Attached files
| file | filename |
|---|---|
| 8-K - FORM 8-K - Nuveen Mortgage Opportunity Term Fund 2 | d341628d8k.htm |
| EX-99.1 - EX-99.1 - Nuveen Mortgage Opportunity Term Fund 2 | d341628dex991.htm |
Exhibit 99.2
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Financial Statements for the Years Ended December 31, 2011 and December 31, 2010 and Report of Independent Auditors
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Investment Manager
Wellington Management Company, LLP
280 Congress Street
Boston, Massachusetts 02210
Administrator
The Bank of New York Mellon
Corporate Trust
101 Barclay Street
New York, NY 10286
Custodian
BNY Mellon Asset Servicing
2 Hanson Place, 7th Floor
Brooklyn, NY 11217
Independent Auditors
PricewaterhouseCoopers LLP
125 High Street
Boston, Massachusetts 02110
Legal Counsel
K&L Gates LLP
State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111
This report is for the Partners' information only. Additional information regarding the Wellington Management Legacy Securities PPIF Master Fund, LP may be obtained from the Investment Manager at the address or telephone number provided below:
Wellington Management Legacy Securities PPIF Master Fund, LP
c/o Wellington Management Company, LLP
280 Congress Street
Boston, Massachusetts 02210
Telephone: (617) 951-5000
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
TABLE OF CONTENTS
| Page 1 | ||
| Independent Auditors’ Report |
1 | |
| Schedules of Investments |
2-21 | |
| Statements of Assets, Liabilities and Partners’ Capital |
22 | |
| Statements of Operations |
23 | |
| Statements of Changes in Partners’ Capital |
24 | |
| Statements of Cash Flows |
25 | |
| Notes to Financial Statements |
26-45 | |
Report of Independent Auditors
To the General and Limited Partners of
Wellington Management Legacy Securities PPIF Master Fund, LP:
In our opinion, the accompanying statement of assets, liabilities and partners’ capital, including the condensed schedule of investments, and the related statements of operations, of changes in partners’ capital and of cash flows present fairly, in all material respects, the financial position of Wellington Management Legacy Securities PPIF Master Fund, LP (the “Fund”) at December 31, 2011 and 2010, and the results of its operations, the changes in its partners’ capital and its cash flows for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Fund's General Partner. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by the General Partner, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
April 12, 2012
PricewaterhouseCoopers LLP, 125 High Street, Boston, MA 02110
T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us
1
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States |
||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities |
||||||||||||||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-6, Class AM |
$ | 19,714,000 | 5.39 | * | 10/10/2045 | $ | 17,011,162 | $ | 18,504,211 | 0.93 | ||||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-1, Class AMFX |
2,970,614 | 5.48 | 1/15/2049 | 2,176,275 | 2,771,987 | 0.14 | ||||||||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-4, Class A4 |
3,640,000 | 5.72 | 2/10/2051 | 3,894,183 | 3,983,015 | 0.20 | ||||||||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-4, Class AM |
1,205,000 | 5.79 | 2/10/2051 | 943,277 | 1,140,088 | 0.06 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2005—PWR8, Class AJ |
1,625,000 | 4.75 | * | 6/11/2041 | 1,275,784 | 1,506,633 | 0.08 | |||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2005—T20, Class AJ |
16,600,000 | 5.15 | 10/12/2042 | 15,619,455 | 16,853,017 | 0.85 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class AM |
20,000,000 | 5.71 | 6/11/2040 | 16,259,060 | 19,155,900 | 0.96 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM |
12,513,000 | 5.90 | 6/11/2050 | 11,390,639 | 12,357,088 | 0.62 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM |
10,725,000 | 5.84 | 9/11/2042 | 9,124,767 | 11,161,314 | 0.56 | ||||||||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2008-C7, Class AM |
5,440,000 | 6.07 | 12/10/2049 | 4,151,415 | 5,485,506 | 0.28 | ||||||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4 |
11,120,000 | 5.32 | * | 12/11/2049 | 11,683,428 | 11,794,461 | 0.59 | |||||||||||||||||
| Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B |
31,340,000 | 6.01 | 12/10/2049 | 33,254,797 | 33,679,374 | 1.69 | ||||||||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C4, Class AJ |
4,750,000 | 5.19 | 8/15/2038 | 4,225,800 | 4,461,119 | 0.22 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class A3 |
25,000,000 | 5.47 | * | 9/15/2039 | 26,019,846 | 26,587,825 | 1.34 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class AM |
23,085,000 | 6.20 | 2/15/2041 | 15,281,516 | 21,157,495 | 1.06 | ||||||||||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4 |
50,000,000 | 5.74 | * | 12/10/2049 | 52,932,642 | 53,938,950 | 2.71 | |||||||||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class AM |
19,285,000 | 5.48 | * | 3/10/2039 | 16,280,266 | 18,113,321 | 0.91 | |||||||||||||||||
| GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ |
5,790,000 | 4.78 | 7/10/2039 | 4,973,084 | 5,176,590 | 0.26 | ||||||||||||||||||
| GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4 |
32,000,000 | 5.79 | * | 8/10/2045 | 31,688,829 | 34,751,552 | 1.75 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class AJ |
31,828,000 | 5,25 | 8/15/2042 | 26,103,009 | 29,147,223 | 1.47 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class AM |
12,000,000 | 5.45 | 12/12/2044 | 11,555,635 | 11,862,852 | 0.60 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM |
9,330,000 | 5.59 | 5/12/2045 | 8,394,617 | 8,867,036 | 0.45 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class AM |
2,412,000 | 5.53 | 4/15/2043 | 2,352,578 | 2,463,542 | 0.12 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class AM |
5,000,000 | 5.37 | * | 5/15/2047 | 4,358,610 | 4,656,860 | 0.23 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class AMS |
12,000,000 | 5.34 | * | 5/15/2047 | 8,453,024 | 11,482,716 | 0.58 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class AM |
6,460,000 | 5.94 | 2/15/2051 | 4,113,264 | 5,746,680 | 0.29 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4 |
35,930,000 | 5.44 | * | 6/12/2047 | 38,257,506 | 38,510,205 | 1.94 | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
2
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate(%) |
Maturity Dale |
Amortized Cost |
Fair Value | %
of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM |
$ | 1,198,000 | 5.47 | * | 6/12/2047 | $ | 845,424 | $ | 1,120,536 | 0.06 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4 |
54,365,000 | 5.74 | 2/12/2049 | 58,235,092 | 58,819,778 | 2.95 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2008-C2, Class A4 |
36,953,000 | 6.07 | * | 2/12/2051 | 36,342,381 | 38,876,515 | 1.96 | |||||||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3 |
37,605,000 | 5.43 | * | 2/15/2040 | 39,796,671 | 40,111,712 | 2.02 | |||||||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class AM |
26,378,000 | 5.49 | * | 2/15/2040 | 21,393,249 | 24,522,123 | 1.23 | |||||||||||||||||
| Merrill Lynch Mortgage Trust Series 2006-Cl, Class AM |
395,000 | 5.67 | 5/12/2039 | 283,423 | 407,788 | 0.02 | ||||||||||||||||||
| Morgan Stanley Capital I, Series 2006-HQ9, Class AJ |
10,000,000 | 5.79 | 7/12/2044 | 8,467,774 | 8,197,630 | 0.41 | ||||||||||||||||||
| Morgan Stanley Capital I, Series 2006-T23, Class AJ |
15,000,000 | 5.81 | 8/12/2041 | 13,927,499 | 13,222,065 | 0.67 | ||||||||||||||||||
| Morgan Stanley Capital I, Series 2007-HQ13, Class A3 |
3,655,000 | 5.57 | * | 12/15/2044 | 3,216,167 | 3,837,081 | 0.19 | |||||||||||||||||
| Morgan Stanley Capital I, Series 2007-IQ14, Class AM |
53,000,000 | 5.68 | 4/15/2049 | 38,147,597 | 43,842,713 | 2.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Commercial Mortgage-Backed Securities |
$ | 602,429,745 | $ | 648,274,501 | 32.61 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Residential Mortgage-Backed Securities |
||||||||||||||||||||||||
| Accredited Mortgage Loan Trust, Series 2004-3, Class 2A2 |
1,373,453 | 1.49 | 10/25/2034 | 1,185,637 | 1,188,328 | 0.06 | ||||||||||||||||||
| ACE Securities Corp., Series 2006-CW1, Class A2C |
3,225,000 | 0.43 | 7/25/2036 | 1,369,967 | 1,646,533 | 0.08 | ||||||||||||||||||
| ACE Securities Corp., Series 2006-FM2, Class A2D |
7,710,000 | 0.51 | 8/25/2036 | 2,819,002 | 2,282,183 | 0.11 | ||||||||||||||||||
| ACE Securities Corp., Series 2007-ASP2, Class A2B |
11,389,172 | 0.46 | 6/25/2037 | 7,091,928 | 6,001,023 | 0.30 | ||||||||||||||||||
| ACE Securities Corp., Series 2007-ASP2, Class A2C |
11,000,000 | 0.51 | 6/25/2037 | 5,586,894 | 4,557,949 | 0.23 | ||||||||||||||||||
| ACE Securities Corp., Series 2007-HE2, Class A2A |
19,116,937 | 0.41 | 12/25/2036 | 12,576,608 | 10,640,659 | 0.54 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2005-12, Class 2A1 |
25,150,364 | 2.93 | 3/25/2036 | 16,296,284 | 14,727,425 | 0.74 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 1Al |
21,079,517 | 5.40 | 5/25/2036 | 16,136,354 | 15,137,180 | 0.76 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 5A1 |
32,918,994 | 3.86 | 5/25/2036 | 16,209,025 | 15,364,052 | 0.77 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 6A1 |
10,301,695 | 0.46 | 5/25/2036 | 5,394,720 | 4,652,689 | 0.23 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A2 |
33,221,552 | 0.41 | 8/25/2036 | 20,728,177 | 15,854,653 | 0.80 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2007-2, Class 2A1 |
34,692,949 | 0.50 | * | 6/25/2037 | 20,257,185 | 16,839,992 | 0.85 | |||||||||||||||||
| Asset Backed Funding Certificates, Series 2006-OPT1, Class A3D |
1,000,000 | 0.53 | 9/25/2036 | 513,308 | 350,446 | 0.02 | ||||||||||||||||||
| Asset Backed Funding Certificates, Series 2006-OPT3, Class A3B |
24,470,780 | 0.45 | 11/25/2036 | 11,703,404 | 9,436,129 | 0.47 | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Series 2005-9, Class 4A2 |
17,625,900 | 5.50 | 10/25/2035 | 13,412,123 | 13,389,991 | 0.67 | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Series 2006-7, Class A5 |
8,537,000 | 6.23 | 10/25/2036 | 5,426,074 | 5,231,687 | 0.26 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2006-7, Class T2A3 |
9,184,265 | 5.69 | * | 10/25/2036 | 5,511,559 | 5,205,953 | 0.26 | |||||||||||||||||
| Banc of America Funding Corp., Series 2006-D, Class 5A1 |
9,249,797 | 5.65 | 5/20/2036 | 7,499,150 | 7,453,579 | 0.37 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2006-1, Class 6A1 |
4,349,048 | 0.47 | 10/20/2046 | 2,542,210 | 2,426,751 | 0.12 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2006-J, Class 2A3 |
9,627,793 | 3.37 | 1/20/2047 | 6,769,667 | 5,498,182 | 0.28 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2007-1, Class TA2 |
35,855,787 | 0.42 | 1/25/2037 | 18,244,759 | 14,356,263 | 0.72 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2007-5, Class 2A3 |
7,301,262 | 6.00 | * | 7/25/2037 | 4,966,682 | 4,954,651 | 0.25 | |||||||||||||||||
| Banc of America Funding Corp., Series 2007-C, Class 5A1 |
12,736,862 | 2.73 | 5/20/2036 | 9,988,016 | 8,953,402 | 0.45 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2007-E, Class 9A1 |
2,682,888 | 5.23 | 9/20/2037 | 1,652,516 | 1,404,269 | 0.07 | ||||||||||||||||||
| BCAP LLC Trust, Series 2006-AA1, Class Al |
43,533,248 | 0.48 | 10/25/2036 | 25,696,188 | 19,766,924 | 0.99 | ||||||||||||||||||
| BCAP LLC Trust, Series 2007-AA3, Class 1A1A |
1,813,298 | 0.50 | 4/25/2037 | 1,230,109 | 1,104,750 | 0.06 | ||||||||||||||||||
| BCAP LLC Trust, Series 2007-AA3, Class 2A1A |
17,340,601 | 0.51 | 5/25/2047 | 12,196,624 | 9,415,530 | 0.47 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-10, Class A3 |
49,194,932 | 2.70 | 10/25/2035 | 39,007,179 | 38,159,033 | 1.92 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 23A1 |
8,630,757 | 5.64 | 2/25/2036 | 6,042,352 | 4,784,417 | 0.24 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
3
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | %
of Partners' Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-3, Class 2A1 |
$ | 64,644,507 | 2.69 | 6/25/2035 | $ | 52,336,876 | $ | 45,513,030 | 2.29 | |||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2, Class 3A2 |
15,830,639 | 5.67 | 7/25/2036 | 11,630,248 | 9,958,374 | 0.50 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 2A1 |
54,553,990 | 2.59 | 10/25/2036 | 38,598,630 | 30,593,714 | 1.54 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1, Class 2A1 |
25,031,500 | 5.11 | 2/25/2047 | 16,063,984 | 13,281,363 | 0.67 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1 |
3,914,433 | 5.13 | 5/25/2047 | 2,879,157 | 2,380,073 | 0.12 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-4, Class 22A1 |
5,956,892 | 5.67 | 6/25/2047 | 4,421,206 | 4,143,018 | 0.21 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-5, Class 1Al |
6,426,411 | 5.54 | 8/25/2047 | 4,032,146 | 3,282,135 | 0.17 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2005-7, Class 23A1 |
50,468,883 | 5.47 | 9/25/2035 | 38,661,559 | 32,968,899 | 1.66 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-2, Class 22A1 |
16,258,385 | 2.62 | 3/25/2036 | 8,258,167 | 6,836,212 | 0.34 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-5, Class 1A1 |
35,505,191 | 0.46 | 8/25/2036 | 16,602,114 | 12,257,812 | 0.62 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-7, Class 1A1 |
15,205,748 | 0.46 | 12/25/2046 | 8,240,704 | 7,075,508 | 0.36 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-8, Class 1A1 |
48,375,583 | 0.45 | 6/25/2046 | 23,653,280 | 16,519,197 | 0.83 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-8, Class 2A1 |
65,266,094 | 3.03 | 8/25/2046 | 34,178,525 | 25,237,028 | 1.27 | ||||||||||||||||||
| Bear Stearns Alt-A Trust II, Series 2007-1, Class 1A1 |
17,406,574 | 5.09 | 9/25/2047 | 10,896,152 | 7,156,051 | 0.36 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2 |
7,384,439 | 0.79 | 8/25/2035 | 4,937,012 | 5,154,959 | 0.26 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2006-HE5, Class 1A3 |
5,214,000 | 0.56 | 6/25/2036 | 2,015,111 | 1,671,661 | 0.08 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2007-HE3, Class 1A2 |
5,725,693 | 0.49 | 4/25/2037 | 3,358,363 | 3,247,063 | 0.16 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2006-NC4, Class A4 |
11,237,000 | 0.53 | 10/25/2036 | 4,261,394 | 3,730,381 | 0.19 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3 |
30,010,000 | 0.55 | 2/25/2037 | 13,076,596 | 10,231,970 | 0.51 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2007-HE1, Class A2 |
18,920,000 | 0.44 | 6/25/2037 | 9,380,279 | 11,538,589 | 0.58 | ||||||||||||||||||
| Centex Home Equity, Series 2004-B, Class AF6 |
6,775,000 | 4.19 | * | 3/25/2034 | 6,098,463 | 6,309,104 | 0.32 | |||||||||||||||||
| Chase Mortgage Finance Corp., Series 2007-A1, Class 11A4 |
19,294,802 | 2.75 | 3/25/2037 | 13,508,661 | 13,512,902 | 0.68 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A1 |
3,749,234 | 2.79 | 3/25/2036 | 2,781,733 | 2,603,457 | 0.13 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR7, Class 2A2A |
24,168,503 | 2.67 | 11/25/2036 | 14,119,655 | 12,784,002 | 0.64 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006- AR7, Class 2A3A |
16,091,375 | 5.39 | 11/25/2036 | 10,320,930 | 8,038,768 | 0.40 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR9, Class 1A3 |
13,235,500 | 0.53 | 11/25/2036 | 8,003,297 | 6,661,758 | 0.34 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007- AMC2, Class A3B |
41,000,000 | 0.47 | 1/25/2037 | 16,569,531 | 12,290,775 | 0.62 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007- AR1, Class A3 |
2,987,119 | 0.51 | 1/25/2037 | 1,534,185 | 1,376,548 | 0.07 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007- AR4, Class 2A3A |
12,151,374 | 5.38 | 3/25/2037 | 8,663,308 | 8,253,274 | 0.42 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 1A1A |
41,648,918 | 5.22 | 8/25/2047 | 31,490,498 | 26,376,427 | 1,33 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 2A1A |
45,773,932 | 5.18 | 7/25/2037 | 30,852,859 | 28,477,382 | 1.43 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2006-A7, Class 1A1 |
38,290,040 | 6.00 | 12/25/2036 | 28,635,145 | 24,908,590 | 1.25 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A2, Class 1A2 |
21,780,464 | 5.11 | 2/25/2037 | 2,088,928 | 3,074,047 | 0.15 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A6, Class 1A2 |
51,274,440 | 5.11 | 6/25/2037 | 4,861,387 | 7,563,744 | 0.38 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A6, Class 1A7 |
5,647,317 | 6.00 | * | 6/25/2037 | 3,919,735 | 3,743,601 | 0.19 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-63, Class 3A3 |
12,269,338 | 5.58 | 11/25/2035 | 7,082,383 | 5,791,520 | 0.29 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-85CB, Class 3A2 |
4,585,740 | 5.25 | * | 2/25/2021 | 3,862,253 | 4,164,957 | 0.21 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-J11, Class 2A1 |
6,401,089 | 6.00 | * | 10/25/2035 | 4,551,832 | 4,215,507 | 0.21 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-J12, Class 2A1 |
26,150,620 | 0.56 | 8/25/2035 | 14,027,509 | 8,987,524 | 0.45 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
4
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | % of Partners' Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-23CB, Class 2A5 |
$ | 44,494,982 | 0.69 | 8/25/2036 | $ | 21,230,070 | $ | 13,979,745 | 0.70 | |||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-24CB, Class A9 |
23,147,315 | 6.00 | * | 6/25/2036 | 16,003,280 | 15,774,016 | 0.79 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-25CB, Class A10 |
6,971,530 | 0.89 | 10/25/2036 | 4,089,938 | 3,542,722 | 0.18 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-26CB, Class A12 |
6,923,959 | 0.59 | 9/25/2036 | 3,270,920 | 2,572,853 | 0.13 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A1 |
3,244,497 | 6.25 | * | 12/25/2036 | 2,132,567 | 1,989,931 | 0.10 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-39CB, Class 1A6 |
4,744,628 | 0.89 | 1/25/2037 | 2,544,168 | 2,141,830 | 0.11 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-6CB, Class 2A11 |
7,511,891 | 5.50 | * | 5/25/2036 | 4,686,543 | 4,179,444 | 0.21 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-6CB, Class 2A4 |
7,973,299 | 5.75 | * | 5/25/2036 | 5,012,216 | 4,693,666 | 0.24 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-HY11, Class Al |
42,573,461 | 0.41 | 6/25/2036 | 24,392,328 | 20,069,385 | 1.01 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-J8, Class A4 |
13,043,706 | 6.00 | * | 2/25/2037 | 8,342,510 | 7,645,607 | 0.38 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-11T1, Class A21 |
12,594,437 | 6.00 | * | 5/25/2037 | 8,059,546 | 7,973,236 | 0.40 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-16CB, Class 2A1 |
23,396,065 | 0.74 | 8/25/2037 | 12,349,716 | 9,353,256 | 0.47 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-17CB, Class 1A6 |
7,319,150 | 0.79 | 8/25/2037 | 5,142,122 | 4,456,813 | 0.22 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-18CB, Class 1A7 |
9,088,988 | 0.76 | 8/25/2037 | 5,663,020 | 4,384,400 | 0.22 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-25, Class 1A2 |
18,956,946 | 6.50 | * | 11/25/2037 | 14,490,792 | 14,524,187 | 0.73 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-4CB, Class 1A5 |
15,659,296 | 5.75 | * | 4/25/2037 | 11,584,010 | 10,846,928 | 0.55 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A12 |
5,599,676 | 6.00 | * | 4/25/2037 | 3,409,823 | 3,294,048 | 0.17 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A13 |
9,686,529 | 6.00 | * | 4/25/2037 | 7,285,450 | 5,931,304 | 0.30 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-HY7C, Class Al |
49,495,808 | 0.43 | 8/25/2037 | 29,427,874 | 22,968,975 | 1.16 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-1, Class AF5A |
13,600,000 | 5.50 | 7/25/2035 | 11,628,905 | 9,848,902 | 0.50 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4 |
7,903,000 | 5.21 | 2/25/2036 | 5,066,302 | 3,996,895 | 0.20 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF6 |
2,506,192 | 5.05 | 2/25/2036 | 2,142,449 | 1,915,310 | 0.10 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-13, Class 3AV3 |
7,511,000 | 0.54 | 4/25/2036 | 6,457,962 | 6,426,021 | 0.32 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-IM1, Class A3 |
19,439,000 | 0.69 | 11/25/2035 | 13,205,194 | 11,925,030 | 0.60 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-15, Class A3 |
26,475,000 | 5.69 | 10/25/2046 | 18,132,153 | 15,134,248 | 0.76 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-15, Class A6 |
5,392,656 | 5.83 | 10/25/2046 | 3,543,312 | 3,642,173 | 0.18 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-17, Class 2A2 |
11,000,122 | 0.44 | 3/25/2047 | 7,553,800 | 6,486,442 | 0.33 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-18, Class 2A2 |
8,037,381 | 0.45 | 3/25/2037 | 5,586,895 | 5,212,097 | 0.26 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-22, Class 1A1 |
29,062,760 | 5.16 | 11/25/2035 | 22,104,777 | 21,472,003 | 1.08 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HY10, Class 1A1 |
15,516,786 | 3.32 | 2/20/2036 | 9,990,664 | 8,434,304 | 0.42 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB7, Class 6A1 |
30,721,130 | 5.34 | 11/20/2035 | 19,557,553 | 19,531,727 | 0.98 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 2A1 |
12,939,070 | 2.86 | 12/20/2035 | 9,271,120 | 8,369,793 | 0.42 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB9, Class 2A1 |
3,455,934 | 2.53 | 2/20/2036 | 2,049,934 | 1,916,785 | 0.10 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-19, Class 1A6 |
7,908,470 | 6.00 | * | 1/25/2037 | 6,564,851 | 6,991,293 | 0.35 | |||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 1A1 |
52,063,759 | 2.70 | 3/20/2036 | 31,839,678 | 21,316,465 | 1.07 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 2A2C |
54,193,000 | 2.66 | 3/20/2036 | 23,936,275 | 17,900,273 | 0.90 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB2, Class 1A1 |
8,159,986 | 2.86 | 4/20/2036 | 4,511,090 | 3,858,498 | 0.19 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB3, Class 2A1A |
16,767,720 | 2.73 | 5/20/2036 | 11,152,004 | 10,000,536 | 0.50 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
5
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB3, Class 3A1A |
$ | 6,663,463 | 5.59 | 5/20/2036 | $ | 4,300,073 | $ | 3,863,729 | 0.19 | |||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-21, Class 1A1 |
19,332,321 | 6.25 | * | 2/25/2038 | 16,427,590 | 17,069,415 | 0.86 | |||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY1, Class 1A1 |
39,407,540 | 5.33 | 4/25/2037 | 29,909,476 | 26,052,955 | 1.31 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY3, Class 4A1 |
8,587,405 | 5.66 | 6/25/2047 | 6,699,208 | 6,857,490 | 0.34 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY4, Class 1A1 |
10,954,592 | 5.59 | 9/25/2047 | 7,990,684 | 6,560,234 | 0.33 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1 |
30,402,397 | 5.60 | 9/25/2047 | 19,633,990 | 18,660,718 | 0.94 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 3A1 |
17,327,836 | 5.83 | 9/25/2037 | 13,212,116 | 12,665,937 | 0.64 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB2, Class 3Al |
42,993,784 | 3.71 | 2/25/2047 | 24,562,380 | 20,288,251 | 1.02 | ||||||||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1 |
19,009,497 | 6.50 | * | 12/25/2035 | 13,485,127 | 10,610,170 | 0.53 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-4, Class 3A1 |
19,660,089 | 6.50 | * | 5/25/2036 | 11,534,252 | 11,587,106 | 0.58 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-5, Class 3A1 |
2,451,297 | 6.50 | * | 6/25/2036 | 1,442,127 | 1,303,323 | 0.07 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 7A5 |
12,113,745 | 6.00 | * | 8/25/2036 | 8,279,743 | 7,642,138 | 0.38 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 8A6 |
9,547,590 | 0.92 | 8/25/2036 | 4,652,625 | 4,716,997 | 0.24 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-1, Class 1A1B |
6,353,657 | 0.37 | 2/25/2037 | 2,581,062 | 1,909,166 | 0.10 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-1, Class 1A6A |
7,618,729 | 5.86 | 2/25/2037 | 4,717,897 | 3,882,481 | 0.20 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-3, Class 1A3A |
16,659,123 | 5.75 | 4/25/2037 | 9,494,563 | 8,443,010 | 0.42 | ||||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2005-AR1, Class 2A3 |
16,705,000 | 1.86 | 8/25/2035 | 8,806,843 | 8,259,921 | 0.42 | ||||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2006-AR3, Class A2 |
7,278,874 | 0.41 | 8/25/2036 | 3,143,185 | 3,055,540 | 0.15 | ||||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2007-BAR1, Class A3 |
25,685,000 | 0.45 | 3/25/2037 | 11,035,001 | 7,271,218 | 0.37 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF11, Class 2A3 |
14,400,000 | 0.44 | 8/25/2036 | 8,614,084 | 6,774,581 | 0.34 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF11, Class 2A4 |
9,000,000 | 0.53 | 8/25/2036 | 4,513,333 | 2,894,121 | 0.15 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2D |
20,645,705 | 0.53 | 10/25/2036 | 10,313,313 | 7,008,267 | 0.35 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF8, Class IIA3 |
13,125,414 | 0.44 | 7/25/2036 | 9,739,208 | 8,684,837 | 0.44 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2B |
23,967,879 | 0.39 | 3/25/2037 | 12,051,129 | 8,836,430 | 0.44 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2C |
4,363,660 | 0.44 | 3/25/2037 | 2,179,394 | 1,618,809 | 0.08 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2D |
5,677,450 | 0.51 | 3/25/2037 | 2,835,360 | 2,125,450 | 0.11 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
6
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | % of Partners' Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-AA2, Class 2A1 |
$ | 1,638,564 | 2.24 | 5/25/2036 | $ | 814,468 | $ | 740,161 | 0.04 | |||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-AA4, Class 2A1 |
5,849,210 | 2.43 | 7/25/2036 | 3,367,584 | 2,862,767 | 0.14 | ||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-FA3, Class A8 |
7,058,177 | 6.00 | * | 7/25/2036 | 5,223,278 | 4,854,854 | 0.24 | |||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2007-FA2, Class 1A1 |
5,265,674 | 5.50 | 4/25/2037 | 3,702,749 | 3,432,351 | 0.17 | ||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2007-FA3, Class A7 |
5,645,234 | 6.00 | * | 6/25/2037 | 4,060,825 | 3,319,991 | 0.17 | |||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR1, Class 1A1 |
3,930,653 | 5.04 | 5/25/2037 | 2,836,824 | 2,322,611 | 0.12 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR2, Class 1A1 |
6,050,725 | 5.50 | 8/25/2037 | 4,659,996 | 3,993,406 | 0.20 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007- AR2, Class 1A2 |
4,103,959 | 5.50 | 8/25/2037 | 3,223,988 | 2,708,564 | 0.14 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR3, Class 1A1 |
6,923,554 | 5.76 | 11/25/2037 | 5,543,954 | 4,204,127 | 0.21 | ||||||||||||||||||
| GMAC Mortgage Corp. Loan Trust, Series 2005-AF2, Class Al |
4,394,952 | 6.00 | 12/25/2035 | 3,102,928 | 2,916,877 | 0.15 | ||||||||||||||||||
| GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1Al |
22,236,143 | 2.99 | 4/19/2036 | 16,149,703 | 15,187,308 | 0.76 | ||||||||||||||||||
| GSAA Trust, Series 2006-11, Class 2A1 |
19,955,055 | 0.38 | 7/25/2036 | 9,705,151 | 7,633,607 | 0.38 | ||||||||||||||||||
| GSAA Trust, Series 2006-15, Class AF4 |
15,843,974 | 5.96 | 9/25/2036 | 9,733,909 | 7,885,974 | 0.40 | ||||||||||||||||||
| GSAA Trust, Series 2006-20, Class 1A1 |
24,162,127 | 0.36 | 12/25/2046 | 12,488,632 | 9,371,329 | 0.47 | ||||||||||||||||||
| GSAA Trust, Series 2006-4, Class 4A2 |
9,114,484 | 0.52 | 3/25/2036 | 4,811,206 | 5,284,368 | 0.27 | ||||||||||||||||||
| GSAA Trust, Series 2007-1, Class 1A1 |
18,149,669 | 0.37 | 2/25/2037 | 10,380,290 | 7,065,303 | 0.36 | ||||||||||||||||||
| GSAA Trust, Series 2007-1, Class 1A2 |
27,004,653 | 0.46 | 2/25/2037 | 13,133,023 | 10,626,223 | 0.53 | ||||||||||||||||||
| GSAA Trust, Series 2007-4, Class A2 |
21,619,803 | 0.49 | 3/25/2037 | 10,580,085 | 7,538,998 | 0.38 | ||||||||||||||||||
| GSAA Trust, Series 2007-5, Class 1AV1 |
13,146,426 | 0.39 | 3/25/2047 | 7,666,926 | 5,396,818 | 0.27 | ||||||||||||||||||
| GSAMP Trust, Series 2006-FM3, Class A2D |
24,887,760 | 0.52 | 11/25/2036 | 9,883,284 | 7,554,008 | 0.38 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2005-AR3, Class 6A1 |
5,664,639 | 2.77 | 5/25/2035 | 4,682,523 | 4,230,936 | 0.21 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2005-AR5, Class 1Al |
6,366,620 | 2.84 | 10/25/2035 | 4,875,234 | 4,308,674 | 0.22 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 |
10,164,742 | 2.77 | 1/25/2036 | 7,478,249 | 7,028,360 | 0.35 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A4 |
88,060,000 | 2.77 | 1/25/2036 | 61,079,304 | 49,219,904 | 2.47 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1 |
42,717,841 | 2.64 | 4/25/2036 | 31,249,026 | 25,941,990 | 1.30 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 |
31,893,287 | 2.92 | 3/25/2047 | 23,515,611 | 19,142,159 | 0.96 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 1A1 |
67,676,717 | 5.37 | 5/25/2047 | 49,028,478 | 39,943,949 | 2.01 | ||||||||||||||||||
| Homebanc Mortgage Trust, Series 2004-2, Class A2 |
1,916,441 | 0.74 | 12/25/2034 | 1,288,079 | 1,148,500 | 0.06 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2006-HE1, Class 2A2 |
10,841,545 | 0.40 | 10/25/2036 | 4,645,810 | 3,590,123 | 0.18 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 2A3 |
4,000,000 | 0.48 | 1/25/2037 | 1,588,284 | 1,256,696 | 0.06 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 2A4 |
5,000,000 | 0.57 | 1/25/2037 | 1,981,197 | 1,301,245 | 0.07 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE2, Class 2A3 |
8,900,000 | 0.55 | 4/25/2037 | 3,444,410 | 2,338,804 | 0.12 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-NC1, Class A4 |
7,940,000 | 0.57 | 4/25/2037 | 2,977,399 | 2,386,153 | 0.12 | ||||||||||||||||||
| Impac Cmb Trust, Series 2005-3, Class Al |
25,045,586 | 0.77 | 8/25/2035 | 17,234,657 | 15,023,995 | 0.76 | ||||||||||||||||||
| Impac Secured Assets Cmn Owner Trust, Series 2005-2, Class Al |
9,933,468 | 0.61 | 3/25/2036 | 5,010,862 | 4,211,910 | 0.21 | ||||||||||||||||||
| IndyMac Inda Mortgage Loan Trust, Series 2007-AR3, Class 3A1 |
31,297,757 | 5.81 | 7/25/2037 | 24,641,882 | 23,244,906 | 1.17 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 1A1 |
11,265,141 | 2.54 | 8/25/2035 | 6,696,728 | 5,791,578 | 0.29 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class Al |
26,636,496 | 4.91 | 9/25/2035 | 18,597,578 | 18,625,010 | 0.94 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR23, Class 2A1 |
81,471,135 | 2.42 | 11/25/2035 | 54,335,467 | 44,725,046 | 2.25 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 5A1 |
23,805,944 | 0.58 | 1/25/2036 | 10,663,837 | 8,629,893 | 0.43 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR11, Class 2A1 |
10,466,385 | 3.04 | 6/25/2036 | 5,961,108 | 4,793,092 | 0.24 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR11, Class 5A1 |
5,457,632 | 4.78 | 6/25/2036 | 2,797,685 | 2,585,002 | 0.13 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR13, Class Al |
5,940,189 | 5.33 | 7/25/2036 | 4,188,182 | 4,426,605 | 0.22 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR13, Class A2 |
5,337,009 | 0.59 | 7/25/2036 | 3,973,966 | 3,129,286 | 0.16 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
7
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount | Interest Rate (%) |
Maturity Date | Amortized Cost | Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities — United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 1A1 |
$ | 13,081,325 | 2.76 | 9/25/2036 | $ | 6,869,513 | $ | 6,404,237 | 0.32 | |||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 3A1 |
27,790,782 | 2.84 | 9/25/2036 | 15,400,329 | 10,849,827 | 0.55 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A4 |
9,122,152 | 0.48 | 10/25/2036 | 5,324,435 | 3,833,666 | 0.19 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 1Al |
17,076,152 | 2.92 | 3/25/2036 | 8,270,266 | 7,200,006 | 0.36 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 2A1A |
5,824,654 | 2.72 | 3/25/2036 | 3,098,116 | 2,718,611 | 0.14 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 2A1B |
12,881,980 | 2.72 | 3/25/2036 | 6,871,842 | 6,012,561 | 0.30 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR39, Class Al |
99,117,852 | 0.47 | 2/25/2037 | 59,755,793 | 46,066,905 | 2.32 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1 |
8,017,927 | 4.93 | 8/25/2037 | 4,990,362 | 4,632,317 | 0.23 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 1A1 |
48,608,285 | 4.77 | 5/25/2037 | 23,012,632 | 18,227,232 | 0.92 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1 |
8,544,203 | 4.68 | 5/25/2037 | 5,377,660 | 4,219,777 | 0.21 | ||||||||||||||||||
| IndyMac Residential Asset Backed Trust, Series 2005-D, Class AII3 |
5,066,091 | 0.54 | 3/25/2036 | 3,903,408 | 3,663,645 | 0.18 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A1, Class 1A1 |
15,868,859 | 0.52 | 3/25/2036 | 10,135,945 | 9,301,817 | 0.47 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A1, Class 4A4 |
7,229,576 | 5.24 | 3/25/2036 | 4,776,764 | 4,349,891 | 0.22 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1 |
21,637,006 | 2.67 | 5/25/2036 | 13,950,237 | 10,028,926 | 0.50 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A3, Class 2A1 |
25,300,143 | 2.66 | 7/25/2036 | 14,677,527 | 11,308,253 | 0.57 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A5, Class 2A5 |
10,312,000 | 5.85 | 10/25/2036 | 5,722,197 | 3,970,275 | 0.20 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AF5 |
20,000,000 | 5.89 | 10/25/2036 | 12,834,594 | 10,685,000 | 0.54 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AF6 |
2,738,412 | 5.54 | 10/25/2036 | 2,048,212 | 1,615,329 | 0.08 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-FRE1, Class A4 |
6,396,551 | 0.58 | 5/25/2035 | 4,260,643 | 3,507,971 | 0.18 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC2, Class A4 |
10,000,000 | 0.40 | 7/25/2036 | 4,159,005 | 3,058,230 | 0.15 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC3, Class A3 |
3,751,481 | 0.40 | 8/25/2036 | 1,638,452 | 1,078,682 | 0.05 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC3, Class A4 |
12,623,947 | 0.44 | 8/25/2036 | 5,345,442 | 3,651,313 | 0.18 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF4 |
31,800,000 | 5.80 | 11/25/2036 | 25,620,144 | 22,256,342 | 1.13 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF5 |
6,000,000 | 5.92 | * | 11/25/2036 | 4,629,951 | 4,243,032 | 0.21 | |||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF6 |
11,455,438 | 5.50 | 11/25/2036 | 9,826,127 | 9,944,134 | 0.50 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A3 |
8,085,000 | 0.44 | 3/25/2037 | 4,475,425 | 5,652,337 | 0.28 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4 |
4,564,119 | 0.50 | 3/25/2037 | 1,840,506 | 1,651,896 | 0.08 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A5 |
13,500,000 | 0.55 | 3/25/2037 | 5,382,298 | 4,263,516 | 0.21 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH4, Class A5 |
2,890,000 | 0.53 | 5/25/2037 | 1,194,594 | 1,044,917 | 0.05 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2005-A8, Class 2A3 |
8,475,000 | 2.59 | 11/25/2035 | 5,689,199 | 5,964,552 | 0.30 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1Al |
14,833,996 | 2.76 | 6/25/2036 | 11,281,975 | 10,004,180 | 0.50 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4 |
10,438,373 | 2.77 | 8/25/2036 | 7,785,023 | 6,910,412 | 0.35 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A5, Class 3A2 |
5,947,328 | 5.81 | 8/25/2036 | 4,640,210 | 4,347,408 | 0.22 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A5, Class 3A5 |
3,049,047 | 5.81 | 8/25/2036 | 2,378,920 | 2,228,808 | 0.11 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-S2, Class 3A11 |
5,542,807 | 6.50 | * | 7/25/2036 | 4,164,506 | 4,850,184 | 0.24 | |||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A6 |
1,521,099 | 2.81 | 7/25/2035 | 1,138,616 | 1,067,422 | 0.05 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A2, Class 1Al |
4,931,625 | 2.78 | 4/25/2037 | 3,269,159 | 3,058,608 | 0.15 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1 |
2,580,160 | 4.74 | 6/25/2037 | 1,923,152 | 1,602,429 | 0.08 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 |
17,893,889 | 5.70 | 6/25/2037 | 13,343,449 | 13,114,002 | 0.66 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22 |
8,072,802 | 5.75 | * | 3/25/2037 | 6,606,073 | 6,334,187 | 0.32 | |||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-S3, Class 1A35 |
23,003,956 | 6.00 | * | 8/25/2037 | 19,896,243 | 19,071,867 | 0.96 | |||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-S3, Class 1A97 |
5,240,413 | 6.00 | * | 8/25/2037 | 4,338,633 | 4,344,612 | 0.22 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2005-2, Class 3A5 |
10,867,294 | 5.50 | * | 12/25/2035 | 8,285,147 | 7,949,578 | 0.40 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2005-3, Class 1A3 |
3,351,051 | 5.50 | * | 1/25/2036 | 2,816,353 | 2,322,332 | 0.12 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2006-3, Class 1Al |
7,442,172 | 6.00 | * | 7/25/2036 | 5,215,872 | 4,975,300 | 0.25 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2006-3, Class 1A4 |
4,380,329 | 6.00 | * | 7/25/2036 | 2,935,309 | 2,708,217 | 0.14 | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
8
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount | Interest Rate (%) |
Maturity Date |
Amortized Cost | FairValue | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Lehman Mortgage Trust, Series 2006-5, Class 1A13 |
$ | 6,259,461 | 6.00 | * | 9/25/2036 | $ | 3,817,817 | $ | 3,747,665 | 0.19 | ||||||||||||||
| Lehman XS Trust, Series 2006-5, Class 1A1A |
17,637,052 | 0.50 | 4/25/2036 | 9,735,777 | 7,037,572 | 0.35 | ||||||||||||||||||
| Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3 |
25,798,657 | 0.45 | 8/25/2036 | 10,031,177 | 8,324,324 | 0.42 | ||||||||||||||||||
| Long Beach Mortgage Loan Trust, Series 2006-8, Class 2A3 |
34,480,516 | 0.45 | 9/25/2036 | 13,672,443 | 9,881,323 | 0.50 | ||||||||||||||||||
| Master Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1 |
7,448,242 | 2.68 | 5/25/2036 | 5,672,748 | 5,018,231 | 0.25 | ||||||||||||||||||
| Master Adjustable Rate Mortgages Trust, Series 2007-HF2, Class Al |
57,137,546 | 0.60 | 9/25/2037 | 41,361,741 | 34,432,971 | 1.73 | ||||||||||||||||||
| Master Alternative Loans Trust, Series 2005-3, Class 3A1 |
7,263,142 | 6.50 | * | 4/25/2035 | 6,105,787 | 6,422,223 | 0.32 | |||||||||||||||||
| Master Asset Backed Securities Trust, Series 2007-HE2, Class A2 |
1,191,691 | 0.99 | 8/25/2037 | 1,088,805 | 1,039,389 | 0.05 | ||||||||||||||||||
| Merrill Lynch Alternative Note Asset, Series 2007-A1, Class A2C |
21,411,932 | 0.52 | 1/25/2037 | 9,311,378 | 5,992,151 | 0.30 | ||||||||||||||||||
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1 |
23,735,043 | 2.62 | 8/25/2036 | 18,404,312 | 17,017,290 | 0.86 | ||||||||||||||||||
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 2A1 |
14,657,611 | 4.96 | 6/25/2037 | 10,074,816 | 8,971,205 | 0.45 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 1A |
9,739,222 | 2.63 | 7/25/2035 | 6,571,785 | 5,995,826 | 0.30 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2 |
3,136,232 | 0.57 | 8/25/2035 | 2,722,904 | 2,739,395 | 0.14 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005- A9, Class 2A1C |
15,820,000 | 2.52 | 12/25/2035 | 10,745,910 | 10,258,084 | 0.52 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2006-HE5, Class A2C |
11,104,597 | 0.44 | 8/25/2037 | 4,503,228 | 3,037,152 | 0.15 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2007-MLN1, Class A2A |
35,326,227 | 0.40 | 3/25/2037 | 23,668,718 | 18,098,402 | 0.92 | ||||||||||||||||||
| Morgan Stanley ABS Capital I, Series 2007-HE1, Class A2C |
60,125,000 | 0.44 | 11/25/2036 | 24,051,260 | 16,952,183 | 0.85 | ||||||||||||||||||
| Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 |
35,000,000 | 0.52 | 4/25/2037 | 13,340,219 | 9,756,355 | 0.49 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A |
4,209,166 | 0.55 | 4/25/2035 | 3,169,138 | 2,884,268 | 0.15 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 |
17,571,652 | 2.73 | 3/25/2036 | 10,730,813 | 8,735,694 | 0.44 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-6AR, Class 2A |
23,967,812 | 2.69 | 5/25/2036 | 15,330,754 | 13,004,096 | 0.65 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A5 |
2,300,413 | 6.14 | * | 6/25/2036 | 1,276,602 | 1,064,410 | 0.05 | |||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-12, Class 3A22 |
7,806,696 | 6.00 | * | 8/25/2037 | 6,269,235 | 6,565,658 | 0.33 | |||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-13, Class 6A1 |
20,035,499 | 6.00 | * | 10/25/2037 | 14,282,683 | 12,786,756 | 0.64 | |||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1 |
51,838,580 | 4.69 | 11/25/2037 | 35,130,891 | 30,182,858 | 1.52 | ||||||||||||||||||
| Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 |
42,306,000 | 0.54 | 6/25/2037 | 22,344,621 | 14,827,999 | 0.76 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2005-AP3, Class A4 |
6,975,000 | 5.61 | 8/25/2035 | 4,507,532 | 4,313,975 | 0.22 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2005-AR4, Class 3A1 |
1,149,356 | 2.97 | 8/25/2035 | 768,818 | 762,104 | 0.04 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2006-AF2, Class 1A3 |
9,349,663 | 6.22 | 8/25/2036 | 4,559,468 | 3,600,050 | 0.18 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2006-AF2, Class 1A4 |
3,988,576 | 6.43 | 8/25/2036 | 2,063,274 | 1,545,876 | 0.08 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2007-2, Class A1B |
3,227,770 | 6.02 | 4/25/2047 | 1,807,378 | 1,747,066 | 0.09 | ||||||||||||||||||
| Novastar Home Equity Loan, Series 2007-2, Class A2C |
3,400,000 | 0.47 | 9/25/2037 | 1,336,494 | 793,261 | 0.04 | ||||||||||||||||||
| Opteum Mortgage Acceptance Corp., Series 2006-1, Class 2APT |
3,666,478 | 5.75 | 4/25/2036 | 2,618,050 | 2,910,102 | 0.15 | ||||||||||||||||||
| Option One Mortgage Loan Trust, Series 2007-3, Class 2A2 |
4,930,000 | 0.47 | 4/25/2037 | 2,129,337 | 1,788,811 | 0.09 | ||||||||||||||||||
| Option One Mortgage Loan Trust, Series 2007-6, Class 2A4 |
10,200,000 | 0.54 | 7/25/2037 | 4,043,836 | 3,193,773 | 0.16 | ||||||||||||||||||
| Ownit Mortgage Loan Asset Backed Certificates, Series 2005-5, Class A2B |
1,138,471 | 0.58 | 10/25/2036 | 831,923 | 955,224 | 0.05 | ||||||||||||||||||
| Popular ABS Mortgage Pass-Through Trust, Series 2006-E, Class A3 |
11,867,000 | 0.50 | 1/25/2037 | 5,377,946 | 4,046,872 | 0.20 | ||||||||||||||||||
| Prime Mortgage Trust, Series 2006-1, Class 2A7 |
11,346,016 | 6.00 | * | 6/25/2036 | 8,761,148 | 6,975,882 | 0.35 | |||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4 |
2,685,000 | 4.93 | 8/25/2035 | 2,188,399 | 2,063,943 | 0.10 | ||||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2 |
5,000,000 | 7.00 | 9/25/2037 | 2,504,083 | 1,912,920 | 0.10 | ||||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2007-3, Class AF3 |
44,796,000 | 7.24 | 9/25/2037 | 22,556,771 | 17,147,685 | 0.87 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA10, Class A31 |
38,736,220 | 3.61 | 9/25/2035 | 25,736,161 | 22,801,340 | 1.15 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA4, Class A31 |
25,433,440 | 3.19 | 4/25/2035 | 19,323,680 | 17,788,173 | 0.89 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA6, Class NB23 |
1,561,253 | 3.19 | 5/25/2035 | 929,034 | 881,013 | 0.04 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA7, Class A21 |
10,936,033 | 3.23 | 7/25/2035 | 7,036,021 | 6,875,790 | 0.35 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
9
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fare Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities - United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA8, Class CB21 |
$ | 36,031,153 | 3.30 | 7/25/2035 | $ | 24,851,953 | $ | 21,027,925 | 1.06 | |||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QA1, Class A21 |
18,838,896 | 3.82 | 1/25/2036 | 10,418,654 | 9,434,331 | 0.47 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QA8, Class A2 |
10,026,856 | 0.47 | 9/25/2036 | 4,969,906 | 4,145,854 | 0.21 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class A1 |
4,091,252 | 6.00 | * | 8/25/2036 | 2,649,282 | 2,352,253 | 0.12 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QSl0, Class A15 |
9,465,253 | 6.00 | * | 8/25/2036 | 5,832,378 | 5,355,109 | 0.27 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class A5 |
5,168,368 | 0.59 | 8/25/2036 | 3,032,198 | 2,110,477 | 0.11 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS12, Class 2A12 |
10,434,428 | 0.49 | 9/25/2036 | 5,334,929 | 4,245,664 | 0.21 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS15, Class A5 |
6,250,499 | 6.50 | * | 10/25/2036 | 3,981,982 | 3,782,102 | 0.19 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS16, Class A1 |
9,561,511 | 0.69 | 11/25/2036 | 5,142,152 | 4,287,582 | 0.22 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1 |
2,504,149 | 6.00 | * | 6/25/2021 | 2,175,800 | 2,131,612 | 0.11 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS8, Class A4 |
4,434,927 | 0.74 | 8/25/2036 | 2,115,613 | 1,917,529 | 0.10 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QA2, Class A3 |
5,958,501 | 0.44 | 2/25/2037 | 2,673,573 | 2,409,695 | 0.12 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS1, Class 1A4 |
13,945,405 | 6.00 | * | 1/25/2037 | 8,897,055 | 8,524,324 | 0.43 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS1, Class 2A8 |
6,275,078 | 0.59 | 1/25/2037 | 3,050,223 | 2,754,169 | 0.14 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS10, Class A1 |
13,265,093 | 6.50 | * | 9/25/2037 | 8,808,658 | 6,692,956 | 0.34 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS2, Class A4 |
4,158,260 | 6.25 | * | 1/25/2037 | 2,490,208 | 2,570,042 | 0.13 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS8, Class A13 |
5,809,713 | 6.00 | * | 6/25/2037 | 3,563,273 | 3,380,306 | 0.17 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS9, Class A33 |
7,386,811 | 6.50 | * | 7/25/2037 | 4,890,396 | 4,394,369 | 0.22 | |||||||||||||||||
| Residential Asset Mortgage Products, Inc., Series 2006-RZ5, Class A2 |
32,234,239 | 0.47 | 8/25/2046 | 26,690,117 | 23,656,062 | 1.20 | ||||||||||||||||||
| Residential Asset Securities Corp., Series 2005-AHL3, Class A3 |
20,805,000 | 0.63 | 11/25/2035 | 11,608,599 | 9,574,794 | 0.48 | ||||||||||||||||||
| Residential Asset Securities Corp., Series 2006-KS5, Class A3 |
11,380,699 | 0.45 | 7/25/2036 | 8,643,722 | 8,010,271 | 0.40 | ||||||||||||||||||
| Residential Asset Securitization Trust, Series 2005-A13, Class 1A2 |
38,748,868 | 4.51 | 10/25/2035 | 3,824,729 | 5,156,320 | 0.26 | ||||||||||||||||||
| Residential Asset Securitization Trust, Series 2005-A7, Class A3 |
6,476,582 | 5.50 | * | 6/25/2035 | 5,259,022 | 5,495,334 | 0.28 | |||||||||||||||||
| Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A1 |
3,004,364 | 6.50 | * | 7/25/2036 | 1,494,822 | 1,314,464 | 0.07 | |||||||||||||||||
| Residential Asset Securitization Trust, Series 2007-A9, Class A6 |
11,419,000 | 6.25 | * | 9/25/2037 | 7,625,227 | 6,917,516 | 0.35 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2005-SA4, Class 2A2 |
6,620,298 | 5.21 | 9/25/2035 | 5,554,320 | 5,052,711 | 0.25 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2005-SA5, Class 1A |
8,089,204 | 3.03 | 11/25/2035 | 5,212,990 | 4,397,154 | 0.22 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-S1, Class 2A |
6,157,151 | 5.75 | * | 1/25/2036 | 4,730,841 | 4,610,875 | 0.23 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA1, Class 1A1 |
7,303,958 | 3.29 | 2/25/2036 | 5,264,337 | 4,663,497 | 0.23 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA2, Class 3A1 |
10,880,189 | 5.84 | 8/25/2036 | 8,411,974 | 7,871,762 | 0.40 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA3, Class 2A1 |
2,730,308 | 3.63 | 9/25/2036 | 2,028,314 | 1,668,226 | 0.08 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 1A |
7,485,456 | 3.22 | 4/25/2037 | 4,035,624 | 3,497,100 | 0.18 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 2A1 |
26,601,327 | 5.19 | 4/25/2037 | 19,108,354 | 16,030,572 | 0.81 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 2A2 |
6,114,334 | 5.19 | 4/25/2037 | 4,301,819 | 3,684,639 | 0.19 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 4A |
10,405,276 | 5.88 | 4/25/2037 | 7,598,897 | 7,212,927 | 0.36 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA3, Class 2A1 |
29,189,011 | 5.67 | 7/27/2037 | 19,774,382 | 18,403,175 | 0.93 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA4, Class 3A1 |
32,776,569 | 5.92 | 10/25/2037 | 24,539,487 | 19,870,304 | 1.00 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
10
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount | Interest Rate (%) |
Maturity Date |
Amortized Cost | Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Sequoia Mortgage Trust, Series 2007-1, Class 2A1 |
$ | 16,810,430 | 3.41 | 2/20/2047 | $ | 12,785,216 | $ | 12,516,962 | 0.63 | |||||||||||||||
| Sequoia Mortgage Trust, Series 2007-3, Class 2AA1 |
83,752,246 | 4.60 | 7/20/2037 | 59,751,164 | 52,930,834 | 2.65 | ||||||||||||||||||
| Sequoia Mortgage Trust, Series 2007-3, Class 2BA1 |
2,821,943 | 5.18 | 7/20/2037 | 1,946,335 | 1,774,697 | 0.09 | ||||||||||||||||||
| Soundview Home Equity Loan Trust, Series 2006-3, Class A4 |
18,000,000 | 0.54 | 11/25/2036 | 7,642,360 | 5,322,474 | 0.27 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 1A1 |
52,435,538 | 2.54 | 6/25/2035 | 38,512,221 | 32,755,065 | 1.65 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 6A3 |
20,365,000 | 5.40 | 11/25/2035 | 16,305,235 | 13,914,916 | 0.70 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 1A1 |
7,987,319 | 2.53 | 1/25/2036 | 4,396,614 | 4,081,137 | 0.21 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-10, Class 2A1 |
31,431,410 | 5.68 | 11/25/2036 | 23,999,577 | 19,809,206 | 1.00 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1 |
74,028,937 | 0.45 | 1/25/2037 | 46,267,870 | 32,223,686 | 1.62 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 3A2 |
6,040,077 | 5.33 | 4/25/2036 | 2,541,596 | 1,860,609 | 0.09 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1 |
21,184,206 | 2.60 | 8/25/2036 | 15,068,325 | 13,584,033 | 0.68 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 1A1 |
26,660,676 | 0.51 | 6/25/2037 | 19,204,189 | 15,589,723 | 0.78 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1 |
10,400,495 | 0.59 | 8/25/2037 | 6,859,305 | 5,542,309 | 0.28 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1 |
31,214,171 | 5.04 | 10/25/2047 | 20,783,622 | 18,478,571 | 0.93 | ||||||||||||||||||
| Structured Asset Investment Loan Trust, Series 2004-2, Class A4 |
16,247,491 | 1.00 | 3/25/2034 | 12,564,670 | 11,722,776 | 0.59 | ||||||||||||||||||
| Structured Asset Mortgage Investments, Inc., Series 2005-AR3, Class 2A1 |
799,979 | 2.50 | 8/25/2035 | 652,676 | 585,042 | 0.03 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-1, Class 1A1 |
20,878,797 | 3.28 | 2/25/2037 | 14,340,422 | 12,367,326 | 0.62 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-2, Class 1A1 |
44,497,111 | 5.36 | 4/25/2037 | 34,150,061 | 29,700,709 | 1.49 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 2A1 |
2,287,567 | 5.60 | 10/25/2037 | 1,785,885 | 1,649,585 | 0.08 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 3A1 |
1,343,477 | 5.73 | 10/25/2037 | 1,077,577 | 1,125,038 | 0.06 | ||||||||||||||||||
| WaMu Alternative Mortgage Pass-Through Certificates, Series 2006-AR10, Class A3A |
14,306,786 | 0.52 | 12/25/2036 | 8,675,784 | 6,867,286 | 0.35 | ||||||||||||||||||
| WaMu Alternative Mortgage Pass-Through Certificates, Series 2007-HY1, Class Al |
26,720,163 | 0.38 | 2/25/2037 | 16,646,846 | 12,632,304 | 0.64 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR14, Class 1A1 |
11,536,981 | 2.31 | 11/25/2036 | 8,272,115 | 8,193,391 | 0.41 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006- AR14, Class 1A3 |
32,100,000 | 2.31 | 11/25/2036 | 20,079,008 | 20,422,823 | 1.03 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 1A1 |
60,863,766 | 2.39 | 12/25/2036 | 46,149,243 | 39,203,873 | 1.97 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR18, Class 1Al |
40,372,326 | 2.22 | 1/25/2037 | 28,074,211 | 27,453,787 | 1.38 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A3 |
3,196,102 | 2.55 | 8/25/2046 | 2,161,395 | 2,114,202 | 0.11 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
11
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost |
Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities - United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY4, Class 3A1 |
$ | 37,498,582 | 5.51 | 4/25/2037 | $ | 30,078,040 | $ | 29,674,165 | 1.49 | |||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY4, Class 5A1 |
19,847,766 | 4.90 | 11/25/2036 | 14,895,086 | 14,175,672 | 0.71 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 2A1 |
34,765,206 | 5.24 | 6/25/2037 | 27,369,984 | 23,757,951 | 1.20 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A1 |
40,659,624 | 5.24 | 7/25/2037 | 28,696,828 | 22,211,173 | 1.12 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A3 |
15,501,057 | 5.24 | 7/25/2037 | 10,927,085 | 8,467,778 | 0.43 | ||||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-1 Class 4CB |
8,798,603 | 6.50 | * | 2/25/2036 | 5,426,831 | 4,265,792 | 0.21 | |||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1 |
3,816,852 | 6.00 | * | 7/25/2036 | 2,284,134 | 2,099,731 | 0.11 | |||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-HY1, Class A2A |
45,109,616 | 0.45 | 2/25/2037 | 29,201,328 | 23,590,435 | 1.19 | ||||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-HY2, Class 1A1 |
4,380,724 | 3.94 | 4/25/2037 | 2,407,983 | 1,950,526 | 0.10 | ||||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC2, Class Al |
6,568,332 | 0.39 | 6/25/2037 | 3,636,327 | 3,102,992 | 0.16 | ||||||||||||||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA2, Class 2A2 |
61,212,183 | 5.78 | 6/25/2037 | 9,599,542 | 9,370,073 | 0.47 | ||||||||||||||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class Al |
34,342,450 | 5.98 | 12/28/2037 | 21,624,666 | 21,134,481 | 1.06 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR15, Class 1A1 |
8,130,100 | 5.04 | 9/25/2035 | 6,507,756 | 6,169,453 | 0.31 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class 4A1 |
2,105,710 | 2.70 | 7/25/2036 | 1,596,120 | 1,394,999 | 0.07 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1 |
3,286,802 | 2.74 | 9/25/2036 | 2,369,040 | 2,188,412 | 0.11 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 2A1 |
1,290,189 | 5.84 | 9/25/2036 | 1,055,645 | 1,088,237 | 0.05 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR13, Class A2 |
10,239,981 | 2.65 | 9/25/2036 | 7,597,073 | 6,887,165 | 0.35 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR14, Class 2A3 |
2,175,458 | 2.63 | 10/25/2036 | 1,605,494 | 1,461,268 | 0.07 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR16, Class Al |
5,218,831 | 2.74 | 10/25/2036 | 3,980,205 | 3,470,789 | 0.17 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR17, Class Al |
872,422 | 2.61 | 10/25/2036 | 643,826 | 629,704 | 0.03 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR8, Class 2A1 |
3,780,385 | 2.70 | 4/25/2036 | 2,818,032 | 2,897,748 | 0.15 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class Al |
15,793,209 | 6.04 | 11/25/2037 | 12,195,415 | 11,452,067 | 0.58 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Residential Mortgage-Backed Securities |
$ | 3,768,468,374 | $ | 3,225,601,503 | 162.25 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total U.S. Mortgage-Backed Securities |
$ | 4,370,898,119 | $ | 3,873,876,004 | 194.86 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Investments |
$ | 4,370,898,119 | $ | 3,873,876,004 | 194.86 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
12
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Currency |
Notional/Units | Expiration Date |
Counterparty |
Pay |
Receive |
Unrealized Appreciation/ (Depreciation) |
% of Partners’ Capital |
|||||||||||||
| Interest Rate Swap Contracts |
||||||||||||||||||||
| USD |
200,000,000 | 1/13/2015 | Citigroup Global Markets, Inc. | Fixed 2.83625% | 3 Month USD LIBOR | $ | (14,521,423 | ) | (0.73 | ) | ||||||||||
| USD |
150,000,000 | 3/29/2015 | Citigroup Global Markets, Inc. | Fixed 2.78125% | 3 Month USD LIBOR | (10,295,698 | ) | (0.52 | ) | |||||||||||
| USD |
380,000,000 | 2/10/2016 | Citigroup Global Markets, Inc. | Fixed 2.5625% | 3 Month USD LIBOR | (27,020,715 | ) | (1.36 | ) | |||||||||||
| USD |
500,000,000 | 3/7/2016 | Citigroup Global Markets, Inc. | Fixed 2.510625 | 3 Month USD LIBOR | (33,817,767 | ) | (1.70 | ) | |||||||||||
|
|
|
|
|
|||||||||||||||||
| Interest Rate Swap Contracts Outstanding |
$ | (85,655,603 | ) | (4.31 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| * | This represents fixed interest rate. All other are variable and floating rate. |
The accompanying notes are an integral part of these financial statements.
13
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount | Interest Rate(%) |
Maturity Date |
Amortized Cost | Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities - United States |
||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities |
||||||||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Series 2006-6, Class AM |
$ | 19,714,000 | 5.39 | 10/10/2045 | $ | 16,989,439 | $ | 19,383,239 | 0.92 | |||||||||||||||
| Banc of America Commercial Mortgage, Inc., Series 2007-1, Class AMFX |
2,970,614 | 5.48 | 1/15/2049 | 2,172,604 | 2,902,992 | 0.14 | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4 |
3,640,000 | 5.74 | 2/10/2051 | 3,895,981 | 3,877,266 | 0.18 | ||||||||||||||||||
| Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM |
1,205,000 | 5.81 | 2/10/2051 | 942,167 | 1,200,113 | 0.06 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2005-PWR8, Class AJ |
1,625,000 | 4.75 | * | 6/11/2041 | 1,271,869 | 1,547,900 | 0.07 | |||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class AJ |
16,600,000 | 5.15 | 10/12/2042 | 15,607,712 | 16,528,464 | 0.79 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class AM |
20,000,000 | 5.72 | 6/11/2040 | 16,220,974 | 19,983,976 | 0.95 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM |
12,513,000 | 5.92 | 6/11/2050 | 11,384,388 | 12,739,676 | 0.61 | ||||||||||||||||||
| Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM |
10,725,000 | 5.84 | 9/11/2042 | 9,110,485 | 11,375,281 | 0.54 | ||||||||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2008-C7, Class AM |
5,440,000 | 6.10 | 12/10/2049 | 4,146,528 | 5,534,846 | 0.26 | ||||||||||||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4 |
11,120,000 | 5.32 | * | 12/11/2049 | 11,688,262 | 11,526,102 | 0.55 | |||||||||||||||||
| Commercial Mortgage Loan Trust, Series 2008-LS1, Class A4B |
31,340,000 | 6.01 | 12/10/2049 | 33,270,551 | 33,148,656 | 1.57 | ||||||||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C4, Class AJ |
4,750,000 | 5.19 | 8/15/2038 | 4,218,062 | 4,703,155 | 0.22 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-C4, Class AM |
11,359,823 | 5.51 | * | 9/15/2039 | 9,330,293 | 10,952,024 | 0.52 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class AM |
23,085,000 | 6.21 | 2/15/2041 | 15,260,737 | 20,589,112 | 0.98 | ||||||||||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4 |
50,000,000 | 5.74 | * | 12/10/2049 | 53,016,936 | 52,832,480 | 2.51 | |||||||||||||||||
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class AM |
19,285,000 | 5.48 | * | 2/10/2017 | 15,811,429 | 19,267,013 | 0.92 | |||||||||||||||||
| GS Mortgage Securities Corp. II, Series 2005-GG4, Class AJ |
5,790,000 | 4.78 | * | 7/10/2039 | 4,961,379 | 5,140,187 | 0.24 | |||||||||||||||||
| GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4 |
57,000,000 | 5.81 | 8/10/2045 | 55,912,516 | 59,588,472 | 2.83 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class AJ |
31,828,000 | 4.97 | 8/15/2042 | 26,043,380 | 31,305,903 | 1.49 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class AM |
12,000,000 | 5.45 | 12/12/2044 | 11,551,351 | 12,007,211 | 0.57 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM |
9,330,000 | 5.59 | * | 5/12/2045 | 8,386,771 | 9,205,918 | 0.44 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class AM |
2,412,000 | 5.53 | 4/15/2043 | 2,351,911 | 2,507,984 | 0.12 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class AMS |
12,000,000 | 5.34 | * | 5/15/2047 | 8,434,904 | 11,987,401 | 0.57 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class AM |
6,460,000 | 5.94 | 2/15/2051 | 4,107,863 | 6,314,287 | 0.30 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4 |
35,930,000 | 5.44 | * | 6/12/2047 | 38,280,568 | 37,652,121 | 1.79 | |||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM |
1,198,000 | 5.47 | 6/12/2047 | 843,704 | 1,178,887 | 0.06 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4 |
54,365,000 | 5.74 | 2/12/2049 | 58,266,936 | 57,756,539 | 2.74 | ||||||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2008-C2, Class A4 |
36,953,000 | 6.07 | * | 2/12/2051 | 36,339,934 | 38,405,294 | 1.82 | |||||||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3 |
37,605,000 | 5.43 | * | 2/15/2040 | 39,831,212 | 38,778,205 | 1.84 | |||||||||||||||||
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class AM |
26,378,000 | 5.49 | 2/15/2040 | 21,344,655 | 25,410,307 | 1.21 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
14
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount | Interest Rate(%) |
Maturity Date |
Amortized Cost | Fair Value | %of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities - United States (continued) |
||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Merrill Lynch Mortgage Trust, Series 2006-C1, Class AM |
$ | 395,000 | 5.66 | 5/12/2039 | $ | 282,433 | $ | 404,860 | 0.02 | |||||||||||||||
| Morgan Stanley Capital I, Series 2006-HQ9, Class AJ |
10,000,000 | 5.79 | 7/12/2044 | 8,455,845 | 9,526,161 | 0.45 | ||||||||||||||||||
| Morgan Stanley Capital I, Series 2006-T23, Class AJ |
15,000,000 | 5.81 | 8/12/2041 | 13,916,121 | 14,487,105 | 0.69 | ||||||||||||||||||
| Morgan Stanley Capital I, Series 2007-HQ13, Class A3 |
3,655,000 | 5.57 | * | 12/15/2044 | 3,212,437 | 3,752,784 | 0.18 | |||||||||||||||||
| Morgan Stanley Capital I, Series 2007-IQ14, Class AM |
43,000,000 | 5.69 | 4/15/2049 | 28,917,995 | 40,279,506 | 1.91 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Commercial Mortgage-Backed Securities |
$ | 595,780,332 | $ | 653,781,427 | 31.06 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Residential Mortgage-Backed Securities |
||||||||||||||||||||||||
| Accredited Mortgage Loan Trust, Series 2004-3, Class 2A2 |
1,373,453 | 0.86 | 10/25/2034 | 1,178,835 | 1,259,768 | 0.06 | ||||||||||||||||||
| ACE Securities Corp., Series 2006-CW1, Class A2C |
3,225,000 | 0.40 | 7/25/2036 | 1,345,562 | 1,639,484 | 0.08 | ||||||||||||||||||
| ACE Securities Corp., Series 2006-FM2, Class A2D |
7,710,000 | 0.48 | 8/25/2036 | 2,827,594 | 2,773,518 | 0.13 | ||||||||||||||||||
| ACE Securities Corp., Series 2007-HE2, Class A2A |
23,566,683 | 0.38 | 12/25/2036 | 15,806,552 | 17,660,330 | 0.84 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2005-12, Class 2A1 |
18,453,185 | 3.13 | 3/25/2036 | 12,236,928 | 12,563,316 | 0.60 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 5A1 |
39,208,312 | 5.55 | 5/25/2036 | 19,309,198 | 18,931,616 | 0.90 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 6A1 |
11,287,299 | 0.43 | 5/25/2036 | 5,970,072 | 5,982,889 | 0.28 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A2 |
37,530,262 | 0.38 | 8/25/2036 | 23,280,141 | 23,404,923 | 1.11 | ||||||||||||||||||
| Adjustable Rate Mortgage Trust, Series 2007-2, Class 2A1 |
38,358,281 | 0.47 | 6/25/2037 | 22,273,825 | 22,351,677 | 1.06 | ||||||||||||||||||
| Asset Backed Funding Certificates, Series 2006-OPT1, Class A3D |
1,000,000 | 0.50 | 9/25/2036 | 522,654 | 509,153 | 0.02 | ||||||||||||||||||
| Asset Backed Funding Certificates, Series 2006-OPT3, Class A3B |
26,605,950 | 0.42 | 11/25/2036 | 12,818,457 | 14,421,329 | 0.69 | ||||||||||||||||||
| Banc of America Alternative Loan Trust, Series 2006-7, Class A5 |
8,537,000 | 6.23 | 10/25/2036 | 5,428,358 | 5,927,965 | 0.28 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2006-I, Class 6A1 |
5,154,925 | 0.45 | 10/20/2046 | 2,974,946 | 3,539,011 | 0.17 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2006-J, Class 2A3 |
10,125,000 | 5.71 | 1/20/2047 | 7,113,727 | 7,136,292 | 0.34 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2007-1, Class TA2 |
40,774,894 | 0.39 | 1/25/2037 | 20,486,089 | 22,981,301 | 1.09 | ||||||||||||||||||
| Banc of America Funding Corp., Series 2007-5, Class 2A3 |
8,351,849 | 6.00 | * | 7/25/2037 | 5,686,271 | 6,832,080 | 0.32 | |||||||||||||||||
| Banc of America Funding Corp., Series 2007-E, Class 9A1 |
3,037,318 | 5.69 | 9/20/2037 | 1,871,946 | 1,940,904 | 0.09 | ||||||||||||||||||
| Bcap LLC Trust, Series 2006-AA1, Class Al |
46,929,094 | 0.45 | 10/25/2036 | 27,353,377 | 28,047,033 | 1.33 | ||||||||||||||||||
| Bcap LLC Trust, Series 2007-AA3, Class 1A1A |
2,114.076 | 0.47 | 4/25/2037 | 1,419,334 | 1,441,758 | 0.07 | ||||||||||||||||||
| Bcap LLC Trust, Series 2007-AA3, Class 2A1 A |
1,253,589 | 0.48 | 5/25/2047 | 779,489 | 772,167 | 0.04 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-10, Class A3 |
42,565,000 | 2.87 | 10/25/2035 | 33,233,968 | 35,592,725 | 1.69 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 23A1 |
9,514,957 | 5.69 | 2/25/2036 | 6,662,994 | 6,737,351 | 0.32 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-3, Class 2A1 |
72,847,840 | 2.85 | 6/25/2035 | 58,812,443 | 59,224,418 | 2.82 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2, Class 3A2 |
16,502,547 | 5.75 | 7/25/2036 | 12,192,086 | 12,138,119 | 0.58 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4, Class 2A1 |
60,011,601 | 5.39 | 10/25/2036 | 42,440,645 | 42,356,307 | 2.02 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1, Class 2A1 |
29,046,098 | 5.15 | 2/25/2047 | 18,602,550 | 19,402,997 | 0.92 | ||||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1Al |
4,090,579 | 5.32 | * | 5/25/2047 | 3,030,164 | 3,073,031 | 0.15 | |||||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-4, Class 22A1 |
6,768,608 | 5.85 | * | 6/25/2047 | 5,020,817 | 5,563,261 | 0.26 | |||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2005-7, Class 23A1 |
42,864,579 | 5.52 | 9/25/2035 | 32,399,536 | 31,842,338 | 1.51 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-2, Class 22A1 |
18,493,528 | 4.56 | 3/25/2036 | 9,401,102 | 9,329,560 | 0.44 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-5, Class 1A1 |
40,217,831 | 0.43 | 8/25/2036 | 18,617,092 | 18,736,603 | 0.89 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-7, Class 1A1 |
17,770,722 | 0.43 | 12/25/2046 | 9,555,924 | 9,259,755 | 0.44 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-8, Class 1A1 |
57,405,351 | 0.42 | 6/25/2046 | 28,024,503 | 25,288,722 | 1.20 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, Series 2006-8, Class 2A1 |
5,000,488 | 4.78 | 8/25/2046 | 2,640,997 | 2,658,965 | 0.13 | ||||||||||||||||||
| Bear Stearns Alt-A Trust, II, Series 2007-1, Class 1A1 |
18,500,961 | 5.14 | 9/25/2047 | 11,607,422 | 11,713,088 | 0.56 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2005-AC5, Class 1A2 |
7,970,312 | 0.76 | 8/25/2035 | 5,340,149 | 5,623,836 | 0.27 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2006-HE5, Class 1A3 |
5,214,000 | 0.53 | 6/25/2036 | 1,992,131 | 2,215,465 | 0.11 | ||||||||||||||||||
| Bear Stearns Asset Backed Securities Trust, Series 2007-HE3, Class 1A2 |
5,725,693 | 0.46 | 4/25/2037 | 3,303,114 | 3,534,963 | 0.17 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2006-NC4, Class A4 |
11,237,000 | 0.50 | 10/25/2036 | 4,193,811 | 4,105,090 | 0.19 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3 |
30,010,000 | 0.52 | 2/25/2037 | 12,975,600 | 13,679,098 | 0.65 | ||||||||||||||||||
| Carrington Mortgage Loan Trust, Series 2007-HE1, Class A2 |
11,500,000 | 0.41 | 6/25/2037 | 6,665,019 | 8,382,339 | 0.40 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
15
Wellington Management Legacy Securities PFIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate(%) |
Maturity Date |
Amortized Cost | Fair Value | %of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Centex Home Equity, Series 2004-B, Class AF6 |
$ | 6,775,000 | 4.19 | 3/25/2034 | $ | 6,082,095 | $ | 6,428,452 | 0.31 | |||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR2, Class 1A1 |
4,100,998 | 4.34 | 3/25/2036 | 3,038,294 | 3,187,940 | 0.15 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006- AR7, Class 2A2A |
28,487,300 | 5.39 | * | 11/25/2036 | 16,637,537 | 17,446,050 | 0.83 | |||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR7, Class 2A3A |
19,566,046 | 5.61 | 11/25/2036 | 12,594,686 | 12,321,072 | 0.59 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR9, Class 1A3 |
11,135,500 | 0.50 | 11/25/2036 | 6,518,045 | 6,758,280 | 0.32 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2, Class A3B |
41,000,000 | 0.44 | 1/25/2037 | 16,614,993 | 16,352,522 | 0.78 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR1, Class A3 |
3,202,280 | 0.48 | 1/25/2037 | 1,624,175 | 1,706,043 | 0.08 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR4, Class 2A3A |
14,640,164 | 5.45 | 3/25/2037 | 10,427,709 | 10,544,900 | 0.50 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 1A1A |
43,174,410 | 5.42 | 8/25/2047 | 32,647,242 | 33,022,941 | 1.57 | ||||||||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8, Class 2A1A |
30,601,458 | 5.78 | 7/25/2037 | 22,102,273 | 22,406,204 | 1.06 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A2, Class 1A2 |
24,191,718 | 5.14 | 7/25/2050 | 3,272,268 | 3,115,809 | 0.15 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A6, Class 1A2 |
56,375,037 | 5.14 | 6/25/2037 | 7,402,853 | 7,351,406 | 0.35 | ||||||||||||||||||
| Citimortgage Alternative Loan Trust, Series 2007-A6, Class 1A7 |
6,594,199 | 6.00 | * | 6/25/2037 | 4,575,549 | 4,683,926 | 0.22 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-85CB, Class 3A2 |
4,749,412 | 5.25 | * | 2/25/2021 | 3,996,552 | 4,364,382 | 0.21 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-JI1, Class 2A1 |
6,678,446 | 6.00 | * | 10/25/2035 | 4,752,075 | 5,089,791 | 0.24 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2005-JI2, Class 2A1 |
27,963,738 | 0.53 | 8/25/2035 | 14,984,130 | 15,787,348 | 0.75 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-23CB, Class 2A5 |
48,641,464 | 0.66 | 8/25/2036 | 23,473,427 | 24,360,229 | 1.16 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-24CB, Class A9 |
24,500,000 | 6.00 | * | 6/25/2036 | 16,964,877 | 18,540,547 | 0.88 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-25CB, Class A10 |
7,213,754 | 0.86 | 10/25/2036 | 4,246,409 | 4,789,658 | 0.23 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-26CB, Class A12 |
7,779,143 | 0.56 | 9/25/2036 | 3,677,782 | 3,785,339 | 0.18 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-39CB, Class 1A6 |
5,339,488 | 0.86 | 1/25/2037 | 2,847,716 | 3,185,875 | 0.15 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-6CB, Class 2A11 |
8,408,451 | 5.50 | * | 5/25/2036 | 5,281,238 | 5,318,337 | 0.25 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2006-6CB, Class 2A4 |
8,400,425 | 5.75 | * | 5/25/2036 | 5,314,002 | 5,540,895 | 0.26 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-16CB, Class 2A1 |
25,040,705 | 0.71 | 8/25/2037 | 13,273,903 | 13,394,949 | 0.64 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-17CB, Class 1A6 |
8,016,565 | 0.76 | 8/25/2037 | 5,632,927 | 5,367,707 | 0.25 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-18CB, Class 1A7 |
9,865,462 | 0.73 | 8/25/2037 | 6,130,479 | 6,496,880 | 0.31 | ||||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A12 |
6,190,000 | 6.00 | * | 4/25/2037 | 3,777,201 | 4,298,126 | 0.20 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A13 |
10,290,000 | 6.00 | * | 4/25/2037 | 7,768,729 | 7,717,500 | 0.37 | |||||||||||||||||
| Countrywide Alternative Loan Trust, Series 2007-HY7C, Class Al |
54,946,627 | 0.40 | 8/25/2037 | 32,475,231 | 33,538,542 | 1.59 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-1, Class AF5A |
13,500,000 | 5.50 | * | 7/25/2035 | 11,544,650 | 10,935,243 | 0.52 | |||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4 |
7,903,000 | 5.21 | 2/25/2036 | 5,077,233 | 5,213,838 | 0.25 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-13, Class 3AV3 |
9,010,362 | 0.51 | 4/25/2036 | 7,702,292 | 8,017,006 | 0.38 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2005-IM1, Class A3 |
7,000,000 | 0.66 | 11/25/2035 | 4,747,908 | 4,682,370 | 0.22 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-15, Class A6 |
5,573,223 | 5.83 | 10/25/2046 | 3,661,245 | 4,221,165 | 0.20 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-17, Class 2A2 |
12,234,039 | 0.41 | 3/25/2047 | 8,382,005 | 8,681,421 | 0.41 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-18, Class 2A2 |
9,019,372 | 0.42 | 3/25/2037 | 6,178,226 | 6,821,116 | 0.32 | ||||||||||||||||||
| Countrywide Asset-Backed Certificates, Series 2006-22, Class 2A2 |
4,500,000 | 0.37 | 5/25/2047 | 3,811,336 | 4,200,588 | 0.20 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 2A1 |
13,970,027 | 3.01 | 12/20/2035 | 9,952,291 | 10,371,656 | 0.49 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB9, Class 2A1 |
3,795,599 | 2.54 | 2/20/2036 | 2,248,448 | 2,515,545 | 0.12 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-19, Class 1A6 |
11,150,944 | 6.00 | * | 1/25/2037 | 9,253,323 | 9,945,895 | 0.47 | |||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 1A1 |
57,194,666 | 3.16 | 3/20/2036 | 34,976,825 | 34,336,017 | 1.63 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB1, Class 2A2C |
54,193,000 | 2.94 | 3/20/2036 | 23,895,212 | 24,148,363 | 1.15 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-HYB2, Class 1Al |
8,535,772 | 3.07 | 4/20/2036 | 4,699,986 | 4,734,682 | 0.22 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
16
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2010
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost | Fair Value | % of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-21, Class 1A1 |
$ | 22,426,594 | 6.25 | * | 2/25/2038 | $ | 19,067,997 | $ | 20,116,902 | 0.96 | ||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY4, Class 1A1 |
12,393,912 | 5.82 | 9/25/2047 | 9,034,750 | 9,149,235 | 0.43 | ||||||||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 3A1 |
5,198,705 | 5.98 | 9/25/2037 | 4,278,028 | 4,319,199 | 0.21 | ||||||||||||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1 |
21,579,447 | 6.50 | * | 12/25/2035 | 15,321,586 | 14,385,313 | 0.68 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-4, Class 3A1 |
21,722,457 | 6.50 | * | 5/25/2036 | 12,776,738 | 13,483,151 | 0.64 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-5, Class 3A1 |
2,551,007 | 6.50 | * | 6/25/2036 | 1,504,509 | 1,555,058 | 0.07 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 7A5 |
14,382,456 | 6.00 | * | 8/25/2036 | 9,836,372 | 10,240,165 | 0.49 | |||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2006-7, Class 8A6 |
11,149,172 | 0.89 | 8/25/2036 | 5,428,963 | 5,516,499 | 0.26 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-1, Class 1A1B |
6,698,428 | 0.34 | 2/25/2037 | 2,676,090 | 2,846,269 | 0.14 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-1, Class 1A6A |
8,014,334 | 5.86 | 2/25/2037 | 4,960,157 | 4,654,068 | 0.22 | ||||||||||||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2007-3, Class 1 A3A |
17,600,661 | 5.75 | 4/25/2037 | 10,052,153 | 11,247,157 | 0.53 | ||||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2005-AR1, Class 2A3 |
16,705,000 | 2.01 | * | 8/25/2035 | 8,772,270 | 9,002,492 | 0.43 | |||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2006-AR3, Class A2 |
8,822,164 | 0.38 | 8/25/2036 | 3,761,421 | 4,366,892 | 0.21 | ||||||||||||||||||
| Deutsche Alt-A Securities, Inc. Alternate Loan Trust, Series 2007-BAR1, Class A3 |
25,685,000 | 0.42 | 3/25/2037 | 10,846,388 | 11,218,206 | 0.53 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF11, Class 2A3 |
14,000,000 | 0.41 | 8/25/2036 | 8,376,076 | 8,288,854 | 0.39 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF11, Class 2A4 |
9,000,000 | 0.50 | 8/25/2036 | 4,522,997 | 4,554,972 | 0.22 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2D |
20,645,705 | 0.50 | 10/25/2036 | 10,324,836 | 10,506,248 | 0.50 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2B |
26,147,044 | 0.36 | 3/25/2038 | 13,099,638 | 13,147,047 | 0.62 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2C |
4,650,000 | 0.41 | 3/25/2037 | 2,313,460 | 2,235,706 | 0.11 | ||||||||||||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2D |
6,050,000 | 0.48 | 3/25/2037 | 3,009,983 | 2,928,061 | 0.14 | ||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-AA2, Class 2A1 |
1,973,374 | 6.02 | 5/25/2036 | 977,265 | 1,098,982 | 0.05 | ||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-AA4, Class 2A1 |
6,917,668 | 6.12 | 7/25/2036 | 3,976,613 | 3,619,946 | 0.17 | ||||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2006-FA3, Class A8 |
7,634,149 | 6.00 | * | 7/25/2036 | 5,653,117 | 6,516,524 | 0.31 | |||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2007-FA2, Class 1A1 |
5,759,496 | 5.50 | * | 4/25/2037 | 4,059,310 | 4,131,102 | 0.20 | |||||||||||||||||
| First Horizon Alternative Mortgage Securities, Series 2007-FA3, Class A7 |
6,224,341 | 6.00 | * | 6/25/2037 | 4,480,931 | 4,856,710 | 0.23 | |||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR1, Class 1A1 |
4,674,011 | 5.83 | 5/25/2037 | 3,375,625 | 3,510,823 | 0.17 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR2, Class 1A1 |
7,754,384 | 5.74 | 8/25/2037 | 5,972,014 | 5,894,820 | 0.28 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR2, Class 1A2 |
5,106,956 | 5.74 | 8/25/2037 | 4,013,631 | 4,046,093 | 0.19 | ||||||||||||||||||
| First Horizon Asset Securities, Inc., Series 2007-AR3, Class 1A1 |
8,124,259 | 6.03 | 11/25/2037 | 6,517,327 | 6,600,107 | 0.31 | ||||||||||||||||||
| GMAC Mortgage Corp. Loan Trust, Series 2005-AF2, Class A1 |
5,150,363 | 6.00 | * | 12/25/2035 | 3,637,041 | 3,979,830 | 0.19 | |||||||||||||||||
| GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1 |
22,909,449 | 3.86 | 4/19/2036 | 16,533,884 | 17,735,762 | 0.84 | ||||||||||||||||||
| Gsaa Trust, Series 2006-11, Class 2A1 |
16,400,099 | 0.35 | 7/25/2036 | 8,248,872 | 8,438,982 | 0.40 | ||||||||||||||||||
| Gsaa Trust, Series 2006-15, Class AF4 |
17,040,432 | 5.96 | 9/25/2036 | 10,525,046 | 9,986,937 | 0.47 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
17
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2010
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate(%) |
Maturity Dale |
Amortized Cost | Fair Value | %of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Gsaa Trust, Series 2006-20, Class 1A1 |
$ | 27,396,761 | 0.33 | 12/25/2046 | $ | 14,077,953 | $ | 13,879,500 | 0.66 | |||||||||||||||
| Gsaa Trust, Series 2006-4, Class 4A2 |
9,854,751 | 0.49 | 3/25/2036 | 5,131,670 | 5,224,349 | 0.25 | ||||||||||||||||||
| Gsaa Trust, Series 2007-1, Class 1A1 |
20,162,824 | 0.34 | 2/25/2037 | 11,488,273 | 11,261,804 | 0.53 | ||||||||||||||||||
| Gsaa Trust, Series 2007-1, Class 1A2 |
30,000,000 | 0.43 | 2/25/2037 | 14,431,577 | 14,832,450 | 0.70 | ||||||||||||||||||
| Gsaa Trust, Series 2007-4, Class A2 |
23,505,661 | 0.46 | 3/25/2037 | 11,415,024 | 11,834,113 | 0.56 | ||||||||||||||||||
| Gsaa Trust, Series 2007-5, Class 1AV1 |
5,055,886 | 0.36 | 3/25/2047 | 3,288,719 | 3,181,224 | 0.15 | ||||||||||||||||||
| GSAMP Trust, Series 2006-FM3, Class A2D |
24,887,760 | 0.49 | 11/25/2036 | 9,906,579 | 9,881,834 | 0.47 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2005-AR3, Class 6A1 |
6,264,075 | 2.94 | 5/25/2035 | 5,151,551 | 5,240,200 | 0.25 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2005-AR5, Class 1Al |
7,363,963 | 2.97 | 10/25/2035 | 5,605,607 | 5,456,807 | 0.26 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 |
3,418,454 | 2.81 | * | 1/25/2036 | 2,620,873 | 2,659,998 | 0.13 | |||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A4 |
78,060,000 | 2.81 | 1/25/2036 | 53,488,576 | 54,159,276 | 2.58 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1 |
47,019,238 | 4.88 | 4/25/2036 | 34,340,828 | 35,055,475 | 1.67 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 |
21,906,739 | 5.55 | 3/25/2047 | 15,723,253 | 16,619,679 | 0.79 | ||||||||||||||||||
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 1A1 |
78,186,044 | 5.56 | 5/25/2047 | 56,610,769 | 57,901,456 | 2.76 | ||||||||||||||||||
| Homebanc Mortgage Trust, Series 2004-2, Class A2 |
2,048,244 | 0.71 | 12/25/2034 | 1,355,609 | 1,324,652 | 0.06 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2006-HE1, Class 2A2 |
11,227,000 | 0.37 | 10/25/2036 | 4,826,799 | 5,003,739 | 0.24 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 2A3 |
4,000,000 | 0.45 | 1/25/2037 | 1,564,933 | 1,769,284 | 0.08 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE1, Class 2A4 |
5,000,000 | 0.54 | 1/25/2037 | 1,955,983 | 2,150,070 | 0.10 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-HE2, Class 2A3 |
8,900,000 | 0.52 | 4/25/2037 | 3,524,270 | 3,393,588 | 0.16 | ||||||||||||||||||
| HSI Asset Securitization Corp. Trust, Series 2007-NC1, Class A4 |
6,710,000 | 0.54 | 4/25/2037 | 2,507,179 | 2,672,372 | 0.13 | ||||||||||||||||||
| Impac Cmb Trust, Series 2005-3, Class Al |
27,759,173 | 0.74 | 8/25/2035 | 18,799,124 | 19,613,966 | 0.93 | ||||||||||||||||||
| Impac Secured Assets Cmn Owner Trust, Series 2005-2, Class Al |
10,769,941 | 0.58 | 3/25/2036 | 5,326,980 | 5,805,030 | 0.28 | ||||||||||||||||||
| IndyMac Inda Mortgage Loan Trust, Series 2007-AR3, Class 3A1 |
37,434,133 | 5.97 | 7/25/2037 | 29,438,694 | 29,630,838 | 1.41 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 1A1 |
12,754,506 | 2.70 | 8/25/2035 | 7,533,891 | 7,366,263 | 0.35 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2005-AR23, Class 2A1 |
31,765,885 | 2.69 | 11/25/2035 | 21,547,331 | 22,911,843 | 1.09 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR11, Class 2A1 |
11,745,115 | 5.06 | 6/25/2036 | 6,694,853 | 6,589,009 | 0.31 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 1A1 |
15,723,837 | 2.97 | 9/25/2036 | 8,225,200 | 8,260,707 | 0.39 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR25, Class 3A1 |
33,548,062 | 5.46 | 9/25/2036 | 18,595,672 | 17,985,385 | 0.85 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A4 |
9,952,017 | 0.45 | 10/25/2036 | 5,802,390 | 5,559,774 | 0.26 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 1A1 |
8,293,866 | 3.21 | 3/25/2036 | 4,575,668 | 4,641,306 | 0.22 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 2A1A |
5,941,416 | 4.72 | 3/25/2036 | 3,181,424 | 3,173,358 | 0.15 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR3, Class 2A1B |
14,207,734 | 4.72 | 3/25/2036 | 7,566,540 | 7,481,679 | 0.36 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2006-AR39, Class Al |
109,515,692 | 0.44 | 2/25/2037 | 65,262,681 | 68,181,183 | 3.25 | ||||||||||||||||||
| IndyMac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1 |
9,966,946 | 5.24 | 8/25/2037 | 6,195,090 | 6,652,100 | 0.32 | ||||||||||||||||||
| IndyMac Residential Asset Backed Trust, Series 2005-D, Class AII3 |
6,478,431 | 0.51 | 3/25/2036 | 4,931,836 | 4,975,377 | 0.24 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A1, Class 1A1 |
18,001,766 | 0.49 | 3/25/2036 | 11,380,106 | 12,174,342 | 0.58 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1 |
23,093,280 | 4.77 | 5/25/2036 | 14,902,792 | 14,990,171 | 0.71 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A3, Class 2A1 |
25,229,034 | 5.84 | 7/25/2036 | 14,637,425 | 14,472,988 | 0.69 | ||||||||||||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A5, Class 2A5 |
8,312,000 | 5.85 | 10/25/2036 | 4,696,433 | 4,686,605 | 0.22 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AF6 |
2,813,499 | 5.54 | 10/25/2036 | 2,109,938 | 1,987,965 | 0.09 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-FRE1, Class A4 |
6,396,351 | 0.55 | 5/25/2035 | 4,167,284 | 4,340,533 | 0.21 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC2, Class A4 |
10,000,000 | 0.41 | 7/25/2036 | 4,169,613 | 4,358,240 | 0.21 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC3, Class A3 |
4,107,343 | 0.37 | 8/25/2036 | 1,819,668 | 1,944,408 | 0.09 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2006-WMC3, Class A4 |
13,322,617 | 0.41 | 8/25/2036 | 5,653,344 | 6,012,910 | 0.29 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF4 |
9,300,000 | 5.80 | 11/25/2036 | 7,209,695 | 7,845,545 | 0.37 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF5 |
6,000,000 | 5.92 | 11/25/2036 | 4,626,114 | 4,481,802 | 0.21 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A3 |
8,085,000 | 0.41 | 3/25/2037 | 4,397,848 | 5,879,048 | 0.28 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4 |
4,564,119 | 0.47 | 3/25/2037 | 1,832,738 | 2,061,307 | 0.10 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A5 |
13,500,000 | 0.52 | 3/25/2037 | 5,361,233 | 5,652,261 | 0.27 | ||||||||||||||||||
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH4, Class A5 |
2,890,000 | 0.50 | 5/25/2037 | 1,195,848 | 1,375,894 | 0.07 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
18
Wellington Management Legacy Securities PFIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| Investments |
Face Amount |
Interest Rate (%) |
Maturity Date |
Amortized Cost | FairValne | %of Partners’ Capital |
||||||||||||||||||
| Mortgage-Backed Securities – United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1 |
$ | 17,072,482 | 5.35 | 6/25/2036 | $ | 12,954,889 | $ | 12,764,565 | 0.61 | |||||||||||||||
| JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4 |
11,253,000 | 5.51 | 8/25/2036 | 8,391,636 | 8,659,634 | 0.41 | ||||||||||||||||||
| JFMorgan Mortgage Trust, Series 2006-S2, Class 3A11 |
6,987,151 | 6.50 | * | 7/25/2036 | 5,245,082 | 6,604,185 | 0.31 | |||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A6 |
1,454,689 | 3.03 | 7/25/2035 | 1,124,823 | 1,138,421 | 0.05 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A2, Class 1Al |
5,935,873 | 2.92 | 4/25/2037 | 3,921,458 | 3,999,206 | 0.19 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1 |
3,024,895 | 5.24 | 6/25/2037 | 2,252,955 | 2,433,371 | 0.12 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 |
15,760,000 | 5.82 | 6/25/2037 | 11,607,441 | 12,438,186 | 0.59 | ||||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22 |
11,063,576 | 5.75 | * | 3/25/2037 | 9,076,728 | 9,378,859 | 0.45 | |||||||||||||||||
| JPMorgan Mortgage Trust, Series 2007-S3, Class 1A97 |
6,232,548 | 6.00 | * | 8/25/2037 | 5,158,745 | 5,539,719 | 0.26 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2005-2, Class 3A5 |
11,459,533 | 5.50 | * | 12/25/2035 | 8,742,532 | 8,977,524 | 0.43 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2005-3, Class 1A3 |
4,563,050 | 5.50 | * | 1/25/2036 | 3,851,416 | 3,732,967 | 0.18 | |||||||||||||||||
| Lehman Mortgage Trust, Series 2006-5, Class 1A13 |
7,484,474 | 6.00 | * | 9/25/2036 | 4,568,425 | 5,377,924 | 0.26 | |||||||||||||||||
| Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3 |
27,680,000 | 0.42 | 8/25/2036 | 10,691,031 | 11,795,666 | 0.56 | ||||||||||||||||||
| Long Beach Mortgage Loan Trust, Series 2006-8, Class 2A3 |
37,803,665 | 0.42 | 9/25/2036 | 15,097,857 | 14,364,863 | 0.68 | ||||||||||||||||||
| Master Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1 |
8,580,141 | 5.46 | 5/25/2036 | 6,526,780 | 6,477,741 | 0.31 | ||||||||||||||||||
| Master Adjustable Rate Mortgages Trust, Series 2007-HF2, Class Al |
52,041,868 | 0.57 | 9/25/2037 | 37,353,226 | 36,806,299 | 1.75 | ||||||||||||||||||
| Master Alternative Loans Trust, Series 2005-3, Class 3A1 |
7,804,156 | 6.50 | * | 4/25/2035 | 6,560,403 | 7,027,463 | 0.33 | |||||||||||||||||
| Master Asset Backed Securities Trust, Series 2007-HE2, Class A2 |
1,445,652 | 0.96 | 8/25/2037 | 1,316,802 | 1,333,544 | 0.06 | ||||||||||||||||||
| Merrill Lynch Alternative Note Asset, Series 2007-A1, Class A2C |
23,236,763 | 0.49 | 1/25/2037 | 10,124,108 | 9,121,057 | 0.43 | ||||||||||||||||||
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1 |
28,269,087 | 5.80 | 8/25/2036 | 21,885,062 | 22,446,701 | 1.07 | ||||||||||||||||||
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 2A1 |
16,184,729 | 5.33 | 6/25/2037 | 11,090,913 | 11,948,133 | 0.57 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A4, Class 1A |
10,786,419 | 2.80 | 7/25/2035 | 7,222,376 | 7,302,136 | 0.35 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2 |
4,625,362 | 0.54 | 8/25/2035 | 3,993,515 | 4,062,872 | 0.19 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A9, Class 2A1C |
9,665,000 | 2.71 | 12/25/2035 | 6,711,782 | 6,974,322 | 0.33 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2006-HE5, Class A2C |
11,104,597 | 0.41 | 8/25/2037 | 4,485,646 | 4,482,881 | 0.21 | ||||||||||||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2007-MLN1, Class A2A |
39,335,581 | 0.37 | 3/25/2037 | 26,080,341 | 27,343,893 | 1.30 | ||||||||||||||||||
| Morgan Stanley ABS Capital I, Series 2007-HE1, Class A2C |
50,950,000 | 0.41 | 11/25/2036 | 20,635,758 | 18,060,348 | 0.86 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A |
4,829,270 | 0.52 | 4/25/2035 | 3,594,774 | 3,826,288 | 0.18 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 |
18,538,897 | 2.86 | 3/25/2036 | 11,296,560 | 11,246,937 | 0.53 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A5 |
2,367,694 | 6.14 | 6/25/2036 | 1,326,190 | 1,465,759 | 0.07 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-12, Class 3A22 |
9,432,380 | 6.00 | 8/25/2037 | 7,579,251 | 8,297,542 | 0.39 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-13, Class 6A1 |
22,224,253 | 6.00 | 10/25/2037 | 15,841,723 | 16,621,608 | 0.79 | ||||||||||||||||||
| Morgan Stanley Mortgage Loan Trust, Series 2007-15AR, Class 2A1 |
42,878,579 | 5.15 | 11/25/2037 | 29,709,601 | 29,364,537 | 1.39 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2005-AP3, Class A4 |
6,975,000 | 5.61 | 8/25/2035 | 4,501,655 | 5,017,634 | 0.24 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2005-AR4, Class 3A1 |
1,276,495 | 3.06 | 8/25/2035 | 852,318 | 914,630 | 0.04 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2006-AF2, Class 1A3 |
7,658,689 | 6.22 | 8/25/2036 | 3,935,330 | 3,972,861 | 0.19 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2006-AF2, Class 1A4 |
4,211,063 | 6.43 | 8/25/2036 | 2,179,289 | 2,254,233 | 0.11 | ||||||||||||||||||
| Nomura Asset Acceptance Corp., Series 2007-2, Class A1B |
3,747,392 | 6.02 | 4/25/2047 | 2,098,409 | 2,064,768 | 0.10 | ||||||||||||||||||
| Novastar Home Equity Loan, Series 2007-2, Class A2C |
3,400,000 | 0.44 | 9/25/2037 | 1,349,770 | 1,074,951 | 0.05 | ||||||||||||||||||
| Opteum Mortgage Acceptance Corp., Series 2006-1, Class 2APT |
4,389,816 | 5.75 | 4/25/2036 | 3,123,731 | 3,277,515 | 0.16 | ||||||||||||||||||
| Option One Mortgage Loan Trust, Series 2007-3, Class 2A2 |
4,930,000 | 0.44 | 4/25/2037 | 2,108,605 | 2,470,438 | 0.12 | ||||||||||||||||||
| Option One Mortgage Loan Trust, Series 2007-6, Class 2A4 |
10,200,000 | 0.51 | 7/25/2037 | 4,013,670 | 4,911,188 | 0.23 | ||||||||||||||||||
| Ownit Mortgage Loan Asset Backed Certificates, Series 2005-5, Class A2B |
1,404,979 | 0.55 | 10/25/2036 | 1,014,844 | 1,274,951 | 0.06 | ||||||||||||||||||
| Prime Mortgage Trust, Series 2006-1, Class 2A7 |
12,637,368 | 6.00 | * | 6/25/2036 | 9,761,316 | 10,546,174 | 0.30 | |||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2005-2, Class AF4 |
2,685,000 | 4.93 | 8/25/2035 | 2,179,767 | 2,272,136 | 0.11 | ||||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2 |
5,000,000 | 7.00 | 9/25/2037 | 2,510,104 | 2,845,460 | 0.14 | ||||||||||||||||||
| Renaissance Home Equity Loan Trust, Series 2007-3, Class AF3 |
44,796,000 | 7.24 | * | 9/25/2037 | 22,602,785 | 25,484,087 | 1.21 | |||||||||||||||||
The accompanying notes are an integral part of these financial statements.
19
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| %of | ||||||||||||||||||||||||
| Interest | Maturity | Partners’ | ||||||||||||||||||||||
| Investments |
Face Amount | Rate (%) | Date | Amortized Cost |
Fair Value | Capital | ||||||||||||||||||
| Mortgage-Backed Securities—United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA10, Class A31 |
$ | 28,606,372 | 3.87 | 9/25/2035 | $ | 19,259,087 | $ | 19,792,777 | 0.94 | |||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA4, Class A31 |
27,562,215 | 3.34 | 4/25/2035 | 20,854,581 | 22,092,824 | 1.05 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA6, Class NB23 |
1,684,504 | 3.35 | 5/25/2035 | 1,000,211 | 1,138,511 | 0.05 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2005-QA7, Class A21 |
2,234,358 | 3.18 | 7/25/2035 | 1,477,137 | 1,619,242 | 0.08 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QA1, Class A21 |
20,034,475 | 4.35 | 1/25/2036 | 11,063,736 | 11,143,555 | 0.53 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QA8, Class A2 |
12,108,399 | 0.44 | 9/25/2036 | 5,954,907 | 6,066,635 | 0.29 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class Al |
4,616,752 | 6.00 | * | 8/25/2036 | 3,003,878 | 3,110,906 | 0.15 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class A15 |
10,948,240 | 6.00 | * | 8/25/2036 | 6,765,816 | 7,217,189 | 0.34 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class A5 |
5,978,132 | 0.56 | 8/25/2036 | 3,541,125 | 3,307,043 | 0.16 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS12, Class 2A12 |
12,236,366 | 0.46 | 9/25/2036 | 6,242,294 | 6,742,972 | 0.32 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS15, Class A5 |
7,392,774 | 6.50 | * | 10/25/2036 | 4,720,912 | 5,268,409 | 0.25 | |||||||||||||||||
| Residential Accredit Loans, Inc, Series 2006-QS16, Class Al |
11,167,033 | 0.66 | 11/25/2036 | 6,023,880 | 5,836,126 | 0.28 | ||||||||||||||||||
| Residential Accredit Loans, Inc, Series 2006-QS6, Class 2A1 |
3,084,478 | 6.00 | * | 6/25/2021 | 2,665,962 | 2,825,092 | 0.13 | |||||||||||||||||
| Residential Accredit Loans, Inc., Series 2006-QS8, Class A4 |
5,122,114 | 0.71 | 8/25/2036 | 2,450,501 | 2,844,407 | 0.14 | ||||||||||||||||||
| Residential Accredit Loans, Inc, Series 2007-QA2, Class A3 |
2,655,427 | 0.41 | 2/25/2037 | 1,283,467 | 1,366,254 | 0.06 | ||||||||||||||||||
| Residential Accredit Loans, Inc., Series 2007-QS1, Class 1 A4 |
15,891,353 | 6.00 | * | 1/25/2037 | 10,159,483 | 10,583,038 | 0.50 | |||||||||||||||||
| Residential Accredit Loans, Inc, Series 2007-QS1, Class 2A8 |
7,152,658 | 0.56 | 1/25/2037 | 3,482,444 | 4,057,088 | 0.19 | ||||||||||||||||||
| Residential Accredit Loans, Inc, Series 2007-QS2, Class A4 |
4,726,658 | 6.25 | * | 1/25/2037 | 2,834,375 | 3,231,295 | 0.15 | |||||||||||||||||
| Residential Accredit Loans, Inc, Series 2007-QS8, Class A13 |
6,467,580 | 6.00 | * | 6/25/2037 | 3,977,686 | 4,061,530 | 0.19 | |||||||||||||||||
| Residential Accredit Loans, Inc, Series 2007-QS9, Class A33 |
8,520,570 | 6.50 | * | 7/25/2037 | 5,655,219 | 5,583,206 | 0.27 | |||||||||||||||||
| Residential Asset Mortgage Products, Inc, Series 2006-RZ5, Class A2 |
38,832,518 | 0.44 | * | 8/25/2046 | 31,979,845 | 34,665,168 | 1.64 | |||||||||||||||||
| Residential Asset Securities Corp., Series 2006-KS5, Class A3 |
13,165,000 | 0.42 | * | 7/25/2036 | 9,937,298 | 10,035,798 | 0.48 | |||||||||||||||||
| Residential Asset Securitization Trust, Series 2005-A13, Class 1A2 |
46,095,542 | 4.54 | 10/25/2035 | 5,575,852 | 5,286,278 | 0.25 | ||||||||||||||||||
| Residential Asset Securitization Trust, Series 2005-A7, Class A3 |
8,229,643 | 5.50 | * | 6/25/2035 | 6,657,279 | 7,448,115 | 0.35 | |||||||||||||||||
| Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A1 |
3,460,247 | 6.50 | * | 7/25/2036 | 1,727,638 | 1,998,629 | 0.09 | |||||||||||||||||
| Residential Asset Securitization Trust, Series 2007-A9, Class A6 |
12,514,748 | 6.25 | * | 9/25/2037 | 8,387,846 | 8,470,620 | 0.40 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2005-SA4, Class 2A2 |
6,802,979 | 5.20 | 9/25/2035 | 5,752,078 | 6,008,044 | 0.29 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2005-SA5, Class 1A |
6,162,145 | 3.35 | * | 11/25/2035 | 3,980,426 | 3,893,828 | 0.18 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-S1, Class 2A |
6,671,353 | 5.75 | * | 1/25/2036 | 5,136,429 | 5,771,154 | 0.27 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA1, Class 1A1 |
7,950,946 | 3.93 | * | 2/25/2036 | 5,773,648 | 6,114,627 | 0.29 | |||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA2, Class 3 Al |
2,245,441 | 5.83 | 8/25/2036 | 1,658,122 | 1,796,745 | 0.09 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2006-SA3, Class 2A1 |
3,139,762 | 5.94 | 9/25/2036 | 2,350,124 | 2,410,395 | 0.11 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 1 A |
10,888,541 | 3.26 | 4/25/2037 | 5,881,486 | 5,766,299 | 0.27 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 2A1 |
34,021,171 | 5.61 | 4/25/2037 | 24,544,765 | 25,677,172 | 1.22 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA2, Class 2A2 |
4,060382 | 5.61 | 4/25/2037 | 2,879,150 | 2,977,588 | 0.14 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA3, Class 2A1 |
34,771,739 | 5.69 | 7/27/2037 | 23,656,510 | 23,568,806 | 1.12 | ||||||||||||||||||
| Residential Funding Mortgage Securities I, Series 2007-SA4, Class 3A1 |
40,710,407 | 5.93 | 10/25/2037 | 30,457,504 | 29,821,228 | 1.42 | ||||||||||||||||||
| Sequoia Mortgage Trust, Series 2007-1, Class 2A1 |
13,671,554 | 5.24 | 2/20/2047 | 10,340,951 | 11,044,059 | 0.52 | ||||||||||||||||||
| Sequoia Mortgage Trust, Series 2007-3, Class 2AA1 |
60,110,250 | 4.80 | * | 7/20/2037 | 42,767,790 | 41,885,663 | 2.00 | |||||||||||||||||
| Sequoia Mortgage Trust, Series 2007-3, Class 2BA1 |
3,565,228 | 5.44 | 7/20/2037 | 2,453,175 | 2,414,248 | 0.11 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, |
||||||||||||||||||||||||
| Series 2005-23, Class 1A1 |
4,610,700 | 2.63 | * | 1/25/2036 | 2,526,244 | 2,516,552 | 0.12 | |||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1 |
77,378,422 | 0.42 | 1/25/2037 | 47,484,883 | 48,280,033 | 2.30 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 3A2 |
6,441,295 | 5.61 | 4/25/2036 | 2,705,993 | 2,611,700 | 0.12 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-7, Class 1A1 |
6,138,688 | 4.33 | 8/25/2036 | 4,177,005 | 4,668,994 | 0.22 | ||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 1A1 |
30,374,030 | 0.48 | 6/25/2037 | 21,648,303 | 20,808,519 | 0.99 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements.
20
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Schedules of Investments (continued)
December 31, 2011
(in United States Dollars)
| %of | ||||||||||||||||||||||||
| Interest | Mitwrity | Partners’ | ||||||||||||||||||||||
| Investments |
Face Amount | Rate{%) | Date | Amortized Cost | Fait Value | Capital | ||||||||||||||||||
| Mortgage-Backed Securities - United States (continued) |
||||||||||||||||||||||||
| Residential Mortgage-Backed Securities (continued) |
||||||||||||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1 |
$ | 11,784,378 | 0.56 | 8/25/2037 | $ | 7,669,096 | $ | 7,677,440 | 0.36 | |||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1 |
35,904,207 | 5.38 | 10/25/2047 | 23,903,233 | 23,829,335 | 1.13 | ||||||||||||||||||
| Structured Asset Investment Loan Trust, Series 2004-2, Class A4 |
16,247,491 | 0.97 | 3/25/2034 | 12,436,518 | 13,022,120 | 0.62 | ||||||||||||||||||
| Structured Asset Mortgage Investments, Inc., Series 2005-AR3, Class 2A1 |
861,446 | 2.69 | 8/25/2035 | 698,832 | 715,613 | 0.03 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-1, Class 1A1 |
23,947,046 | 5.68 | 2/25/2037 | 16,390,557 | 17,697,298 | 0.84 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-2, Class 1A1 |
51,051,090 | 5.42 | 4/25/2037 | 39,188,612 | 38,740,835 | 1.84 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 2A1 |
2,680,261 | 5.76 | 10/25/2037 | 2,088,816 | 2,157,165 | 0.10 | ||||||||||||||||||
| SunTrust Adjustable Rate Mortgage Loan Trust, Series 2007-4, Class 3A1 |
1,402,652 | 5.85 | 10/25/2037 | 1,113,086 | 1,170,841 | 0.06 | ||||||||||||||||||
| WaMu Alternative Mortgage Pass-Through Certificates, |
||||||||||||||||||||||||
| Series 2006-AR10, Class A3A |
16,444,692 | 0.49 | 12/25/2036 | 9,929,130 | 10,154,137 | 0.48 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 1A1 |
49,665,726 | 5.42 | 12/25/2036 | 37,068,425 | 38,095,052 | 1.81 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 1A3 |
3,279,000 | 5.68 | 8/25/2046 | 2,214,822 | 2,391,903 | 0.11 | ||||||||||||||||||
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 2A3 |
16,337,188 | 5.63 | 7/25/2037 | 11,584,532 | 10,550,033 | 0.50 | ||||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
||||||||||||||||||||||||
| Series 2006-1, Class 4CB |
9,446,880 | 6.50 | * | 2/25/2036 | 5,853,110 | 6,109,420 | 0.29 | |||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
||||||||||||||||||||||||
| Series 2006-5, Class 2CB1 |
4,243,853 | 6.00 | * | 7/25/2036 | 2,546,426 | 2,566,818 | 0.12 | |||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
||||||||||||||||||||||||
| Series 2007-HY2, Class 1A1 |
5,089,300 | 5.18 | 4/25/2037 | 2,798,793 | 2,750,802 | 0.13 | ||||||||||||||||||
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
||||||||||||||||||||||||
| Series 2007-OC2, Class A1 |
7,552,816 | 0.36 | 6/25/2037 | 4,112,040 | 3,560,050 | 0.17 | ||||||||||||||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA2, Class 2A2 |
73,674,622 | 5.81 | 5/25/2037 | 13,166,816 | 13,776,057 | 0.65 | ||||||||||||||||||
| Wells Fargo Alternative Loan Trust, Series 2007-PA6, Class A1 |
2,246,728 | 6.17 | 12/28/2037 | 1,445,679 | 1,719,740 | 0.08 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR10, Class |
||||||||||||||||||||||||
| 4A1 |
2,300,877 | 4.34 | 7/25/2036 | 1,738,657 | 1,818,452 | 0.09 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class |
||||||||||||||||||||||||
| 1A1 |
3,968,016 | 5.81 | 9/25/2036 | 2,850,058 | 3,320,376 | 0.16 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class |
||||||||||||||||||||||||
| 2A1 |
1,578,232 | 5.93 | * | 9/25/2036 | 1,288,000 | 1,445,154 | 0.07 | |||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR14, Class |
||||||||||||||||||||||||
| 2A3 |
2,488,922 | 5.83 | 10/25/2036 | 1,831,504 | 2,001,123 | 0.10 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006- AR16, Class A1 |
5,966,312 | 5.45 | 10/25/2036 | 4,540,952 | 4,885,366 | 0.23 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR17, Class A1 |
1,056,182 | 4.92 | 10/25/2036 | 777,269 | 859,485 | 0.04 | ||||||||||||||||||
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR8, Class 2A1 |
2,214,265 | 2.91 | 4/25/2036 | 1,714,195 | 1,924,949 | 0.09 | ||||||||||||||||||
| Total Residential Mortgage-Backed Securities |
$ | 2,790,506,990 | $ | 2,861,637,221 | 135.93 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total U.S. Mortgage-Backed Securities |
$ | 3,386,287,322 | $ | 3,515,418,648 | 166.99 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Investments |
$ | 3,386,287,322 | $ | 3,515,418,648 | 166.99 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Unrealized | %of | |||||||||||||||||||||||||||
| Appreciation/ | Partners’ | |||||||||||||||||||||||||||
| Currency |
Notional/ Units |
Expiration Date | Counterparty | Pay | Receive | (Depreciation) | Capital | |||||||||||||||||||||
| Interest Rate Swap Contracts |
|
|||||||||||||||||||||||||||
| USD |
200,000,000 | 1/13/2015 | Citigroup Global Markets, Inc. | Fixed 2.83625 | % | 3 Month USD LIBOR | $ | (11,054,089 | ) | (0.53 | ) | |||||||||||||||||
| USD |
150,000,000 | 3/29/2015 | Citigroup Global Markets, Inc. | Fixed 2.78125 | % | 3 Month USD LIBOR | (6,873,645 | ) | (0.33 | ) | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Interest Rate Swap Contracts |
|
Outstanding | $ | (17,927,734 | ) | (0.86 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| * | This represents fixed interest rate. All other are variable and floating rate. |
The accompanying notes are an integral part of these financial statements.
21
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Assets, Liabilities and Partners’ Capital
December 31, 2011
(in United States Dollars)
| December 31, 2011 | December 31, 2010 | |||||||
| Assets |
||||||||
| Investments, at fair value (amortized cost $4,370,898,119 and $3,386,287,322, respectively) |
$ | 3,873,876,004 | $ | 3,515,418,648 | ||||
| Cash and cash equivalents |
145,062,766 | 223,972,903 | ||||||
| Swap collateral |
83,299,000 | 17,100,000 | ||||||
| Interest receivable |
17,218,360 | 14,193,456 | ||||||
| Debt issuance costs (net of amortization of $4,107,356 and $2,183,559, respectively) |
11,057,879 | 12,981,676 | ||||||
| Due from broker |
— | 278,000 | ||||||
|
|
|
|
|
|||||
| Total assets |
$ | 4,130,514,009 | $ | 3,783,944,683 | ||||
|
|
|
|
|
|||||
| Liabilities and partners' capital |
||||||||
| Liabilities |
||||||||
| Loan payable |
$ | 2,041,000,000 | $ | 1,646,000,000 | ||||
| Unrealized depreciation on swap contracts |
85,655,603 | 17,927,734 | ||||||
| UST Warrant payable, at fair value |
11,874,415 | 12,655,492 | ||||||
| Due to broker |
1,468,000 | — | ||||||
| Interest on loan payable |
1,303,740 | 1,000,476 | ||||||
| UST Management fees payable |
574,744 | 574,744 | ||||||
| Administration fees payable |
305,849 | 238,314 | ||||||
| Professional fees payable |
181,705 | 171,100 | ||||||
| Payable for investments purchased |
— | 90,750 | ||||||
| Accrued expenses and other liabilities |
88,083 | 108,941 | ||||||
|
|
|
|
|
|||||
| Total liabilities |
2,142,452,139 | 1,678,767,551 | ||||||
|
|
|
|
|
|||||
| Partners’ capital |
||||||||
| General Partner |
9,941 | 10,530 | ||||||
| Limited Partners |
1,988,051,929 | 2,105,166,602 | ||||||
|
|
|
|
|
|||||
| Total partners’ capital |
1,988,061,870 | 2,105,177,132 | ||||||
|
|
|
|
|
|||||
| Total liabilities and partners' capital |
$ | 4,130,514,009 | $ | 3,783,944,683 | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of these financial statements.
22
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Operations
For the Years Ended December 31, 2011 and December 31, 2010
(in United States Dollars)
| For the Years Ended | ||||||||
| December 31, 2011 | December 31, 2010 | |||||||
| Investment income: |
||||||||
| Interest income |
$ | 308,128,127 | $ | 179,930,877 | ||||
| Expenses: |
||||||||
| Interest expense (including amortization of debt issuance costs of $1,923,797 and $1,842,804 respectively) |
26,300,985 | 13,169,147 | ||||||
| UST Management fees |
2,298,974 | 2,237,400 | ||||||
| Administration fees |
971,137 | 570,572 | ||||||
| Professional fees |
172,687 | 150,963 | ||||||
| Other expenses |
147,572 | 146,542 | ||||||
|
|
|
|
|
|||||
| Total expenses |
29,891,355 | 16,274,624 | ||||||
|
|
|
|
|
|||||
| Net investment income |
278,236,772 | 163,656,253 | ||||||
|
|
|
|
|
|||||
| Net realized gain (loss) and change in unrealized appreciation (depreciation): |
||||||||
| Net realized gain (loss) on: |
||||||||
| Investments |
3,275,643 | 7,218,314 | ||||||
| Swap contracts |
(18,000,259 | ) | (3,951,729 | ) | ||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||
| Investments |
(626,153,441 | ) | 137,020,511 | |||||
| Swap contracts |
(67,727,869 | ) | (17,927,734 | ) | ||||
| UST Warrant |
781,077 | 1,010,208 | ||||||
|
|
|
|
|
|||||
| Net realized and change in unrealized gain (loss) |
(707,824,849 | ) | 123,369,570 | |||||
|
|
|
|
|
|||||
| Net increase (decrease) in partners’ capital resulting from operations |
$ | (429,588,077 | ) | $ | 287,025,823 | |||
|
|
|
|
|
|||||
The accompanying notes are an integral part of these financial statements.
23
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Changes in Partners’ Capital
For the Years Ended December 31, 2011 and December 31, 2010
(in United States Dollars)
| Wellington | ||||||||||||||||||||
| Management | Wellington | |||||||||||||||||||
| The United States | Legacy Securities | Management | ||||||||||||||||||
| Department of the | PPIF (Offshore), | Legacy Securities | ||||||||||||||||||
| General Partner | Treasury | LP | PPIF, LP | Total | ||||||||||||||||
| Partners’ capital, at December 31, 2010 |
$ | 10,530 | $ | 1,052,132,838 | $ | 755,851,462 | $ | 297,182,302 | $ | 2,105,177,132 | ||||||||||
| Contributions |
2,289 | 228,712,826 | 164,169,715 | 64,543,110 | 457,427,940 | |||||||||||||||
| Distributions: |
||||||||||||||||||||
| Investment proceeds |
(736 | ) | (71,327,707 | ) | (52,849,119 | ) | (20,777,563 | ) | (144,955,125 | ) | ||||||||||
| Allocation of net decrease in partners’ capital resulting from operations: |
||||||||||||||||||||
| Net decrease in partners’ capital resulting from operations |
(2,142 | ) | (215,371,101 | ) | (153,763,078 | ) | (60,451,756 | ) | (429,588,077 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Partners’ capital, at December 31, 2011 |
$ | 9,941 | $ | 994,146,856 | $ | 713,408,980 | $ | 280,496,093 | $ | 1,988,061,870 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Remaining capital commitments, end of year |
$ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| The United States | Wellington Management Legacy Securities |
Wellington Management |
||||||||||||||||||
| Department of the | PPIf (Offshore), | Legacy Securities | ||||||||||||||||||
| General Partner | Treasury | LP | PPIF, LP | Total | ||||||||||||||||
| Partners’ capital, at December 31, 2009 |
$ | 2,037 | $ | 202,127,999 | $ | 143,614,519 | $ | 60,103,258 | $ | 405,847,813 | ||||||||||
| Contributions |
7,170 | 717,030,394 | 548,317,991 | 212,837,572 | 1,478,193,127 | |||||||||||||||
| Distributions: |
||||||||||||||||||||
| Return of capital - recallable |
— | — | (31,020,556 | ) | (13,104,613 | ) | (44,125,169 | ) | ||||||||||||
| Investment proceeds |
(119 | ) | (9,835,339 | ) | (8,562,621 | ) | (3,366,383 | ) | (21,764,462 | ) | ||||||||||
| Allocation of net increase in partners’ capital resulting from operations: |
||||||||||||||||||||
| Net increase in partners’ capital resulting from operations |
1,442 | 142,809,784 | 103,502,129 | 40,712,468 | 287,025,823 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Partners’ capital, at December 31, 2010 |
$ | 10,530 | $ | 1,052,132,838 | $ | 755,851,462 | $ | 297,182,302 | $ | 2,105,177,132 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Remaining capital commitments, end of year |
$ | 2,289 | $ | 228,712,826 | $ | 164,169,715 | $ | 64,543,110 | $ | 457,427,940 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
The accompanying notes are an integral part of these financial statements.
24
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Cash Flows
For the Years Ended December 31, 2011 and December 31, 2010
(in United States Dollars)
| For the Years Ended | ||||||||
| December 31, 2011 | December 31, 2010 | |||||||
| Cash flows from operating activities: |
||||||||
| Net increase (decrease) in partners' capital resulting from operations |
$ | (429,588,077 | ) | $ | 287,025,823 | |||
| Adjustments to reconcile net increase (decrease) in partners' capital resulting from operations to net cash used in operating activities: |
||||||||
| Purchase of investments in securities |
(1,375,815,647 | ) | (3,132,146,990 | ) | ||||
| Proceeds from disposition of investments in securities, including proceeds from paydown of principle |
508,505,144 | 278,024,669 | ||||||
| Net realized gain on investments |
(3,275,643 | ) | (6,252,486 | ) | ||||
| Net change in unrealized depreciation on swap contacts |
67,727,869 | 17,927,734 | ||||||
| Net change in unrealized (appreciation) depreciation on investments |
626,153,441 | (137,020,511 | ) | |||||
| Net change in unrealized appreciation on UST Warrant |
(781,077 | ) | (1,010,208 | ) | ||||
| Accretion of discount, net |
(114,115,401 | ) | (72,110,225 | ) | ||||
| Amortization of debt issuance costs |
1,923,797 | 1,842,804 | ||||||
| Increase in swap collateral |
(66,199,000 | ) | (17,100,000 | ) | ||||
| Increase in interest receivable |
(3,024,904 | ) | (11,345,969 | ) | ||||
| (Increase) decrease in due from broker |
278,000 | (278,000 | ) | |||||
| Increase in due to broker |
1,468,000 | — | ||||||
| Increase in interest on loan payable |
303,264 | 882,212 | ||||||
| Increase in UST management fees payable |
— | 143,736 | ||||||
| Increase in administration fees payable |
67,535 | 125,814 | ||||||
| Increase in professional fees payable |
10,605 | 20,963 | ||||||
| Increase (decrease) in accrued expenses and other liabilities |
(20,858 | ) | 63,667 | |||||
|
|
|
|
|
|||||
| Net cash used in operating activities |
(786,382,952 | ) | (2,791,206,967 | ) | ||||
|
|
|
|
|
|||||
| Cash flows from financing activities: |
||||||||
| Borrowings from loan |
395,000,000 | 1,446,000,000 | ||||||
| Contributions |
457,427,940 | 1,434,067,958 | ||||||
| Distributions |
(144,955,125 | ) | (21,764,462 | ) | ||||
|
|
|
|
|
|||||
| Net cash provided by financing activities |
707,472,815 | 2,858,303,496 | ||||||
|
|
|
|
|
|||||
| Net change in cash and cash equivalents |
(78,910,137 | ) | 67,096,529 | |||||
| Cash and cash equivalents: |
||||||||
| Beginning of year |
223,972,903 | 156,876,374 | ||||||
|
|
|
|
|
|||||
| End of year |
$ | 145,062,766 | $ | 223,972,903 | ||||
|
|
|
|
|
|||||
| Supplemental disclosure of cash flow information: |
||||||||
| Cash paid during the year for interest |
$ | 24,073,924 | $ | 10,929,033 | ||||
|
|
|
|
|
|||||
The accompanying notes are an integral part of these financial statements.
25
Wellington Management Legacy Securities PPIF Master Fund, LP (a Delaware limited partnership)
Notes to Financial Statements
December 31,2011 and December 31,2010
(in United States Dollars)
| 1. | Organization |
Wellington Management Legacy Securities PPIF Master Fund, LP (the "Master Fund"), a Delaware limited partnership, was formed on July 14, 2009 pursuant to the Amended and Restated Limited Partnership Agreement ("Master Fund Agreement") and commenced operations on October 1, 2009 ("Initial Closing Date"). The general partner of the Master Fund is Wellington PPIF Management, LLC, a Delaware limited liability company (the "General Partner"). The Master Fund serves as the investment vehicle for the General Partner and its limited partners which are Wellington Management Legacy Securities PPIF, LP, a Delaware limited partnership (the "Onshore Feeder") and, together with the Wellington Management Legacy Securities PPIF (Offshore), LP, a Delaware limited partnership (the "Offshore Feeder") and US Department of the Treasury (the "UST") under a master-feeder structure. The Onshore Feeder and Offshore Feeder are collectively referred to as the "Private Investor Funds". The investors in the Offshore Feeder are Wellington Management Legacy Securities PPIF (Offshore) Ltd., a Cayman Islands exempted company and Advent Legacy Securities, Ltd., a Cayman Islands exempted limited company.
The Master Fund was formed in connection with the Public-Private Investment Program ("PPIP") as mandated by the US Emergency Economic Stabilization Act of 2008, which seeks to enable credit to flow freely and improve the balance sheets of financial institutions by creating funds to purchase troubled assets from these entities. The UST matched the aggregate commitments by the General Partner and the Private Investor Funds to the Master Fund; the Private Investor Funds received aggregate commitments from third party investors directly or indirectly through the feeders totaling approximately $1.149 billion. In addition to the UST's capital investment in the Master Fund, the UST, pursuant to the loan agreement dated October 1, 2009, will also provide a senior secured multiple-draw term loan facility (the "UST Credit Facility") to the Master Fund of up to 100% of total capital commitment or 200% of UST capital commitment. See Note 3 for further details.
The Master Fund's investment objective is to seek to generate attractive returns through long-term opportunistic investments in commercial mortgage backed securities and non-agency residential mortgage backed securities issued prior to 2009 that were originally rated AAA or an equivalent rating by two or more nationally recognized statistical rating organizations without ratings enhancement and that are secured directly by the actual mortgage loans, leases or other assets and not other securities (collectively, "Eligible Assets"). In accordance with the Master Fund Agreement, at least 90% of the assets underlying any Eligible Asset must be situated in the United States, and must be purchased solely from financial institutions from which the Secretary of the UST may purchase assets pursuant to Section 101(a)(1) of the United States Emergency Economic Stabilization Act of 2008, as amended. The Master Fund may also make temporary investments in the UST securities and certain money market mutual funds that own only instruments that are unconditionally guaranteed by the United States government. The Master Fund may not, without the written consent of the UST, invest an amount (excluding leverage) in excess of 5% of the Master Fund's aggregate capital commitments in any particular issuance of Eligible Assets.
26
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
The Master Fund’s investment manager is Wellington Management Company, LLP, a Massachusetts limited liability partnership (the “Investment Manager”). Williams Capital Management has been retained by the Investment Manager as the investment sub-advisor to the Master Fund for the purpose of investing in temporary investments. Bank of New York Mellon was appointed as administrative agent, collateral agent and valuation agent.
The term of the Master Fund will continue until the dissolution date, which is October 1,2017, unless the Master Fund is dissolved sooner in accordance with the terms of the Master Fund Agreement. However, the General Partner with written consent of the UST, may extend the term of the Master Fund for up to two consecutive one-year periods.
| 2. | Summary of Significant Accounting Policies |
Basis of Accounting
The financial statements of the Master Fund are expressed in United States Dollars and are prepared in accordance with accounting principles generally accepted in the United States of America (“US GAAP”).
Estimates
The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in partners’ capital from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Recently Issued Accounting Pronouncements
In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in US GAAP and IFRSs (“ASU 2011-04”). ASU 2011-04 was issued concurrently with International Financial Reporting Standards No. 13 (“IFRS 13”), Fair Value Measurements, to provide largely identical guidance about fair value measurement and disclosure requirements as is currently required under ASU 2010-06, Fair Value Measurements and Disclosures (Topic 820). The new standards do not extend the use of fair value but, rather, provide guidance about how fair value should be applied where it already is required or permitted under IFRS or US GAAP. For US GAAP, most of the changes are clarifications of existing guidance or wording changes to align with IFRS 13. ASU 2011-04 eliminates the concepts of in-use and in-exchange when measuring fair value of all financial instruments. For Level 3 fair value measurements, the ASU requires that our disclosure include quantitative information about significant unobservable inputs, a qualitative discussion about the sensitivity of the fair value measurement to changes in the unobservable inputs and the interrelationship between inputs, and a description of our valuation process. ASU 2011-04 is effective for interim and annual periods beginning after December 15,2011. Upon adoption of ASU 2011-04, it is not expected that it will have a significant impact on the Master Fund’s financial statements.
27
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
Investment Valuation
The Master Fund values investments, including any short-term investments and derivatives, on the basis of current market quotations provided by an independent pricing service or by a broker/dealer experienced in such matters. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, market transactions in comparable investments, various relationships between investments and calculated yield measures based on valuation technology commonly employed in the market for such investments.
If recent quotations are not readily available for any security or if the General Partner and Wellington Management Company, LLP as Investment Manager (together "Management") determines, in its reasonable discretion, that available estimated quotations do not fairly represent the fair value of such security, such security is valued at its fair value employing methods determined in good faith by Management. The value assigned to these securities is based upon available information including, but not limited to, the original transaction prices, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, changes in financial ratios or cash flows, subsequent rounds of financing and may also be adjusted to reflect liquidity and/or transferability restrictions. Such values may not necessarily represent the amount which may ultimately be realized upon sale. Due to the inherent uncertainty of the valuation, the estimated fair value may differ from the value of the securities had a ready market existed, and the difference could be material.
Fair Value Measurements
In accordance with ASC 820, fair value is defined as the price the Master Fund would receive to sell an asset or pay for a liability in an orderly transaction between the market participants at the reporting date. ASC 820 also establishes a three-level hierarchy for presenting valuations, based on the transparency of inputs into valuation techniques used to measure fair valuation. Inputs may be observable or unobservable, and refer broadly to the assumptions that a market participant would consider significant to value an asset or liability. The determination of "observable" requires judgment. In general, the Master Fund considers observable inputs to be data readily available, regularly updated, reliable, arms-length, and verifiable. Unobservable inputs may be used when observable inputs are not readily available, current or arms-length. In this situation, the Master Fund may use one or more valuation techniques (e.g. market or income approach), using the best available information as of reporting date, along with the Master Fund's own assumptions of market participant behavior.
Within Level 3, the use of market approach generally involves using inputs that are based on available market transactions or market observable comparables. The income approach is generally based on expected cash flows or earnings. Under both approaches, adjustments may be applied to reflect various risks (e.g. liquidity, financial health of the investment issuer, quality of the information available for fair value measurement).
28
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
Assets and liabilities are classified into one of the following levels, based on the lowest level of input that is significant to the fair value measurement:
Level 1—Quoted prices available in active markets for identical investments. In general, this level includes equities and derivatives regularly traded on major exchanges. As required by ASC 820, the Master Fund does not adjust quoted prices for these investments, even when the Master Fund holds a sizable position and a block sale could impact the quoted market price.
Level 2—Quoted prices in active markets for similar investments; quoted prices for identical investments in markets that are inactive; prices based on observable inputs other than an unadjusted quoted price; and prices based on market-corroborated inputs (such as interest rates, yield curves, volatilities, prepayment rates, credit risks and default rates). This level generally includes most fixed income securities and over the counter ("OTC") derivative instruments; securities valued in good faith by the General Partner, in consultation with the Investment Manager, using observable inputs and dealer priced securities which can be reasonably verified through an alternative source.
Level 3—Prices based on significant unobservable inputs; Master Fund investments with significant restrictions; securities valued in good faith by the trustee. In these situations, it is possible that a different valuation model could produce materially different fair value measurements. In some cases, a fair value measurement may require the use of multiple inputs, for which the General Partner must exercise judgment to determine relative significance for placement in the hierarchy. The fair value of the UST Warrant is developed internally using a discounted cash flow model. Significant inputs used include discount rate, cashflows from underlying investments, distribution rate, probability of various scenarios, which all require judgment. The categorization of a financial instrument within the hierarchy is based on price transparency and does not necessarily correspond to the perceived risk of the instrument.
The inputs or methodology used for valuing investments are not necessarily an indication of the risks associated with investing in those investments.
29
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
The following tables summarizes the valuation of the Master Fund’s financial instruments by the above pricing observability levels as of December 31, 2011 and December 31, 2010.
| Assets and Liabilities at Fair Value as of December 31, 2011 | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Residential mortgage-backed securities |
$ | — | $ | 3,225,601,503 | $ | — | $ | 3,225,601,503 | ||||||||
| Commercial mortgage-backed securities |
— | 648,274,501 | — | 648,274,501 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | 3,873,876,004 | $ | — | $ | 3,873,876,004 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Swap Contracts |
$ | — | $ | 85,655,603 | $ | — | $ | 85,655,603 | ||||||||
| UST Warrant payable |
— | — | 11,874,415 | 11,874,415 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | 85,655,603 | $ | 11,874,415 | $ | 97,530,018 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Assets and Liabilities at Fair Value as of December 31, 2010 | ||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Residential mortgage-backed securities |
$ | — | $ | 2,861,637,221 | $ | — | $ | 2,861,637,221 | ||||||||
| Commercial mortgage-backed securities |
— | 653,781,427 | — | 653,781,427 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | 3,515,418,648 | $ | — | $ | 3,515,418,648 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Swap Contracts |
$ | — | $ | 17,927,734 | $ | — | $ | 17,927,734 | ||||||||
| UST Warrant payable |
— | — | 12,655,492 | 12,655,492 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | 17,927,734 | $ | 12,655,492 | $ | 30,583,226 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
30
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
The following tables provide reconciliation of the liability in which unobservable inputs (Level 3) were used in determining fair value during the years ended December 31, 2011 and December 31, 2010.
| UST Warrant payable | ||||
| Balance as of December 31, 2010 |
$ | 12,655,492 | ||
| Acquisitions |
— | |||
| Settlements |
— | |||
| Net unrealized depreciation |
(781,077 | ) | ||
| Transfers in to Level 3 |
— | |||
| Transfers out of Level 3 |
— | |||
|
|
|
|||
| Balance as of December 31, 2011 |
$ | 11,874,415 | ||
|
|
|
|||
| UST Warrant payable | ||||
|
|
|
|||
| Balance as of December 31, 2009 |
$ | 11,021,216 | ||
| Acquisitions* |
2,644,484 | |||
| Settlements |
— | |||
| Net unrealized depreciation |
(1,010,208 | ) | ||
| Transfers in to Level 3 |
— | |||
| Transfers out of Level 3 |
— | |||
|
|
|
|||
| Balance as of December 31, 2010 |
$ | 12,655,492 | ||
|
|
|
|||
| * | These amounts represent increases in UST warrant payable as a result of Master Fund closings during the year. |
The Partnership’s policy is to recognize transfers in and transfers out as of the beginning of each fiscal period, generally monthly. During the years ended December 31, 2011 and December 31, 2010 there were no significant transfers in or out of Level 1, Level 2 or Level 3.
The amount of the total gains for the years ended December 31, 2011 and December 31, 2010 that are attributable to the change in unrealized gains relating to the Level 3 liability still held as of December 31, 2011 and December 31, 2010 is $781,077 and $1,010,208, respectively, which is reflected in net change in unrealized depreciation on UST Warrant payable on the Statements of Operations.
Collateral
The Master Fund is a party to ISDA Master Agreements with certain counterparties that govern OTC derivative contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash, debt securities, and/or other securities as agreed to by the Master Fund and the counterparty.
31
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
Collateral requirements are determined based on the Master Fund’s net position with each counterparty.
The Master Fund records cash collateral posted to brokers as “Swap collateral” on the Statements of Assets, Liabilities and Partners’ Capital. Amount in excess of collateral requirement that are due to receive back from broker are included in “Due from broker” on the Statements of Assets, Liabilities and Partners’ Capital. At December 31, 2011, the Master Fund did not have an amount in excess of collateral that was due to be received back from the broker. At December 31, 2010, the Master Fund records $278,000 as Due from broker as a result of being over-collateralized.
At December 31, 2011, the Master Fund recorded a “Due to broker” of $1,468,000 on the Statements of Assets, Liabilities and Partners’ Capital which relates to additional collateral posted. At December 31, 2010, the Master did not have a Due to broker balance.
Swap Contracts
The Master Fund may enter into interest rate swaps as part of a strategy to manage exposure to interest rates. Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Master Fund are recorded as “Net realized gain (loss) on swap contracts” in the accompanying Statements of Operations as realized gains or losses.
Within the Statements of Assets, Liabilities and Partners’ Capital, swap contracts are recorded at their unrealized appreciation or (depreciation), depending on changes in their fair value and these amounts are reflected as “Unrealized appreciation or depreciation on swap contracts.” Gains or losses are realized upon early termination of any swap agreement. The change in unrealized value of swap contracts is reflected in the Statements of Operations as “Net change in unrealized appreciation (depreciation) on swap contracts.” Details of swap contracts open at December 31, 2011 and December 31, 2010 are included in the Schedules of Investments under the caption “Interest Rate Swap Contracts.”
Derivative Instruments
The provisions of ASC 815 require enhanced disclosure about the Master Fund’s derivatives and provides greater transparency of how and why an entity uses derivative instruments, how derivative instruments are accounted for and how they affect an entity’s financial position, results of operations and cash flows. ASC 815 also requires qualitative disclosures about an entity’s associated risk exposure, quantitative disclosures about fair value amounts and the gains and losses related to derivative instruments and disclosures of any credit-risk contingent feature in derivative agreements. The adoption of ASC 815 had no impact on the Statements of Assets, Liabilities and Partners’ Capital or the Statements of Operations.
Certain ISDA Master Agreements may contain contingent features that allow the counterparty to terminate trades executed and/or request additional collateral if the NAV of the Master Fund declines beyond certain thresholds (“NAV triggers”). At December 31, 2011 and December 31, 2010, the
32
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
aggregate fair value of all derivative instruments with such contingent features in a liability position was $85,655,603 and $17,927,734, respectively, for which the Master Fund posted $83,299,000 and $17,100,000 of collateral, respectively. If the credit-risk contingent features were triggered on December 31, 2011 and December 31, 2010, the Master Fund would be required to post additional collateral of $2,356,603 and $827,734, respectively, or potentially settle the contract in an amount equal to its fair value as noted in the Schedules of Investments.
The Master Fund may transact in a variety of derivative instruments including futures, options, swaps and swaptions for the purpose of managing interest rate risk. The primary risk exposure category and related gains or losses have been summarized in the tables below. Additionally, see Note 7 for information on the Master Fund’s risks related to such transactions.
The following tables present the gross value of the Master Fund’s derivative contracts by primary risk exposure category referenced in Note 7. The values in the table exclude the effects of cash received or posted as collateral, and therefore are not representative of the Master Fund’s net exposure. The fair value of these derivative instruments is reflected as “Unrealized depreciation” in the Statements of Assets, Liabilities and Partners’ Capital. Volumes reported at December 31, 2011 and December 31, 2010 are indicative of average positions during the year.
| As of December 31, 2011 | ||||||||
| Gross Assets | Gross Liabilities | |||||||
| Primary Risk Exposure Category |
||||||||
| Interest Rate Swap Contracts |
$ | — | $ | (85,655,603 | ) | |||
|
|
|
|
|
|||||
| Total |
$ | — | $ | (85,655,603 | ) | |||
|
|
|
|
|
|||||
| As of December 31, 2010 | ||||||||
| Gross Assets | Gross Liabilities | |||||||
| Primary Risk Exposure Category |
||||||||
| Interest Rate Swap Contracts |
$ | — | $ | (17,927,734 | ) | |||
|
|
|
|
|
|||||
| Total |
$ | — | $ | (17,927,734 | ) | |||
|
|
|
|
|
|||||
33
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
The following tables present the Master Fund’s gain (loss) related to derivative activities for the years ended December 31, 2011 and December 31, 2010. The gain (loss) should be considered in the context that derivative contracts may have been executed to hedge investments and accordingly, gain (loss) on derivative contracts may offset gain (loss) attributable to investments which is not reflected in the values in the table. These losses are reflected as “Net realized loss” and “Net change in unrealized depreciation” in the Statements of Operations.
| As of December 31, 2011 | ||||||||
| Realized Loss | Unrealized Depreciation | |||||||
| Primary Risk Exposure Category |
||||||||
| Interest Rate Swap Contracts |
$ | (18,000,259 | ) | $ | (67,727,869 | ) | ||
|
|
|
|
|
|||||
| Total |
$ | (18,000,259 | ) | $ | (67,727,869 | ) | ||
|
|
|
|
|
|||||
| As of December 31, 2010 | ||||||||
| Realized Loss | Unrealized Depreciation | |||||||
| Primary Risk Exposure Category |
||||||||
| Interest Rate Swap Contracts |
$ | (3,951,729 | ) | $ | (17,927,734 | ) | ||
|
|
|
|
|
|||||
| Total |
$ | (3,951,729 | ) | $ | (17,927,734 | ) | ||
|
|
|
|
|
|||||
Investment Transactions, Investment Income and Expenses
Investment transactions are recorded on the trade date. Realized gains and losses on investment transactions are reported on the basis of specific identified cost. Interest income and expenses are recorded on the accrual basis and include accretion of discount and amortization of premium generally over the life of the respective security using the effective yield method. For those securities that are in default or otherwise determined to be deeply distressed, interest may not be accrued and in which case be recognized only if and when received. Gains and losses realized on repayment of principal on Eligible Assets are reported as interest income in the accompanying Statements of Operations.
Income Taxes
ASC 740-10 establishes financial accounting and disclosure requirements for recognition and measurement of tax positions taken or expected to be taken on an income tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable taxing authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit in the current year.
The Master Fund is treated as a partnership for U.S. federal income tax purposes and, as such, is generally not subject to U.S. federal or state income tax. Each partner of the Master Fund generally is liable for its share of all U.S. federal and state taxes, if any, imposed on the net investment income and realized gains of the Master Fund.
34
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
No income tax liability for tax positions has been recognized in the accompanying financial statements. The Master Fund is subject to examination by U.S. Federal and State tax authorities for tax returns filed after December 31, 2009. Each partner is individually responsible for reporting income or loss, to the extent required by the federal and state income tax laws and regulations, based upon its respective share.
Cash and Cash Equivalents
The Master Fund maintains cash in a bank deposit account that, at times, may exceed U.S. federally insured limits. The Master Fund has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such bank deposits.
The Master Fund considers investments in money market funds and short-term highly liquid investments with maturities of three months or less (when acquired) to be cash equivalents. Cash equivalents were carried at amortized cost which approximates fair value. As of December 31, 2011 and December 31, 2010, the Master Fund had money market funds of $144,665,074 and $74,407,756 respectively.
Organizational Costs
All costs and expenses relating to the formation and offering of the Master Fund and the General Partner and the UST Credit Facility, including travel expenses, legal fees, offering expenses and accounting fees are borne by the Private Investor Funds.
| 3. | Loan Agreement |
The Master Fund entered into a loan agreement dated October 1, 2009, as a borrower, with the UST, as the Lender, The Bank of New York Mellon, as the Administrative and Collateral Agent (the “Loan Agreement”) under the UST Credit Facility as a result of the Master Fund’s participation in the PPIP. The loans borrowed from the UST Credit Facility are used to finance the purchase of Eligible Assets. The loans will be due and payable on the earliest of (i) ten years from the Initial Closing Date of the Master Fund, (ii) the date of expiration, termination or dissolution of the Master Fund, and (iii) such earlier time as the obligations of the Master Fund and the Loan Agreement and the other credit documentation with respect to the UST Credit Facility have been accelerated. The Master Fund incurs interest on the aggregate principal amount of loans, as of any date of determination, at a rate per annum equal to LIBOR plus the Applicable Margin as defined in the Loan Agreement, which was 1.28% and 1.26%, respectively as of December 31, 2011 and December 31, 2010. The non-recourse provision of the UST loans allowed the Master Fund to satisfy loan obligations with Eligible Assets, subject to certain conditions, even if the value of the Eligible Assets falls below the outstanding amount of the loan. The Master Fund could repay the UST loans prior to the maturity dates without penalty. Principal and interest due on the loans are paid with the proceeds of principal paydowns and interest received from the Eligible Assets. Credit agreements underlying each loan contain provisions to address instances in which interest payments on Eligible Assets fall short of amounts due to the UST.
35
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
The Master Fund is subject to repayment priorities as defined in the Loan Agreement and summarized below assuming no default by the Master Fund, as applicable:
(1) administrative expenses, excluding certain tax expenses of the Master Fund;
(2) interest due on permitted interest rate hedges;
(3) current period loan interest due to Lender;
(4) amounts to the interest reserve account if the total deposit in the interest reserve account is less than the required interest reserve amount;
(5) loan paydown amounts required when the fair value of Eligible Assets is less than the aggregate principal loans balance as of the date;
(6) interest due on permitted interest rate hedges if not paid in accordance with step (2) above;
(7) optional prepayments to Lender during the investment period, which terminates October 1, 2012 (“Investment Period”) for temporary assets in accordance with Section 2.06(a) of the Loan Agreement;
(8) remaining amounts to Partners after steps (1) through (7) of up to 8%;
(9) optional prepayment up to the scheduled prepayment percentage or the outstanding loan balance; and
(10) any final prepayment to Lender after satisfying steps (1) through (9).
The fair value of the UST loans, which qualify as financial instruments under ASC 825-10, approximates the carrying amounts presented in the accompanying Statements of Assets, Liabilities and Partners’ Capital as of December 31, 2011 and December 31, 2010.
As of December 31, 2011, collateral of $4,018,938,770, which includes $3,873,876,004 Eligible Assets and $145,062,766 cash and cash equivalents, was held by the Master Fund for borrowings from the UST Credit Facility.
As of December 31, 2010, collateral of $3,739,391,551, which includes $3,515,418,648 Eligible Assets and $223,972,903 cash and cash equivalents, was held by the Master Fund for borrowings from the UST Credit Facility.
The Master Fund made a Full Turn Election (“Full Turn Election”), which occurs when the Master Fund elects to borrow from the UST up to 100% of the aggregate amounts of drawn Master Fund capital commitments. In consideration for the borrowing, the Master Fund issued a warrant to the UST (in addition to the interest rate stipulated in the Loan Agreement), as evidenced by the issuance of a contingent promissory note. See Note 4 and Note 6 for further details on the UST warrant.
The Master Fund is subject to certain financial covenants such as the asset coverage test pursuant to the Loan Agreement. The Master Fund is required to maintain a minimum asset coverage ratio of 150% (as required for the Full Turn Election), which would require total assets (adjusted as appropriate) be at least 150% of the UST loan (including interest payable). As of December 31, 2011 and December 31, 2010, the Master Fund was in compliance with this covenant.
The Master Fund’s participation in the PPIP has certain risk factors as further described in Note 7.
36
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
| 4. | Partners’ Capital |
Capital Commitments and Capital Contributions
Under the terms of the Master Fund Agreement, the General Partner admitted Limited Partners (the “Limited Partners” and collectively with the General Partner, “Partners”) to the Master Fund on October 1, 2009. In aggregate, a total of $2,298,985,495 in Partners’ capital commitments were accepted, including commitments of $324,387,000, $825,100,000, $1,149,487,000 and $11,495 from the Onshore Feeder, Offshore Feeder, the UST and the General Partner, respectively. As of December 31, 2011, the Master Fund called and has received all capital commitments in cash contributions from the Partners.
As of December 31, 2010, the Master Fund called and had received $1,841,557,555 of capital commitments, net of $74,132,697 of distributions, in cash contributions from the Partners. The Master Fund had remaining capital commitments of $457,427,940 as of December 31,2010.
Capital Allocations
For financial reporting and other purposes, income, gains, deductions, losses and credits of the Master Fund will generally be allocated among the Partners in a manner consistent with the distribution priorities described below. Accordingly, UST Management Fee has been allocated to UST and amortization of debt issuance costs and unrealized depreciation on UST Warrant has been allocated to the non-UST partners.
Capital Distributions
Distribution of investment proceeds are initially made to the Partners in proportion to each of their respective percentage interests in such investment. The Investment Manager has the discretion to retain capital for future investment opportunity during the Investment Period. Each Partner’s (other than the UST’s) share of each distribution of the investment proceeds are to be divided between such Partners as follows:
| (1) | Return of Capital: First, 100% to such Partner until the cumulative distributions to such Partner of investment proceeds equal such Partner’s capital contributions; |
| (2) | UST Warrant Proceeds Split: Thereafter, 97.5% to such Partner and 2.5% warrant percentage split to the holder. Pursuant to the Master Fund Agreement, the warrant percentage is contingent upon whether the borrowing is made with a Full Turn Election or Half Turn Election at the initial time of closing. The warrant percentage associated with the Full and Half Turn Elections are 2.5% and 1.5% respectively. The Master Fund has made a Full Turn Election, therefore the applicable warrant percentage is 2.5%; however the Master Fund does have the ability to revert to a Half Turn Election in the future. Escrow accounts were established for the deposit of such warrant percentage proceeds, and the proceeds are subject to clawback from the UST if the amount on deposit exceeds 2.5% of investment proceeds in excess of cumulative capital contributions to the Master Fund. |
37
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
| (3) | Temporary Investment Income: Each distribution of temporary investment income shall be divided among all Partners pro rata in proportion to their respective interests in the applicable temporary investments, as reasonably determined by the General Partner. |
For the year ended December 31, 2011, the Master Fund has not made recallable distributions to the Partners. The Master Fund has made non-recallable distributions of Investment Proceeds in the amount of $20,777,563, $52,849,119, $71,327,707 and $736 to the Onshore Feeder, Offshore Feeder, UST and General Partner, respectively.
For the year ended December 31, 2010, the Master Fund had made recallable distributions of $13,104,613 and $31,020,556 to the Onshore Feeder and Offshore Feeders, respectively, due to re-alignment of partners’ capital interest from subsequent closes. Such distributions have been called back and are included in the contributions on the Statements of Changes in Partners’ Capital. All partners were allocated profit and loss from inception. The Master Fund had also made non-recallable distributions of Investment Proceeds in the amount of $3,366,383, $8,562,621, $9,835,339 and $119 to the Onshore Feeder, Offshore Feeder, UST and General Partner, respectively.
| 5. | Management Agreement |
In consideration of the services rendered to the Master Fund by the Investment Manager pursuant to the Master Fund Agreement, the Master Fund pays a management fee to the General Partner with respect to the capital commitment currently in effect or at end of the given quarter of the UST (the “UST Management Fee”), payable quarterly in arrears, equal to 0.20% per annum of the capital commitment of the UST prior to the expiration or termination of the Investment Period and thereafter, 0.20% per annum of the lesser of (A) the UST’s capital commitment to the Master Fund as of the last day of the period and (B) the UST ending capital as of the last day of the period. The UST Management Fee will be allocated to the capital account of the UST. The Private Investor Funds pay a separate management fee at the Onshore and Offshore Feeder level.
For the years ended December 31, 2011 and December 31, 2010, the Master Fund incurred UST Management Fees of $2,298,974 and $2,237,400, respectively. As of December 31, 2011 and December 31, 2010, $574,744 remained payable by the Master Fund, respectively.
| 6. | UST Warrant |
As part of the financing arrangement between the Master Fund and the UST, the Master Fund issued a transferrable warrant to the UST (the “UST Warrant”). The terms of the warrant specify that each Partner’s (other than the UST’s) share of each distribution of Investment Proceeds shall be divided between such Partner on the one hand and the Noteholder (currently the UST) on the other hand as follows: (i) Return of Capital: First, 100% to such Partner until the cumulative distributions to such Partner of Investment Proceeds equal such Partner’s Capital Contributions; (ii) UST Warrant Proceeds Split: Thereafter, 97.5% (the “Applicable Percentage”) to such Partner and 2.5% (the “Warrant Percentage”) to the Noteholder. The applicable warrant payment will be distributed by the Master Fund to escrow accounts for the ultimate benefit of the warrant holder (the UST) following
38
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
the return of 100% of each Partner’s capital contributions to the Master Fund. The UST Warrant has been accounted for as a freestanding derivative instrument, the current estimated fair value of which is reflected in “UST Warrant payable” on the accompanying Statements of Assets, Liabilities and Partners’ Capital. The change in fair value for the years ended December 31, 2011 and December 31, 2010 is recorded in “Net change in unrealized appreciation and (depreciation) on UST Warrant” on the accompanying Statements of Operations.
In connection with the closing of each Partner capital commitment, the Master Fund determined the value of the UST Warrant Payable. The recognition of UST Warrant Payable also resulted in the establishment of debt issuance costs in same amount. The debt issuance costs are amortized over the life of the Master Fund, which is expected to be eight years from initial closing. The amortization is recognized as interest expense in the Statements of Operations.
The following table summarizes how the Master Fund accounted for the effect of the UST Warrant on the results of operations and financial position of the Master Fund for the years ended December 31, 2011 and December 31, 2010:
| Description |
Fair Value | Change in Fair Value | ||||||
| 2011 UST Warrant |
$ | 11,874,415 | $ | 781,077 | ||||
| 2010 UST Warrant |
$ | 12,655,492 | $ | 1,010,208 | ||||
As supplemental information to the US GAAP ending balances of Partners’ Capital presented in the Statements of Changes in Partners’ Capital, the following table represents what Partners’ Capital would be without the effect of the asset for debt issuance costs, and with the UST Warrant reflected at intrinsic, rather than fair value. Accordingly, the tables reflect the following as of December 31, 2011 and December 31, 2010:
| • | amortized debt issuance cost and fair value of the UST warrant payable being written off, and |
| • | the amount due to the warrant holder being deducted from the capital accounts of the Partners, other than the UST, as if the Master Fund were to liquidate its tangible assets and liabilities at book value at year end (“intrinsic value”). |
39
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
As the Master Fund was in a net loss position on this basis at December 31, 2011, the UST Warrant had no intrinsic value, and was excluded from the table below.
| General Partner |
The United States Department of the Treasury |
Wellington Management Legacy Securities PPIF (Offshore), LP |
Wellington Management Legacy Securities PPIF, LP |
Total | ||||||||||||||||
| Partners’ capital, US GAAP |
$ | 9,941 | $ | 994,146,856 | $ | 713,408,980 | $ | 280,496,093 | $ | 1,988,061,870 | ||||||||||
| Cumulative adjustments of amortization of debt issuance costs and valuation of UST Warrant |
9 | — | 600,653 | 215,871 | 816,533 | |||||||||||||||
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| Partners’ capital, intrinsic value |
$ | 9,950 | $ | 994,146,856 | $ | 714,009,633 | $ | 280,711,964 | $ | 1,988,878,403 | ||||||||||
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As the Master Fund was in a net gain position on this basis at December 31, 2010, the UST Warrant had an intrinsic value, and was reflected at $3,596,078 value in the table below.
| General Partner |
The United States Department of the Treasury |
Wellington Management Legacy Securities PPIF (Offshore), LP |
Wellington Management Legacy Securities PPIF, LP |
Total | ||||||||||||||||
| Partners’ capital, US GAAP |
$ | 10,530 | $ | 1,052,132,838 | $ | 755,851,462 | $ | 297,182,302 | $ | 2,105,177,132 | ||||||||||
| Cumulative adjustments of non-cash amortization of debt issuance costs and valuation of UST Warrant |
(3 | ) | — | (219,579 | ) | (106,603 | ) | (326,185 | ) | |||||||||||
| Warrant, at intrinsic value |
(36 | ) | — | (2,581,233 | ) | (1,014,809 | ) | (3,596,078 | ) | |||||||||||
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| Partners’ capital, intrinsic value |
$ | 10,491 | $ | 1,052,132,838 | $ | 753,050,650 | $ | 296,060,890 | $ | 2,101,254,869 | ||||||||||
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| 7. | Risk Factors |
The Master Fund's investment portfolio is comprised entirely of CMBS and non-agency RMBS. These are securities whose payments depend (except for rights or other assets designed to assure the servicing or timely distribution of proceeds to holders of such securities) primarily on the cash flow from secured commercial or residential mortgage loans made to borrowers. Such loans are secured (on a first priority basis or second priority basis, subject to permitted liens, easements and other encumbrances) by commercial or residential real estate, the proceeds of which are used to purchase and or to construct commercial or residential real estate. The Master Fund may also invest in stripped CMBS and non – agency RMBS (SCMBS + SRMBS). One type of SCMBS/SRMBS has one class
40
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
receiving all of the interest from the mortgage assets (the interest-only or “IO” class), while the other class will receive all of the principle (the principal-only or “PO” class). Payments received for the IOs are included in “Interest income” on the Statements of Operations The value of some mortgage-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Master Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although certain mortgage-related securities are supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations. The investment portfolio is subject to various risks as described below:
Credit Risk
Credit-related risk on CMBS and non-agency RMBS securities arises from losses due to delinquencies and defaults by the borrowers in payments on the underlying mortgage loans and breaches by originators and servicers of their obligations under the underlying documentation pursuant to which the RMBS securities are issued. The rate of delinquencies and defaults on residential mortgage loans and the aggregate amount of the resulting losses will be affected by a number of factors, including general economic conditions, particularly those in the area where the related mortgaged property is located, the level of the borrower’s equity in the mortgaged property and the individual financial circumstances of the borrower.
Prepayment Risk
CMBS and non-agency RMBS securities are susceptible to prepayment risks. Except in the case of certain types of RMBS securities, the mortgage loans underlying RMBS securities generally do not contain prepayment penalties and a reduction in market interest rates may increase the likelihood of prepayments on the related RMBS securities, resulting in a reduction in yield to maturity for most holders of such securities. In the case of certain home equity loan securities and certain types of RMBS securities, even though the underlying mortgage loans can contain prepayment premiums, such prepayment premiums may not be sufficient to discourage borrowers from prepaying their mortgage loans in the event of a reduction in market interest rates, resulting in a reduction in the yield to maturity for holders of the related RMBS securities.
Interest Rate Risk
The rate of interest payable on certain CMBS and RMBS securities may be set or effectively capped at the weighted average net coupon of the underlying mortgage loans themselves, often referred to as an “available funds cap.” As a result of this cap, the return to the holder of such CMBS and RMBS securities is dependent on the relative timing and rate of delinquencies and prepayments of mortgage loans bearing a higher rate of interest. In general, early prepayments will have a greater negative impact on the yield to the holder of such CMBS and RMBS securities.
General Market Risk
The fair value of any particular CMBS and RMBS securities may be subject to substantial variation. The entire market or particular instruments traded on a market may decline even if earnings or other factors improve inasmuch as the prices of such instruments are subject to numerous economic, political, psychological and other factors that have little or no correlation to the performance of a particular instrument.
41
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
Swap Contracts Risk
The risks associated with swaps may exceed amounts recognized on the Statements of Assets, Liabilities and Partners’ Capital. The Master Fund may incur liquidity risk when it uses swaps because purchase and resale may be limited to a discrete number of dealers. The value of the swap will decrease commensurately should there be unfavorable changes in rates or market values. Entering into interest rate swaps involves varying degrees of risk, including the possibility that there is no liquid market for the contracts, the counterparty to the swap may default on its obligation to perform, and unfavorable changes in interest rates and market values may occur.
Concentration Risk
The Master Fund concentrates its investments in CMBS and RMBS securities, as such, the overall impact on the Master Fund as a result of adverse developments in the CMBS and RMBS market could be considerably greater than if the Master Fund did not concentrate its investments in CMBS and RMBS securities.
Default Risk
If a Partner defaults on its obligation to make required capital contributions, it may be difficult for the Master Fund to make up the shortfall from other sources. The other investors may be required to make additional contributions to replace such shortfall, thereby reducing the diversification of their investments. Under current economic conditions, it has been reported that certain investors in other investment vehicles have suspended, or have threatened to suspend, making capital contributions due to their own financial condition. Any default by one or more investors (whether in the Master Fund or in any of the Private Investor Funds or other Feeder) could have an extremely deleterious effect on the Master Fund, their assets, and the interests of the other investors. In the event that a Partner fails to fund any of its commitments when required, such Partner’s interest in the Master Fund and its indirect investment in the Master Fund will be substantially reduced and/or purchased for an amount that will likely be substantially less than its fair value.
Counterparty Credit Risk
The Master Fund may be exposed to credit risks in the event that the contracting party to a transaction fails to perform or that an institution or other entity with which the Master Fund has unsettled or open transactions will default. In addition, the Master Fund incurs counterparty risk when it enters into any type of swaps, derivatives, other over-the counter transactions or non-U.S. securities with a bank or broker-dealer based on the risk of non-performance by the counterparty. Counterparty risk is partially managed through a number of risk mitigants including prudent counterparty selection and collateral agreements. The Master Fund enters into these contracts with counterparties who meet the suitability standards established by the Investment Adviser, to reduce risk from potential counterparty default.
42
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
Indemnifications
The Master Fund enters into contracts that contain a variety of indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
PPIP Risk
The PPIP is new and no track record exists to predict whether it will be successful or viable over the life of the Master Fund. The PPIP is further subject to various political pressures and changes, and the UST or the United States government may change, suspend, or terminate the program at any time, which may be detrimental to the Investors.
Leverage Risk
The Master Fund utilized leverage as described in Note 3 as part of the Master Fund investment strategy. While leverage presents opportunities for increasing the total return on investments, it has the effect of potentially increasing losses as well. Accordingly, any event which adversely affects the value of an investment could be magnified to the extent leverage is utilized. The cumulative effect of the use of leverage with respect to any investments in a market that moves adversely to such investments could result in a substantial loss that would be greater than if the investment were not leveraged.
43
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
| 8. | Financial Highlights |
The financial highlights are calculated for the years ended December 31, 2011 and December 31, 2010. The calculations exclude data for the General Partner.
Ratios to limited partners’ capital:
| 2011 Weighted Average Partners’ Capital(3) |
2010 Weighted Average Partners’ Capital(3) |
|||||||
| UST |
||||||||
| Interest expense (1) |
1.13 | % | 0.91 | % | ||||
| Other expenses (1) |
0.27 | % | 0.43 | % | ||||
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| Total expenses (1) |
1.40 | % | 1.34 | % | ||||
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| Net investment income (1) |
12.93 | % | 13.17 | % | ||||
| Onshore Feeder |
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| Interest expense (1) |
1.31 | % | 1.23 | % | ||||
| Other expenses(1) |
0.06 | % | 0.07 | % | ||||
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| Total expenses (1) |
1.37 | % | 1.30 | % | ||||
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| Net investment income(1) |
12.96 | % | 13.43 | % | ||||
| Offshore Feeder |
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| Interest expense (1) |
1.31 | % | 1.21 | % | ||||
| Other expenses (1) |
0.06 | % | 0.07 | % | ||||
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| Total expenses (1) |
1.37 | % | 1.28 | % | ||||
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| Net investment income (1) |
12.96 | % | 13.21 | % | ||||
Internal rate of return(2)
| Inception through | ||||||||||||
| December 31, 2011 | December 31, 2010 | December 31, 2009 | ||||||||||
| UST |
(4.72 | )% | 23.73 | % | (1.02 | )% | ||||||
| Onshore Feeder |
(4.46 | )% | 24.30 | % | (0.02 | )% | ||||||
| Offshore Feeder |
(4.47 | )% | 24.28 | % | (0.02 | )% | ||||||
| (1) | The ratios of expenses and net investment income represent the expenses and net investment income allocated to each group of Limited Partner for the years ended December 31, 2011 and December 31, 2010. |
| (2) | The internal rate of return (“IRR”) since inception is presented for each group of Limited Partners and is net of all expenses and profit sharing allocations, if any, to the General Partner. The IRR is computed based on the actual dates of the Limited Partners’ cash flows and the residual value of the Limited Partners’ capital account at December 31, 2011 and December 31, 2010. The IRR is not calculated using weighted average partners’ capital. |
| (3) | Weighted average partners’ capital was calculated using the end of the month partners’ capital balance, adjusted for timing of capital transactions. |
44
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Notes to Financial Statements (continued)
December 31, 2011 and December 31, 2010
(in United States Dollars)
| 9. | Subsequent Events |
The Master Fund has evaluated the impact of all subsequent events on the Partnership through April 12, 2012, the date the financial statements were available to be issued, and has determined that the following subsequent events required disclosure in the financial statements.
On February 14, 2012, the Master Fund made distributions in the amount of $1,545,257 to the Partners.
45