private equity program performance report · benefit plan (the “plan”) private equity program...

Los Angeles Department of Water and Power Employees’ Retirement Plan

Private Equity Program Performance Report

December 31, 2009

Prepared by: Pension Consulting Alliance, Inc.

Presented:

July 14, 2010

2

Table of Contents Page

Program Overview 3 Private Market Overview 4 Evolution and Current Status of the Private Equity Program 8 Investment Performance 9 Portfolio Structure 11 Partnership Summaries 14 Summary 16

Appendix Tab A

Retirement Plan Tracking Schedule A-1 Fisher Lynch Venture Partnership II, LP (FL II) A-2 HRJ Special Opportunities II (U.S.), LP (SOF II) A-3

Landmark Equity Partners XIII, LP (LEP XIII) A-4 Landmark Equity Partners XIV, LP (LEP XIV) A-5 Lexington Capital Partners VI, LP (LCP VI) A-6 Lexington Capital Partners VII, LP (LCP VII) A-7 Oaktree Principal Fund V, LP (OPF V) A-8

Tab B

Health Benefits Fund Overview B-1 Health Benefits Fund Tracking Schedule B-2

3

Program Overview

The Los Angeles Department of Water and Power Employees’ Retirement, Disability and Death Benefit Plan (the “Plan”) Private Equity Program (the “Program") consists of both fund-of-funds and one direct partnership investment as of December 31, 2009. The Program is relatively young as the initial commitments to two secondary market fund-of-funds were made in 2006 and only 44.3% of commitments have been drawn down. As private equity partnerships are long-term investments that are invested over several years, the Program is expected to continue to grow and evolve over time. Summary As of 12/31/09, the Program had $176.0 million in commitments across seven partnerships. Program commitments have been allocated 68% to secondary market fund-of-funds, 23% to primary market fund-of-funds, and 9% to a direct partnership investment. As of the end of the fourth quarter of 2009, $78.0 million in capital had been drawn down, $12.6 million in distributions had been made, and the Program had a reported value of $65.0 million. The net since inception internal rate of return (IRR) was minus (0.5%) as of December 31, 2009, continuing to improve from the minus (17.0%) IRR as of 12/31/08.

Portfolio Summary (as of 12/31/09) Partnership Type Vintage

Year Age Committed Capital

Invested Capital

Distributed Capital

Reported Value

Since Inception Net IRR

Peer Median

IRR1

Lexington VI

Secondary Fund-of-Funds 2006 3.5 yrs. $30 M $24.2 M $5.3 M $18.3 M (1.5%) (3.8%) Landmark XIII Secondary Fund-of-Funds 2006 3.1 yrs. $30 M $25.6 M $7.1 M $18.8 M 0.8% (3.8%) HRJ SOF II Primary Fund-of-Funds 2008 1.8 yrs. $20 M $18.0 M $0.0 M $17.8 M (1.2%) (3.8%) FL VC II Primary Fund-of-Funds 2008 1.7 yrs. $20 M $4.2 M $0.0 M $3.7 M (18.5%) (23.8%) Landmark XIV Secondary Fund-of-Funds 2008 1.3 yrs. $30 M $3.3 M $0.0 M $3.7 M 11.5% (10.6%) Oaktree PF V Direct Partnership 2009 0.8 yrs. $16 M $2.4 M $0.1 M $2.6 M NM* NM Lexington VII Secondary Fund-of-Funds 2009 0.1 yrs $30 M $0.3 M $0.0 M $0.0 M NM* NM Total Program --- --- --- $176 M $78.0 M $12.6 M $65.0 M (0.5%)* ---

* Investment activity is too early for meaningful results

The use of fund-of-funds has resulted in a highly diversified portfolio with exposure to more than 300 underlying private equity partnerships which have invested capital with in excess of 4,000 portfolio companies. Overall the Program is diversified across investment strategies, including buyouts (49%), special situations (32%), and venture capital (19%). Given the use of secondary market fund-of-funds, vintage year diversification has been increased with exposures to underlying partnerships dating back to 1990. Approximately $78.0 million (44.3% of the Program’s committed capital) has been invested as of December 31, 2009. The Program’s reported value plus unfunded commitments ($98.0 million) represents an approximate allocation of 2.5% of the total Plan assets as of the end of the fourth quarter 2009. Given the unique cash flows of private equity partnerships, continued investment activity is required for the Plan to achieve its 5% target for private equity exposure over the long-term. However, attractive partnership selection should be emphasized rather than allocating capital to achieve target allocations. Therefore PCA continues to recommend remaining highly selective in this uncertain marketplace.

1 Source: Thomson Reuters, by comparable universe (All Private Equity, Buyout, or Venture) and vintage year.

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Private Equity Market Overview

Private equity fund raising remained slow through 2009, finishing the calendar year well below recent highs. Due in large part to the “denominator effect” (i.e., as the total value for a plan’s assets decreases in parallel with public market holdings the private equity valuation changes lag the public markets with the result that the private equity portfolio becomes a larger percentage of the shrinking portfolio) early in the year and continued investor uncertainty, commitment activity has decreased significantly. Commitment activity year-to-date in 2010 also remains low. During 2009, buyout funds raised $53.7 billion in commitments, well below the $195.5 billion raised during the 2008 calendar year. Venture capital commitments exhibited a 55% decline, raising $13.0 billion in 2009 compared to the $28.7 billion raised during the twelve months of 2008. Mezzanine also exhibited a decline from the prior year raising only $3.3 billion in commitments compared to $43.1 billion (driven by one very large fund) in 2008. Secondary and “other” funds exhibited the only year-over-year increase raising $17.5 billion in 2009 compared to $9.6 billion through year-end of 2008. Year-to-date, only $15.9 billion in commitments have been raised led by buyouts at $9.2 billion.

The volume of U.S. buyout deals exhibited an increase of activity in the fourth quarter of 2009 after a very slow first nine months of the year, resulting in $39 billion in transaction value. This is well below the $137 billion in buyout activity in 2008 and significantly below the $475 billion in transaction value during 2007. Despite the onset of the credit crunch in the summer of 2007, a material slow down in buyout activity did not materialize until the first quarter of 2008 with even fewer transactions in subsequent quarters. The fourth quarter of 2008 was the first three-month period with less than $10 billion in disclosed deal volume since the second quarter of 2002 with activity continuing to decline and remain below $10 billion during the first three quarters of 2009. The first quarter of 2010, at $12 billion, was below that of the fourth quarter of 2009 but on pace to exceed last year’s activity.

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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Q1 10

Bill

ions

Commitments to U.S. Private Equity Partnerships

Buyouts Venture Mezzanine Secondary and Other Fund-of-funds

Source: Private Equity Analyst through March 2010

5

Purchase price multiples (as represented by total enterprise value divided by earnings before interest, taxes, depreciation and amortization) have increased from their 2009 dip. The 8.6x purchase price multiple is currently above the ten-year average for the industry (7.7x). The short-term decline in purchase price multiples was attributed to valuations under pressure and the lack of available capital. The purchase price multiple increase in the first quarter of 2010 is believed to be an indication of the increased access to debt capital. Portfolio companies acquired in the 2001 to 2004 time frame were purchased in an environment where the industry purchase price multiple was below the current average (i.e. a lower valuation environment). Conversely, the 2005 to 2008 time frame suggests a higher valuation environment for investment transactions. The influence of industry valuations at purchase is not absolute, but is commonly a material component of performance.

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Billi

ons

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Disclosed U.S. Quarterly LBO Deal Volume*

* total deal size (both equity and debtSource: Thomson Reuters Buyouts

7.6x 7.8x7.1x 6.7x

6.0x6.6x

7.1x 7.3x8.4x 8.4x

9.7x9.1x

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Purchase Price Multiples

Source: S&P LCD

6

The average debt multiple has also increased from a dip in 2009, resulting in a slight decrease in the average equity component of a transaction to 43% in Q1 2010 from 46% in 2009. (The average equity contribution was only 30% in 2005.)

Venture capital investment activity has also declined from prior highs. Approximately $28.0 billion was invested across more than 3,900 companies during 2008. In comparison, approximately 4,000 companies attracted $30.5 billion of venture capital investment in 2007. Activity declines continued in 2009 with only $17.9 billion invested across 2,800 companies. Investment activity in the third and fourth quarters of 2009 outpaced the first two quarters of the year, but the first quarter of 2010 declined slightly with $4.7 billion invested across 681 companies.

5.0x 4.9x4.3x 4.1x

3.5x3.9x 4.1x

4.6x5.0x 5.1x

6.0x

4.8x

3.7x4.4x

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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Q1 10

Deb

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AAverage Debt Multiples

Source: S&P LCD

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Quarterly U.S. Venture Capital Deal Volume*

Source: Thomson Reuters* only includes equity portion of deal value

7

According to the Thomson Reuters’ U.S. Private Equity Performance Index as of 12/31/09, private equity results continued to improve with an attractive one-year return of 12.3%. The latest three-year return remained only slightly positive with a 0.8% return. The five-year and ten-year results are disappointing on an absolute return basis, but the 20-year performance is more in-line with long-term expectations.

Source: Thompson Reuters

On an opportunity cost basis, private market returns have outperformed versus the public markets over the long-term. Over all periods evaluated except the most recent year, the aggregate private equity return outperformed the public domestic equity markets (as represented by the Russell 3000) and the international equity markets (as represented by the MSCI EAFE). Over the latest year, private equity underperformed the public market indices as markets rebounded dramatically. In aggregate, private market results have performed as expected, providing excess performance over the long-term in addition to providing diversification benefits despite the more recent absolute declines.

Source: Investment Technologies, Thomson Reuters

Thomson Reuters' U.S. Private Equity Performance Indexas of December 31, 2009

Fund Type 1 Yr 3 Yr 5 Yr 10 Yr 20 YrEarly Stage VC 0.6% -1.1% 0.9% -0.2% 24.1%Balanced VC 7.9% 0.9% 6.8% 2.3% 15.0%Later Stage VC 9.3% 5.6% 7.6% 1.7% 15.0%All Venture 4.6% 0.9% 4.3% 1.1% 17.7%Small Buyouts 4.3% 0.1% 4.2% 3.4% 11.5%Med. Buyouts 4.2% 3.6% 8.7% 4.1% 10.8%Large Buyouts 11.4% 2.7% 6.7% 4.9% 10.5%Mega Buyouts 11.2% -1.0% 4.8% 4.7% 7.8%All Buyouts 11.0% -0.3% 5.3% 4.6% 8.9%Mezzanine -4.8% 0.7% 2.8% 2.9% 6.8%Buyouts and Other 14.1% 0.8% 5.9% 5.2% 8.8%All Private Equity 12.3% 0.8% 5.5% 4.0% 11.2%

Public Market Performance Comparision, as of December 31, 2009Fund Type 1 Yr 3 Yr 5 Yr 10 Yr 20 Yr

All Private Equity 12.3% 0.8% 5.5% 4.0% 11.2%Russell 3000 28.3% -5.4% 0.8% -0.2% 8.4%Russell 2000 27.2% -6.1% 0.5% 3.5% 8.3%MSCI EAFE 32.5% -5.6% 4.0% 1.6% 4.4%BC Aggregate 5.9% 6.0% 5.0% 6.3% 8.3%

8

Evolution and Current Status of the Private Equity Program Program Evolution After adopting the Private Equity Investment Policy in December of 2005, the Plan focused on selecting appropriate investments for inclusion in the portfolio. As discussed in the investment policy, private equity investments are expected to achieve attractive risk-adjusted returns and, by definition, possess a higher degree of risk with a higher return potential than traditional investments. Fund-of-fund vehicles, investing in both the primary market and secondary market, shall be emphasized to create a diversified private equity portfolio. Program construction emphasizes the use of fund-of-funds to create a diversified private equity portfolio. Initial commitments to the Program focused on secondary market fund-of-funds, given their unique characteristics. Secondary market fund-of-funds purchase established private equity interests from existing limited partners providing several attractive benefits to investors making their initial commitments to the asset class. Benefits include: i) capital is rapidly deployed to a diversified portfolio of assets (including across prior vintage years); ii) positions are commonly purchased at a discount to net asset value; iii) risks associated with “blind pools” (a risk that is typically present in primary fund-of-funds as commitments have yet to be made to specific partnerships) is reduced as capital has already been invested; and iv) return of capital to investors is significantly accelerated as investments are made in mature holdings that are closer to achieving liquidity. Additional commitments have been made to primary market fund-of-funds targeting “special situations” (i.e. distressed strategies) and venture capital. The Program’s first commitment to a direct partnership investment (Oaktree Principal Fund V) began investing capital during the first quarter of 2009.

Current Status As of 12/31/09, the Program had committed $176.0 million across two primary market fund-of-funds, four secondary market fund-of-funds, and one direct partnership. The Fund’s secondary fund-of-funds, which began investing in 2006, have drawn down $53.4 million in capital, distributed $12.5 million back to the Program, and had a reported value of $40.9 million. The near-term distributions back to the Program are representative of secondary market fund-of-funds that invest in mature private equity partnerships that are near the liquidity phase of their partnership life cycle. The Fund’s primary fund-of-funds began drawing capital in 2008 and have called $22.2 million in capital and had a reported value of $21.5 million. The direct partnership made its initial capital call during the first quarter of 2009, drawing down $2.4 million and had a reported value of $2.6 million as of December 31, 2009 after returning $0.1 million of capital to date.

Fund Portfolio Summary as of December 31, 2009

Secondary Fund-of-Funds

Primary Fund-of-Funds

Direct Partnerships Total Portfolio

# of Partnerships 4 2 1 7 Capital Committed $120.0 M $40.0 M $16.0 M $176.0 M Capital Contributed $53.4 M $22.2 M $2.4 M $78.0 M Unfunded Commitment $66.6 M $17.8 M $13.6 M $98.0 M Capital Distributed $12.5 M $0.0 M $0.1 M $12.6 M Reported Value $40.9 M $21.5 M $2.6 M $65.0 M

9

Investment Performance

This section examines the Program’s performance results from a variety of viewpoints, including: since inception internal rates of return, horizon IRR, contributions vs. reported values plus distributions, and current payback. Performance: Since Inception IRR As of 12/31/09, the Program’s since inception net IRR was minus (0.5%) representing an improvement from the minus (17.0%) net IRR reported as of year-end 2008. Initially committing to secondary market fund-of-funds that invest in mature holdings that can return capital relatively rapidly initially minimized the “j-curve”, but the funding of the primary market fund-of-funds in 2008 combined with valuation declines at year-end 2008 has resulted in negative since inception performance results. Due to the immaturity of the Program results are less meaningful at this time and it is not unexpected for a newer program to be in negative territory.

The chart above represents the total Program’s net IRR at multiple points in time since the Program’s inception (June of 2006). The Program’s absolute return performance objective over the long-term is a 15% net of fees internal rate of return, since inception. As highlighted above, performance results have continued to improve through the 2009 calendar year. Performance: Horizon IRR To compare performance across shorter time periods relative to policy benchmarks, PCA calculated customized “cash flow adjusted” benchmark returns. The actual cash flows (contributions and distributions) of WPERP’s private equity portfolio are assumed to be invested in the policy benchmarks to arrive at a comparative performance measurement. As highlighted in the table below, the WPERP portfolio has underperformed the public market proxy (Russell 3000 Index plus 300 basis points) over all periods evaluated, driven by the strong rebound in the public markets in 2009. The Portfolio outperformed the Cambridge Custom Benchmark (the Cambridge Associates PE/VC Blended Index at an 85%/15% mix) over the latest one-year period while underperforming all other periods evaluated on a cash flow adjusted basis.

Cash Flow Adjusted Benchmark Comparison: periods ending 12/31/09 One-Year Two-Year Three-Year Since Inception* WPERP Portfolio 18.0% (4.8%) (0.7%) (0.5%) Russell 3000 Index + 300 bp 35.6% (0.1%) 1.1% 1.8% Cambridge Custom Benchmark** 12.8% (4.2%) (0.6%) 0.4% *initial capital call made in June of 2006 **The Cambridge Custom Benchmark began in Q4 2006 with the Russell 3000 + 300 bps benchmark utilized for Q3 2006.

8.6%

21.4%

-17.0% -16.0%-8.2%

-5.1%-0.5%

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as of 12/31/06

as of 12/31/07

as of 12/31/08

as of 3/31/09

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as of 12/31/09

Private Equity Program Performance

Net Since Inception IRR

Long-Term Target Range

10

Contributions vs. Reported Value plus Distributions Another way to view a program’s progress is to examine the contributions, distributions, and reported value of a portfolio. Given the nature of private market investing, it is not uncommon for contributions to exceed distributions and reported value as investments are initially held at cost and management fees are assessed early in the partnership. The Program’s initial commitments had provided an attractive start as distributions combined with reported value of investments exceeded contributions through the calendar year 2007. However, funding of the primary market fund-of-funds and valuation declines at year-end 2008 resulted in an investment multiple below 1.0x. As of 12/31/09, the Program had an investment multiple of 1.0x. The following chart portrays the historical trend of these since-inception components.

Current Payback An additional metric that PCA examines as a measure of private market progress is the payback. This measure highlights the amount of distributions made to the limited partners as a function of contributions.

This measure is relatively high (at 16.2%) given the portfolio’s immaturity, but this is representative of secondary market fund-of-funds that return distributions back to investors more rapidly than traditional private equity partnerships. However, new commitments that are expected to have longer paybacks will decrease the payback as capital is drawn down, as is reflected in the decline in payback from 12/31/07. The decline of exit activity across the private equity industry in 2009 slowed the expected distributions from the Program’s secondary market fund-of-funds, reducing the payback measure.

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Total Portfolio Payback

Return of Contributed Capital (100% payback)

11

Performance Summary The Program’s initial commitments to secondary market fund-of-funds performed well and had avoided the “j-curve.” However, the funding of the primary market fund-of-funds in 2008 combined with valuation declines at year-end 2008 resulted in negative since inception performance results. Performance has improved over the twelve months of 2009, but the net since inception IRR is still slightly negative at (0.5%). Portfolio Structure This section examines the Program’s portfolio structure and diversification from a variety of viewpoints, including: number of holdings, investment structures, sector exposures, and vintage year diversification. Holdings Diversification The Plan’s initial commitments to secondary market fund-of-funds are providing “core” exposures as they are highly diversified across partnerships and number of underlying holdings. As of 12/31/09, LEP XIII held interests in 138 partnerships and 1,081 underlying portfolio companies. LCP VI held interests in 223 partnerships representing more than 2,500 underlying portfolio companies. LEP XIV, which had called only 11% of committed capital as of quarter-end, held interests in 62 partnerships and 804 underlying portfolio companies. HRJ SOF II is diversified across nine special situation partnerships while Fisher Lynch Venture Fund II has committed to 14 venture capital partnerships to date. LCP VII, which made its initial capital call (1%) in December of 2009 has exposure to nine partnerships to date. Investment Structure Exposures As of 12/31/09, the Fund’s portfolio is invested across primary market fund-of-funds, secondary market fund-of-funds, and one direct partnership. Secondary market fund-of-funds represent the largest proportion of reported value at 63%, followed by primary market fund-of-funds at 33% while the direct partnership represents 4%.

Direct Partnerships

4%

Primary fund-of-funds

33%

Secondary fund-of-funds

63%

Investment Structure Diversification: market value

12

Including unfunded commitments as of December 31, 2009, the total exposures (market value plus unfunded commitments) changed slightly. Secondary market fund-of-funds exposure increased to 66% the direct exposure increases to 10% while primary market fund-of-funds decreased to 24% of the total exposure.

Segment Exposures Based on reported value, the Plan’s portfolio is diversified across buyout (49%), special situations (32%), and venture capital (19%).

These exposures are an aggregation of the underlying partnerships within the secondary market fund-of-funds as defined by each of the firms, while HRJ SOF II and Oaktree Principal Fund V are entirely categorized as special situations (i.e., distressed) and Fisher Lynch Venture Fund II as venture capital. Sector diversification is expected to be maintained as the Plan’s current partnerships continue to invest capital and additional primary market fund-of-funds are added to the Program and begin funding. Vintage Year Diversification In addition, the Program is diversified across vintage years. The oldest partnership’s vintage year is 1990 with meaningful exposures beginning in the 2000 vintage year due to the Plan’s commitment to secondary funds. Going forward, commitments are expected to continue to be diversified across vintage years to gain exposure to investments made at varying points of an economic cycle.

Direct Partnerships

10%

Primary fund-of-funds

24%

Secondary fund-of-funds

66%

Investment Structure Diversification: total exposure

Buyout49%

Special Situations

32%

Venture19%

Sector Diversification: market value

13

However in some secondary transactions where new investment vehicles are created, a specific vintage year (i.e. 2007) is applied even though the underlying partnerships are actually diversified across a broader spectrum of vintage years. This, in addition to the fact that all but one of HRJ SOF II’s partnerships have a 2007 vintage year, primarily accounts for the significant exposures to the 2007 vintage year (which have appreciated over the last year). The Plan’s recent re-up commitments to Landmark Equity Partners and Lexington Capital Partners are expected to provide additional exposure to partnerships emphasizing the vintages in the 2003 to 2006 time period while the commitment to Oaktree Principal Fund V will provide exposure to the 2009 vintage year. As the Program matures and evolves there are expected to be variations in vintage year exposure, but the primary goal is to gain exposure across multiple years and the Program has successfully achieved this diversification to date. Portfolio Structure Summary As of December 31 2009, approximately 44% of the Plan’s committed capital had been invested and the Program has developed a diversified portfolio of underlying private equity investments. The secondary market commitments have provided the desired diversification benefits (including sector, manager, holdings, and vintage year) to date and are expected to continue to provide these diversified exposures as the remaining commitments are drawn down and invested. These positions represent attractive core holdings that should allow the Plan to opportunistically commit capital to additional segments.

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14

Partnership Summaries The Program’s underlying partnerships are at various stages of their respective investment cycles and longer-term results are expected to be impacted by varying factors. The following table and discussion is intended to provide additional insights into the progress and longer-term outlook for each of the underlying partnerships.

Partnership Status Update Partnership Sector/

Type Commitment % Invested/ Returned

Investment Multiple Progress Note

LCP VI Diversified/ Secondary fund-of-funds

$30 M 81%/22% 1.0x Significantly invested. Long-term results will be driven by the return of exit opportunities in the marketplace and the associated valuations achieved.

LEP XIII Diversified/ Secondary fund-of-funds

$30 M 85%/28% 1.0x Significantly invested. Long-term results will be driven by the return of exit opportunities in the marketplace and the associated valuations achieved.

SOF II Distressed/ Primary fund-of-funds

$20 M 90%/0% 1.0x Significantly invested. Valuations have rebounded from declines experienced in the economic downturn. Long-term returns to be driven by managers’ ability to implement their respective distressed/restructuring investment strategies.

FL II Venture/ Primary fund-of-funds

$20 M 21%/0% 0.9x Early in the investment cycle. Capital has been committed to underlying partnerships that will draw down capital over multiple years. An extended “j-curve” is expected due to the focus on venture capital partnerships that invest in less mature companies. However, capital is being deployed in an attractive (i.e. low) valuation environment.

LEP XIV Diversified/ Secondary fund-of-funds

$30 M 11%/0% 1.1x Early in the investment cycle. Transaction activity has been slow as buyer/seller pricing was out of equilibrium, but expected to increase.

OPF V Distressed/ Direct

$16 M 15%/6% 1.2x Early in the investment cycle (also finalizing capital raise). Opportunistic investment strategy given difficult market environment. Capital is expected to be deployed in a low valuation environment.

LCP VII Diversified/ Secondary fund-of-funds

$30 M 1%/0% 0.1x Initial capital call made in December of 2009, primarily for fees and expenses. Very early in the investment cycle. Transaction activity has been slow as buyer/seller pricing was out of equilibrium, but expected to increase.

15

Lexington Capital Partners VI, L.P. (LCP VI) LCP VI is a secondary market fund-of-funds that began investing capital in 2006. As of 12/31/09, LCP VI is 81% funded. LCP VI is a highly diversified portfolio of mature private equity holdings. The recent decline in exit activity, combined with prior valuation declines, are dampening performance results from previous highs. Longer-term results will be impacted by the timing of exits and the valuation at exit. Given the highly diversified nature of the portfolio, ultimate results will be significantly impacted by the overall recovery of the private equity markets. Landmark Equity Partners XIII, L.P. (LEP XIII) LEP XIII is a secondary market fund-of-funds that began investing capital in 2006. As of 12/31/09, LEP XIII is 85% funded. LEP XIII is a highly diversified portfolio of mature private equity holdings. The recent decline in exit activity, combined with prior valuation declines, are dampening performance results from previous highs. Longer-term results will be impacted by the timing of exits and the valuation at exit. Given the highly diversified nature of the portfolio, ultimate results will be significantly impacted by the overall recovery of the private equity markets. HRJ Capital Special Opportunities II (U.S.), L.P. (SOF II) SOF II is a primary market fund-of-funds focused on special situation (i.e. distressed strategies) that began investing capital in 2007. As of 12/31/09, SOF II is 90% funded. SOF II’s investment strategy is opportunistic given the current economic climate, but commitments were made prior to the economic downturn and capital was deployed in a higher valuation environment. SOF II experienced material unrealized declines in late 2008, but has rebounded through 2009. Long-term results of SOF II will be significantly impacted by the underlying partnerships ability to manage their investments through this difficult environment. The strategy and focus of the underlying investment strategies are well positioned to attractively manage the existing portfolio of assets. HRJ Capital implemented an “over-commitment” strategy in the construction of its fund-of-funds and became overextended in 2008 with commitments to general partners significantly outweighing commitments from limited partners, as the fund raising environment became very difficult. This led the partners to seek additional capital sources to resolve the situation. On July 15, 2009, HRJ Capital sold specific assets of HRJ Capital to Capital Dynamics, a private equity manager headquartered in Switzerland. Capital Dynamics has taken over the administration of SOF II. CD HRJ SO II GP L.P is the new General Partner post closing and an over-commitment status remains with SOF II. The General Partner is in negotiations to establish a debt facility in the event that capital requirements exceed capital commitments given the ongoing over-commitment status. Fisher Lynch Venture Fund II (FL II) FL II is a primary market fund-of-funds focused on the venture capital sector that began investing capital in 2008. FL II has committed capital to 14 underlying partnerships, but is only 21% drawn as of 12/31/09. FL II is early in the fund’s life cycle and is investing capital in an attractive valuation environment and is expected to benefit from an economic recovery over the longer-term. Given the nature of venture capital investments that target immature portfolio companies, particularly through a fund-of-funds environment, FL II is expected to exhibit results in the “j-curve” (i.e. negative since inception IRR) for an extended period of time.

16

Landmark Equity Partners XIV, L.P. (LEP XIV) LEP XIV is a secondary market fund-of-funds that began investing capital in 2008. As of 12/31/09, LEP XIV is 11% funded and is still raising capital. Investment activity was slow in 2009 as buyer/seller pricing was out of equilibrium. LEP XIV is early in its investment cycle and is expected to be investing capital in an attractive environment for secondary market transactions, enhancing the prospects for longer-term results. Oaktree Principal Fund V (OPF V) OPF V is a direct partnership implementing a distressed debt-for-control investment strategy. The Fund began investment activities in early 2009 and is expected to benefit from a distressed economic environment. The Fund has drawn down 15% of the $2.1 billion in aggregate commitments as of 12/31/09. Lexington Capital Partners VII, L.P. (LCP VII) LCP VII is a secondary market fund-of-funds that made its initial capital call in December of 2009 (primarily for fees and expenses). As of 12/31/09, LCP VII is only 1% funded and is still raising capital. Since LCP VII is early in its investment cycle, it is expected to be investing capital in an attractive environment for secondary market transactions, enhancing the prospects for longer-term results. Summary As of 12/31/09, seven commitments totaling $176 million had been made, resulting in $78.0 million in contributed capital, $12.6 million distributed back to the Plan, and $65.0 million in reported value. Overall, the Program has generated a net since inception IRR of minus (0.5%) as of December 31, 2009. Approximately 44% of the Program’s committed capital has been called down as of year-end 2009. The Program’s reported value ($65.0 million) plus unfunded commitments ($98.0 million) represents an approximate allocation of 2.5% of the total Plan as of 12/31/09. The Program’s emphasis on fund-of-funds, particularly secondary market fund-of-funds, has resulted in the formation of a highly diversified portfolio across investment strategy, manager, and vintage year.

Los Angeles Water Power Employees' Retirement Plan Private Equity Tracking Schedule

Date of Total Actual Total Rpt. ValueAs of: Investment Initial Age Capital Contribution Percent Remaining Distribution Reported Plus Net12/31/2009 Group Focus Investment (Years) Committed to Date Invested Contribution to Date Value Rem. Contr. Multiple IRR

InvestmentsLexington Capital Partners VI Secondary Diversified Jun-06 3.5 30,000,000 24,223,257 80.7% 5,776,743 5,347,772 18,257,967 24,034,710 1.0x -1.5%Landmark Equity Partners XIII Secondary Diversified Nov-06 3.1 30,000,000 25,614,601 85.4% 4,385,399 7,124,767 18,840,243 23,225,642 1.0x 0.8%HRJ Capital Special Opportunities II Primary Distressed Mar-08 1.8 20,000,000 17,950,000 89.8% 2,050,000 0 17,833,707 19,883,707 1.0x -1.2%Fisher Lynch Venture Fund II Primary Venture Capital May-08 1.7 20,000,000 4,220,000 21.1% 15,780,000 0 3,660,179 19,440,179 0.9x -18.5%Landmark Equity Partners XIV Secondary Diversified Sep-08 1.3 30,000,000 3,300,000 11.0% 26,700,000 0 3,735,711 30,435,711 1.1x 11.5%Oaktree Principal Fund V Direct Distressed Debt Feb-09 0.8 16,000,000 2,400,000 15.0% 13,600,000 139,397 2,626,645 16,226,645 1.2x NMLexington Capital Partners VII Secondary Diversified Dec-09 0.1 30,000,000 296,314 1.0% 29,703,686 - 32,692 29,736,378 0.1x NM

Established Portfolio* 3.3 60,000,000 49,837,858 80.7% 10,162,142 12,472,539 37,098,210 47,260,352 1.0x -0.3%Total Portfolio 1.8 176,000,000 78,004,172 44.3% 97,995,828 12,611,936 64,987,144 162,982,972 1.0x -0.5%* over three years old

Alternative Inv. subtotals:Primary Fund of Funds 40,000,000 22,170,000 55.4% 17,830,000 0 21,493,886 39,323,886 1.0xSecondary Fund of Funds 120,000,000 53,434,172 44.5% 66,565,828 12,472,539 40,866,613 107,432,441 1.0xDirects 16,000,000 2,400,000 15.0% 13,600,000 139,397 2,626,645 16,226,645 1.2x

% in Primary Fund of Funds 23% 28% 18% 0% 33% 24%% in Secondary Fund of Funds 68% 69% 68% 99% 63% 66%y% in Directs 9% 3% 14% 1% 4% 10%% in Private Equity 2.7% 1.2% 1.5% 1.0% 2.5%

Total Fund Value: $6,408,869,777 Long-Term Target 5.0% 5.0% 5.0% 5.0% 5.0%

difference in % -2.3% -3.8% -3.5% -4.0% -2.5%difference in $ (144,443,489) (242,439,317) (222,447,661) (255,456,345) (157,460,517)

A-1

Fisher Lynch Venture Partnership II, L.P.

Investment StrategyFisher Lynch Capital invests in venture capital partnerships (10 to 15 firms) focusing on making venture capital investments primarily in information technology and life sciences companies. The targeted venture funds are based, chiefly, in the U.S. The Fund targets outstanding returns by adhering to the following objectives: investing with the leading private equity venture capital firms that have demonstrated historically successful investment performances, judicious diversification of the Fund’s portfolio, and by continuing the use of a rigorous investment process.

Investment Review Portfolio Profile

Reported Value 3,660,179$ # of partnerships: 14Distributions 0$

Top 10 Portfolio Investments Vintage FocusAmount Contributed 4,220,000$ Original commitment 20,000,000$ Austin Ventures X, LP 2008 Venture CapitalRemaining to be invested 15,780,000$ Lightspeed Venture Partners VIII, LP 2008 Venture CapitalAge of fund (in years) 1.7 Redpoint Ventures III, LP 2006 Venture CapitalInternal rate of return to date -18.5% Kleiner Perkins Caufield & Byers XIII 2008 Venture CapitalTotal Value Multiple 0.9X U.S. Venture Partners X, LP 2008 Venture CapitalPercent of capital returned 0% Versant Venture Capital IV, LP 2008 Venture CapitalTime to full payback (in years) no distribs. made Accel Growth Fund, LP 2008 Venture Capital

Kleiner Perkins Caufield & Byers XII 2006 Venture CapitalFund Profile Khosla Ventures III 2009 Venture Capital

WPERP Initial Investment May-08 New Enterprise Associates 13, LP 2008 Venture CapitalTarget termination date May-20Target termination date May-20General Partner Recent Activity: Fisher Lynch GP II, LP Called $3.9 million in capital from investors in the fourth quarter of 2009Investment strategy Primary (Venture)Market Value of Partners Capital 14,979,928$ Partners Capital in Cash 1,089,442$ Total capital contributed 17,259,630$ Total capital commitment target 125,000,000$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 16.0%

Portfolio Cash Flows General Partner Compensation

Annual Mgmt. Fee:1% of aggregate commitments during the investment periodthereafter reduced at a rate of 10% per year

Distribution priority:100% to LPs until return of contributed capital plus 8% preferred return5% carried interest allocation after achieving 8% IRR10% carried interest allocation after achieving 20% IRR

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000

Contributions Fair Value Distributions

A-2

HRJ Special Opportunities II (U.S.), L.P.

Investment StrategyThe Fund contructed a portfolio of special opportunities fund managers who have the expertise to pursue unique transactions during periods of instability and distress, as well as having the expertise to pursue more traditional buyout related private equity transactions during more stable periods or periods of growth. These transactions commonly include turnaround-oriented transactions and distressed investments.



Top 10 Portfolio Investments Vintage FocusAmount Contributed 17,950,000$ Original commitment 20,000,000$ Wayzata Opportunities Fund II, LP 2007 Control/OpportunisticRemaining to be invested 2,050,000$ Avenue Special Situations Fund V, LP 2007 Non-ControlAge of fund (in years) 1.7 Wexford Partners 11, LP 2007 Control/Hard AssetsInternal rate of return to date -1.2% OCM Opportunities Fund VIIb, LP 2007 Non-ControlTotal Value Multiple 1.0X OCM Opportunities Fund VII, LP 2007 Non-ControlPercent of capital returned 0% Fortress V, LP 2007 Control/Hard AssetsTime to full payback (in years) no distribs. made Sun Capital Partners V, LP 2007 Control

H.I.G Bayside Debt & LBO Fund II 2008 ControlFund Profile Fortress Co-Investment, LP 2007 Control/Hard Assets

WPERP Initial Investment Mar-08Target termination date Dec-19Target termination date Dec-19General Partner Recent Activity: CDHRJ SO II GP, L.P. Did not call capital from limited partners in the fourth quarter of 2009Investment strategy Primary (distressed)Market Value of Partners Capital 134,175,330$ The GP is in negotiations to finalize a debt facility to cover any shortfall between capital Partners Capital in Cash 1,551,562$ sources and capital needs as an overcommitment status remains.Total capital contributed 135,197,156$ Total capital commitments 154,025,725$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 13.0%


Annual Mgmt. Fee:0.9% of aggregate commitments40% of management fees will be deferred during "over-commitment" status

Distribution priority:Initially, 100% to LPs. After return of contributions and a 10% preferred return, 100% to GP "catch-up" at 5% Thereafter, 95% to LPs and 5% to GP

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-3

Landmark Equity Partners XIII, L.P.

Investment StrategyLandmark XIII acquires interests in established private equity investments through secondary market transactions. The Partnership has assembled a diversified portfolio of private equity interests with the objectives of achieving superior returns at lower risk for this asset class and generating early cash distributions back to investors.


Reported Value 18,840,243$ # of partnerships: 138Distributions 7,124,767$

Top 10 Portfolio Investments Vintage FocusAmount Contributed 25,614,601$ Original commitment 30,000,000$ Royalty Pharma US Partners I 1997 ExpansionRemaining to be invested 4,385,399$ Landmark Acquisition Fund II, LLC 2007 DiversifiedAge of fund (in years) 3.1 Landmark Portfolio Advisors Fund I, LLC 2006 DiversifiedInternal rate of return to date 0.8% MP II Preferred Partners, LP 2008 DistressedTotal Value Multiple 1.0X VCAF LP 2007 DiversifiedPercent of capital returned 28% Parish Opportunities Fund, LP 2007 DiversifiedTime to full payback (in years) 8.0 American Equity Capital II 2007 Diversified

Vision Capital Partners VI, LP 2006 BuyoutFund Profile Liberty Partners II 2005 Buyout

WPERP Initial Investment Nov-06 Hunt Ventures VI, LP 2004 Venture CapitalTarget termination date Nov-19Target termination date Nov-19General Partner Recent Activity: Landmark Partners XIII, LLC Called $13.0 million in capital from investors in the fourth quarter of 2009Investment strategy Secondary Distributed $16.2 million back to investors during the fourth quarter of 2009Market Value of Partners Capital 749,327,345$ Partners Capital in Cash 12,112,650$ Total capital contributed 1,018,565,993$ Total capital committed 1,194,454,545$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 2.5%


Annual Mgmt. Fee:of aggregate commitments: 0.5% in year 1, 0.75% in year 2, and 1.0% years 3-71.0% of reported value thereafter.

Distribution priority:100% to LPs for primary investments After return of capital and 8% preferred return, 90% to LPs and 10% to GPs for secondaries

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-4

Landmark Equity Partners XIV, L.P.

Investment StrategyLandmark XIV is acquiring interests in established private equity investments through secondary market transactions. The Partnership is expected to assemble a diversified portfolio of private equity interests with the objectives of achieving superior returns at lower risk for this asset class and generating cash distributions to its partners early in the Partnership’s life cycle.



Top 10 Portfolio Investments Vintage FocusAmount Contributed 3,300,000$ Original commitment 30,000,000$ MP Preferred Partners II 2008 Distressed DebtRemaining to be invested 26,700,000$ Landmark Acquisition Fund III, LP 2009 DiversifedAge of fund (in years) 1.3 Vision Capital Advantage Fund 2008 DiversifiedInternal rate of return to date 11.5% NCD Investors 2008 DiversifedTotal Value Multiple 1.13X Sevin Rosin Fund IX 2004 Venture CapitalPercent of capital returned 0% Hicks, Muse, Tate & Furst Latin America 1998 BuyoutTime to full payback (in years) no distribs. made Sevin Rosin Fund VIII 2000 Venture Capital

Sevin Rosin Fund VII 1999 Venture CapitalFund Profile Hicks, Muse, Tate & Furst IV 1998 Buyout

WPERP Initial Investment Sep-08 Hicks, Muse, Tate & Furst III 1996 BuyoutTarget termination date Nov-19Target termination date Nov-19General Partner Recent Activity: Landmark Partners XIV, LLC Did not call captial in the fourth quarter of 2009Investment strategy SecondaryMarket Value of Partners Capital 191,236,028$ Partners Capital in Cash 37,369,014$ Total capital contributed 167,727,777$ Total capital committed 1,542,979,797$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 1.9%


Annual Mgmt. Fee:1.0% aggregate commitments during the first 4 years after final closingbased on net invested capital through year 8, declining 10% per year thereafter

Distribution priority:100% to LPs for primary investments After return of capital and 8% preferred return, 90% to LPs and 10% to GPs for secondaries

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-5

Lexington Capital Partners VI, L.P.

Investment StrategyLexington VI acquires interests in established leveraged buyout, venture capital and mezzanine funds through secondary market transactions. The Partnership has assembled a diversified portfolio of private equity partnership interests with the expectation of achieving superior returns at a well-diversified level of riskwhile generating cash distributions back to investors early in the partnership's life cycle.


Reported Value 18,257,967$ # of partnerships: 223Distributions 5,347,772$

Top 10 Portfolio Investments Vintage FocusAmount Contributed 24,223,257$ Original commitment 30,000,000$ KKR Private Equity Investors, L.P. 2006 BuyoutRemaining to be invested 5,776,743$ American Capital Equity I, LLC 2006 BuyoutAge of fund (in years) 3.5 RBS Special Opportunities Fund, L.P. 2004 DiversifiedInternal rate of return to date -1.5% ZM Private Equity Fund I, L.P. 2003 DiversifiedTotal Value Multiple 1.0X Saints Capital Chamonix 2001 DiversifiedPercent of capital returned 22% Weston Presidio Capital IV 2000 Venture CapitalTime to full payback (in years) 12.5 Bain Capital Fund VIII, L.P. 2004 Buyout

Vestar Capital Partners V, L.P. 2005 BuyoutFund Profile Lindsay Goldberg & Bessemer, L.P. 2002 Buyout

WPERP Initial Investment Jun-06 Lindsay Goldberg & Bessemer II, L.P. 2006 BuyoutTarget termination date Aug-15Target termination date Aug-15General Partner Recent Activity: Lexington Associates VI, LP Called $50.0 million in capital from investors in the fourth quarter of 2009Investment strategy Secondary Distributed $45.2 million to investors during the fourth quarter of 2009Market Value of Partners Capital 2,297,925,272$ Partners Capital in Cash 21,672,595$ Total capital contributed 3,022,754,452$ Total capital committed 3,773,870,707$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 0.8%


Annual Mgmt. Fee:1.0% of commitments (0.5% of commitments to primaries) during the investment period. 0.85% of reported value thereafter (0.5% for primaries).

Distribution priority:100% to LPs for primary investments After return of capital, 90% to LPs and 10% to GPs for secondaries

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-6

Lexington Capital Partners VII, L.P.

Investment StrategyLexington VII acquires interests in established leveraged buyout, venture capital and mezzanine funds through secondary market transactions. The Partnership is expected to assemble a diversified portfolio of private equity partnership interests with the expectation of achieving superior returns at a well-diversified level of riskwhile generating cash distributions back to investors early in the partnership's life cycle.


Reported Value 32,692$ # of partnerships: 9Distributions 0$

Top 10 Portfolio Investments Vintage FocusAmount Contributed 296,314$ Original commitment 30,000,000$ Kleiner Perkins Caufield & Byers XIII, LLC 2008 Venture CapitalRemaining to be invested 29,703,686$ TPG VI, LP 2008 BuyoutAge of fund (in years) 0.1 KPCB Green Growth Fund, LLC 2008 Venture CapitalInternal rate of return to date NA Clayton Dubilier & Rice Fund VIII, LP 2009 BuyoutTotal Value Multiple 0.1X Scale Venture Partners III, LP 2008 Venture CapitalPercent of capital returned 0% New Enterprise Associates 13, LP 2009 Venture CapitalTime to full payback (in years) too early to tell Welsh, Carson, Anderson & Stowe XI, LP 2008 Buyout

Unison Capital Partners III (F), LP 2008 Growth CapitalFund Profile CHAMP Buyout III, LP 2010 Buyout

WPERP Initial Investment Dec-09Target termination dateTarget termination dateGeneral Partner Recent Activity: Lexington Associates VII, LP Lexington VII is still in the marketplace raising capital commitmentsInvestment strategy Secondary Initial capital call was made in December of 2009Market Value of Partners Capital 2,546,459$ Called $20.0 million in capital from investors in the fourth quarter of 2009 Partners Capital in Cash 22,592$ Total capital contributed 20,000,000$ Total capital committed 2,218,459,593$ General Partner's contribution (% tot.) 1.0%WPERP % ownership 1.3%


Annual Mgmt. Fee:1.0% of commitments on first $5 B (0.5% of commitments to primaries) during the investment period and 0.85% on commitment in excess of $5 B. 0.85% of value and unfunded commitments thereafter (0.5% for primaries).

Distribution priority:100% to LPs for primary investments After return of capital, 90% to LPs and 10% to GPs for secondaries

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-7

Oaktree Principal Fund V, L.P.

Investment StrategyThe Fund is implementing a distress-for-control investment strategy that generally involves purchasing one or more classes of a target company’s debt, at a discount, in anticipation of a financial restructuring that will allow the exchange of debt for a controlling ownership stake at an attractive valuation. In these situations, the Fund attempts to become the largest, or one of the largest, creditors of the target company, seeking at a minimum a blocking position in the fulcrum security in order to exert negative control during the restructuring process.

Investment Review Portfolio ProfPortfolio Profile

Reported Value 2,626,645$ # of investments: 14Distributions 139,397$

Industry Exposures % TypeAmount Contributed 2,400,000$ Original commitment 16,000,000$ Chemicals 22% Debt/EquityRemaining to be invested 13,600,000$ Auto components 21% Debt/EquityAge of fund (in years) 0.8 Machinery 12% Debt/EquityInternal rate of return to date NM Electrical equipment 12% Debt/EquityTotal Value Multiple 1.2X Multiline retail 11% Debt/EquityPercent of capital returned 6% Energy equipment & services 6% Debt/EquityTime to full payback (in years) too early to tell IT services 5% Debt/Equity

Hotels, restaurants & leisure 3% Debt/EquityFund Profile Health care providers & services 3% Debt/Equity

WPERP Initial Investment Feb-09 Internet & catalog retail 2% Debt/EquityTarget termination dateTarget termination dateGeneral Partner Recent Activity: Oaktree Fund GP, LLC Initial closing held February 26th, 2009Investment strategy Distressed Debt Held fifth closing November 18, 2009Market Value of Partners Capital 367,109,000$ Added two new "toe hold" debt positions in the fourth quarter of 2009 Partners Capital in Cash 87,217,000$ Total capital contributed 316,035,000$ Total capital commitment 2,106,897,000$ General Partner's contribution (% tot.) 2.5%WPERP % ownership 0.8%

Portfolio Cash Flows General Partner CompensationAnnual Mgmt. Fee:

1.75% of first $2.5 B in commitments during the investment period1.50% of commitments in excess of $2.5 B during the investment periodthereafter lower of cost or funded commitments at the blended rate

Distribution priority:100% to LPs until return of contributed capital plus 8% preferred return80% to the GP/20% to LPs during "catch-up" period20% thereafter

‐5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000


A-8

Health Benefits Fund Overview The Los Angeles Department of Water and Power Retiree Health Benefits Fund (the “Fund”) Private Equity Program (the “Health Program") consists of two fund-of-funds and one direct partnership investment as of December 31, 2009. The Health Program is very young as the initial commitments to a secondary market fund-of-funds was made in 2008. As private equity partnerships are long-term commitments that are invested over several years, the Program is expected to continue to grow and evolve over time. Summary As of 12/31/09, the Health Program had $12.5 million in commitments across three partnerships. Program commitments have been allocated 80% to secondary market fund-of-funds and 20% to a direct partnership investment. As of the end of the fourth quarter of 2009, $0.9 million in capital had been drawn down, no distributions had been made, and the Health Program had a reported value of $1.0 million, representing a 1.1x investment multiple. Given the near-term formation of the Health Program, performance to date is not meaningful.

Portfolio Summary (as of 12/31/09) Partnership Type Vintage

Year Age Committed Capital

Invested Capital

Distributed Capital

Reported Value

Since Inception Net IRR

Peer Median

IRR1 Landmark XIV Secondary Fund-of-Funds 2008 1.3 yrs. $5.0 M $0.5 M $0.0 M $0.6 M 11.5% (10.6%)Oaktree PF V Direct Partnership 2009 0.8 yrs. $2.5 M $0.4 M $0.0 M $0.5 M NM* NM Lexington VII Secondary Fund-of-Funds 2009 0.1 yrs $5.0 M $0.0 M $0.0 M $0.0 M --- ---

Total Program --- --- --- $12.5 M $0.9 M $0.0 M $1.0 M NM*

--- * investment activity is too early for meaningful results

The initial use of secondary market fund-of-funds is expected to contribute to highly diversified portfolio with exposure to a high number of partnerships diversified across investment strategy, geography, and vintage year. Approximately $0.9 million (8% of the Program’s committed capital) has been invested as of December 31, 2009. The Program’s reported value plus unfunded commitments ($11.6 million) represents an approximate allocation of 1.5% of the total Fund as of the end of the fourth quarter 2009. Given the unique cash flows of private equity partnerships, continued investment activity is required for the Plan to achieve its 5% target for private equity exposure over the long-term. However, attractive partnership selection should be emphasized rather than allocating capital to achieve target allocations. Therefore PCA continues to recommend remaining highly selective in this uncertain marketplace.

1 Source: Thomson Reuters, Universe of All Private Equity by vintage year.

Los Angeles Department of Water and Power Retiree Health Benefits FundPrivate Equity Tracking Schedule

Date of Total Actual Total Current Fair Mkt.As of: Investment Initial Age Capital Contribution Percent Remaining Distribution Fair Market Plus Net12/31/2009 Group Focus Investment (Years) Committed to Date Invested Contribution to Date Value Rem. Contr. Multiple IRR

InvestmentsLandmark Equity Partners XIV Secondary Diversified Sep-08 1.3 5,000,000 550,000 11.0% 4,450,000 0 622,620 5,072,620 1.1x 11.5%Oaktree Principal Fund V Direct Distressed Debt Feb-09 0.8 2,500,000 375,000 15.0% 2,125,000 21,781 410,413 2,535,413 1.2x NMLexington Capital Partners VII Secondary Diversified Dec-09 0.1 5,000,000 49,386 1.0% 4,950,614 - 5,448 4,956,062 0.1x NM

Established Portfolio* - - - - - - - - ---Total Portfolio 0.7 12,500,000 974,386 7.8% 11,525,614 21,781 1,038,481 12,564,095 1.1x NM* over three years old

Alternative Inv. subtotals:Primary Fund of Funds --- --- --- --- --- --- --- ---Secondary Fund of Funds 10,000,000 599,386 6.0% 9,400,614 0 628,068 10,028,682 1.0xDirects 2,500,000 375,000 15.0% 2,125,000 21,781 410,413 2,535,413 1.2x

% in Primary Fund of Funds 0% 0% 0% 0% 0% 0%% in Secondary Fund of Funds 80% 62% 82% 0% 60% 80%% in Directs 20% 38% 18% 0% 40% 20%% in Private Equity 1.5% 0.1% 1.4% 0.1% 1.5%

Total Fund Value: $848,000,000 vs. Long-Term Target 5.0% 5.0% 5.0% 5.0% 5.0%

difference in % -3.5% -4.9% -3.6% -4.9% -3.5%difference in $ (29,900,000) (41,425,614) (30,874,386) (41,361,519) (29,835,905)

B-2

private equity program performance report · benefit plan (the “plan”) private equity program...

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