 billion subordinated position (in the form of a fixed deferred purchase price) in Maiden Lane II LLC that was available to absorb first any losses that may have been realized. After repayment in full of the FRBNY’s loan and the fixed deferred purchase price (each including accrued interest), any remaining proceeds would be split 5/6ths to the FRBNY and 1/6th to the AIG insurance subsidiaries.
On March 30, 2011, the Federal Reserve announced that the FRBNY, through its investment manager, BlackRock Solutions, would dispose of the securities in the Maiden Lane II LLC portfolio individually and in segments through a competitive sales process over time as market conditions warranted. Approximately $10 billion in face amount of securities was sold during the second quarter of 2011 through competitive bid list auctions. Bid list sales were later halted owing to unfavorable market conditions. In response to an investor offer, competitive sales resumed in early 2012 and on January 19, 2012, the FRBNY announced that it had sold $7.014 billion in face value of assets from its Maiden Lane II LLC portfolio through a competitive bidding process to Credit Suisse Securities (USA) LLC. On February 8, an additional $6.2 billion in face value of Maiden Lane II LLC portfolio assets was sold through a competitive bidding process to Goldman Sachs & Co. On February 28, the portfolio’s remaining $6.0 billion in face value of assets was sold to Credit Suisse Securities (USA) LLC.
On March 1, 2012, proceeds from these asset sales, along with cash flow generated by the securities while held in the Maiden Lane II portfolio, enabled the repayment of the remaining outstanding balance of the senior loan from the FRBNY to Maiden Lane II LLC, with interest, along with a portion of the fixed deferred purchase price owed to insurance subsidiaries of AIG that held a subordinated position in Maiden Lane II LLC. On March 15, the remaining portion of the fixed deferred purchase price plus interest owed to the AIG subsidiaries was repaid in full. In addition, in accordance with the Maiden Lane II agreements described above, residual proceeds were split 5/6ths to the FRBNY and 1/6th to the AIG subsidiaries. A small cash balance remains in Maiden Lane II LLC in order to meet trailing expenses and other obligations. The FRBNY has also announced that the transactions generated a net gain of approximately $2.8 billion, including $580 million in accrued interest, for the benefit of the U.S. public.
The net portfolio holdings of Maiden Lane II LLC are presented in tables 1, 8, and 9 of the weekly H.4.1 statistical release. Additional detail on the accounts of Maiden Lane II LLC is presented in table 5 of the H.4.1 statistical release. Detailed information on the terms of the loan, the holdings of Maiden Lane II LLC (including the CUSIP number, descriptor, and the current principal balance or notional amount outstanding for all the positions in the portfolio), and the disposition of Maiden Lane II LLC assets (including offering announcements and results, monthly lists of assets sold, and quarterly updates on total proceeds from sales and the total amount purchased by each counterparty) is published on the FRBNY website at www.newyorkfed.org/markets/maidenlane.html.
Information about the assets and liabilities of Maiden Lane II LLC is presented as of June 30, 2012, in table 18. This information is updated on a quarterly basis.
Table 17. Maiden Lane II LLC outstanding principal balance of senior loan and fixed deferred purchase price
Millions of dollars
| FRBNY senior loan | AIG fixed deferred purchase price | |
|---|---|---|
| Since inception | ||
| Principal balance at closing | 19,494 | 1,000 |
| Accrued and capitalized interest to 3/31/2012 | 580 | 113 |
| Repayments to 3/31/2012 | (20,074) | (1,113) |
| Principal balance on 3/31/2012 (including accrued and capitalized interest) | 0 | 0 |
Table 18. Maiden Lane II LLC summary of RMBS portfolio composition, cash and cash equivalents, and other assets and liabilities
Millions of dollars
| Fair value on 6/30/20121 | Fair value on 3/31/20121 | |
|---|---|---|
| Alt-A ARM | __ | __ |
| Subprime | __ | __ |
| Option ARM | __ | __ |
| Other | __ | __ |
| Cash and cash equivalents | 18 | 19 |
| Other assets2 | 0 | 0 |
| Other liabilites3 | (0) | (0) |
| Net assets | 18 | 19 |
1. Change in fair value from the prior quarter reflects changes in the cash balance maintained for payment of trailing expenses and other obligations. Return to table
2. Including interest receivable. Return to table
3. Including accrued expenses and other payables. Return to table
Maiden Lane III LLC
Pursuant to authority granted by the Federal Reserve Board under Section 13(3) of the Federal Reserve Act, the FRBNY in November and December 2008, lent approximately $24.3 billion to a newly formed Delaware limited liability company, Maiden Lane III LLC, to fund the purchase of certain asset-backed collateralized debt obligations (ABS CDOs) from certain counterparties of AIG Financial Products Corp. (AIGFP) on which AIGFP had written credit default swaps and similar contracts. Maiden Lane III LLC acquired these CDOs, which had an aggregate par value of approximately $62.1 billion, at the then-current market value of approximately $29.6 billion, which was substantially below par value.6 The full portfolio of CDOs held by Maiden Lane III LLC serves as collateral for the Federal Reserve’s loan to Maiden Lane III LLC. AIG together with an AIG subsidiary also have a $5 billion subordinated position (in the form of an equity contribution) in Maiden Lane III LLC that is available to absorb first any losses that may be realized. After repayment in full of the FRBNY’s loan and AIG’s equity interest (each including accrued interest), any remaining proceeds will be split 2/3rds to the FRBNY and 1/3rd to AIG (or its assignee). The LLC’s assets will be managed to ensure repayment of obligations of the LLC while minimizing disruptions to financial markets.
On April 3, 2012, the FRBNY revised Maiden Lane III LLC’s investment objective to allow for asset sales, and began conducting such sales shortly thereafter. The FRBNY announced that, between April 26 and May 10, 2012, it had sold a total of $9.9 billion in face value of assets from the Maiden Lane III LLC portfolio following two separate competitive bid processes. These transactions resulted in a substantial reduction of the Maiden Lane III LLC portfolio and the senior loan to Maiden Lane III LLC extended by the FRBNY. Additional information about the sales is available at www.newyorkfed.org/newsevents/news/markets/2012/an120426.html and www.newyorkfed.org/newsevents/news/markets/2012/an120510.html. Information regarding subsequent security offerings and sales from the Maiden Lane III LLC portfolio is available at www.newyorkfed.org/markets/ml3_sec_offerings.html.
On June 14, 2012, the FRBNY announced that its loan to Maiden Lane III LLC had been repaid in full, with interest. The repayment marked the retirement of the last remaining debts owed to the FRBNY from the crisis-era interventions with AIG. On July 16, the FRBNY announced that net proceeds from additional sales of securities in Maiden Lane III LLC enabled the full repayment of AIG’s equity contribution plus accrued interest and provided residual profits to the FRBNY. In accordance with the Maiden Lane III LLC agreements, the FRBNY will continue to receive 2/3rds of residual profits generated by future sales of Maiden Lane III LLC assets. Additional information is available at www.newyorkfed.org/newsevents/news/markets/2012/an120614.html and www.newyorkfed.org/markets/maidenlane.html.
The net portfolio holdings of Maiden Lane III LLC are presented in tables 1, 8, and 9 of the weekly H.4.1 statistical release. Additional detail on the accounts of Maiden Lane III LLC is presented in table 6 of the H.4.1 statistical release. Information on the holdings of the Maiden Lane III LLC, including the CUSIP number, descriptor, and the current principal balance or notional amount outstanding for all the positions in the portfolio, is published on the FRBNY website at www.newyorkfed.org/markets/maidenlane.html.
Information about the assets and liabilities of Maiden Lane III LLC is presented as of June 30, 2012, in tables 19 through 21 and figure 3. This information is updated on a quarterly basis.
Table 19. Maiden Lane III LLC outstanding principal balance of senior loan and equity contribution
Millions of dollars
| FRBNY senior loan | AIG equity contribution | |
|---|---|---|
| Since inception | ||
| Principal balance at closing | 24,339 | 5,000 |
| Accrued and capitalized interest to 6/30/2012 | 737 | 631 |
| Repayments to 6/301/2012 | (25,076) | (77) |
| Principal balance on 6/30/2012 (including accrued and capitalized interest) | 0 | 5,555 |
| Most Recent Quarterly Activity | ||
| Principal balance on 3/31/2012 (including accrued and capitalized interest) | 8,993 | 5,587 |
| Accrued and capitalized interest to 3/31/2012 to 6/30/2012 | 16 | 45 |
| Repayment during the period from 3/31/2012 to 6/30/20121 | (9,009) | (77) |
| Principal balance on 6/30/2012 (including accrued and capitalized interest) | 0 | 5,555 |
1. Repayment amount for the period includes $8.2 billion of proceeds received from asset sales. Due to the cash flow cut off date used to calculate the cash available for the repayment, the portion of the repayment amount comprised of sale proceeds may not reconcile to the total sale proceeds reported each month. Proceeds received after the cut off date are applied to the loan in the next monthly payment cycle. Return to table
Table 20. Maiden Lane III LLC summary of portfolio composition, cash and cash equivalents, and other assets and liabilities
Millions of dollars
| Fair value on 6/30/20121 | Fair value on 3/31/20121 | |
|---|---|---|
| High-Grade ABS CDO | 4,797 | 12,852 |
| Mezzanine ABS CDO | 1,555 | 1,566 |
| Commercial real estate CDO | 4 | 5,154 |
| RMBS, CMBS, & Other | 253 | 276 |
| Cash and cash equivalents | 5,118 | 95 |
| Other assets2 | 1,697 | 33 |
| Other liabilites3 | (2) | (2) |
| Net assets | 13,422 | 19,974 |
1. Change in fair value from the prior quarter reflects a combination of asset repayment of principal, change in the price, and realized gains and losses as a result of sales and the disbursement of cash to repay the Senior Loan and the Equity Contribution. Return to table
2. Including interest and principal receivable and amounts receivable for securities sold. Return to table
3. Including accrued expenses and other payables. Return to table
Table 21. Maiden Lane II LLC securities distribution by sector, vintage, and rating
Percent, as of June 30, 2012
| Sector and vintage1 | Rating | ||||||
|---|---|---|---|---|---|---|---|
| AAA | AA+ to AA- | A+ to A- | BBB+ to BBB- | BB+ and lower | Not rated (NR) | Total | |
| High-grade ABS CDO | 0.0 | 0.0 | 0.0 | 0.0 | 69.0 | 3.6 | 72.6 |
| Pre-2005 | 0.0 | 0.0 | 0.0 | 0.0 | 27.2 | 0.0 | 27.2 |
| 2005 | 0.0 | 0.0 | 0.0 | 0.0 | 41.7 | 3.6 | 45.4 |
| 2006 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| Mezzanine ABS CDO | 0.0 | 0.0 | 0.0 | 0.9 | 22.1 | 0.5 | 23.5 |
| Pre-2005 | 0.0 | 0.0 | 0.0 | 0.9 | 12.4 | 0.5 | 13.9 |
| 2005 | 0.0 | 0.0 | 0.0 | 0.0 | 8.0 | 0.0 | 8.0 |
| 2006 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | 1.6 | 0.0 | 1.6 |
| Commercial real-estate CDO | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.1 |
| Pre-2005 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2005 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.1 |
| 2006 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| RMBS, CMBS, and Other | 0.4 | 0.2 | 0.3 | 0.4 | 2.6 | 0.0 | 3.8 |
| Pre-2005 | 0.0 | 0.0 | 0.0 | 0.2 | 0.4 | 0.0 | 0.6 |
| 2005 | 0.3 | 0.1 | 0.3 | 0.3 | 2.1 | 0.0 | 3.0 |
| 2006 | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.2 |
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| Total | 0.4 | 0.2 | 0.3 | 1.4 | 93.8 | 4.1 | 100.0 |
Note: Unaudited. This table presents the sector, vintage, and rating composition of the securities in the Maiden Lane III LLC portfolio as a percentage of all securities in the portfolio. It is based on the fair value of the securities. Lowest of all ratings is used for purposes of this table. Rows and columns may not sum to totals because of rounding.
1. The year of issuance with the highest concentration of underlying assets as measured by outstanding principal balance determines the vintage of the CDO. Return to table
Figure 3. Maiden Lane II LLC securities distributions as of June 30, 2012
5. The aggregate amount of interest and principal proceeds from RMBS received after the announcement date, but prior to the settlement date, net of financing costs, amounted to approximately $0.3 billion and therefore reduced the amount of funding required at settlement by $0.3 billion, from $20.8 billion to $20.5 billion. Return to text
6. The aggregate amount of interest and principal proceeds from CDOs received after the announcement date, but prior to the settlement dates, net of financing costs, amounted to approximately $0.3 billion and therefore reduced the amount of funding required at settlement by $0.3 billion, from $29.6 billion to $29.3 billion. Return to text
