New Mexico Private Equity Investment Program

Q2 2016 Review

October, 2016

2

• Program is in compliance with the statute

– $266.5 million in net deployed capital versus a statutory cap of $408.02 million

– Individual company ownership concentration levels are below statutory caps

• Program’s net deployed capital represents 5.9% of the Severance Tax Permanent Fund (“STPF”), on schedule to achieve the SIC-approved long term target allocation of 5.0%

• Program financial performance continues to be adversely impacted by investments made before 2004

NMPEIP Q2 2016 Update Summary

UPDATEInternal Rate of Return

Fund Group 1 yr 3 yr 5 yr Inception

NMPEIP Aggregate 4.7% 7.9% 7.0% 0.0%

2004 to Present 6.5% 10.4% 8.2% 4.6%

Prior to 2004 -14.3% -8.2% 1.1% -6.3%

3

NMPEIP Financial Performance Improvement1993-2003 vs. 2004-Present

Metric 1993-2003 2004-Present Difference

Internal Rate of Return -18.2% 4.6% +22.8%

Since Inception Returns $-56.5M $65.6M $122.1M

Distributions to the SIC $5.0M $142.0M $137.0M

Non-Program Investment Into NM-based Companies

$0.5B $1.5B +180%

Source: Invient

Program focused on economicdevelopment

Program focused on financial returnsAdvisor - Sun Mountain Capital

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Since 2004, NMPEIP Vintages Tracking National Benchmark Returns

• Since 2004, performance has tracked a national venture capital benchmark

– 63% of vintages are above median

• From 1993-2003, only 14% of vintages are above median

2004-Present Vintage1st quartile: 38%2nd quartile: 25%3rd quartile: 25%4th quartile: 12%

1993-2003 Vintage1st quartile: 0%2nd quartile: 14%3rd quartile: 29%4th quartile: 57%

NMPEIP v. National Benchmark

NMPEIP Preqin

Vintage Net IRR Quartile

1993 44.8% Second

1994 N/A --

1995 N/A --

1996 (0.9%) Fourth

1997 N/A --

1998 (20.6%) Fourth

1999 N/A --

2000 (11.9%) Fourth

2001 2.3% Third

2002 (2.5%) Third

2003 (21.1%) Fourth

2004 (4.0%) Fourth

2005 (2.4%) Third

2006 10.7% Second

2007 3.0% Third

2008 10.5% Second

2009 N/A --

2010 N/A --

2011 N/A --

2012 N/A --

2013* 1.44x First

2014* 1.48x First

2015* 2.50x First

2016** N/A --

*IRR considered not meaningful due to short time horizon so quartile is

based on multiple of invested capital

Source: Invient reporting (as of 06/30/2016) and Preqin Database

custom benchmarking (as of 06/30/2016)

Note: No fund commitments were made in years labeled "N/A"

Note: Fund Performance Benchmark composed of venture capital funds

based in North America and smaller than $300 million in size

Benchmark reviewed and approved by LP Capital Advisors and State

Investment Office staff

** There are not a significant number of 2016 Funds to create a benchmark

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Summary of Program Economic Impact in Q2 2016

NMPEIP Impact Summary as of 6/30/16

Total Investment in New Mexico Portfolio Companies

A) Investment by Funds with NMPEIP Participation $324,139,372

B) External Investment Caused by Funds with NMPEIP Participation $1,995,622,691

Total VC Investment in NM Companies $2,319,762,063

Investment Multiplier (B / A) 6.2x

Categorization of NM Portfolio Companies

Active Companies 35 47.9%

Companies Exited at a Gain 14 19.2%

Companies Exited at a Loss 24 32.9%

Number of Companies funded 73 100.0%

NM Economic Impact Q2 2016

NM Purchases $26,095,051

NM Payroll $27,667,520

NM Economic Impact $53,762,571

Total Current Full-Time Jobs 1,494

Average Salary of Jobs Created $74,076

Average Salary in New Mexico1$43,170

Source: Survey of participating NMPEIP fund managers and NM companies for active companies and most recent verified data for exited companies1 Source: New Mexico wage and salary disbursements and total wage and salary employees from the U.S. Dept. of Commerce,

Bureau of Economic Analysis

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73 New Mexico Companies

New Mexico Companies as of 6/30/16

Advent Solar Eclipse Aviation MIOX Skorpios Technologies

Agilvax Elisar Software Nanocrystal Southwest Med Tech

Altaview Technologies Enerpulse NanoMR Sundrop

Altela Entrada Noribachi Surfect Technologies

American Clay Exagen Diagnostics Nuvita TCI Medical

Amtech Figaro OnQueue Technologies Teucrium Trading

Aspen Avionics Growstone Patchwork Systems Tred

Avasca Holochip Phase-I TriLumina

Avisa Pharma Infantelligence POSLavu TruTouch Technologies

Azano InnovASIC Protalex VeraLight

Bioreason Intellicyt ProtoHIT Vertical Power

Boomtime Introbotics Puente Partners Vibrant

BounceChat Iosil Energy Quasar WellKeeper

Comet Solutions JackRabbit Systems Respira Therapeutics xF Technologies

Consolidated Energy Kinetisis RiskSense Zia Laser

Controlled Recovery Lumidigm SBA Materials ZTEC Instruments

Desert Power Mesofuel Seamless Medical

Dining Gift Services Metaphor Seattle Fish Company

Earthstone MicroOptical Devices Seclarity

Status Key

Active (35) Exited at a Gain (14) Exited at a Loss (24)

Note: NMPEIP participants and the SIC directly have invested in 71 New Mexico-based companies,

with 2 additional companies funded by SIC National Program participants

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Capital Invested by Sector: Active NMPEIP Program Sector Concentration

8

Summary of Key Points

• Program is currently tracking to the pacing plan approved by the SIC

• We are evaluating potential new commitments for the Program

– Currently 4 funds are in advanced stages of due diligence for potential commitment from the NMPEIP

• Program financial returns are improving steadily from the 1993-2003 era

– Since 2004, NMPEIP investments have performed in line with national VC benchmarks and have produced a positive financial return for the NMSIC

• Program is having a positive impact on the New Mexico economy

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New Mexico Private Equity Investment Program Overview

• The New Mexico Private Equity Investment Program (“NMPEIP” or “Program”) was established in 1993 to make investments into venture capital funds which in turn invest into companies based in New Mexico

• From 1993-2003, the Program was managed as a differential rate (below market rate) program

• Since 2004, the Program has been managed with financial returns as the primary focus

– Fiduciary-based approach with economic development benefits as a secondary consideration

– “Prudent Investor” investment standard vs. differential rate investments

• Financial returns have improved since 2004

• With Sun Mountain as the Program Advisor no third party marketers or placement agents have been used and no placement fees have been paid

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NMPEIP Status Overview and Summary of Partnership CommitmentsAll Fund Commitment Summary Commitment Funded Percent NM Investment Value ($)

2Return

2Fund

as of 6/30/16 Vintage Dollars To Date Funded Invest 1 Realized Unrealized3

Total Multiple IRR Liquidated

ARCH Venture Fund II, L.P. 1993 $1.2 $1.2 100.0% $67.1 $4.3 $0.0 $4.3 3.53x 44.8% Yes

ARCH Venture Fund III, L.P. 1996 $4.0 $4.0 100.0% $0.0 $3.7 $0.0 $3.8 0.94x -0.9% In Process

CVM Equity Fund V 1998 $3.0 $3.0 100.0% $1.1 $1.7 $0.0 $1.7 0.58x -6.1% Yes

Murphree Venture Partners IV, L.P. 1998 $4.0 $4.0 100.0% $4.9 $0.1 $0.0 $0.1 0.02x -71.8% Yes

Tullis/Dickerson Capital Focus II, L.P.4

1998 $5.0 $5.0 100.0% $10.1 $2.5 $1.5 $4.0 0.81x -1.7% Yes

Valley Ventures II, L.P. 1998 $3.0 $3.0 100.0% $18.4 $2.6 $0.0 $2.6 0.87x -1.6% Yes

Vestor Partners, L.P. 1998 $2.5 $2.4 94.0% $0.0 $0.6 $0.0 $0.6 0.27x -16.4% Yes

International Venture Fund I, L.P. 2000 $5.0 $5.0 100.0% $9.6 $0.9 $0.1 $1.0 0.19x -12.3% Yes

Murphree Venture Partners V, L.P. 2000 $3.0 $3.0 100.0% $2.2 $1.0 $0.2 $1.2 0.41x -10.8% In Process

Red River Ventures, L.P. 2000 $7.2 $7.2 100.0% $12.8 $3.9 $0.3 $4.1 0.58x -12.0%

Tullis/Dickerson Capital Focus III, L.P.4

2001 $15.0 $15.0 100.0% $23.7 $13.9 $5.3 $19.2 1.28x 5.2%

Wasatch Venture Fund III, LLC 2001 $8.7 $8.6 99.0% $41.6 $4.6 $2.6 $7.2 0.84x -2.6%

Altira Technology Fund IV, L.P. 2002 $10.0 $10.0 100.0% $14.3 $14.1 $0.0 $14.2 1.42x 6.1%

Blue Sage Capital, L.P. 2002 $10.0 $7.7 76.9% $10.0 $25.7 $3.2 $28.9 3.75x 21.8%

ITU Ventures West I, L.P. 2002 $15.0 $15.0 100.0% $15.3 $6.0 $0.0 $6.0 0.41x -15.5% Yes

Valley Ventures III, L.P. 2002 $6.7 $6.5 98.0% $14.9 $1.5 $0.4 $1.9 0.30x -14.7%

New Mexico Co-Investment Partners, L.P.5 2003 $62.0 $62.0 100.0% $163.7 $13.3 $0.0 $13.3 0.21x -23.4% Yes

vSpring II, L.P.4

2003 $20.0 $20.0 100.0% $91.9 $0.0 $4.3 $4.3 0.22x -14.0%

Flywheel I, L.P. 2004 $15.0 $15.0 100.0% $52.8 $9.7 $6.2 $15.8 1.06x 0.8%

Verge I, L.P. 2004 $10.0 $10.0 100.0% $50.6 $3.9 $5.5 $9.4 0.94x -1.0%

Wasatch New Mexico Fund, LLC 2004 $12.0 $12.0 100.0% $47.0 $1.4 $2.8 $4.2 0.35x -12.3%

ITU Ventures III NM, L.P. 2005 $2.3 $2.3 100.0% $0.0 $0.1 $0.0 $0.1 0.04x -73.6% Yes

Psilos Group Partners IIIB, L.P. 2005 $15.0 $15.0 100.0% $28.8 $8.0 $12.1 $20.1 1.34x 5.4%

Village Ventures Fund II-B, L.P. 2006 $15.0 $17.2 114.6% $3.2 $13.4 $16.8 $30.2 1.76x 10.7%

NMSIC Co-Investment Fund, L.P. (Classic) 2007 $30.0 $29.8 99.3% $364.2 $7.1 $19.8 $27.0 0.91x -2.2%

NMSIC Co-Investment Fund, L.P. (Focused) 2007 $62.5 $62.5 100.0% $850.2 $1.9 $93.8 $95.7 1.52x 6.6%

vSpring III, L.P.4 2007 $15.0 $15.0 100.0% $13.2 $0.5 $13.2 $13.7 0.91x -1.4%

EPIC Venture Fund IV, LLC 2008 $10.0 $8.7 86.7% $10.0 $0.0 $15.0 $15.1 1.70x 10.5%

NMSIC Co-Investment Fund, L.P. (2013) 2013 $20.0 $17.0 85.1% $53.8 $0.2 $24.7 $24.9 1.44x 18.1%

NMSIC Co-Investment Fund, L.P. (2014) 2014 $40.0 $24.3 60.7% $45.6 $0.2 $36.4 $36.6 1.48x 57.5%

EPIC Venture Fund V, LLC 2014 $10.0 $0.0 0.0% $0.0 $0.0 $0.0 $0.0 N/M N/M

Psilos Group Partners III Subsidiary, L.P. 2015 $2.0 $1.2 60.0% $0.0 $0.0 $3.0 $3.0 2.50x 872.9%

Phoenix Venture Partners II, L.P. 2016 $10.0 $0.9 9.4% $0.0 $0.0 $0.8 $0.8 0.86x -79.9%

Program Totals $454.1 $413.5 91.1% $2,021.2 $147.0 $268.1 $414.3 1.00x 0.0% 10 of 30

Source: Invient reporting

Notes:

1) Includes both direct fund investments and caused to invest dollars into New Mexico companies. Sourced from Invient reporting, GP reporting and Sun Mountain Capital analysis

Variance from total external dollars in New Mexico companies due to exclusion of previously raised capital and accounting for overlapping caused to invest dollar allocations

2) Investment Values and Return calculations based upon asset values from 6/30/16

3) Fair Market Value as determined by Fund GPs under ASC 820 as of the report date

4) Firm managing the fund has changed name: Tullis/Dickerson is now called Tullis Health Investors, vSpring is now called Signal Peak Capital

5) New Mexico Co-Investment Partners, L.P. data includes one SIC direct investment for reporting purposes

6) EPIC Venture Fund V, LLC not included in performance calculations as the fund has not yet begun actively reporting to Invient

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Unaudited Performance Data as of 6/30/16

Number of Fund Commitments 30

Capital Committed (Total) $454.1

Capital Committed (Net of Dist.'s Received) $307.1

Capital Drawn $413.5

% of Capital Committed (Total) 91.1%

Distributions Received $147.0

% of Capital Drawn 35.6%

Outstanding Deployed Capital $266.5

Outstanding Deployed Capital as % of STPF 5.9%

Portfolio Carrying Value $268.1

Total Portfolio Value $415.1

% of Capital Drawn 100.4%

Portfolio Multiple of Invested Capital 1.00x

Portfolio IRR 0.0%

Note: Returns calculated using reported Carrying Values as of 6/30/16

and data provided by Invient

Severance Tax Permanent Fund ('STPF') currently $4,533.6 millionas of 6/30/16

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NMPEIP Carrying Value Quarter Over Quarter

NM PEIP Changes in Q1 2016 Reported Value

Early VC Later VC Buyout Total

Reported Valuation as of Q4 2015 $146.4 $110.6 $3.5 $260.5

Contributions to General Partners $7.4 $0.2 $0.0 $7.7

Distributions from General Partners ($0.2) $0.0 $0.0 ($0.2)

Change in Value $2.3 ($4.8) ($0.0) ($2.5)

Reported Valuation as of Q1 2016 $155.9 $106.0 $3.5 $265.4

Source: Invient reporting

NM PEIP Changes in Q2 2016 Reported Value

Early VC Later VC Buyout Total

Reported Valuation as of Q1 2016 $155.9 $106.0 $3.5 $265.4

Contributions to General Partners $5.2 $0.0 $0.0 $5.2

Distributions from General Partners $0.9 $0.0 $0.0 $0.9

Change in Value ($3.3) ($0.1) ($0.0) ($3.5)

Reported Valuation as of Q2 2016 $158.8 $105.9 $3.5 $268.1

Source: Invient reporting

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Disclaimer

The preceding presentation relies on information provided by third parties, including the New Mexico State Investment Council(“NMSIC”), NMSIC’s General Partners and/or Invient, NMSIC’s data provider. The analysis included herein is dependent on suchinformation being complete and accurate in all material respects. Additionally, analysis may utilize or involve forward-lookinginformation that is derived in part from longer-term historical data provided by third-party sources.

In addition, projected results, if any, are based on a number of assumptions, including returns, fund size, economic terms,targeted investment allocation and other factors. Due to various risks and uncertainties, the projections in this presentation maydiffer materially from actual results or change significantly if any one or more of the assumptions are changed. As such, unduereliance should not be placed on such information.

Economic development data including employment, payroll and dollars spent in the State of New Mexico is collected quarterlyfor both active companies in the NMPEIP as well as those in which portfolio funds no longer have an active interest. For activecompanies, Sun Mountain Capital Advisors conducts quarterly surveys of fund managers to collect economic development data.For companies no longer obligated to report to NMPEIP fund managers, data is based on the most recent and materially reliableof 1) last reported data, 2) direct outreach to companies to collect data or 3) independently verified data provided by third partyentities. Annually, Sun Mountain Capital Advisors reviews fund manager data submissions by directly contacting a sampling ofunderlying portfolio companies to verify accuracy of data.

Nothing herein is intended to serve as investment advice, a recommendation of any particular investment or type of investment,a suggestion of merits of purchasing or selling securities, or an invitation or inducement to engage in investment activity.

This report is solely for the use of NMSIC. No part of it may be circulated, quoted, or reproduced without prior approval fromSun Mountain Capital Advisors or the New Mexico State Investment Council.