The U.S. Department of Treasury said in a new report on the public private investment program that the nine funds participating in the program drew down a total market value of $3.4 billion of non-agency RMBS and CMBS as of Dec. 31.
The report said the funds have $24.8 billion of purchasing power left. Of the combined portfolio holdings, about 87% was non-agency RMBS and 13% CMBS.
The data included the U.S. Treasuru/TCW Senior Mortgage Securities Fund, which was shut down early this year following the departure of its star fund manager, Jeffrey Gundlach. According to market reports, the fund, run by a subsidiary of Societe Generale, is likely to see its $3 billion in public capital re-allocated to other PPIP funds.
Treasury PPIFS drew down $4.3 billion in total capital for investments in eligible assets and the AG GECC PPIF Master Fund, managed by Angelo, Gordon & Co. and GE Capital Real Estate, showed the highest cumulative new return since the programs start at 3.9%.
The fund with the lowest return at negative 1.4% was the Marathon Legacy Securities Public-Private Investment Partnership managed by Marathon Asset Management, but this fund was launched on Dec. 15, just two weeks before data was collected for the report. However Treasury said this fund was launched Dec. 15.
The Treasury said that the public-private funds are in the early stages of their three-year investment periods and "early performance may be disproportionately impacted by structuring and transaction costs."
One industry source said he considered the report bullish considering how much purchasing power the funds had left.