Exhibit 99.2
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Financial Statements for the Three and Six Months Ended
June 30, 2012 and June 30, 2011
(Unaudited)
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
TABLE OF CONTENTS
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Statement of Assets, Liabilities and Partners’ Capital | 1 | |||
Statements of Operations | 2 | |||
Statement of Changes in Partners’ Capital | 3 | |||
Statements of Cash Flows | 4 | |||
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statement of Assets, Liabilities and Partners’ Capital
June 30, 2012
(Unaudited)
(in United States Dollars)
Assets | ||||
Investments, at fair value (amortized cost $4,379,496,424) | $ | 4,207,495,107 | ||
Cash and cash equivalents | 265,680,684 | |||
Swap collateral | 57,721,000 | |||
Interest receivable | 15,678,769 | |||
Debt issuance costs (net of amortization of $5,066,619) | 10,098,615 | |||
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Total assets | $ | 4,556,674,175 | ||
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Liabilities and partners’ capital | ||||
Liabilities | ||||
Loan payable | $ | 2,041,000,000 | ||
Unrealized depreciation on swap contracts | 88,559,200 | |||
UST Warrant payable, at fair value | 9,793,330 | |||
Interest on loan payable | 1,195,843 | |||
UST Management fees payable | 574,744 | |||
Administration fees payable | 165,730 | |||
Professional fees payable | 113,729 | |||
Accrued expenses and other liabilities | 93,260 | |||
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Total liabilities | 2,141,495,836 | |||
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Partners’ capital | ||||
General Partner | 12,083 | |||
Limited Partners | 2,415,166,256 | |||
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Total partners’ capital | 2,415,178,339 | |||
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Total liabilities and partners’ capital | $ | 4,556,674,175 | ||
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1
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Operations
For the Three and Six Months Ended June 30, 2012 and June 30, 2011
(Unaudited)
(in United States Dollars)
| For the three months ended | For the six months ended | |||||||||||||||
| June 30, 2012 | June 30, 2011 | June 30, 2012 | June 30, 2011 | |||||||||||||
Investment income: | ||||||||||||||||
Interest income | $ | 78,568,115 | $ | 79,517,940 | $ | 144,676,574 | $ | 155,192,794 | ||||||||
Expenses: | ||||||||||||||||
Interest expense (including amortization of debt issuance costs of $479,631, $479,631, $959,263 and $953,992 respectively) | 7,051,040 | 6,405,591 | 14,052,779 | 12,546,305 | ||||||||||||
UST Management fees | 574,743 | 574,743 | 1,149,487 | 1,149,487 | ||||||||||||
Administration fees | 272,562 | 229,152 | 537,779 | 440,238 | ||||||||||||
Professional fees | 42,734 | 40,165 | 85,468 | 79,888 | ||||||||||||
Other expenses | 48,483 | 41,137 | 96,967 | 81,822 | ||||||||||||
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Total expenses | 7,989,562 | 7,290,788 | 15,922,480 | 14,297,740 | ||||||||||||
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Net investment income | 70,578,553 | 72,227,152 | 128,754,094 | 140,895,054 | ||||||||||||
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Net realized gain (loss) and change in unrealized appreciation (depreciation): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | 10,102,143 | 550 | 35,588,387 | 477,161 | ||||||||||||
Swap contracts | 1,565,825 | 958,019 | (12,974,074 | ) | (3,702,874 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (34,885,288 | ) | (230,751,910 | ) | 325,020,798 | (203,075,084 | ) | |||||||||
Swap contracts | (12,695,835 | ) | (34,293,751 | ) | (2,903,597 | ) | (37,082,220 | ) | ||||||||
UST Warrant | 920,116 | (212,189 | ) | 2,081,084 | 453,685 | |||||||||||
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Net realized and change in unrealized gain (loss) | (34,993,039 | ) | (264,299,281 | ) | 346,812,598 | (242,929,332 | ) | |||||||||
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Net increase (decrease) in partners’ capital resulting from operations | $ | 35,585,514 | $ | (192,072,129 | ) | $ | 475,566,692 | $ | (102,034,278 | ) | ||||||
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2
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statement of Changes in Partners’ Capital
For the Six Months Ended June 30, 2012
(Unaudited)
(in United States Dollars)
| 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, at December 31, 2011 | $ | 9,941 | $ | 994,146,856 | $ | 713,408,980 | $ | 280,496,093 | $ | 1,988,061,870 | ||||||||||
Distributions: | ||||||||||||||||||||
Investment proceeds | (248 | ) | (23,650,244 | ) | (17,801,209 | ) | (6,998,522 | ) | (48,450,223 | ) | ||||||||||
Allocation of net increase in partners’ capital resulting from operations: | ||||||||||||||||||||
Net increase in partners’ capital resulting from operations | 2,390 | 236,646,504 | 171,494,827 | 67,422,971 | 475,566,692 | |||||||||||||||
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Partners’ capital, at June 30, 2012 | $ | 12,083 | $ | 1,207,143,116 | $ | 867,102,598 | $ | 340,920,542 | $ | 2,415,178,339 | ||||||||||
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3
Wellington Management Legacy Securities PPIF Master Fund, LP
(a Delaware limited partnership)
Statements of Cash Flows
For the Three and Six Months Ended June 30, 2012 and June 30, 2011
(Unaudited)
(in United States Dollars)
| For the three months ended | For the six months ended | |||||||||||||||
| June 30, 2012 | June 30, 2011 | June 30, 2012 | June 30, 2011 | |||||||||||||
Cash flows from operating activities: | ||||||||||||||||
Net increase (decrease) in partners’ capital resulting from operations | $ | 35,585,514 | $ | (192,072,129 | ) | $ | 475,566,692 | $ | (102,034,278 | ) | ||||||
Adjustments to reconcile net increase (decrease) in partners’ capital resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||||||
Purchase of investments in securities | (171,073,860 | ) | (415,229,372 | ) | (702,153,468 | ) | (801,632,249 | ) | ||||||||
Proceeds from disposition of investments in securities, including proceeds from paydown of principle | 285,153,291 | 120,169,561 | 771,865,572 | 234,964,858 | ||||||||||||
Net realized gain on investments | (10,102,143 | ) | (2,587,012 | ) | (35,588,387 | ) | (488,357 | ) | ||||||||
Net change in unrealized depreciation on swap contacts | 12,695,835 | 34,293,751 | 2,903,597 | 37,082,220 | ||||||||||||
Net change in unrealized (appreciation) depreciation on investments | 34,885,288 | 230,751,910 | (325,020,798 | ) | 203,075,084 | |||||||||||
Net change in unrealized (appreciation) depreciation on UST Warrant | (920,116 | ) | 212,189 | (2,081,084 | ) | (453,685 | ) | |||||||||
Accretion of discount, net | (28,779,203 | ) | (32,092,876 | ) | (42,722,022 | ) | (62,986,523 | ) | ||||||||
Amortization of debt issuance costs | 479,631 | 479,631 | 959,263 | 953,992 | ||||||||||||
(Increase) decrease in swap collateral | 19,548,000 | (36,260,000 | ) | 25,578,000 | (40,141,000 | ) | ||||||||||
(Increase) decrease in interest receivable | 779,365 | (538,499 | ) | 1,539,591 | (1,489,837 | ) | ||||||||||
(Increase) decrease in due from broker | 1,232,000 | (1,786,000 | ) | — | (1,508,000 | ) | ||||||||||
Increase (decrease) in interest on loan payable | (71,365 | ) | (10,157 | ) | (107,897 | ) | 1,45,055 | |||||||||
Decrease in administration fees payable | (131,739 | ) | (96,891 | ) | (140,119 | ) | (64,985 | ) | ||||||||
Decrease in professional fees payable | (110,411 | ) | (41,197 | ) | (67,976 | ) | (66,724 | ) | ||||||||
Decrease in due to broker | — | — | (1,468,000 | ) | — | |||||||||||
Increase in payable for investments purchased | — | 16,823,934 | — | 31,601,209 | ||||||||||||
Increase in accrued expenses and other liabilities | 6,527 | 8,660 | 5,177 | 15,481 | ||||||||||||
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Net cash provided by (used in) operating activities | 179,176,614 | (277,974,497 | ) | 169,068,141 | (503,027,739 | ) | ||||||||||
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Cash flows from financing activities: | ||||||||||||||||
Borrowings from loan | — | 200,000,000 | — | 395,000,000 | ||||||||||||
Contributions | — | 229,898,549 | — | 229,898,549 | ||||||||||||
Distributions | (46,904,966 | ) | (47,728,212 | ) | (48,450,223 | ) | (85,134,112 | ) | ||||||||
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Net cash provided by (used in) financing activities | (46,904,966 | ) | 382,170,337 | (48,450,223 | ) | 539,764,437 | ||||||||||
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Net change in cash and cash equivalents | 132,271,648 | 104,195,840 | 120,617,918 | 36,736,698 | ||||||||||||
Cash and cash equivalents: | ||||||||||||||||
Beginning of period | 133,409,036 | 156,513,761 | 145,062,766 | 223,972,903 | ||||||||||||
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End of period | $ | 265,680,684 | $ | 260,709,601 | $ | 265,680,684 | $ | 260,709,601 | ||||||||
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Supplemental disclosure of cash flow information: | ||||||||||||||||
Cash paid during the period for interest | $ | 6,642,774 | $ | 5,936,117 | $ | 13,201,413 | $ | 11,447,258 | ||||||||
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4