state of new mexico state investment council sic...investments in businesses located on state trust...

State of New Mexico STATE INVESTMENT COUNCIL

41 Plaza La Prensa Santa Fe, New Mexico 87507

Phone: (505) 476-9500 Fax: (505) 424-2510

STATE INVESTMENT COUNCIL MEETING AGENDA GOVERNOR’S CABINET ROOM, STATE CAPITOL

SANTA FE, NEW MEXICO TUESDAY, MAY 28, 2019, 9:00 AM

**Revised**

1. Opening Matters (5 min) a. Roll call & introductions (Governor Lujan Grisham, Chair) b. Approval of Agenda c. Approval of SIC Minutes, April 23, 2019

2. State Investment Officer and Chief Investment Officer Briefings (60 min)

(Steve Moise, Vince Smith) a. Performance Reports (Smith & RVK) b. Private Equity: Q4 2018 Investment Performance Reports (David Lee, Mercer) c. Private Equity: Q4 2018 New Mexico Investment Performance Reports (Lee, Mercer)

3. Investment Matters: Investment Matters Requiring Vote (45 min)

a. Investment Committee Report (Linda Eitzen) b. Capital Markets Assumptions & Asset Allocation Review (Smith, RVK) c. Vote: Asset Allocation: Tobacco Settlement & Water Trust Funds (Smith, RVK)

4. Finance Matters: Committee & Informational Reports: Discussion (10 min)

a. CFO Report (Brent Shipp)

5. Discussion & Vote: Litigation Matters: SIC v. Bland et al. settlements re: remaining defendants

6. Closing Matters (Governor Lujan Grisham) (10 min) a. Old or new business b. Next SIC meeting: Tuesday, June 25, 9am, Santa Fe, NM

7. Public Comment Period (Governor Lujan Grisham)

8. Adjournment

MICHELLE LUJAN GRISHAM

GOVERNOR

STEVEN K. MOISE STATE INVESTMENT OFFICER

ROBERT “VINCE” SMITH, CFA

DEPUTY STATE INVESTMENT OFFICER CHIEF INVESTMENT OFFICER

Motions for voting items at May 28, 2019 SIC Meeting Suggested wording:

(1b) Approval of Agenda

I move approval of today’s meeting agenda.

(1c) Approval of minutes

I move that the State Investment Council approve the meeting minutes for April 23, 2019

(3c) TSPF & WTPF Asset Allocation (Smith, RVK)

Based on the recommendations of SIC staff, and the general fiduciary oversight of RVK, I move that the State Investment Council approve the asset allocation “Potential (1, 2, or 3)” for the Tobacco Settlement Permanent Fund, as discussed, reviewed and memorialized by the Council today.

Based on the recommendations of SIC staff, and the general fiduciary oversight of RVK, I move that the State Investment Council approve the asset allocation “Potential (1, 2, or 3)” for the Water Trust Permanent Fund, as discussed, reviewed and memorialized by the Council today.

(5) Litigation Matters: SIC v. Bland et al. settlements re: remaining defendants

Based on the recommendations reviewed and discussed by the Council today, I move that the State Investment Council approve the legal settlements with Marc & Anthony Correra, Gary Bland and Guy Riordan, under terms memorialized in the public meeting materials, with additional signatures and any required finalization of paperwork as needed.

ACTION SUMMARY

STATE INVESTMENT COUNCIL April 23, 2019

Item Action Page # APPROVAL OF AGENDA Approved 2 APPROVAL OF MINUTES March 26, 2019 Approved 2 STATE INVESTMENT OFFICER’S & CHIEF INVESTMENT OFFICER’S BRIEFING SIO Report Reported by Steve Moise 2 NM Investments Working Group Informational 2 CIO Report Reported by Vince Smith 3 SIC Investment Performance Reporting Informational 3 INVESTMENT MATTERS REQUIRING VOTE Investment Committee Report Reported by Linda Eitzen 3 Tax Stabilization Reserve Asset Allocation Approved 4 Public Equity: Seizert Capital Partners Termination Approved 4 Public Equity: FactSet Subscription Approved 4 FINANCE MATTERS Audit Committee Report Reported by Pater Frank 5 CFO Report Reported by Brent Shipp 5 CLOSING MATTERS Old or New Business 5 Next meeting date: 5/28/19 at 9:00 am 5 PUBLIC COMMENT 5

1 State Investment Council Meeting: April 23, 2019

MINUTES OF THE

NEW MEXICO STATE INVESTMENT COUNCIL MEETING

April 23, 2019

Santa Fe, New Mexico

1. OPENING MATTERS a. Roll call and introduction of guests: quorum present A regular meeting of the New Mexico State Investment Council was called to order by Mr. Peter Frank, Vice- Chair, on this date at 9:08 a.m. in the Governor’s Cabinet Room of the State Capitol Building, Santa Fe, New Mexico. Introductions were made, and a quorum was declared: Members Present:

The Honorable Michelle Lujan Grisham, Governor (arriving at 9:43 am) Mr. Peter Frank, Public Member

Ms. Linda Eitzen, Public Member Mr. Scott Smart, Public Member The Honorable Stephanie Garcia Richard, Land Commissioner

The Honorable Tim Eichenberg, State Treasurer (departing at 10:15 am) Ms. Olivia Padilla-Jackson, Secretary, Department of Finance & Administration Mr. Leonard Lee Rawson, Public Member Mr. Tim Jennings, Public Member (by phone)

Mr. Harold Lavender, Public Member Ms. Lynn Hoffman, Public Member

Staff Present: Mr. Steven K. Moise, State Investment Officer Mr. Vince Smith, Deputy State Investment Officer & CIO Mr. Brent Shipp, Chief Financial Officer Mr. Evan Land, Chief Counsel Mr. Charles Wollmann, Director of Communications, Legislative, & Client Relations Ms. Kerri Segell, Executive Assistant, Recorder Guests Present: Ms. Marcia Beard, RVK Mr. Matthias Bauer, RVK Mr. Richard Pugmire, Mercer

[All other Guests & Staff, see Sign-in Sheet.]


b. Approval of agenda Ms. Eitzen moved approval of the agenda as presented. Mr. Smart seconded the motion, which passed unanimously by voice vote. c. Approval of minutes: March 26, 2019 Ms. EItzen moved approval of the minutes of the March 26, 2019 SIC meeting, as submitted. Mr. Smart seconded the motion, which passed unanimously by voice vote. 2. STATE INVESTMENT OFFICER’S & CHIEF INVESTMENT OFFICER’S BRIEFINGS

SIO Report (Steve Moise)

Mr. Moise reported that the current estimated intra-month NAV, as reported by JP Morgan, is $24.825B. Distributions to the state over the past twelve months from the LGPF and STPF totaled $95.7M. The price of WTI oil yesterday was $65.70 per bbl.

He commented that the Council will be discussing today, and voting on, the asset allocation for the Tax Stabilization Reserve which the SIC will begin managing on July 1. There will also be discussion regarding the working group, suggested by Commissioner Garcia Richard, to analyze STPF investments in NM, and further details will be provided to the Council today in the form of a memo regarding the composition and outlining the methodology of the group. Mr. Moise directed the Council’s attention to the table showing total permanent fund distributions of $6.7B to the state between 7/1/10 and 12/31/18. For the same time period the SIC’s NAV had increased by $10.25B. Additionally, the number of clients the SIC assists with their investments has grown from seventeen in 2010 to twenty-two currently, with investments of over $1.1B. Other entities have expressed their interest in the SIC managing their investments. Under Council Matters in the report, Mr. Moise highlighted the new date of September 19, 2019 for the CIC September meeting. Starla Bennett introduced Clayton Cleek, the recently hired Public Equity Analyst. Mr. Cleek is a CFA charter-holder, a Texas A&M graduate, and brings international work experience to the SIC. The search to fill the investment strategist positions continues and Mr. Smith has several candidate interviews scheduled for next week. Mr. Wollmann has begun the preparatory work to fill the vacant Communications Analyst position. Two upcoming speaking engagements are planned for May in Albuquerque and Santa Fe. A supplement is being prepared for the 60th Anniversary report to reflect updated Council membership and data. A productive SWF group conference call was held in April, with nine states participating in discussions of mutual interest.

a. STPF NM Investments Working Group (Steve Moise) Mr. Moise distributed a memo regarding the formation of the new working group, charged with analyzing STPF New Mexico investments. The memo outlined several suggested initial considerations for the group including a thorough overview of the SIC’s STPF-related investments, including what is permitted by statute, all investments or programs that are currently funded, and other potential areas which could benefit from impactful STPF investments. Also to be considered are the sustainability of the fund, pacing models, in addition to other topics summarized in the memo.


Commissioner Garcia Richard introduced Sunalei Stewart, the State Land Office’s Deputy Commissioner of Operations, who will be the SLO designee for the working group. The Commissioner remarked that the SLO is interested in investments in businesses located on state trust lands. The Council discussed the role of the SIC’s STPF investments in the state’s broader economic development initiatives, the SBIC’s portion of the STPF and SBIC programs, and the importance of an examination of all SIC NM investment commitments. Members Lavender, Rawson and Jennings volunteered to participate in the working group. The organization and scheduling of the group’s first meeting will be undertaken by staff, and Council Members will be kept apprised of the group’s progress.

CIO Report (Vince Smith)

Mr. Smith presented the February performance report. He began his review with remarks on LGPF and STPF asset allocations, discussing interim target allocation percentages and the overweight/underweight bands of the core and non-core fixed income allocations. As discussed previously, the fixed income allocation variance is being addressed as funds continue to slowly be moved from core to non-core assets.

Mr. Smith reviewed total fund performance, which remained weak for the 1-year period at 3.29%, but, aside from

the 10-year period, overperformed the benchmark for multiple time periods. The near-term underperformance of the funds was discussed in conjunction with the rebound in equity markets, and was not unexpected as the SIC’s equity portfolio is conservatively constructed and positioned for downside protection.

Mr. Smith made broad comments on the current equity markets, and he highlighted the market’s sensitivity to the liquidity that the Federal Reserve and central banks have been providing, suggesting it was concerning that market movements appear to be contingent on this liquidity. Growth expectations, earnings, and price corrections were among other topics addressed. Ms. Beard commented on the short-term benchmark mismatch for the non-core fixed income portfolio and the discussions which have taken place to better align the benchmark with that portfolio. A portion of the SIC’s total fund underperformance can be attributed to the underperformance of the SIC’s non-core portfolio relative to its index. 3. INVESTMENT MATTERS: INVESTMENT MATTERS REQUIRING A VOTE

a. Investment Committee Report (Linda Eitzen)

Ms. Eitzen reported on the April CIC meeting. She commented that there was not a quorum at the meeting, therefore any recommendations put forth today are informal recommendations. Included among matters the Committee considered were a change to the non-core benchmark, which will now be reported on a one-month lag basis, a detailed review of the SIC’s U.S. equity program and strategies, the termination of investment manager Seizert, and approval of FactSet, a portfolio analytics platform. RVK presented their capital markets assumptions for 2019 and she emphasized the importance of these assumptions in setting asset class allocations. RVK’s capital market assumptions will be incorporated into the FY 20 annual investment plan. In conjunction with the capital markets review, the Committee reviewed the asset allocations for each of the SIC ‘s funds, and Ms. Eitzen provided details on the Committee’s analysis of each allocation. Following discussion on the asset allocation for the Tax Stabilization Reserve, the Committee supported potential scenario 3. The addition of an alternative asset class to the Water Trust Fund allocation was examined. Additional analysis will be performed following which a new potential allocation will be brought back to the Committee for consideration. There were no changes under consideration for the Tobacco Fund’s asset allocation.


b. Vote: Tax Stabilization Reserve Asset Allocation (Smith, RVK) Mr. Smith began by directing the Council’s attention to RVK’s Tax Stabilization Reserve asset allocation analysis t, specifically to the page which presented the potential allocations, recalling for the Council that the CIC had endorsed potential 3. He described the key objectives of the TSR asset allocation as 1) keeping volatility low, 2) providing prudent income and 3) diversifying the risk and return sources within the portfolio and 4) liquidity. Mr. Smith provided additional details on the expected risk, estimated annual yield, and the types of assets that the potential allocation would be contain. The expected initial size of the TSR is approximately $650 million. Matthias Bauer provided context to several of the pages in the TSR asset allocation document. He offered supplementary details on the construction and concentration ranges of the portfolio, as well as metrics and characteristics of the asset components. Three potential portfolios had been identified by RVK, and Mr. Bauer analyzed their underlying components and differences speaking to exposures, expected generated returns, risk/reward perspectives, and liquidity. The efficient frontier model was explained, and Mr. Bauer further discussed the risk and return aspects of the potential allocations, as well as the Monte Carlo analysis of the expected returns by percentile. [The Governor joined the meeting.] The Council discussed numerous issues encompassing the TSR’s asset allocation including worst-case scenarios, liquidity risk, statistical return expectations, returns and the risks of each potential allocation, in addition the return the SIC may be able to generate as compared to that offered by the Treasurer's office. Questions arose as to the Legislature’s expectations, and it was pointed out that the FIR outlined a 4.3% to 4.5% expected return. Secretary Padilla-Jackson clarified that the amount DFA was anticipating being transferred to the TSR, based on FY 18 audited financial statements, is $526.8 million. DFA’s financial control staff has been working alongside the Treasurer’s office to determine cashflow projections, the liquidity of current STO TSR balances, and the timing and need for STO to wind-down some of their core fixed income investments before transferring funds to the SIC. Based on the recommendations of SIC staff, and the general fiduciary oversight of RVK, Ms. Eitzen moved that the State Investment Council approve the asset allocation, POTENTIAL 3, for the Tax Stabilization Reserve Fund, as discussed, reviewed and memorialized by the Council today. Mr. Lavender seconded Ms. Eitzen’s motion and the motion passed with Treasurer Eichenberg and Ms. Hoffman voting against. [Treasurer Eichenberg departed the meeting.] c. Vote: Public Equity: Seizert Capital Partners Termination (Smith, Starla Bennett) SIC staff and RVK recommended the termination of Seizert Capital Partners and the reallocation of those assets to the Russell 1000 Index strategy. Ms. Bennett discussed the rationale for the termination decision, including underperformance, and the continued reduction in U.S. equity assets as the portfolio is further diversified. Based on the recommendations of the Council Investment Committee, SIC staff, and the general fiduciary oversight of RVK, Ms. Eitzen moved that the State Investment Council approve the termination of Seizert Capital Partners as reviewed and discussed by the Council today. Mr. Lavender seconded Ms. Eitzen’s motion, and the motion passed unanimously. d. Vote: Public Equity: FactSet Subscription Recommendation (Smith, Bennett) SIC staff recommend a subscription to FactSet portfolio analytics software to enhance due diligence and to provide improved staff portfolio monitoring abilities of the approximately $10.5 billion, or 40%, allocated to Public Equity. Currently, information is maintained in Excel spreadsheets and reports are difficult to generate. The efficiencies generated by FactSet would be extensive and the number of improved reports that staff could produce would increase significantly.


Mr. Frank commented to Council Members, that the only reason this type of managerial decision is brought before the Council is due to the requirement that the Council approve any contract in excess of $50,000 annual expense. Based upon the recommendation of the Council Investment Committee and SIC staff, Ms. EItzen moved that the State Investment Council approve the subscription to FactSet, for public equity portfolio analytics services, under the terms and conditions memorialized and discussed by the Council today. Mr. Lavender seconded Ms. Eitzen’ s motion which passed unanimously. 4. FINANCE MATTERS: COMMITTEE & INFORMATIONAL REPORTS: DISCUSSION

a. Audit Committee Report (Peter Frank) Mr. Frank reported that the Audit Committee had met the day prior. Among matters examined were the

status of the implementation of Parilux, the SIC’s new investment accounting system; the FY 20 preliminary budget; the additional 1% commitment to the SBIC as provided by SB10; the Tax Stabilization Reserve transfer to the SIC; and Colmore’s progress on their fee validation analysis followed by a discussion on the internal audit function their services provide. There is adequate budget for the remainder of FY 19 and staff was not anticipating the need for a BAR.

b. CFO Report (Brent Shipp)

Both the March budget-to-actual report and the IHR had been distributed to the Council. Mr. Shipp commented on the balance remaining in the FY 19 budget, explaining that much of the balance is a result of reduced investment manager fees based on market drawdowns at the end of calendar year 2018. Mr. Shipp reminded the Council that investment management fees are the largest segment of the SIC’s budget and are driven by market performance. Mr. Shipp discussed the preliminary FY 20 budget, the schedule for which had been provided to the Council in their meeting materials, and he noted that the document compared the proposed FY20 budget to FY19 estimated expenses. The FY 20 approved budget is $61.2 million, as opposed to the SIC’s request of $63 million, and Mr. Shipp reviewed and commented specifically on payroll costs, including the 4% across-the-board raise approved during the legislative session, and contractual service calculations and estimates. The Council discussed both the legal services budget line item and the classified employee line item. The FY 20 budget increases FTE funding to provide for 29 SIC staff positions. 5. CLOSING MATTERS

a. Old or new business: None.

b. Next SIC meeting date: Tuesday, May 28, 2019, 9:00 am, Santa Fe, NM. 6. PUBLIC COMMENT PERIOD Jim Baker Mr. Baker, with the Private Equity Stakeholder Project, began his comments by making note of the SIC’s investments with Platinum Equity, in both Funds IV and V. Platinum Equity IV owns Securus, one of the largest providers of phone, email, money-transfers and electronic monitoring services to jails, prisons and immigration detention centers. Mr. Baker outlined various complaints and criticisms of Securus regarding their call fees and for profiting from incarcerated individuals and their support networks. The Private Equity Stakeholder Project, along with others, had sent a letter to Platinum Equity asking that the firm exit its investments in corrections and detention, including Securus. No response had


been received from Platinum. The Private Equity Stakeholder Project asked Platinum Equity L.P.s to support their position and to express these concerns in a side-letter with Platinum. The Governor thanked Mr. Baker for his comments. She stated that he raised several issues that she hoped the Council would consider. The Governor stated the importance of making sure that the SIC’s partners and investors, as well as the Council’s efforts, are value-based and aligned rather than counterproductive, particularly as a state that is working diligently with the Legislature and recently passed numerous criminal justice reform measures.

She continued that these should be the types of issues that the Council deliberates. The Governor commented that she appreciated Mr. Baker bringing this to the Council’s attention and that she would review the material he distributed.

Kenneth Knoll Mr. Knoll addressed the Council again on the matter of Opportunity Zones and advocated that the Council get involved in these types of investment vehicles to spur economic development in undercapitalized areas of New Mexico. He spoke about specific efforts currently underway in the state, the challenges encountered, and the many opportunities he saw for investment.

The Governor thanked Mr. Knoll for his comments and stated that the Council, as a body, was committed to supporting New Mexico under-served and economically disadvantaged communities and citizens.

7. ADJOURNMENT

As SIC business was completed, Mr. Lavender moved to adjourn. The motion was seconded by Secretary Padilla-Jackson and the meeting adjourned at 10:33 p.m. Approved:

___________________________________ Governor Michelle Lujan Grisham, Chair

Tab 2

2. State Investment Officer and Chief Investment Officer Briefings (Steve Moise, Vince Smith)

a. Performance Reports (Smith & RVK)

b. Private Equity: Q4 2018 Investment Performance (David Lee, Mercer)

c. Private Equity: Q4 2018 New Mexico Investment Performance (Lee, Mercer)

SIO REPORT May 2019 A. OPENING COMMENTS:

• STPF New Mexico investments working group

• Annual plan (retrospective & prospective)

B. INVESTMENT MATTERS:

1. Distributions:

2. Net Asset Value (NAV):

3. Performance – As of March 31, 2019 (net of fees):

C. COUNCIL MATTERS:

June Council & Committee meetings: a. Investment – Thursday, 6/13 @ 9:00am, SIC offices b. Council – Tuesday, 6/25 @ 9:00am, Governor’s Cabinet Room

New date for September CIC – September 19 @ 9:00am, SIC offices

D. OPERATIONS: 1. Sourcing two investment strategists, a communications analyst, and a NM private equity analyst

2. Website enhancements

E. EXTERNAL RELATIONS:

1. City Different Petroleum Club - 5/30 2. 60th Anniversary Report 2019 supplement

FY 19 Distributions $968.2M

FY 20 Distributions $1.007B

Year-over year growth in distributions $38.8M

Multi-year growth in distributions FY 10: $712.6M→ FY 20: $1B

Total distributions: 7/1/10 -12/31/18: $6.716B

7/1/2010 NAV: $12.999B NAV (as of 12/31/18): $23.247B Current (as of 5/21/19): $24.679B

+ $10.25 B

17 Clients: $545.6M 22 Clients: $1.157B (as of 4/30/19) + $587M

New Mexico State Investment Council 41 Plaza La Prensa Santa Fe, NM 87507 505.476.9500

This insert updates several key facts contained in our 2018 report. New Members

The Honorable Michelle Lujan Grisham, Governor, Chair

The Honorable Stephanie Garcia Richard, State Land Commissioner Governor Michelle Lujan Grisham

The Honorable Tim Eichenberg, State Treasurer

Ms. Olivia Padilla-Jackson, Secretary, Department of Finance & Administration

Mr. Peter Frank, Public Member, Vice-Chair

Ms. Linda Eitzen, Public Member

Ms. Lynn Hoffman, Public Member State Land Commissioner Stephanie Garcia Richard

Mr. Tim Jennings, Public Member

Mr. Harold Lavender, Public Member

Mr. Leonard Lee Rawson, Public Member

Mr. Scott Smart, Public Member

DFA Secretary Olivia Padilla-Jackson

Governor Michelle Lujan Grisham signed House Bill 393 on

April 2, 2019. HB 393 transfers oversight and investment

management of the general fund Tax Stabilization Reserve

(also known as the state’s “rainy day fund”) from the State

Treasurer’s Office to the State Investment Council. The

Council will invest the TSR in a conservative, highly-liquid

fashion in accordance with the Uniform Prudent Investor Act.

By law SIC can invest in more-diverse & longer-horizon

strategies than the State Treasurer, and the TSR will target

long-term annual returns between 4-5%. Investment gains

will be reinvested into the fund, which will also grow from

specified oil and gas revenues collected by the state during

years of above-average production. The TSR will help the

state better cope with fiscal challenges during times of

economic distress, and also improve the state’s credit rating.

Senate Bill 264 was also signed into law by the Governor, creating a Rural Libraries Endowment Fund to support the preservation, development and establishment of rural

libraries throughout the state, by providing a consistent funding mechanism for rural libraries' operational and capital needs. The fund has been appropriated $1 million for FY20, and additional funding is expected in the future. The endowment will be managed by the SIC in a manner similar to the existing permanent funds.

Governor Lujan Grisham also signed Senate Bill 535, which

will ensure minimum annual in-flows of at least $23.7 million

into the growth-challenged Severance Tax Permanent Fund

(STPF) over the next decade. The STPF, which will distribute

$225 million to the state’s General Fund in fiscal year 2020,

has, in some recent years, received next to nothing (only $38

in 2017) out of the hundreds of millions of dollars New Mexico

collects in oil and gas severance taxes annually, threatening

the intergenerational health of this permanent endowment.

❖ The permanent funds will distribute a record $1 billion to the general fund and Land Grant Permanent Fund

beneficiaries in Fiscal Year 2020. Approximately 3/4 of the distribution goes to fund public education.

❖ Total assets under management $24.69B (3/31/2019)

Land Grant Permanent Fund - $ 18.139B | Severance Tax Permanent Fund - $ 5.210B

❖ Asset Allocation ❖ Performance

❖ New Mexico Private Equity Program

Three approaches have been used in the New Mexico private equity program which has committed $534 million since

inception:

Fund Investments – Since 1993, 31 funds have received commitments

Co-Investment Funds – The first co-investment fund was committed to in 2003. Since 2007 there have been five co-

investment funds, managed by Sun Mountain Capital.

Catalyst Fund - $20 million + fund that invests in emerging & existing venture capital funds in New Mexico.

❖ New Mexico Small Business Investment Corporation - SBIC

The SBIC is funded by an allocation from the Severance Tax Permanent Fund, pursuant to NMSA 1978 §7-27-5.15. SBIC was

formed to promote small businesses and help create new job opportunities throughout the State of New Mexico. In FY 2020

the SBIC will receive an additional $50 million+ from the STPF to enable expansion of small business loan programs in our

state, due to Governor Lujan Grisham signing Senate Bill 10, doubling the SBIC allocation to 2-percent of the STPF’s value.

Performance % (gross of fess as of 3/31/19) 7 % Target – LGPF; 6.75% Target - STPF

CYTD 1 yr 3 yr 5 yr 10yr

LGPF 6.31 4.07 8.82 6.35 9.70

(FY19 LGPF distribution rate 5.0%)

STPF 6.33 4.90 8.74 6.33 9.37

(FY19 STPF distribution rate 4.7%)

Year Contributions from LGPF Distributions to State land Office to LGPF Beneficiaries

2012 $ 529,037,726 $ 553,418,316

2013 $ 505,817,116 $ 526,846,548

2014 $ 741,927,363 $ 535,156,608

2015 $ 669,520,452 $ 595,993,907

2016 $ 419,912,793 $ 655,785,168

2017 $ 468,555,114 $ 638,074,458

2018 $ 594,699,726 $ 689,190,723

2019 $ 721,951,757 (FYTD) $ 747,542,992

Total $4,651,422,047 $ 4,942,008,720

Year Contributions to STPF STPF Distributions 2012 $ 103,888,028 $ 183,423,504

2013 $ 339 $ 176,172,684

2014 $ 124,995,000 $ 170,472,647

2015 $ 817,552 $ 182,722,980

2016 $ 8,468,140 $ 193,509,941

2017 $ 38 $ 200,442,327

2018 $ 117,026,819 $ 210,377,643

2019 $ 6,422,829 (FYTD) $ 220,621,474

Total $ 355,476,290 $ 1,537,743,196

Based on fiscal years 4/30/19

$0

$5

$10

$15

$20

$ B

ILL

ION

S

LGPF & STPF NAV

STPF NAV LGPF NAV

DASHBOARD May 2019

Performance % (gross of fess as of 3/31/19) 7 % Target – LGPF; 6.75% Target - STPF

CYTD 1 yr 3 yr 5 yr 10yr LGPF 6.31 4.07 8.82 6.35 9.70

(FY19 LGPF distribution rate 5.0%) STPF 6.33 4.90 8.74 6.33 9.37

(FY19 STPF distribution rate 4.7%)

Mission To protect and grow the state’s permanent endowment

funds for current and future generations, through prudent, professional investment management.

Fund Statistics Current NAV: $ 24.679B – (5/21/19) * Includes $1.11B of governmental client investments

LGPF - $ 18.396B (4/30/19) STPF - $ 5.260B (4/30/19)

SIC HIGH NAV: $24.961B (5/7/19)

FY 19 DISTRIBUTIONS -$ 968,164,467 FY 20 DISTRIBUTIONS $ 1,009,508,364 In FY 19 approximately 14.3% of the General Fund budget was provided by the Permanent Funds.

Year Contributions from LGPF Distributions to State land Office to LGPF Beneficiaries

2012 $ 529,037,726 $ 553,418,316 2013 $ 505,817,116 $ 526,846,548 2014 $ 741,927,363 $ 535,156,608 2015 $ 669,520,452 $ 595,993,907 2016 $ 419,912,793 $ 655,785,168 2017 $ 468,555,114 $ 638,074,458 2018 $ 594,699,726 $ 689,190,723 2019 $ 721,951,757 (FYTD) $ 747,542,992 Total $4,651,422,047 $ 4,942,008,720

Year Contributions to STPF STPF Distributions 2012 $ 103,888,028 $ 183,423,504 2013 $ 339 $ 176,172,684 2014 $ 124,995,000 $ 170,472,647 2015 $ 817,552 $ 182,722,980 2016 $ 8,468,140 $ 193,509,941 2017 $ 38 $ 200,442,327 2018 $ 117,026,819 $ 210,377,643 2019 $ 6,422,829 (FYTD) $ 220,621,474 Total $ 355,476,290 $ 1,537,743,196

Based on fiscal year 4/30/19

58.2%

Total Permanent Fund Distributions to the State

LGPF PORTFOLIO STRUCTURE/ASSET ALLOCATION

Total Assets (as of 6/30 of each year)

RECENT SIC COMMITMENTS

Date Firm Asset Type Commitment 10/23/18 Brookfield Senior Mezzanine Real Estate

Finance Fund, L.P. Real Estate $75M

10/23/18 Blackrock Global Energy & Power Infrastructure Fund III, L.P.

Real Return $100M

10/23/18 TSSP- TAO Contingent Non-Core Fixed Income

$100M

11/27/18 Blackstone Real Estate Partners IX, L.P. Real Estate $100M 1/22/19 Ares Real Estate Enhanced Income Fund Real Return $75M 2/26/19 PIMCO Private Income Fund Non-Core

Fixed Income $200M

2/26/19 TA XIII, L.P. Private Equity $100M 2/26/19 Brookfield Infrastructure Fund IV, L.P. Real Return $100M 3/26/19 Advent International GPE IX, L.P. Private Equity $100M 3/26/19 Platinum Equity Capital Partners V, L.P. Private Equity $75M 3/26/19 Global Infrastructure Partners Spectrum Non-Core

Fixed Income $200M 2009 $11,811,170,294

2010 $12,999,636,673 2011 $15,452,135,573 2012 $15,409,412,731 2013 $17,168,943,863 2014 $20,106,758,420 2015 $20,666,854,213 2016 $20,226,202,902 2017 $23,099,746,941 2018 $24,009,455,009

Interim Target

Actual 3/31/19

Long-Term Target

US Equity 26% 22.59% 20% Int’l Equity 18% 21.36% 20% Core Fixed Income 14% 15.15% 10% Non – Core FI 14% 9.76% 15% Real Return 9% 8.46% 12% Real Estate 9% 9.17% 12% Private Equity 10% 11.64% 11% Cash 1% 1.87% 0%

BUDGET / STAFF UPDATE:

Total Adjusted Budget FY19: $54,744,900 Actual Expenses FYTD: $ 25,873,612 (4/30/19) Encumbered: $24,879,415 (4/30/19) -------------------------------------------------------------------------------------------------------------------------------- 31 authorized FTEs - 24 positions currently filled Vacant positions: currently interviewing, recruiting, or sourcing: Communications Analyst, & Investment Strategists

Executive SummaryPerformance ReviewNew Mexico StateInvestment CouncilAs of March 31, 2019

Capital Markets Review

Page 2

Capital Markets Review as of March 31, 2019

Treasury data courtesy of the U.S. Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.

• Risk assets and fixed income markets performed well over the first quarter, largely driven by a more accommodative stance by the FOMC. Positive returns were generated despite declining growth forecasts in Asia and Europe, weak global inflation, and market uncertainty caused by geopolitical risks.

• At its march meeting, the FOMC maintained policy rates in the range of 2.25% to 2.50%. Interest rates declined notably over the period amidst signs of weakness in economic growth and a continued lack of inflationary pressure.

• During the quarter, the 10-year nominal Treasury yield fell to 2.39%, a level not seen since 2017, while the yield curve continued to flatten and even invert across certain maturities. The labor market, however, has not reflected recessionary fears as US employment remains at record levels.

Page 3

Capital Markets Review

Page 4

SIC Total Fund Performance vs. Policy Index

Page 5

Allocations & Performance as of March 31, 2019

As of March 31, 2019, the Land Grant Interim Policy Index consists of:• 21.9% Russell 1000 Index,

• 2.1% US Small/Mid Cap Equity Custom Index,

• 16% Non-US Developed Markets Custom Index,

• 4% MSCI Emerging Markets Index (Net),

• 11% Core Fixed Income Custom Index,

• 14% Non-Core Fixed Income Custom Index,

• 10% Cambridge US Private Equity Index (Lagged 1 Qtr),

• 10% NCREIF ODCE Index (Net) (Lagged 1 Qtr),

• 10% Real Return Custom Index,

• 1% ICE BofAML 3 Mo US T-Bill Index.

Severance Tax target allocation excludes Economically Targeted Investments.

Strategic Asset Allocation Guidelines

Land Grant Total Fund Composite Severance Tax Total Fund (Ex. ETI) Composite

Min Current MaxInterim Target

Long-Term

Target

Within Range

? Min Current MaxInterim Target

Long-Term

Target

Within Range

?15.00 22.59 25.00 24.00 20.00 Yes 15.00 22.86 25.00 25.00 20.00 Yes15.00 21.36 25.00 20.00 20.00 Yes 15.00 22.49 25.00 20.00 20.00 Yes7.00 15.15 13.00 11.00 10.00 No 9.00 14.10 15.00 12.00 12.00 Yes

12.00 9.76 18.00 14.00 15.00 No 9.00 8.38 15.00 12.00 12.00 No8.00 11.64 14.00 10.00 11.00 Yes 9.00 11.73 15.00 10.00 12.00 Yes9.00 9.17 15.00 10.00 12.00 Yes 9.00 9.58 15.00 10.00 12.00 Yes9.00 8.46 15.00 10.00 12.00 No 9.00 8.60 15.00 10.00 12.00 No0.00 1.87 N/A 1.00 0.00 Yes 0.00 2.25 N/A 1.00 0.00 Yes

Real Estate

Cash Equivalent

Asset Allocation Asset AllocationUS Equity US EquityNon-US Equity Non-US Equity

Cash Equivalent

Core FI Core FINon-Core FI Non-Core FIPrivate Equity Private Equity

Real EstateReal Return Real Return

Page 6

Asset Allocation vs. Target Allocation LGPF

Current LGPF Interim Target Long-Term TargetUS Equity 22.6 24.0 20.0Non-US Equity 21.4 20.0 20.0Core FI 15.2 11.0 10.0Non-Core FI 9.8 14.0 15.0Private Equity 11.6 10.0 11.0Real Estate 9.2 10.0 12.0Real Return 8.5 10.0 12.0Cash Equivalent 1.9 1.0 0.0

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Page 7

Asset Allocation vs. Target Allocation STPF

Severance Tax target allocation excludes Economically Targeted Investments.

Current STPF Interim Target Long-Term TargetUS Equity 22.9 25.0 20.0Non-US Equity 22.5 20.0 20.0Core FI 14.1 12.0 12.0Non-Core FI 8.4 12.0 12.0Private Equity 11.7 10.0 12.0Real Estate 9.6 10.0 12.0Real Return 8.6 10.0 12.0Cash Equivalent 2.2 1.0 0.0

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Page 8

SIC Total Fund Performance vs. Benchmarks

Page 9

Investment Policy Review – Total Fund

The Investment Policy Statement does not contain a performance objective relative to peers for the Total Fund or Investment Pools. Net performance shown through fiscal year 2008 is gross of fees and provided by the previous consultant. Net performance from fiscal year 2009 through the third quarter of 2015 is calculated using the spread between net and gross Total Fund Composite returns, while net performance beyond the third quarter of 2015 is derived from fees reported in New Mexico SIC Investment Holdings Reports.

3Years

Meets Return Objective

Land Grant Total Fund Composite 8.82Land Grant Interim Policy Index 7.97Difference 0.85

3Years

Meets Return Objective

Severance Tax Total Fund Composite 8.74Severance Tax Interim Policy Index 8.08Difference 0.66

Severance Tax Total Fund Expectations

Exceed the return of the Severance Tax Policy Index on a gross-of-fees basis over a trailing three-year period. Yes

ExplanationOver the trailing three-year period, the Severance Tax Total Fund Composite returned 8.74% vs. 8.08% for the Severance Tax Interim Policy Index.

Over the trailing three-year period, the Land Grant Total Fund Composite returned 8.82% vs. 7.97% for the Land Grant Interim Policy Index.

Investment Policy Objectives - Total Fund

Land Grant Total Fund Expectations

Exceed the return of the Land Grant Policy Index on a gross-of-fees basis over a trailing three-year period. Yes

Explanation

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

FY2018

FY2017

FY2016

FY2015

FY2014

Land Grant Total Fund Composite - Gross 6.31 6.31 3.10 4.07 8.82 6.35 7.76 9.70 8.55 13.16 0.37 3.54 15.67Land Grant Total Fund Composite - Net 6.27 6.27 3.02 3.89 8.63 6.18 7.59 9.50 8.36 12.96 0.20 3.40 15.46Land Grant Interim Policy Index 6.52 6.52 3.07 4.09 7.97 6.18 7.42 10.29 7.94 11.49 0.71 4.40 16.15

Severance Tax Total Fund Composite - Gross 6.33 6.33 3.09 4.90 8.74 6.33 7.64 9.37 8.62 13.00 0.44 3.35 15.75Severance Tax Total Fund Composite - Net 6.29 6.29 3.01 4.73 8.56 6.16 7.47 9.17 8.43 12.80 0.28 3.20 15.54Severance Tax Interim Policy Index 6.62 6.62 3.12 4.18 8.08 6.25 7.47 10.20 8.10 11.64 0.69 4.40 16.15

Page 10

LGPF Performance Attribution

LGPF underperformed its Interim Policy Index over the quarter ending March 31, 2019

• The Fund’s interim strategic asset allocation was the primary driver of absolute returns experienced over the quarter, with public equity exposure being the most significant contributor.

• Allocation deviations from the interim Policy Targets had a modestly negative impact on relative performance.

• Asset class structures, particularly within Core Fixed Income, modestly detracted from relative performance.

• Outperformance by Private Equity and Non-US Equity managers modestly contributed to relative performance.

Performance shown is gross of fees, except for Private Equity, Real Estate, and Real Return investments, which are net of fees. Calculation is based on monthly periodicity.

Page 11

STPF Performance AttributionSTPF underperformed its Interim Policy Index over the quarter endingMarch 31, 2019

• The Severance Tax’s interim strategic allocation generated a positive absolute return, largely driven by public equity returns.

• Deviations from the interim policy index had a modestly negative impact on relative returns.

• Asset class structures within Core Fixed Income modestly detracted from relative returns.

• Relative manager performance, particularly in Non-US Equity and Private Equity, modestly contributed to relative returns.

Performance shown is gross of fees, except for Private Equity, Real Estate, and Real Return investments, which are net of fees. Calculation is based on monthly periodicity.

Page 12

Schedule of Investable Assets

Performance and cash flows shown are gross of fees. Composite gross performance is a mix of gross and net performance due to thevaluation and reporting nature of underlying alternative investments. Cash flows shown are as reported by JP Morgan.

Page 13

SIC Total Fund Performance vs. PeersNMSIC has unique objectives and its assets are allocated to best meet those goals. While performance relative to peer funds is not a specific objective for NMSIC, it is prudent to remain aware of the performance they deliver.

Page 14

Plan Sponsor Peer Group Median AverageAll Public Plans (>$10B) (Custom PG) $25.8B $36.2BAll Public Plans - Total Fund $78.5M $2.8BAll Public Plans (>$1B) (Custom PG) $8.3B $19.9B

Land Grant Total Fund vs. Peers as of March 31, 2019Fund Objective: The objectives of the Land Grant Permanent Fund are as follows:

1. Provide the annual distribution to beneficiaries as defined in State statute;2. Protect the purchasing power of the corpus of the fund such that future distributions from the

fund stay stable or increase in economic value; and3. Provide some growth in real value, to keep up with population growth and other growth

factors of the beneficiaries.

Performance shown is gross of fees. Performance is annualized for periods greater than one year. Long-term allocation data is backfilled using data as of August 2011. Fund Objective Source: NMSIC 2017-2018 Annual Investment Plan.

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

FY2018

FY2017

FY2016

FY2015

FY2014

Land Grant Total Fund Composite 6.31 6.31 3.10 4.07 8.82 6.35 7.76 9.70 8.55 13.16 0.37 3.54 15.67Land Grant Interim Policy Index 6.52 6.52 3.07 4.09 7.97 6.18 7.42 10.29 7.94 11.49 0.71 4.40 16.15Land Grant Policy Index (Long Term) 6.03 6.03 3.08 3.84 8.14 6.18 7.67 10.04 8.12 11.85 0.60 4.08 15.82

All Public Plans (>$10B) (Custom PG) Median 7.21 7.21 3.32 4.37 8.84 6.38 7.76 9.97 9.19 13.27 0.68 3.71 16.85 Land Grant Total Fund Composite Rank 71 71 62 65 52 62 50 63 74 55 62 56 72 Land Grant Interim Policy Index Rank 62 62 64 64 85 73 71 42 85 84 48 32 61 Land Grant Policy Index (Long Term) Rank 85 85 63 71 80 73 61 48 83 82 55 43 67

Population 45 45 43 43 42 40 39 38 20 21 22 21 22

All Public Plans - Total Fund Median 8.36 8.36 3.06 4.09 8.42 5.97 7.31 9.78 8.32 12.06 0.70 3.07 16.76 Land Grant Total Fund Composite Rank 91 91 49 51 27 35 34 55 45 30 58 37 73 Land Grant Interim Policy Index Rank 87 87 50 50 68 42 47 33 60 64 50 18 63 Land Grant Policy Index (Long Term) Rank 94 94 50 58 61 42 38 43 57 57 54 23 71

Population 439 439 433 430 413 395 379 335 277 296 293 258 243

All Public Plans (>$1B) (Custom PG) Median 7.20 7.20 3.11 4.16 8.74 6.31 7.64 10.17 8.72 12.80 0.62 3.35 16.86 Land Grant Total Fund Composite Rank 84 84 52 53 41 46 40 68 58 40 58 44 70 Land Grant Interim Policy Index Rank 72 72 54 53 82 56 60 43 71 75 46 21 59 Land Grant Policy Index (Long Term) Rank 90 90 53 60 76 56 48 56 66 71 51 28 65

Population 74 74 73 73 72 69 66 63 95 99 98 79 69

Page 15

Land Grant Rolling 3-Year Rank (All Public Plans > $1B)

Performance shown is gross of fees. Performance is annualized for periods greater than one year.

Page 16

Severance Tax Total Fund vs. Peers as of March 31, 2019Fund Objective: The objectives of the Severance Tax Permanent Fund are as follows:

1. Provide the annual distribution to beneficiaries as defined in State statute;2. Protect the purchasing power of the corpus of the fund such that future distributions from the

fund stay stable or increase in economic value; and3. Provide some growth in real value, to keep up with population growth and other growth

factors of the beneficiaries.

Performance shown is gross of fees. Performance is annualized for periods greater than one year. Long-term allocation data is backfilled using data as of August 2011. Fund Objective Source: NMSIC 2017-2018 Annual Investment Plan.

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

FY2018

FY2017

FY2016

FY2015

FY2014

Severance Tax Total Fund Composite 6.33 6.33 3.09 4.90 8.74 6.33 7.64 9.37 8.62 13.00 0.44 3.35 15.75Severance Tax Interim Policy Index 6.62 6.62 3.12 4.18 8.08 6.25 7.47 10.20 8.10 11.64 0.69 4.40 16.15Severance Tax Policy Index (Long Term) 5.98 5.98 3.18 3.94 8.24 6.33 7.77 10.07 8.21 11.99 0.59 4.49 15.98

All Public Plans (>$10B) (Custom PG) Median 7.21 7.21 3.32 4.37 8.84 6.38 7.76 9.97 9.19 13.27 0.68 3.71 16.85 Severance Tax Total Fund Composite Rank 70 70 63 29 61 65 63 77 68 59 60 60 69 Severance Tax Interim Policy Index Rank 61 61 62 60 80 67 70 45 83 83 48 32 61 Severance Tax Policy Index (Long Term) Rank 85 85 57 69 79 65 48 48 82 82 55 31 62

Population 45 45 43 43 42 40 39 38 20 21 22 21 22

All Public Plans - Total Fund Median 8.36 8.36 3.06 4.09 8.42 5.97 7.31 9.78 8.32 12.06 0.70 3.07 16.76 Severance Tax Total Fund Composite Rank 90 90 50 27 32 35 40 67 43 32 57 44 72 Severance Tax Interim Policy Index Rank 86 86 48 47 63 39 45 36 57 60 51 18 63 Severance Tax Policy Index (Long Term) Rank 94 94 44 55 57 35 33 43 54 53 54 16 67

Population 439 439 433 430 413 395 379 335 277 296 293 258 243

All Public Plans (>$1B) (Custom PG) Median 7.20 7.20 3.11 4.16 8.74 6.31 7.64 10.17 8.72 12.80 0.62 3.35 16.86 Severance Tax Total Fund Composite Rank 79 79 53 21 50 49 51 81 55 44 56 50 68 Severance Tax Interim Policy Index Rank 70 70 50 50 77 52 60 49 67 74 47 21 59 Severance Tax Policy Index (Long Term) Rank 90 90 47 56 73 49 37 55 64 68 52 20 60

Population 74 74 73 73 72 69 66 63 95 99 98 79 69

Plan Sponsor Peer Group Median AverageAll Public Plans (>$10B) (Custom PG) $25.8B $36.2BAll Public Plans - Total Fund $78.5M $2.8BAll Public Plans (>$1B) (Custom PG) $8.3B $19.9B

Page 17

Asset Allocation vs. Peers as of March 31, 2019

Parentheses contain percentile ranks. Alternatives include Absolute Return, Real Return, and Private Equity investments.Severance Tax Total Fund Composite allocations include allocation to ETI.

Page 18

Risk / Return vs. Peers as of March 31, 2019All Public Plans > $1B - Total Fund Universe

Performance shown is gross of fees. Calculation is based on quarterly periodicity.

All Public Plans > $10B – Total Fund Universe

Page 19

Asset Class Performance

Page 20

Asset Class Composite Performance

Performance shown is gross of fees, except for Private Equity, Real Estate, and Real Return investments, which are shown net of fees. Performance is annualized for periods greater than one year. Fiscal year ends June 30. For other performance-related comments, please see the Addendum. *Indicates performance is lagged. Q4 2018 Townsend data is currently unavailable. Q4 2018 returns for the Cambridge US Prvt Eq Index are currently preliminary.

Allocation Performance (%) Market

Value ($) QTD CYTD FYTD1

Year3

Years5

Years7

Years10

YearsUS Equity Composite 5,693,485,966 13.31 13.31 4.36 7.59 13.11 9.75 12.02 14.79Russell 3000 Index 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00 Difference -0.73 -0.73 -0.34 -1.18 -0.38 -0.61 -0.61 -1.21All Public Plans-US Equity Segment Median 13.91 13.91 3.37 7.52 13.19 9.62 12.04 15.66 Rank 73 73 33 48 53 48 52 81Non-US Equity Composite 5,250,048,659 10.94 10.94 -2.32 -4.98 8.77 3.08 4.02 9.11Non-US Equity Custom Index 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84 Difference 0.63 0.63 0.10 -0.02 0.83 0.54 -0.21 0.27All Public Plans-Intl. Equity Segment Median 10.93 10.93 -1.89 -4.18 8.66 3.72 6.14 10.07 Rank 50 50 72 68 41 79 100 95Core Fixed Income Composite 3,841,357,702 3.23 3.23 4.57 4.58 3.45 3.52 3.99 N/ABloomberg US Agg Bond Index 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77 Difference 0.29 0.29 -0.08 0.10 1.42 0.78 1.51 N/AAll Public Plans-US Fixed Income Segment Median 3.42 3.42 4.29 4.25 3.15 3.18 3.23 5.27 Rank 65 65 35 27 45 38 29 N/ANon-Core Fixed Income Composite 2,314,346,152 1.02 1.02 1.83 2.53 5.88 3.52 5.38 N/ANon-Core Fixed Income Custom Index 3.65 3.65 2.45 3.31 6.92 4.19 5.75 8.50 Difference -2.63 -2.63 -0.62 -0.78 -1.04 -0.67 -0.37 N/ACash Equivalent Composite 454,559,086 0.93 0.93 2.00 2.43 1.42 0.90 0.82 0.89ICE BofAML 3 Mo US T-Bill Index 0.60 0.60 1.66 2.12 1.19 0.74 0.56 0.43 Difference 0.33 0.33 0.34 0.31 0.23 0.16 0.26 0.46Private Equity Composite (Ex. State)* 2,383,886,814 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83Cambridge US Prvt Eq Index (Lagged 1 Qtr) -2.01 -2.01 7.16 10.06 13.52 11.45 13.05 13.73 Difference 2.15 2.15 1.40 0.14 -1.49 -1.86 -2.26 -4.90Townsend-Reported Real Estate Composite* 2,057,587,740 0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01 Difference -1.52 -1.52 -1.74 -0.83 1.01 1.22 0.60 0.23NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43 Difference 0.00 0.00 -0.23 0.71 0.48 0.31 -0.09 -0.19Real Return Composite* 2,010,740,506 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/AReal Return Custom Index 3.11 3.11 0.31 1.14 2.95 0.29 0.80 2.46 Difference 0.66 0.66 1.77 4.26 4.65 2.86 N/A N/A

Page 21

Asset Class: US Equity

Page 22

NMSIC US Equity Structure UpdateRecent Manager Hires:• There were no new managers funded during the quarter.

Recent Manager Terminations:• While there were no manager terminations during the quarter, RVK and SIC Staff made the recommendation

to terminate Seizert Capital Partners at the April SIC meeting. Assets from the termination are to be redistributed to the passively managed Russell 1000 Index Strategy.

Target Changes:• Interim Targets as of 5/1/2018

– 24% LGPF– 25% STPF

• Long-Term Targets – 20% LGPF and STPF

Manager Events:• During April 2019, AQR announced that Andrea Frazzini will be joining Jacques Friedman as co-Head of

Global Stock Selection. The promotion is being made to provide a clear succession plan in preparation for the retirement of Mr. Friedman. This retirement is expected to occur in the next few years.

Performance Commentary:• The US Equity Composite underperformed the Russell 3000 Index during the quarter (13.31% vs. 14.04%).

Both the large cap and small/mid cap portfolios underperformed their respective benchmarks, in a quarter that proved to be difficult for active managers. Of the active managers, Seizert Capital Partners underperformed its benchmark by the largest margin (9.53% vs. 16.54%), while only BlackRock Alpha Tilts managed to outperform its benchmark (16.17% vs. 14.58%).

Performance shown is gross of fees.Page 23

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

NMSIC US Equity Composite - Gross 13.31 13.31 4.36 7.59 13.11 9.75 12.02 14.79Russell 3000 Index 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00All Public Plans-US Equity Segment Median 13.91 13.91 3.37 7.52 13.19 9.62 12.04 15.66 Rank 73 73 33 48 53 48 52 81NMSIC US Equity Composite - Net 13.28 13.28 4.28 7.41 12.89 9.53 11.78 14.55Russell 3000 Index 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00

US Large Cap Equity Composite 13.45 13.45 5.33 8.50 13.40 10.43 12.30 14.64Russell 1000 Index 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05US Small/Mid Cap Equity Composite 12.16 12.16 -5.24 -1.33 9.96 4.14 8.94 N/AUS Small/Mid Cap Equity Custom Index 15.18 15.18 -2.69 3.40 12.64 7.63 11.16 15.85

Investment Policy Objectives - Asset Class Composites

Performance Objectives Meets Objective Performance 3 YearsUS Equity Composite 13.11Russell 3000 Index 13.49Difference -0.38

Objective Meets Objective ExplanationUS Equity

Exceed the return of the Russell 3000 Index on a gross-of-fees basis over a trailing three-year period. No

Rank at a minimum in the top two-thirds of a nationally recognized plan sponsor universe of equity segments possessing a similar style. Yes

Over the trailing three-year period, the US Equity Composite returned 13.11% vs. 13.49% for the Russell 3000 Index. For the same time period, the fund had a percentile ranking of 53 when compared to other US Equity segments within the All Public Plans universe.

NMSIC US Equity as of March 31, 2019

Performance shown is gross of fees, except where noted otherwise. Performance is annualized for periods greater than one year.

Page 24

NMSIC US Equity as of March 31, 2019 - ContinuedAll Public Plans – US Equity Segment

Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks.

Page 25

Asset Class: Non-US Equity

Page 26

NMSIC Non-US Equity Structure UpdateRecent Manager Hires:• There were no new managers funded during the quarter.

Recent Manager Terminations:• There were no manager terminations during the quarter.


– 20% LGPF and STPF• Long-Term Targets

– 20% LGPF and STPF

Manager Events:• During January 2019, Franklin Templeton announced an agreement to acquire Edinburgh Partners

Limited. As a result of the acquisition, Sandy Nairn, Ph.D., will become chairman of the Templeton Global Equity Group. Between 1990 and 2000, Nairn worked with the Templeton Global Equity Group, serving as executive vice president and director of research.

Performance Commentary:• The Non-US Equity Composite outperformed its custom index for the quarter (10.94% vs. 10.31%). Both

the non-US developed and non-US emerging portfolios contributed to relative returns, beating their benchmarks by 77 bps and 147 bps, respectively.

Performance shown is gross of fees.Page 27

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

NMSIC Non-US Equity Composite - Gross 10.94 10.94 -2.32 -4.98 8.77 3.08 4.02 9.11Non-US Equity Custom Index 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84All Public Plans-Intl. Equity Segment Median 10.93 10.93 -1.89 -4.18 8.66 3.72 6.14 10.07 Rank 50 50 72 68 41 79 100 95NMSIC Non-US Equity Composite - Net 10.85 10.85 -2.50 -5.33 8.38 2.69 3.67 8.75Non-US Equity Custom Index 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84

Non-US Developed Markets Composite 10.85 10.85 -2.94 -4.11 8.39 3.74 6.60 9.59Non-US Developed Markets Custom Index 10.08 10.08 -3.33 -4.57 7.30 2.47 5.74 9.03Non-US Emerging Markets Composite 11.40 11.40 0.43 -8.08 11.11 3.47 1.48 8.55MSCI Emg Mkts Index (USD) (Net) 9.93 9.93 0.60 -7.41 10.68 3.68 2.69 8.95


Performance Objectives Meets Objective Performance 3 YearsNon-US Equity Composite 8.77Non-US Equity Custom Index 7.94Difference 0.83

Objective Meets Objective ExplanationOver the trailing three-year period, the Non-US Equity Composite returned 8.77% vs. 7.94% for the Non-US Equity Custom Index. For the same time period, the fund had a percentile ranking of 41 when compared to other Non-US Equity segments within the All Public Plans universe.

Non-US Equity

Exceed the return of the Non-US Equity Custom Index on a gross-of-fees basis over a trailing three-year period.

Yes

Rank at a minimum in the top two-thirds of a nationally recognized plan sponsor universe of equity segments possessing a similar style. Yes

NMSIC Non-US Equity as of March 31, 2019


Page 28

NMSIC Non-US Equity as of March 31, 2019 - ContinuedAll Public Plans – Non-US Equity Segment


Page 29

Asset Class: Fixed Income

Page 30

NMSIC Fixed Income Structure UpdateRecent Manager Hires:• While there were no Fixed Income managers funded during the quarter, the SIC made commitments of $200M

to both the PIMCO Private Income Fund and the Global Infrastructure Partners Spectrum. The two funds will be additions to the Non-Core FI composite.

Recent Manager Terminations: • There were no Fixed Income managers terminated during the quarter.


– 11% Core FI / 14% Non-Core FI - LGPF– 12% Core FI / 12% Non-Core FI - STPF

• Long-Term Targets– 10% Core FI / 15% Non-Core FI - LGPF – 12% Core FI / 12% Non-Core FI - STPF

Manager Events:• During April 2019, it was announced that Steven Schweitzer, a co-portfolio manager for the Short Duration High

Yield strategy, has left the firm. RVK continues to feel that Shenkman is adequately staffed and can continue to run the strategy effectively in Schweitzer’s absence.

Page 31

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

Core Fixed Income Composite 3.23 3.23 4.57 4.58 3.45 3.52 3.99 N/ABloomberg US Agg Bond Index 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77All Public Plans-US Fixed Income Segment Median 3.42 3.42 4.29 4.25 3.15 3.18 3.23 5.27 Rank 65 65 35 27 45 38 29 N/A

Non-Core Fixed Income Composite 1.02 1.02 1.83 2.53 5.88 3.52 5.38 N/ANon-Core Fixed Income Custom Index 3.65 3.65 2.45 3.31 6.92 4.19 5.75 8.50


Performance Objectives Meets Objective Performance 3 YearsCore Fixed Income Composite 3.45Bloomberg US Agg Bond Index 2.03Difference 1.42

Objective Meets Objective Explanation

Performance Objective Meets Objective Performance 3 YearsNon-Core Fixed Income Composite 5.88Non-Core Fixed Income Custom Index 6.92Difference -1.04

Explanation

Non-Core Fixed Income

Over the trailing three-year period, the Non-Core Fixed Income Composite returned 5.88% vs. 6.92% for the Non-Core Fixed Income Custom Index.

Core Fixed Income

Exceed the return of the Bloomberg US Agg Bond Index on a gross-of-fees basis over a trailing three-year period.

Yes

Rank at a minimum in the top two-thirds of a nationally recognized plan sponsor universe of fixed income segments possessing a similar style. Yes

Over the trailing three-year period, the Core Fixed Income Composite returned 3.45% vs. 2.03% for the Bloomberg US Agg Bond Index. For the same time period, the fund had a percentile ranking of 45 when compared to other US Fixed Income segments within the All Public Plans universe.

Exceed the return of the Non-Core Fixed Income Custom Index on a gross-of-fees basis over a trailing three-year period.

No

NMSIC Fixed Income as of March 31, 2019


Page 32

NMSIC Core Fixed Income as of March 31, 2019All Public Plans – US Fixed Income Segment


Page 33

Asset Class: Alternative Investments

Page 34

QTD CYTD FYTD 1Year

3Years

5Years

7Years

10Years

Private Equity Composite (Ex. State) - Net* 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83Cambridge US Prvt Eq Index (Lagged 1 Qtr) -2.01 -2.01 7.16 10.06 13.52 11.45 13.05 13.73

0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43

Real Return Composite - Net* 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/AReal Return Custom Index 3.11 3.11 0.31 1.14 2.95 0.29 0.80 2.46

Townsend-Reported Real Estate Composite - Net*


Performance Objectives Meets Objective Performance 3 YearsPrivate Equity Composite (Ex. State)* 12.03Cambridge US Prvt Eq Index (Lagged 1 Qtr) 13.52Difference -1.49

Explanation

Performance Objective Meets Objective Performance 3 YearsTownsend-Reported Real Estate Composite* 8.28NCREIF ODCE Index (Net) (Lagged 1 Qtr) 7.27NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 7.80

Meets Objective Explanation

Performance Objectives Meets Objective Performance 3 YearsReal Return Composite* 7.60Real Return Custom Index 2.95Difference 4.65

ExplanationReal Return

Exceed the return of the Real Return Custom Index on a net-of-fees basis over a trailing three-year period.

Yes

Over the trailing three-year period, the Real Return Composite returned 7.60% vs. 2.95% for the Real Return Custom Index.

Private Equity

Exceed the return of the Cambridge US Prvt Eq Index (Lagged 1 Qtr) on a net-of-fees basis over a trailing three-year period.

NoOver the trailing three-year period, the Private Equity Composite (Ex. State) returned 12.03% vs. 13.52% for the Cambridge US Prvt Eq Index (Lagged 1 Qtr).

Exceed the return of the NCREIF/Townsend Wtd Index (Lagged 1 Qtr) on a gross-of-fees basis over a trailing three-year period. N/A

Townsend data as of the most recent, previous quarter's end is currently unavailable, and a 0.00% return is assumed.

Real Estate

Exceed the return of the NCREIF ODCE Index (Net) (Lagged 1 Qtr) on a gross-of-fees basis over a trailing three-year period.

N/A

Investment Policy Review

Performance shown is net of fees, except where noted otherwise. Performance is annualized for periods greater than one year. *Indicates performance is lagged 1 quarter. Q4 2018 returns for the Cambridge US Prvt Eq Index are currently preliminary.

Page 35

Supplemental Information

Page 36

AddendumPerformance Related Comments• Performance shown is gross of fees unless otherwise noted. Performance is annualized for periods greater than one year. Fiscal year ends on June 30.• Private Equity, Real Estate, and Townsend-Reported Other Real Return investments are lagged 1 quarter, and performance assumes a 0.00% return during interim-quarter months. • Market values shown for the Real Estate and Other Real Return composites may differ from Townsend-reported data due to factors such as timing, pending contributions or distributions, differing

valuation sources, or historical updates. As such, the underlying constituents may not sum up to the total respective asset class composite.• With the exception of Financial Real Return investments, performance shown for the Real Return investments assumes a 0.00% return during interim-quarter months.• Indices show N/A for since inception returns when the fund contains more history than the corresponding benchmark.• Since Inception dates reflect first month of reliable and verifiable data and may not reflect the actual full month following initial funding.• RVK began calculating performance in May 2011 using data provided by J.P. Morgan. Historical performance prior to this date was provided by NEPC.• Performance and market values for Total Fund Composites and the Cash Equivalent Composite may not match J.P. Morgan. RVK includes Beta Overlay Futures and Options within each Total

Fund Composite, as well as Beta Overlay Cash within the Cash Equivalent Composite.• *Indicates performance is lagged 1 quarter.

Custom Index Comments• Land Grant Interim Policy Index is based on the target allocation and currently consists of 21.9% Russell 1000 Index, 2.1% US Small/Mid Cap Equity Custom Index, 16% Non-US Developed

Markets Custom Index, 4% MSCI Emg Mkts Index (USD) (Net), 11% Core Fixed Income Custom Index, 14% Non-Core Fixed Income Index, 10% Cambridge US Prvt Eq Index (Lagged 1 Qtr), 10% NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), 10% Real Return Custom Index, and 1% ICE BofAML 3 Mo US T-Bill Index.

• Severance Tax Interim Policy Index is based on the target allocation and currently consists of 22.9% Russell 1000 Index, 2.2% US Small/Mid Cap Equity Custom Index, 16% Non-US Developed Markets Custom Index, 4% MSCI Emg Mkts Index (USD) (Net), 12% Core Fixed Income Custom Index, 12% Non-Core Fixed Income Custom Index, 10% Cambridge US Prvt Eq Index (Lagged 1 Qtr), 10% NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), 10% Real Return Custom Index, and 1% ICE BofAML 3 Mo US T-Bill Index.

• Land Grant Policy Index (Long Term) is based on the long-term target allocation and currently consists of 17.1% Russell 1000 Index, 2.9% US Small/Mid Cap Equity Custom Index, 12.0% Non-US Developed Markets Custom Index, 8.0% MSCI Emg Mkts Index (USD) (Net), 10.0% Core Fixed Income Custom Index, 15.0% Non-Core Fixed Income Custom Index, 11% Cambridge US PrvtEq Index (Lagged 1 Qtr), 12% NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), and 12% Real Return Custom Index.

• Severance Tax Policy Index (Long Term) is based on the long-term target allocation and currently consists of 17.1% Russell 1000 Index, 2.9% US Small/Mid Cap Equity Custom Index, 12.0% Non-US Developed Markets Custom Index, 8.0% MSCI Emg Mkts Index (USD) (Net), 12.0% Core Fixed Income Custom Index, 12.0% Non-Core Fixed Income Custom Index, 12% Cambridge US Prvt Eq Index (Lagged 1 Qtr), 12% NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), and 12% Real Return Custom Index.

• Global Equity Custom Index consists of 70% Russell 3000 Index, 18% MSCI EAFE Index (Net), and 12% MSCI Emg Mkts Index (Net) through October 2015; 64% Russell 3000 Index, 28% MSCI EAFE Index (Net), and 8% MSCI Emg Mkts Index (Net) through June 2016; and 59% Russell 3000 Index, 32% MSCI EAFE Index (Net), and 9% MSCI Emg Mkts Index (Net) through 2/28/2019, and 100% MSCI ACW IM Index (USD) (Net) thereafter.

• US Small/Mid Cap Equity Custom Index consists of 70% Russell 2000 Index and 30% Russell Mid Cap Index.• Non-US Equity Custom Index consists of 60% MSCI EAFE Index (Net) and 40% MSCI Emg Mkts Index (Net) through October 2015, and the MSCI ACWI ex-US IM Index thereafter.• Non-US Developed Markets Custom Index consists of the MSCI EAFE Index (Net) through November 2015 and the MSCI EAFE IM Index (Net) thereafter.• Fixed Income Custom Index consists of the Bloomberg US Agg Bond Index prior to March 2007 and is calculated using beginning of month weights applied to each corresponding primary

benchmark return thereafter.• Core Fixed Income Custom Index consists of 10% Bloomberg US Trsy Index, 5% Bloomberg US Gov’t/Crdt 1-3Yr Bond Index, 15% Bloomberg US Corp IG Index, 55% Bloomberg US Unv Bond

Index, and 15% ICE BofAML HY US Corp Cash Pay BB-B 1-5Yr Constrained Index. • Non-Core Fixed Income Custom Index consists of 20% ICE BofAML US HY Master II Index, 30% HFRX Fixed Income Asset Backed Index, 30% CS Lvg’d Loan Index, and 20% HFRX Distressed

Securities Index.• The Private Equity benchmark was updated to the Cambridge US Prvt Eq Index (Lagged 1 Qtr) in November 2014. • NCREIF/Townsend Wtd Index is calculated by Townsend, lagged 1 quarter, and is a weighted benchmark based on target allocations to each real estate sector in the universe.• Real Return Custom Index consists of 35% Bloomberg US Trsy US TIPS Index, 25% Bloomberg Commodity Index (TR), 20% NCREIF Timberland Index, and 20% CPI+3%.

Page 37

Market Value($)

NMSIC Total Fund Composite 24,629,153,042

Land Grant Total Fund Composite 18,077,666,747Severance Tax Total Fund Composite 5,210,379,694Tobacco Settlement Total Fund Composite 165,161,639Water Trust Total Fund Composite 42,857,247Third Party Investors Total Fund Composite 1,133,079,126

Permanent Fund Market Values as of March 31, 2019

Market values shown may not sum up to the Total Fund exactly due to unitization rounding.

Page 38

LGPF Performance AttributionLGPF outperformed its Interim Policy Index over 3 years ending March 31, 2019

• The Land Grant’s interim strategic asset allocation accounted for 7.97% of the 8.82% return generated over the trailing 3-year period. Public and Private Equities continue to contribute most significantly to returns, with all other asset classes providing positive contributions to performance as well.

• Real Return and Fixed Income managers were some of the largest contributors to positive relative performance.

• Asset class structures, particularly within Fixed Income, contributed positively to performance over the trailing 3-year period.

• Deviations from the interim policy index detracted modestly from relative performance over the trailing 3-year period.

Performance shown is gross of fees, except for Absolute Return, Private Equity, Real Estate, and Real Return investments, which are net of fees. Calculation is based on monthly periodicity.

Page 39

STPF Performance AttributionSTPF outperformed its Interim Policy Index over 3 years endingMarch 31, 2019

• The Severance Tax’s interim policy allocations accounted for 8.08% of the total fund return of 8.74%, with Public and Private Equities contributing the majority of the absolute return experienced.

• Real Return and Fixed Income manager outperformance contributed positively to relative performance over the trailing 3-year period, more than offsetting underperformance by Private Equity and US Equity managers.

• Asset class structures, particularly within Fixed Income, contributed positively to performance over the trailing 3-year period.

• In aggregate, deviations from the interim policy index had a neutral effect on relative performance over the trailing 3-year period.

Performance shown is gross of fees, except for Absolute Return, Private Equity, Real Estate, and Real Return investments, which are net of fees. Calculation is based on monthly periodicity.

Page 40

US & Non-US Equity Holdings Distributionas of March 31, 2019

Sector allocation to “Other” consists of ETF holdings.

Page 41

NMSIC Fixed Income as of March 31, 2019

Characteristics shown represent the Core Fixed Income composite, as well as GAM Unconstrained, Loomis Sayles Unconstrained, and the Bank Loan Pool from the Non-Core Fixed Income composite. Negative sector allocation reflects the managers' use of derivatives, short selling, or interest rate swaps. Allocation to "Other" consists of Preferred, RMBS, Euro/Yankees, Swaps, Convertibles, Currency Forward, and Derivative securities held by the underlying managers.

Fixed Income Characteristics vs. the Bloomberg US Unv Bond Index

Page 42

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.

Page 43

New Mexico State Investment Council

Period Ended: March 31, 2019

General Market Commentary Land Grant Asset Allocation vs. Interim Target

*Severance Tax (Ex ETI) Asset Allocation vs. Interim TargetNMSIC Performance Attribution Summary

NMSIC Performance Summary

Long-TermTarget

(%)

Though equity markets faltered early in March due to poor economic news, mostglobal market segments rallied throughout the remainder of the month.

The FOMC left interest rates unchanged at its March meeting. The FOMC'seconomic outlook softened, as suggested by zero projected rate hikes in 2019, andonly one in 2020. As a result, 10-year yields declined in the days after the meeting,and traded below 3-month yields as the US Treasury curve inverted.

Equity markets posted positive returns in March as the S&P 500 (Cap Wtd) Indexreturned 1.94% and the MSCI EAFE (Net) Index returned 0.63%. Emerging marketsreturned 0.84% as measured by the MSCI EM (Net) Index.

The Bloomberg US Aggregate Bond Index returned 1.92% in March, outperformingthe 1.23% return by the Bloomberg US Treasury Int Term Index.

The Cambridge US Private Equity Index returned 18.01% for the trailing one-year period and 13.40% for the trailing five-year period ending September 2018.

Real estate strategies, as measured by the NCREIF ODCE Index (Net), returned1.20% for the quarter and 6.55% for the trailing one-year period ending March 2019.

AssetAllocation

($)

AssetAllocation

(%)

InterimTarget

(%)Differences

(%)

Land Grant TF Composite 18,077,666,747 100.00 100.00 0.00

US Equity 4,083,747,201 22.59 24.00 -1.41

Non-US Equity 3,861,044,108 21.36 20.00 1.36

Core Fixed Income 2,738,890,013 15.15 11.00 4.15

Non-Core Fixed Income 1,764,972,281 9.76 14.00 -4.24

Private Equity 2,103,641,110 11.64 10.00 1.64

Real Estate 1,657,673,889 9.17 10.00 -0.83

Real Return 1,530,141,482 8.46 10.00 -1.54

Cash Equivalent 337,556,662 1.87 1.00 0.87

100.00

20.00

20.00

10.00

15.00

11.00

12.00

12.00

0.00

Long-TermTarget

(%)

AssetAllocation

($)

AssetAllocation

(%)

InterimTarget

(%)Differences

(%)

Severance Tax TF Composite 5,166,706,005 100.00 100.00 0.00

US Equity 1,181,365,600 22.86 25.00 -2.14

Non-US Equity 1,162,139,496 22.49 20.00 2.49

Core Fixed Income 728,520,956 14.10 12.00 2.10

Non-Core Fixed Income 432,835,743 8.38 12.00 -3.62

Private Equity 606,248,805 11.73 10.00 1.73

Real Estate 494,893,826 9.58 10.00 -0.42

Real Return 444,541,563 8.60 10.00 -1.40

Cash Equivalent 116,160,017 2.25 1.00 1.25

The Land Grant’s interim strategic asset allocation remains the primary driver of absolute returns experienced over the last 3 years, with exposure to public andprivate equity continuing to be the most significant contributor.

Manager excess performance, especially from Real Return and Fixed Incomemanagers, contributed positively to the Fund's relative performance. Asset classstructures have contributed to, while deviations from the interim policy index havedetracted from relative performance.

Over the past year, public and private equity exposure has driven the majority of absolute returns experienced, with private and US equities contributing to, and Non-US equity detracting from, absolute performance.

Manager skill detracted from relative performance; underperformance from publicequity, private equity, and Non-Core FI managers was slightly offset byoutperformance from Real Return managers. In aggregate, asset class structuresand deviations from the interim policy index were relatively neutral.

MFS Int'l Large Cap Growth, BlackRock Alpha Tilts, and T. Rowe Price LC Growthprovided the largest relative performance among NMSIC's active managers. SeizertCapital Partners, Donald Smith & Company, and T. Rowe Price Int'l Core trailedtheir benchmarks by the largest margin among NMSIC’s active managers.

100.00

20.00

20.00

12.00

12.00

12.00

12.00

12.00

0.00

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years

NMSIC Total Fund Composite 0.89 6.35 6.35 3.13 4.27 8.81 6.37 7.78 9.65

Land Grant Total Fund Composite 0.90 6.31 6.31 3.10 4.07 8.82 6.35 7.76 9.70

Land Grant Interim Policy Index 0.92 6.71 6.71 3.25 4.28 8.03 6.22 7.45 10.31

Difference -0.02 -0.40 -0.40 -0.15 -0.21 0.79 0.13 0.31 -0.61

Severance Tax Total Fund Composite 0.78 6.33 6.33 3.09 4.90 8.74 6.33 7.64 9.37

Severance Tax Interim Policy Index 0.95 6.82 6.82 3.30 4.37 8.15 6.29 7.50 10.22

Difference -0.17 -0.49 -0.49 -0.21 0.53 0.59 0.04 0.14 -0.85

New Mexico State Investment Council As of March 31, 2019

Executive Summary

Performance shown is gross of fees. Total Fund Composite gross performance is a mix of gross and net performance due to the valuation and reporting nature of underlying alternative investments. Performance is annualized for periods greater than one year. Fiscal year ends June 30. *Severance Tax target allocation excludes economically targeted investments.

Page 2

NMSIC Total Fund

Tobacco Settlement Total Fund

Severance Tax Total Fund

Land Grant Total Fund

Water Trust Total Fund

External Client Total Fund

Periods EndingBeginning

Market Value ($)Net

Cash Flow ($)Gain/Loss ($)

EndingMarket Value ($)

% Return

CYTD 23,241,124,893 -87,079,407 1,475,107,557 24,629,153,042 6.35


Market Value ($)Net



% Return

CYTD 17,054,368,714 -51,423,196 1,074,721,229 18,077,666,747 6.31


Market Value ($)Net



% Return

CYTD 4,946,989,828 -49,460,616 312,850,481 5,210,379,694 6.33


Market Value ($)Net



% Return

CYTD 149,771,840 -32,791 15,422,590 165,161,639 10.30


Market Value ($)Net



% Return

CYTD 40,818,469 -8,267 2,047,045 42,857,247 5.01


Market Value ($)Net



% Return

CYTD 1,049,168,410 13,845,462 70,065,253 1,133,079,126 6.66

New Mexico State Investment CouncilSchedule of Investable Assets

As of March 31, 2019

Performance and cash flows shown are gross of fees. Composite gross performance is a mix of gross and net performance due to the valuation and reporting nature of underlying alternative investments. Cash flows shown are as reported by JP Morgan.

Page 3

Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018 2017 2016

NMSIC Total Fund Composite 24,629,153,042 100.00 0.89 6.35 6.35 3.13 4.27 8.81 6.37 7.78 9.65 -1.54 15.07 7.60

Land Grant Total Fund Composite 18,077,666,747 73.40 0.90 6.31 6.31 3.10 4.07 8.82 6.35 7.76 9.70 -1.61 15.30 7.56

Land Grant Interim Policy Index 0.92 6.71 6.71 3.25 4.28 8.03 6.22 7.45 10.31 -2.11 13.93 7.27

Difference -0.02 -0.40 -0.40 -0.15 -0.21 0.79 0.13 0.31 -0.61 0.50 1.37 0.29

Severance Tax Total Fund Composite 5,210,379,694 21.16 0.78 6.33 6.33 3.09 4.90 8.74 6.33 7.64 9.37 -1.04 14.17 7.54

Severance Tax Interim Policy Index 0.95 6.82 6.82 3.30 4.37 8.15 6.29 7.50 10.22 -2.07 14.07 7.33

Difference -0.17 -0.49 -0.49 -0.21 0.53 0.59 0.04 0.14 -0.85 1.03 0.10 0.21

Global Equity Composite 10,943,534,625 44.43 0.88 12.24 12.24 1.23 1.60 11.15 7.42 9.44 12.87 -9.92 24.82 8.99

Global Equity Custom Index 1.03 12.11 12.11 1.64 2.54 11.14 7.48 9.72 13.61 -9.21 23.82 9.17

Difference -0.15 0.13 0.13 -0.41 -0.94 0.01 -0.06 -0.28 -0.74 -0.71 1.00 -0.18

US Equity Composite 5,693,485,966 23.12 1.12 13.31 13.31 4.36 7.59 13.11 9.75 12.02 14.79 -5.57 21.20 12.02

Russell 3000 Index 1.46 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00 -5.24 21.13 12.74

Difference -0.34 -0.73 -0.73 -0.34 -1.18 -0.38 -0.61 -0.61 -1.21 -0.33 0.07 -0.72

Non-US Equity Composite 5,250,048,659 21.32 0.62 10.94 10.94 -2.32 -4.98 8.77 3.08 4.02 9.11 -14.71 30.80 3.77

Non-US Equity Custom Index 0.54 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84 -14.76 27.81 4.41

Difference 0.08 0.63 0.63 0.10 -0.02 0.83 0.54 -0.21 0.27 0.05 2.99 -0.64

Fixed Income Composite 6,155,703,855 24.99 1.15 2.42 2.42 3.64 3.90 4.47 3.79 4.63 6.57 1.49 5.86 5.53

Bloomberg US Unv Bond Index 1.81 3.32 3.32 4.81 4.53 2.65 3.00 2.88 4.36 -0.25 4.09 3.91

Difference -0.66 -0.90 -0.90 -1.17 -0.63 1.82 0.79 1.75 2.21 1.74 1.77 1.62

Core Fixed Income Composite 3,841,357,702 15.60 1.62 3.23 3.23 4.57 4.58 3.45 3.52 3.99 N/A 0.39 4.89 5.10

Bloomberg US Agg Bond Index 1.92 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77 0.01 3.54 2.65

Difference -0.30 0.29 0.29 -0.08 0.10 1.42 0.78 1.51 N/A 0.38 1.35 2.45

Non-Core Fixed Income Composite 2,314,346,152 9.40 0.37 1.02 1.02 1.83 2.53 5.88 3.52 5.38 N/A 3.00 7.99 4.27

Non-Core Fixed Income Custom Index 0.14 3.50 3.50 2.31 3.16 6.87 4.16 5.73 8.48 -0.81 6.16 12.14

Difference 0.23 -2.48 -2.48 -0.48 -0.63 -0.99 -0.64 -0.35 N/A 3.81 1.83 -7.87

Cash Equivalent Composite 454,559,086 1.85 0.20 0.93 0.93 2.00 2.43 1.42 0.90 0.82 0.89 1.80 1.24 0.39

ICE BofAML 3 Mo US T-Bill Index 0.22 0.60 0.60 1.66 2.12 1.19 0.74 0.56 0.43 1.87 0.86 0.33

Difference -0.02 0.33 0.33 0.34 0.31 0.23 0.16 0.26 0.46 -0.07 0.38 0.06

New Mexico State Investment CouncilAsset Allocation & Performance - Composites


Performance shown is gross of fees, except for Private Equity, Real Estate, and Real Return investments, which are net of fees. Performance for Private Equity, Real Estate, and Real Return investments is assumed 0.00% during intra-quarter months. Performance is annualized for periods greater than one year. Fiscal year ends June 30. For other performance-related comments, please see the Addendum. *Indicates performance is lagged 1 quarter.

Page 4

New Mexico State Investment CouncilAsset Allocation & Performance - Composites


Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018 2017 2016

Private Equity Composite (Ex. State)* 2,383,886,814 9.68 0.15 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83 14.05 15.93 7.39

Cambridge US Prvt Eq Index (Lagged 1 Qtr) 0.00 0.00 0.00 9.35 12.32 14.29 11.90 13.38 13.96 18.01 17.01 8.69

Difference 0.15 0.14 0.14 -0.79 -2.12 -2.26 -2.31 -2.59 -5.13 -3.96 -1.08 -1.30

Townsend-Reported Real Estate Composite* 2,057,587,740 8.35 0.00 0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24 10.27 8.04 11.52

NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01 7.71 6.70 9.08

Difference -1.52 -1.52 -1.52 -1.74 -0.83 1.01 1.22 0.60 0.23 2.56 1.34 2.44

NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43 8.78 8.19 10.57

Difference 0.00 0.00 0.00 -0.23 0.71 0.48 0.31 -0.09 -0.19 1.49 -0.15 0.95

Real Return Composite* 2,010,740,506 8.16 0.82 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/A 1.88 5.74 9.30

Real Return Custom Index 0.78 3.11 3.11 0.31 1.14 2.95 0.29 0.80 2.46 -1.70 3.27 6.23

Difference 0.04 0.66 0.66 1.77 4.26 4.65 2.86 N/A N/A 3.58 2.47 3.07

Financial Real Return Composite 407,508,008 1.65 3.95 20.75 20.75 -1.90 4.23 5.70 1.08 N/A N/A -16.52 0.25 13.34

Townsend-Reported Real Return* 1,452,881,105 5.90 0.00 0.00 0.00 2.22 4.13 8.88 5.48 8.95 N/A 7.06 10.69 9.94

Performance shown is gross of fees, except for Private Equity, Real Estate, and Real Return investments, which are net of fees. Performance for Private Equity, Real Estate, and Real Return investments is assumed 0.00% during intra-quarter months. Performance is annualized for periods greater than one year. Fiscal year ends June 30. For other performance-related comments, please see the Addendum. *Indicates performance is lagged 1 quarter.

Page 5

Performance Attribution

SAA: 4.28% TAA: -0.06 % SS: 0.09% MS: -0.24 %

New Mexico State Investment CouncilLand Grant Total Fund Composite vs. Land Grant Interim Policy Index

1 Year Ending March 31, 2019

Total Fund Attribution - IDP

Performance shown is gross of fees. Calculation is based on monthly periodicity. See Glossary for additional information regarding the Total Fund Attribution - IDP calculation.

Page 6


SAA: 8.03% TAA: -0.04 % SS: 0.13% MS: 0.70%

New Mexico State Investment CouncilLand Grant Total Fund Composite vs. Land Grant Interim Policy Index

3 Years Ending March 31, 2019



Page 7


SAA: 4.37% TAA: 0.16% SS: 0.11% MS: 0.25%

New Mexico State Investment CouncilSeverance Tax Total Fund Composite vs. Severance Tax Interim Policy Index

1 Year Ending March 31, 2019



Page 8


SAA: 8.15% TAA: 0.00% SS: 0.18% MS: 0.41%

New Mexico State Investment CouncilSeverance Tax Total Fund Composite vs. Severance Tax Interim Policy Index

3 Years Ending March 31, 2019



Page 9

Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

NMSIC Total Fund Composite 24,629,153,042 100.00 0.89 6.35 6.35 3.13 4.27 8.81 6.37 7.78 9.65 -1.54 5.35 01/01/2000

US Equity Composite 5,693,485,966 23.12 1.12 13.31 13.31 4.36 7.59 13.11 9.75 12.02 14.79 -5.57 6.46 05/01/1999

Russell 3000 Index 1.46 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00 -5.24 6.27

US Large Cap Equity Composite 5,175,923,581 21.02 1.41 13.45 13.45 5.33 8.50 13.40 10.43 12.30 14.64 -4.71 6.06 05/01/1999

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 6.14

Brown Brothers Harriman 462,925,135 1.88 1.59 11.74 11.74 6.93 8.45 10.35 7.71 N/A N/A -6.08 12.19 06/01/2012

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 14.27

T. Rowe Price LC Growth 661,079,641 2.68 1.09 14.95 14.95 7.18 14.60 22.65 15.88 N/A N/A 4.80 19.19 06/01/2012

Russell 1000 Grth Index 2.85 16.10 16.10 6.61 12.75 16.53 13.50 14.34 17.52 -1.51 15.86

AQR US SPLO 1,078,859,952 4.38 1.52 13.14 13.14 3.90 5.17 N/A N/A N/A N/A -6.99 9.20 08/01/2017

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 10.74

NT SciBeta US HFE Index 768,640,433 3.12 1.11 13.16 13.16 5.52 7.60 N/A N/A N/A N/A -5.74 8.47 08/01/2017

Russell 1000 Index (0.85 Beta Adjusted) 1.51 11.93 11.93 5.11 8.37 11.67 9.18 10.95 13.69 -3.67 9.48

NT Russell Fundamental LC Index Fund 521,482,872 2.12 0.88 12.48 12.48 3.59 7.13 11.39 N/A N/A N/A -7.08 9.24 02/01/2015

Russell 1000 Val Index 0.64 11.93 11.93 4.45 5.67 10.45 7.72 11.14 14.52 -8.27 7.88

NT Russell 1000 Index Fund 1,677,113,784 6.81 1.74 14.03 14.03 5.50 9.25 13.47 10.61 12.76 N/A -4.86 12.96 08/01/2011

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 13.03

US Small/Mid Cap Equity Composite 517,562,385 2.10 -1.72 12.16 12.16 -5.24 -1.33 9.96 4.14 8.94 N/A -14.07 7.73 05/01/2011

US Small/Mid Cap Equity Custom Index -1.21 15.18 15.18 -2.69 3.40 12.64 7.63 11.16 15.85 -10.40 9.55

Seizert Capital Partners 97,994,781 0.40 -2.10 9.53 9.53 -2.92 -2.55 9.36 4.38 10.87 N/A -9.77 12.33 01/01/2012

Russell Mid Cap Index 0.86 16.54 16.54 3.55 6.47 11.82 8.81 11.99 16.88 -9.06 13.44

Donald Smith & Company 171,344,391 0.70 -0.57 10.18 10.18 -6.46 -4.43 4.24 0.23 6.82 N/A -19.64 7.92 01/01/2012

Russell 2000 Val Index -2.88 11.93 11.93 -7.51 0.17 10.86 5.59 9.61 14.12 -12.86 10.93

BlackRock Alpha Tilts 174,142,564 0.71 -1.95 16.17 16.17 -3.41 5.15 13.74 7.94 12.32 N/A -8.92 12.96 02/01/2012

Russell 2000 Index -2.09 14.58 14.58 -5.29 2.05 12.92 7.05 10.74 15.36 -11.01 11.24

NT S&P 600 Index Fund 73,422,121 0.30 -3.31 11.73 11.73 -6.65 1.66 N/A N/A N/A N/A -8.52 8.72 06/01/2017

S&P Sm Cap 600 Index (Cap Wtd) -3.33 11.61 11.61 -6.63 1.57 12.55 8.45 12.12 17.00 -8.48 8.37

New Mexico State Investment CouncilAsset Allocation & Performance - Composites & Managers


Performance shown is gross of fees except for Absolute Return, which is net of fees, while performance shown for Private Equity, Real Estate, and Real Return investments is net of fees and 0.00% during intra-quarter months. Performance is annualized for periods greater than one year. Fiscal year ends June 30. For other performance-related comments, please see the Addendum. *Indicates performance is lagged 1 quarter.

Page 10



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Non-US Equity Composite 5,250,048,659 21.32 0.62 10.94 10.94 -2.32 -4.98 8.77 3.08 4.02 9.11 -14.71 5.30 05/01/1999

Non-US Equity Custom Index 0.54 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84 -14.76 5.41

Non-US Developed Markets Composite 4,281,191,381 17.38 0.43 10.85 10.85 -2.94 -4.11 8.39 3.74 6.60 9.59 -14.14 4.45 05/01/1999

Non-US Developed Markets Custom Index 0.56 10.08 10.08 -3.33 -4.57 7.30 2.47 5.74 9.03 -14.40 3.79

LSV Int'l Large Cap Value 577,830,571 2.35 -1.04 8.83 8.83 -2.85 -7.29 8.77 1.90 N/A N/A -15.45 4.16 09/01/2013

MSCI ACW Ex US Val Index (USD) (Net) -0.45 8.33 8.33 -1.61 -5.39 7.73 1.08 3.72 8.19 -13.97 3.25

T. Rowe Price Int'l Core 623,841,749 2.53 -0.22 10.11 10.11 -4.96 -5.73 8.24 3.38 N/A N/A -15.06 5.58 09/01/2013

MSCI EAFE Index (USD) (Net) 0.63 9.98 9.98 -2.51 -3.71 7.27 2.33 5.63 8.96 -13.79 4.55

Neuberger Berman Int'l 222,272,843 0.90 0.87 12.57 12.57 -3.88 -4.14 6.82 N/A N/A N/A -15.77 5.30 12/01/2015


MFS Int'l Large Cap Growth 537,582,237 2.18 2.36 13.00 13.00 2.06 4.85 12.11 7.06 N/A N/A -8.30 7.02 10/01/2013

MSCI ACW Ex US Grth Index (USD) (Net) 1.63 12.31 12.31 -1.65 -3.05 8.42 4.01 5.68 9.47 -14.43 4.56

Templeton Int'l Small Cap Equity 366,288,515 1.49 -0.05 13.90 13.90 -5.04 -7.95 8.02 4.22 N/A N/A -17.83 5.14 10/01/2013

MSCI ACW Ex US Sm Cap Index (USD) (Net) 0.15 10.26 10.26 -7.07 -9.49 7.01 3.26 6.05 11.86 -18.20 4.46

BLK MSCI World Ex-US IM Custom Factor Index 775,965,232 3.15 0.90 10.88 10.88 -2.52 -3.47 N/A N/A N/A N/A -13.70 3.70 07/01/2017

MSCI Wrld Ex US IM Index (USD) (Net) 0.43 10.52 10.52 -3.22 -3.97 7.29 2.40 5.51 9.23 -14.68 2.42

BLK FTSE Developed Ex US Min Var Index 253,820,932 1.03 0.26 7.92 7.92 -2.01 -2.42 7.22 N/A N/A N/A -10.38 7.46 12/01/2015

FTSE Developed Ex US Min Var Index 0.24 7.97 7.97 -2.00 -2.56 7.03 5.28 7.34 11.27 -10.65 7.31

Alliance Bernstein MSCI World Ex US IM Index 922,543,882 3.75 0.46 10.46 10.46 -3.16 -3.73 7.44 2.42 5.70 9.11 -14.33 5.31 06/01/1998

AB Non-US Developed Markets Custom Index 0.43 10.52 10.52 -3.22 -3.97 7.30 2.34 5.64 8.96 -14.68 4.06

Non-US Emerging Markets Composite 968,857,278 3.93 1.48 11.40 11.40 0.43 -8.08 11.11 3.47 1.48 8.55 -16.32 7.98 05/01/1999

MSCI Emg Mkts Index (USD) (Net) 0.84 9.93 9.93 0.60 -7.41 10.68 3.68 2.69 8.95 -14.58 7.79

BlackRock Emg Mkts Opp Fund 551,733,244 2.24 0.56 9.83 9.83 0.09 -8.85 11.70 5.50 N/A N/A -15.55 4.96 10/01/2013


William Blair Emg Mkts 340,767,444 1.38 3.20 14.82 14.82 1.02 -6.86 10.41 N/A N/A N/A -18.09 9.27 12/01/2015


Alliance Bernstein Emerging Markets Index 76,336,527 0.31 0.67 8.15 8.15 0.12 -8.11 10.16 3.24 N/A N/A -13.98 2.96 11/01/2012



Page 11



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Fixed Income Composite 6,155,703,855 24.99 1.15 2.42 2.42 3.64 3.90 4.47 3.79 4.63 6.57 1.49 5.05 05/01/1999

Bloomberg US Unv Bond Index 1.81 3.32 3.32 4.81 4.53 2.65 3.00 2.88 4.36 -0.25 4.99

Core Fixed Income Composite 3,841,357,702 15.60 1.62 3.23 3.23 4.57 4.58 3.45 3.52 3.99 N/A 0.39 4.19 12/01/2010

BlackRock Core Bonds Fund 1,114,679,073 4.53 1.90 2.13 2.13 4.13 4.25 1.97 N/A N/A N/A 0.87 2.34 11/01/2014

J.P. Morgan Asset Mgmt Short Duration 415,290,680 1.69 0.69 1.41 1.41 2.94 3.32 N/A N/A N/A N/A 1.64 1.54 05/01/2016

Loomis Sayles Bloomberg US Universal 689,528,982 2.80 1.72 3.23 3.23 4.34 4.30 4.31 3.69 4.10 N/A 0.15 4.68 04/01/2011

PIMCO Bloomberg US Universal 2,948,906 0.01 0.14 2.18 2.18 3.79 4.32 4.18 3.89 4.10 N/A 1.42 4.25 04/01/2011

PIMCO Investment Grade Active 365,813,792 1.49 2.38 5.53 5.53 6.78 5.84 N/A N/A N/A N/A -1.11 3.48 01/01/2018

PGIM Bloomberg US Universal 681,271,419 2.77 2.17 4.62 4.62 5.72 5.49 4.75 4.43 4.85 N/A -0.09 5.37 04/01/2011

Shenkman HY Short Duration 571,824,781 2.32 0.50 4.05 4.05 4.40 N/A N/A N/A N/A N/A N/A 4.88 05/01/2018

Bloomberg US Agg Bond Index 1.92 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77 0.01 7.30 01/01/1976

Non-Core Fixed Income Composite 2,314,346,152 9.40 0.37 1.02 1.02 1.83 2.53 5.88 3.52 5.38 N/A 3.00 5.65 12/01/2010

Absolute Return Composite 88,703,625 0.36 2.54 0.90 0.90 3.44 3.81 6.01 2.84 4.16 4.35 5.16 2.79 09/01/2005

Non-Core Fixed Income Pool 842,703,678 3.42 0.54 0.34 0.34 1.81 2.47 13.49 8.74 10.44 18.84 4.41 4.61 04/01/2006

Rio Grande Fund LLC 701,065,184 2.85 0.56 0.14 0.14 2.06 3.33 7.40 5.09 N/A N/A 4.65 5.09 04/01/2014

Unconstrained Fixed Income Pool 338,964,680 1.38 0.11 1.92 1.92 1.26 1.27 4.22 2.82 N/A N/A -0.33 2.77 12/01/2013

Bank Loan Pool 342,908,986 1.39 -0.70 3.46 3.46 N/A N/A N/A N/A N/A N/A N/A 0.96 09/01/2018

Non-Core Fixed Income Custom Index 0.14 3.50 3.50 2.31 3.16 6.87 4.16 5.73 8.48 -0.81 5.66 01/01/2005

Cash Equivalent Composite 454,559,086 1.85 0.20 0.93 0.93 2.00 2.43 1.42 0.90 0.82 0.89 1.80 3.56 07/01/1988

ICE BofAML 3 Mo US T-Bill Index 0.22 0.60 0.60 1.66 2.12 1.19 0.74 0.56 0.43 1.87 3.21


Page 12



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Private Equity

Private Equity Composite (Ex. State)* 2,383,886,814 9.68 0.15 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83 14.05 5.59 06/01/2001

Cambridge US Prvt Eq Index (Lagged 1 Qtr) 0.00 0.00 0.00 9.35 12.32 14.29 11.90 13.38 13.96 18.01 11.57

Real Estate

Townsend-Reported Real Estate Composite* 2,057,587,740 8.35 0.00 0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24 10.27 5.10 10/01/2004

NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01 7.71 7.12

NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43 8.78 7.67

Real Return

Real Return Composite* 2,010,740,506 8.16 0.82 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/A 1.88 4.37 06/01/2012

Real Return Custom Index 0.78 3.11 3.11 0.31 1.14 2.95 0.29 0.80 2.46 -1.70 0.96

Financial Real Return Composite 407,508,008 1.65 3.95 20.75 20.75 -1.90 4.23 5.70 1.08 N/A N/A -16.52 1.83 06/01/2013


Harvest MLP 407,508,008 1.65 3.95 20.75 20.75 1.57 15.22 7.84 N/A N/A N/A -13.55 -5.02 05/01/2015

S&P MLP Index (TR) 4.25 18.75 18.75 3.84 17.50 8.84 -3.86 1.74 11.01 -11.67 -6.73

Townsend-Reported Real Return* 1,452,881,105 5.90 0.00 0.00 0.00 2.22 4.13 8.88 5.48 8.95 N/A 7.06 9.04 04/01/2011

ETI

Economically Targeted Investments 43,673,689 0.18 -1.23 -1.37 -1.37 -0.95 4.14 2.49 3.19 1.96 0.49 5.17 -0.64 07/01/1998


Severance Tax State PE Program* 407,020,304 1.65 -1.07 -1.07 -1.07 7.98 24.47 8.58 8.24 9.14 5.41 25.83 -1.48 08/01/2001

Cambridge US VC Index (Lagged 1 Qtr) 0.00 0.00 0.00 11.50 15.92 8.93 12.21 13.68 12.49 19.19 4.07


Page 13

NMSIC Total Fund - Schedule of Investable Assets

Allocation

MarketValue ($)

%

Perf. (%)

QTD1

Year

NMSIC Total Fund Composite 24,629,153,042 100.00 6.35 4.27

US Equity Composite 5,693,485,966 23.12 13.31 7.59

NT Russell 1000 Index Fund 1,677,113,784 6.81 14.03 9.25

AQR US SPLO 1,078,859,952 4.38 13.14 5.17

NT SciBeta US HFE Index 768,640,433 3.12 13.16 7.60

T. Rowe Price LC Growth 661,079,641 2.68 14.95 14.60

NT Russell Fundamental LC Index Fund 521,482,872 2.12 12.48 7.13

Brown Brothers Harriman 462,925,135 1.88 11.74 8.45

BlackRock Alpha Tilts 174,142,564 0.71 16.17 5.15

Donald Smith & Company 171,344,391 0.70 10.18 -4.43

Seizert Capital Partners 97,994,781 0.40 9.53 -2.55

NT S&P 600 Index Fund 73,422,121 0.30 11.73 1.66

Non-US Equity Composite 5,250,048,659 21.32 10.94 -4.98

Alliance Bernstein MSCI World Ex US IM Index 922,543,882 3.75 10.46 -3.73

BLK MSCI World Ex-US IM Custom Factor Index 775,965,232 3.15 10.88 -3.47

T. Rowe Price Int'l Core 623,841,749 2.53 10.11 -5.73

LSV Int'l Large Cap Value 577,830,571 2.35 8.83 -7.29

BlackRock Emg Mkts Opp Fund 551,733,244 2.24 9.83 -8.85

MFS Int'l Large Cap Growth 537,582,237 2.18 13.00 4.85

Templeton Int'l Small Cap Equity 366,288,515 1.49 13.90 -7.95

William Blair Emg Mkts 340,767,444 1.38 14.82 -6.86

BLK FTSE Developed Ex US Min Var Index 253,820,932 1.03 7.92 -2.42

Neuberger Berman Int'l 222,272,843 0.90 12.57 -4.14

Alliance Bernstein Emerging Markets Index 76,336,527 0.31 8.15 -8.11

Reclaims (Jarislowksy Fraser) 107,916 0.00 -0.24 -2.25

Citi Transition Non-US Dvl'd Markets Alt Wtd Index 2,294 0.00 323.46 399.29

Allocation

MarketValue ($)

%

Perf. (%)

QTD1

Year

Fixed Income Composite 6,155,703,855 24.99 2.42 3.90

BlackRock Core Bonds Fund 1,114,679,073 4.53 2.13 4.25

Non-Core Fixed Income Pool 842,703,678 3.42 0.34 2.47

Rio Grande Fund LLC 701,065,184 2.85 0.14 3.33

Loomis Sayles Bloomberg US Universal 689,528,982 2.80 3.23 4.30

PGIM Bloomberg US Universal 681,271,419 2.77 4.62 5.49

Shenkman HY Short Duration 571,824,781 2.32 4.05 N/A

J.P. Morgan Asset Mgmt Short Duration 415,290,680 1.69 1.41 3.32

PIMCO Investment Grade Active 365,813,792 1.49 5.53 5.84

Loomis Sayles Unconstrained 334,663,543 1.36 1.94 2.17

Voya Floating Rate Bank Loans 186,724,549 0.76 3.42 2.70

Credit Suisse Floating Rate Bank Loans 156,184,437 0.63 3.30 2.80

Absolute Return Composite 88,703,625 0.36 0.90 3.81

GAM Unconstrained 4,289,495 0.02 0.40 25.04

PIMCO Bloomberg US Universal 2,948,906 0.01 2.18 4.32

Unconstrained Fixed Income Pool (Cash Account) 11,642 0.00 0.57 1.97

Cash Equivalent Composite 454,559,086 1.85 0.93 2.43

Private Equity Composite* 2,790,907,118 11.33 -0.03 12.01

Townsend-Reported Real Estate Composite* 2,057,587,740 8.35 0.00 6.53

Real Return Composite* 2,010,740,506 8.16 3.77 5.40

Financial Real Return Composite 407,508,008 1.65 20.75 4.23

Harvest MLP 407,508,008 1.65 20.75 15.22

Townsend-Reported Real Return* 1,452,881,105 5.90 0.00 4.13

Economically Targeted Investments 43,673,689 0.18 -1.37 4.14

Severance Tax State PE Program* 407,020,304 1.65 -1.07 24.47


Market Value ($)Net



% Return

FYTD 23,815,947,298 64,533,251 748,672,493 24,629,153,042 3.13

New Mexico State Investment CouncilAsset Allocation, Performance & Schedule of Investable Assets


Performance shown is gross of fees except for Absolute Return, which is net of fees, while performance shown for Private Equity, Real Estate, and Real Return investments is net of fees and 0.00% during intra-quarter months. Allocations shown may not sum up to 100% exactly due to rounding and funds in liquidation not being shown. Fiscal year ends June 30. *Indicates performance is lagged 1 quarter. Performance for Citi Transition Non-US Dvl'd Markets Alt Wtd Index is inclusive of tax reclaims for historical income on a security previously held in the account.

Page 14

Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018 2017 2016

NMSIC Total Fund Composite 24,629,153,042 100.00 0.89 6.31 6.31 3.05 4.10 8.63 6.19 7.60 9.44 -1.70 14.87 7.42

Land Grant Total Fund Composite 18,077,666,747 73.40 0.90 6.27 6.27 3.02 3.89 8.63 6.18 7.59 9.50 -1.78 15.10 7.37

Land Grant Interim Policy Index 0.92 6.71 6.71 3.25 4.28 8.03 6.22 7.45 10.31 -2.11 13.93 7.27

Difference -0.02 -0.44 -0.44 -0.23 -0.39 0.60 -0.04 0.14 -0.81 0.33 1.17 0.10

Severance Tax Total Fund Composite 5,210,379,694 21.16 0.78 6.29 6.29 3.01 4.73 8.56 6.16 7.47 9.17 -1.21 13.97 7.36

Severance Tax Interim Policy Index 0.95 6.82 6.82 3.30 4.37 8.15 6.29 7.50 10.22 -2.07 14.07 7.33

Difference -0.17 -0.53 -0.53 -0.29 0.36 0.41 -0.13 -0.03 -1.05 0.86 -0.10 0.03

Global Equity Composite 10,943,534,625 44.43 0.88 12.18 12.18 1.11 1.34 10.86 7.14 9.16 12.59 -10.16 24.50 8.69

Global Equity Custom Index 1.03 12.11 12.11 1.64 2.54 11.14 7.48 9.72 13.61 -9.21 23.82 9.17

Difference -0.15 0.07 0.07 -0.53 -1.20 -0.28 -0.34 -0.56 -1.02 -0.95 0.68 -0.48

US Equity Composite 5,693,485,966 23.12 1.12 13.28 13.28 4.28 7.41 12.89 9.53 11.78 14.55 -5.75 20.95 11.78

Russell 3000 Index 1.46 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00 -5.24 21.13 12.74

Difference -0.34 -0.76 -0.76 -0.42 -1.36 -0.60 -0.83 -0.85 -1.45 -0.51 -0.18 -0.96

Non-US Equity Composite 5,250,048,659 21.32 0.62 10.85 10.85 -2.50 -5.33 8.38 2.69 3.67 8.75 -15.02 30.37 3.38

Non-US Equity Custom Index 0.54 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84 -14.76 27.81 4.41

Difference 0.08 0.54 0.54 -0.08 -0.37 0.44 0.15 -0.56 -0.09 -0.26 2.56 -1.03

Fixed Income Composite 6,155,703,855 24.99 1.15 2.39 2.39 3.57 3.75 4.32 3.63 4.47 6.41 1.35 5.70 5.37

Bloomberg US Unv Bond Index 1.81 3.32 3.32 4.81 4.53 2.65 3.00 2.88 4.36 -0.25 4.09 3.91

Difference -0.66 -0.93 -0.93 -1.24 -0.78 1.67 0.63 1.59 2.05 1.60 1.61 1.46

Core Fixed Income Composite 3,841,357,702 15.60 1.62 3.19 3.19 4.49 4.41 3.30 3.37 3.82 N/A 0.23 4.74 4.95

Bloomberg US Agg Bond Index 1.92 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77 0.01 3.54 2.65

Difference -0.30 0.25 0.25 -0.16 -0.07 1.27 0.63 1.34 N/A 0.22 1.20 2.30

Non-Core Fixed Income Composite 2,314,346,152 9.40 0.37 0.99 0.99 1.77 2.42 5.76 3.42 5.30 N/A 2.88 7.86 4.16

Non-Core Fixed Income Custom Index 0.14 3.50 3.50 2.31 3.16 6.87 4.16 5.73 8.48 -0.81 6.16 12.14

Difference 0.23 -2.51 -2.51 -0.54 -0.74 -1.11 -0.74 -0.43 N/A 3.69 1.70 -7.98

Cash Equivalent Composite 454,559,086 1.85 0.20 0.93 0.93 2.00 2.43 1.42 0.90 0.82 -0.01 1.80 1.24 0.39

ICE BofAML 3 Mo US T-Bill Index 0.22 0.60 0.60 1.66 2.12 1.19 0.74 0.56 0.43 1.87 0.86 0.33

Difference -0.02 0.33 0.33 0.34 0.31 0.23 0.16 0.26 -0.44 -0.07 0.38 0.06

New Mexico State Investment CouncilAsset Allocation & Performance - Composites (Net of Fees)


Performance shown is net of fees and calculated using investment manager fee schedules through the third quarter of 2015. Performance beyond the third quarter of 2015 is calculated using investment manager fees reported in New Mexico SIC Investment Holdings Reports. During periods of no fee accruals, gross and net performance will be the same. Performance shown for Private Equity, Real Estate, and Real Return investments is 0.00% during intra-quarter months. Performance is annualized for periods greater than one year. Fiscal year ends June 30. *Indicates performance is lagged 1 quarter.

Page 15

New Mexico State Investment CouncilAsset Allocation & Performance - Composites (Net of Fees)


Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018 2017 2016

Private Equity Composite (Ex. State)* 2,383,886,814 9.68 0.15 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83 14.05 15.93 7.39

Cambridge US Prvt Eq Index (Lagged 1 Qtr) 0.00 0.00 0.00 9.35 12.32 14.29 11.90 13.38 13.96 18.01 17.01 8.69

Difference 0.15 0.14 0.14 -0.79 -2.12 -2.26 -2.31 -2.59 -5.13 -3.96 -1.08 -1.30

Townsend-Reported Real Estate Composite* 2,057,587,740 8.35 0.00 0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24 10.27 8.04 11.52

NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01 7.71 6.70 9.08

Difference -1.52 -1.52 -1.52 -1.74 -0.83 1.01 1.22 0.60 0.23 2.56 1.34 2.44

NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43 8.78 8.19 10.57

Difference 0.00 0.00 0.00 -0.23 0.71 0.48 0.31 -0.09 -0.19 1.49 -0.15 0.95

Real Return Composite* 2,010,740,506 8.16 0.82 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/A 1.88 5.74 9.30

Real Return Custom Index 0.78 3.11 3.11 0.31 1.14 2.95 0.29 0.80 2.46 -1.70 3.27 6.23

Difference 0.04 0.66 0.66 1.77 4.26 4.65 2.86 N/A N/A 3.58 2.47 3.07

Financial Real Return Composite 407,508,008 1.65 3.95 20.75 20.75 -1.90 4.23 5.70 1.08 N/A N/A -16.52 0.25 13.34

Townsend-Reported Real Return* 1,452,881,105 5.90 0.00 0.00 0.00 2.22 4.13 8.88 5.48 8.95 N/A 7.06 10.69 9.94


Page 16

Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

NMSIC Total Fund Composite 24,629,153,042 100.00 0.89 6.31 6.31 3.05 4.10 8.63 6.19 7.60 9.44 -1.70 5.17 01/01/2000

US Equity Composite 5,693,485,966 23.12 1.12 13.28 13.28 4.28 7.41 12.89 9.53 11.78 14.55 -5.75 6.25 05/01/1999

Russell 3000 Index 1.46 14.04 14.04 4.70 8.77 13.49 10.36 12.63 16.00 -5.24 6.27

US Large Cap Equity Composite 5,175,923,581 21.02 1.41 13.42 13.42 5.26 8.36 13.23 10.25 12.11 14.44 -4.84 5.90 05/01/1999

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 6.14

Brown Brothers Harriman 462,925,135 1.88 1.59 11.68 11.68 6.80 8.03 9.82 7.18 N/A N/A -6.51 11.64 06/01/2012

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 14.27

T. Rowe Price LC Growth 661,079,641 2.68 1.09 14.87 14.87 7.02 14.26 22.28 15.49 N/A N/A 4.48 18.77 06/01/2012

Russell 1000 Grth Index 2.85 16.10 16.10 6.61 12.75 16.53 13.50 14.34 17.52 -1.51 15.86

AQR US SPLO 1,078,859,952 4.38 1.52 13.10 13.10 3.82 5.00 N/A N/A N/A N/A -7.14 9.06 08/01/2017

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 10.74

NT SciBeta US HFE Index 768,640,433 3.12 1.11 13.14 13.14 5.47 7.51 N/A N/A N/A N/A -5.85 8.39 08/01/2017

Russell 1000 Index (0.85 Beta Adjusted) 1.51 11.93 11.93 5.11 8.37 11.67 9.18 10.95 13.69 -3.67 9.48

NT Russell Fundamental LC Index Fund 521,482,872 2.12 0.88 12.46 12.46 3.54 7.04 11.31 N/A N/A N/A -7.16 9.17 02/01/2015

Russell 1000 Val Index 0.64 11.93 11.93 4.45 5.67 10.45 7.72 11.14 14.52 -8.27 7.88

NT Russell 1000 Index Fund 1,677,113,784 6.81 1.74 14.03 14.03 5.49 9.24 13.46 10.60 12.73 N/A -4.86 12.93 08/01/2011

Russell 1000 Index 1.74 14.00 14.00 5.54 9.30 13.52 10.63 12.79 16.05 -4.78 13.03

US Small/Mid Cap Equity Composite 517,562,385 2.10 -1.72 12.04 12.04 -5.46 -1.86 9.31 3.53 8.30 N/A -14.60 7.14 05/01/2011

US Small/Mid Cap Equity Custom Index -1.21 15.18 15.18 -2.69 3.40 12.64 7.63 11.16 15.85 -10.40 9.55

Seizert Capital Partners 97,994,781 0.40 -2.10 9.40 9.40 -3.17 -3.05 8.77 3.83 10.30 N/A -10.23 11.76 01/01/2012

Russell Mid Cap Index 0.86 16.54 16.54 3.55 6.47 11.82 8.81 11.99 16.88 -9.06 13.44

Donald Smith & Company 171,344,391 0.70 -0.57 10.03 10.03 -6.79 -5.14 3.44 -0.56 5.99 N/A -20.31 7.07 01/01/2012

Russell 2000 Val Index -2.88 11.93 11.93 -7.51 0.17 10.86 5.59 9.61 14.12 -12.86 10.93

BlackRock Alpha Tilts 174,142,564 0.71 -1.95 16.05 16.05 -3.62 4.71 13.25 7.47 11.84 N/A -9.31 12.47 02/01/2012

Russell 2000 Index -2.09 14.58 14.58 -5.29 2.05 12.92 7.05 10.74 15.36 -11.01 11.24

NT S&P 600 Index Fund 73,422,121 0.30 -3.31 11.71 11.71 -6.67 1.62 N/A N/A N/A N/A -8.55 8.68 06/01/2017

S&P Sm Cap 600 Index (Cap Wtd) -3.33 11.61 11.61 -6.63 1.57 12.55 8.45 12.12 17.00 -8.48 8.37

New Mexico State Investment CouncilAsset Allocation & Performance - Composites & Managers (Net of Fees)



Page 17



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Non-US Equity Composite 5,250,048,659 21.32 0.62 10.85 10.85 -2.50 -5.33 8.38 2.69 3.67 8.75 -15.02 4.90 05/01/1999

Non-US Equity Custom Index 0.54 10.31 10.31 -2.42 -4.96 7.94 2.54 4.23 8.84 -14.76 5.41

Non-US Developed Markets Composite 4,281,191,381 17.38 0.43 10.77 10.77 -3.09 -4.41 8.05 3.37 6.27 9.24 -14.41 4.09 05/01/1999

Non-US Developed Markets Custom Index 0.56 10.08 10.08 -3.33 -4.57 7.30 2.47 5.74 9.03 -14.40 3.79

LSV Int'l Large Cap Value 577,830,571 2.35 -1.04 8.70 8.70 -3.10 -7.77 8.22 1.38 N/A N/A -15.89 3.62 09/01/2013

MSCI ACW Ex US Val Index (USD) (Net) -0.45 8.33 8.33 -1.61 -5.39 7.73 1.08 3.72 8.19 -13.97 3.25

T. Rowe Price Int'l Core 623,841,749 2.53 -0.22 10.03 10.03 -5.14 -6.10 7.81 3.00 N/A N/A -15.42 5.20 09/01/2013


Neuberger Berman Int'l 222,272,843 0.90 0.87 12.43 12.43 -4.14 -4.67 6.25 N/A N/A N/A -16.24 4.76 12/01/2015


MFS Int'l Large Cap Growth 537,582,237 2.18 2.36 12.87 12.87 1.81 4.36 11.57 6.53 N/A N/A -8.74 6.49 10/01/2013

MSCI ACW Ex US Grth Index (USD) (Net) 1.63 12.31 12.31 -1.65 -3.05 8.42 4.01 5.68 9.47 -14.43 4.56

Templeton Int'l Small Cap Equity 366,288,515 1.49 -0.05 13.70 13.70 -5.37 -8.57 7.32 3.54 N/A N/A -18.37 4.44 10/01/2013

MSCI ACW Ex US Sm Cap Index (USD) (Net) 0.15 10.26 10.26 -7.07 -9.49 7.01 3.26 6.05 11.86 -18.20 4.46

BLK MSCI World Ex-US IM Custom Factor Index 775,965,232 3.15 0.90 10.86 10.86 -2.57 -3.57 N/A N/A N/A N/A -13.79 3.62 07/01/2017

MSCI Wrld Ex US IM Index (USD) (Net) 0.43 10.52 10.52 -3.22 -3.97 7.29 2.40 5.51 9.23 -14.68 2.42

BLK FTSE Developed Ex US Min Var Index 253,820,932 1.03 0.26 7.91 7.91 -2.04 -2.48 7.16 N/A N/A N/A -10.44 7.40 12/01/2015

FTSE Developed Ex US Min Var Index 0.24 7.97 7.97 -2.00 -2.56 7.03 5.28 7.34 11.27 -10.65 7.31

Alliance Bernstein MSCI World Ex US IM Index 922,543,882 3.75 0.46 10.45 10.45 -3.18 -3.77 7.39 2.38 5.64 8.96 -14.36 5.07 06/01/1998

AB Non-US Developed Markets Custom Index 0.43 10.52 10.52 -3.22 -3.97 7.30 2.34 5.64 8.96 -14.68 4.06

Non-US Emerging Markets Composite 968,857,278 3.93 1.48 11.25 11.25 0.14 -8.61 10.52 2.95 1.04 8.10 -16.77 7.41 05/01/1999


BlackRock Emg Mkts Opp Fund 551,733,244 2.24 0.56 9.66 9.66 -0.25 -9.45 11.00 4.80 N/A N/A -16.07 4.26 10/01/2013


William Blair Emg Mkts 340,767,444 1.38 3.20 14.68 14.68 0.76 -7.36 9.79 N/A N/A N/A -18.51 8.69 12/01/2015


Alliance Bernstein Emerging Markets Index 76,336,527 0.31 0.67 8.12 8.12 0.05 -8.23 10.03 3.10 N/A N/A -14.10 2.82 11/01/2012



Page 18



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Fixed Income Composite 6,155,703,855 24.99 1.15 2.39 2.39 3.57 3.75 4.32 3.63 4.47 6.41 1.35 4.96 05/01/1999

Bloomberg US Unv Bond Index 1.81 3.32 3.32 4.81 4.53 2.65 3.00 2.88 4.36 -0.25 4.99

Core Fixed Income Composite 3,841,357,702 15.60 1.62 3.19 3.19 4.49 4.41 3.30 3.37 3.82 N/A 0.23 4.03 12/01/2010

BlackRock Core Bonds Fund 1,114,679,073 4.53 1.90 2.13 2.13 4.12 4.22 1.94 N/A N/A N/A 0.84 2.31 11/01/2014

J.P. Morgan Asset Mgmt Short Duration 415,290,680 1.69 0.69 1.38 1.38 2.89 3.16 N/A N/A N/A N/A 1.48 1.42 05/01/2016

Loomis Sayles Bloomberg US Universal 689,528,982 2.80 1.72 3.18 3.18 4.24 4.10 4.10 3.48 3.89 N/A -0.05 4.47 04/01/2011

PIMCO Bloomberg US Universal 2,948,906 0.01 0.14 -0.65 -0.65 0.79 1.05 2.92 3.05 3.45 N/A 0.97 3.66 04/01/2011

PIMCO Investment Grade Active 365,813,792 1.49 2.38 5.47 5.47 6.66 5.62 N/A N/A N/A N/A -1.30 3.27 01/01/2018

PGIM Bloomberg US Universal 681,271,419 2.77 2.17 4.58 4.58 5.63 5.32 4.58 4.26 4.68 N/A -0.25 5.20 04/01/2011

Shenkman HY Short Duration 571,824,781 2.32 0.50 3.97 3.97 4.25 N/A N/A N/A N/A N/A N/A 4.64 05/01/2018

Bloomberg US Agg Bond Index 1.92 2.94 2.94 4.65 4.48 2.03 2.74 2.48 3.77 0.01 7.30 01/01/1976

Non-Core Fixed Income Composite 2,314,346,152 9.40 0.37 0.99 0.99 1.77 2.42 5.76 3.42 5.30 N/A 2.88 5.58 12/01/2010

Absolute Return Composite 88,703,625 0.36 2.54 0.90 0.90 3.44 3.81 6.01 2.84 4.16 4.35 5.16 2.79 09/01/2005

Non-Core Fixed Income Pool 842,703,678 3.42 0.54 0.34 0.34 1.81 2.47 13.49 8.74 10.44 18.84 4.41 4.61 04/01/2006

Rio Grande Fund LLC 701,065,184 2.85 0.56 0.14 0.14 2.06 3.33 7.40 5.09 N/A N/A 4.65 5.09 04/01/2014

Unconstrained Fixed Income Pool 338,964,680 1.38 0.11 1.83 1.83 1.07 0.86 3.77 2.39 N/A N/A -0.76 2.35 12/01/2013

Bank Loan Pool 342,908,986 1.39 -0.70 3.36 3.36 N/A N/A N/A N/A N/A N/A N/A 0.77 09/01/2018

Non-Core Fixed Income Custom Index 0.14 3.50 3.50 2.31 3.16 6.87 4.16 5.73 8.48 -0.81 2.28 11/01/2017

Cash Equivalent Composite 454,559,086 1.85 0.20 0.93 0.93 2.00 2.43 1.42 0.90 0.82 -0.01 1.80 3.14 07/01/1988



Page 19



Allocation

MarketValue ($)

%

Performance (%)

MTD QTD CYTD FYTD1

Year3

Years5

Years7

Years10

Years2018

SinceIncep.

InceptionDate

Private Equity

Private Equity Composite (Ex. State)* 2,383,886,814 9.68 0.15 0.14 0.14 8.56 10.20 12.03 9.59 10.79 8.83 14.05 5.59 06/01/2001

Cambridge US Prvt Eq Index (Lagged 1 Qtr) 0.00 0.00 0.00 9.35 12.32 14.29 11.90 13.38 13.96 18.01 11.57

Real Estate

Townsend-Reported Real Estate Composite* 2,057,587,740 8.35 0.00 0.00 0.00 3.55 6.53 8.28 10.63 10.56 6.24 10.27 5.10 10/01/2004

NCREIF ODCE Index (Net) (Lagged 1 Qtr) 1.52 1.52 1.52 5.29 7.36 7.27 9.41 9.96 6.01 7.71 7.12

NCREIF/Townsend Wtd Index (Lagged 1 Qtr) 0.00 0.00 0.00 3.78 5.82 7.80 10.32 10.65 6.43 8.78 7.67

Real Return

Real Return Composite* 2,010,740,506 8.16 0.82 3.77 3.77 2.08 5.40 7.60 3.15 N/A N/A 1.88 4.37 06/01/2012


Financial Real Return Composite 407,508,008 1.65 3.95 20.75 20.75 -1.90 4.23 5.70 1.08 N/A N/A -16.52 1.83 06/01/2013


Harvest MLP 407,508,008 1.65 3.95 20.75 20.75 1.57 15.22 7.84 N/A N/A N/A -13.55 -5.02 05/01/2015

S&P MLP Index (TR) 4.25 18.75 18.75 3.84 17.50 8.84 -3.86 1.74 11.01 -11.67 -6.73

Townsend-Reported Real Return* 1,452,881,105 5.90 0.00 0.00 0.00 2.22 4.13 8.88 5.48 8.95 N/A 7.06 9.04 04/01/2011

ETI

Economically Targeted Investments 43,673,689 0.18 -1.23 -1.37 -1.37 -0.95 4.14 2.49 3.19 1.96 0.49 5.17 -0.75 07/01/1998


Severance Tax State PE Program* 407,020,304 1.65 -1.07 -1.07 -1.07 7.98 24.47 8.58 8.24 9.14 5.41 25.83 -1.48 08/01/2001

Cambridge US VC Index (Lagged 1 Qtr) 0.00 0.00 0.00 11.50 15.92 8.93 12.21 13.68 12.49 19.19 4.07


Page 20

nCapital Markets Review As of March 31, 2019

•

•

•

•

•

•

•

•

•Treasury Yield Curve (%) Mar-19 Feb-19 Mar-18 Mar-17 Mar-16

Economic Indicators Mar-19 Feb-19 Mar-18 10 Yr 20 Yr 3 Month 2.40 2.45 1.73 0.76 0.21Federal Funds Rate (%) 2.43 ▲ 2.40 1.68 0.47 1.91 6 Month 2.44 2.50 1.93 0.91 0.39Breakeven Inflation - 5 Year (%) 1.79 ▼ 1.86 2.04 1.73 1.86 1 Year 2.40 2.54 2.09 1.03 0.59Breakeven Inflation - 10 Year (%) 1.87 ▼ 1.94 2.06 2.01 2.03 2 Year 2.27 2.52 2.27 1.27 0.73Breakeven Inflation - 30 Year (%) 1.92 ▼ 1.98 2.07 2.16 2.27 5 Year 2.23 2.52 2.56 1.93 1.21Bloomberg US Agg Bond Index - Yield (%) 2.93 ▼ 3.21 3.12 2.61 3.95 7 Year 2.31 2.63 2.68 2.22 1.54Bloomberg US Agg Bond Index - OAS (%) 0.44 ▼ 0.45 0.41 0.56 0.64 10 Year 2.41 2.73 2.74 2.40 1.78Bloomberg US Agg Credit Index - OAS (%) 1.13 ▼ 1.14 1.03 1.43 1.47 20 Year 2.63 2.94 2.85 2.76 2.20Bloomberg US Corp: HY Index - OAS (%) 3.91 ▲ 3.79 3.54 5.21 5.53 30 Year 2.81 3.09 2.97 3.02 2.61Capacity Utilization (%) 78.80 ▼ 79.00 78.19 75.98 77.27 Market Performance (%) MTD QTD CYTD 1 Yr 3 Yr 5 Yr 7 Yr 10 Yr Unemployment Rate (%) 3.8 ─ 3.8 4.0 6.7 5.9 S&P 500 (Cap Wtd) 1.94 13.65 13.65 9.50 13.51 10.91 12.85 15.92 PMI - Manufacturing (%) 55.3 ▲ 54.2 59.3 54.1 52.8 Russell 2000 -2.09 14.58 14.58 2.05 12.92 7.05 10.74 15.36 Baltic Dry Index - Shipping 689 ▲ 658 1,055 1,385 2,311 MSCI EAFE (Net) 0.63 9.98 9.98 -3.71 7.27 2.33 5.63 8.96Consumer Conf (Conf Board) 124.10 ▼ 131.40 127.00 85.25 92.80 MSCI EAFE SC (Net) 0.16 10.65 10.65 -9.36 7.50 4.47 8.21 12.76CPI YoY (Headline) (%) 1.5 ─ 1.5 2.4 1.6 2.2 MSCI EM (Net) 0.84 9.93 9.93 -7.41 10.68 3.68 2.69 8.95CPI YoY (Core) (%) 2.1 ─ 2.1 2.1 1.8 2.0 Bloomberg US Agg Bond 1.92 2.94 2.94 4.48 2.03 2.74 2.48 3.77PPI YoY (%) 1.4 ▲ 0.5 3.0 1.5 2.3 ICE BofAML 3 Mo US T-Bill 0.22 0.60 0.60 2.12 1.19 0.74 0.56 0.43M2 YoY (%) 3.8 ▼ 4.0 4.0 6.1 6.2 NCREIF ODCE (Gross) 1.42 1.42 1.42 7.52 7.97 10.17 10.77 8.74US Dollar Total Weighted Index 92.07 ▲ 91.16 86.37 81.62 86.26 FTSE NAREIT Eq REITs Index (TR) 3.35 16.33 16.33 20.86 6.13 9.12 9.25 18.28WTI Crude Oil per Barrel ($) 60 ▲ 57 65 73 61 HFRI FOF Comp Index 0.90 4.59 4.59 0.11 3.92 2.20 3.10 3.54Gold Spot per Oz ($) 1,292 ▼ 1,313 1,326 1,315 892 Bloomberg Cmdty Index (TR) -0.18 6.32 6.32 -5.25 2.22 -8.92 -7.14 -2.56

The previous month's CPI YoY is used as a proxy for the current YoY return until it becomes available.Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.

Treasury Yield Curve (%)

Crude oil's price increased by 5.10% during the month, but has decreased by 7.39% YoY.

General Market Commentary

Equity markets posted positive returns in March as the S&P 500 (Cap Wtd) Index returned 1.94% and the MSCI EAFE (Net) Index returned 0.63%. Emerging markets returned 0.84% as measured by the MSCI EM (Net) Index.The Bloomberg US Aggregate Bond Index returned 1.92% in March, outperforming the 1.23% return by the Bloomberg US Treasury Intermediate Term Index. International fixed income markets returned 0.89%, as measured by the FTSE Non-US World Gov't Bond Index.Public real estate, as measured by the FTSE NAREIT Eq REITs Index (TR), returned 3.35% in March and 9.12% over the trailing five-year period.The Cambridge US Private Equity Index returned 18.01% for the trailing one-year period and 13.40% for the trailing five-year period ending September 2018.Absolute return strategies, as measured by the HFRI FOF Comp Index, returned 0.90% for the month and 0.11% over the trailing one-year period.

International developed markets lagged their US and emerging counterparts, primarily due to the release of poor economic data in Germany and France and increased uncertainty over Brexit. British Parliament passed an amendment giving itself the authority to vote on Brexit options, a direct rebuke to Prime Minister Theresa May.

The Federal Open Market Committee (FOMC) left interest rates unchanged at its March meeting. The FOMC’s economic outlook softened, as suggested by zero projected rate hikes in 2019, and only one in 2020. As a result, 10-year yields declined notably in the days after the FOMC meeting, and traded below 3-month yields as the US Treasury yield curve inverted.Though equity markets faltered early in March due to poor economic news, most global market segments rallied throughout the remainder of the month, primarily driven by strong corporate earnings and accommodative monetary policy.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

3 M 6 M 1 Y 2 Y 5 Y 7 Y 10 Y 20 Y 30 Y

3/29/2019 2/28/2019 3/29/2018 3/31/2017 3/31/2016

Page 21

Performance Related CommentsPerformance shown is gross of fees unless otherwise noted. Total Fund Composite performance is a mix of gross and net performance due to the valuation and reporting nature of underlyingalternative investments.Net performance is calculated using investment manager fee schedules through the third quarter of 2015. Performance beyond the third quarter of 2015 is calculated using investment manager feesreported in New Mexico SIC Investment Holdings Reports. During periods of no fee accruals, gross and net performance will be the same.

Performance is annualized for periods greater than one year. Fiscal year ends on June 30.

Private Equity, Real Estate, and Townsend-Reported Other Real Return investments are lagged 1 quarter, and performance assumes a 0.00% return during inter-quarter months.

Market values shown for the Real Estate and Other Real Return composites may differ from Townsend-reported data due to factors such as timing, pending contributions or distributions, differingvaluation sources, or historical updates. As such, the underlying constituents may not sum up to the total respective asset class composite.

With the exception of Financial Real Return investments, performance shown for Real Return investments assumes a 0.00% return during interim-quarter months.

The BlackRock Core Bonds Fund was funded on 11/3/2014, but per client request, the Since Inception date shown is 11/1/2014.

Indices show N/A for since inception returns when the fund contains more history than the corresponding benchmark.

Since Inception dates reflect first month of reliable and verifiable data and may not reflect the actual full month following initial funding.

RVK began calculating performance in May 2011 using data provided by J.P. Morgan. Historical performance prior to this date was provided by NEPC.

Performance and market values for Total Fund Composites and the Cash Equivalent Composite may not match J.P. Morgan. RVK includes Beta Overlay Futures and Options within each Total FundComposite, as well as Beta Overlay Cash within the Cash Equivalent Composite.Since Inceptions dates for Core and Non-Core Fixed Income Composites represent the first date of reconcilable performance.

Custom Index CommentsLand Grant Interim Policy Index is based on the target allocation and currently consists of 21.9% Russell 1000 Index, 2.1% US Small/Mid Cap Equity Custom Index, 16% Non-US Developed MarketsCustom Index, 4% MSCI Emg Mkts Index (USD) (Net), 11% Core Fixed Income Custom Index, 14% Non-Core Fixed Income Custom Index, 10% Cambridge US Prvt Eq Index (Lagged 1 Qtr), 10%NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), 10% Real Return Custom Index, and 1% ICE BofAML 3 Mo US T-Bill Index.

Severance Tax Interim Policy Index is based on the target allocation and currently consists of 22.9% Russell 1000 Index, 2.2% US Small/Mid Cap Equity Custom Index, 16% Non-US DevelopedMarkets Custom Index, 4% MSCI Emg Mkts Index (USD) (Net), 12% Core Fixed Income Custom Index, 12% Non-Core Fixed Income Custom Index, 10% Cambridge US Prvt Eq Index (Lagged 1 Qtr),10% NCREIF ODCE Index (AWA) (Net) (Lagged 1 Qtr), 10% Real Return Custom Index, and 1% ICE BofAML 3 Mo US T-Bill Index.

Global Equity Custom Index consists of 70% Russell 3000 Index, 18% MSCI EAFE Index (USD) (Net), and 12% MSCI Emg Mkts Index (USD) (Net) through October 2015; 64% Russell 3000 Index,28% MSCI EAFE Index (USD) (Net), and 8% MSCI Emg Mkts Index (USD) (Net) through June 2016; 59% Russell 3000 Index, 32% MSCI EAFE Index (USD) (Net), and 9% MSCI Emg Mkts Index(USD) (Net) through April 2018; 54.5% Russell 3000 Index, 37.5% MSCI EAFE Index (USD) (Net), and 8% MSCI Emg Mkts Index (USD) (Net) through February 2019; and 100% MSCI ACW IM Index(USD) (Net) thereafter.

US Small/Mid Cap Equity Custom Index consists of 70% Russell 2000 Index and 30% Russell Mid Cap Index.

Non-US Equity Custom Index consists of 60% MSCI EAFE Index (USD) (Net) and 40% MSCI Emg Mkts Index (USD) (Net) through October 2015, and the MSCI ACW Ex US IM Index (USD) (Net)thereafter.

Non-US Developed Markets Custom Index consists of the MSCI EAFE Index (USD) (Net) through November 2015 and the MSCI EAFE IM Index (USD) (Net) thereafter.

Core Fixed Income Custom Index consists of 10% Bloomberg US Trsy Index, 5% Bloomberg US Gov't/Crdt 1-3Yr Bond Index, 15% Bloomberg US Corp Inv Grade Index, 55% Bloomberg USUniversal Bond Index, and 15% ICE BofaML US HY Corp Cash Pay BB-B 1-5Yr Constrained Index.

Non-Core Fixed Income Custom Index consists of 20% ICE BofaML US Hi Yld Master II Index, 30% HFRX Fixed Income Asset Backed Index, 30% CS Lvg'd Loan Index, and 20% HFRX DistressedSecurities Index.

The Private Equity benchmark was updated to the Cambridge US Prvt Eq Index (Lagged 1 Qtr) in November 2014.

NCREIF/Townsend Weighted Index is calculated by Townsend, lagged 1 quarter, and a weighted benchmark based on target allocations to each real estate sector in the universe.

Real Return Custom Index consists of 35% Bloomberg US Trsy US TIPS Index, 25% Bloomberg Commodity Index (TR), 20% NCREIF Timberland Index, and 20% CPI+3%.

New Mexico State Investment CouncilAddendum


Page 22

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.

National Private Equity ProgramPerformance Update – Q4 2018

The Council Investment Committee of

The New Mexico State Investment Council

MAY 9, 2019

2NM SIC

DISCLAIMER

This document relies on information provided by third parties, including the New Mexico State

Investment Council (“NM SIC”) and NM SIC’s General Partners. The analysis included herein is

dependent on such information being complete and accurate in all material respects. While the

information is believed to be reliable, Mercer has not sought to verify it independently. As such,

Mercer makes no representations or warranties as to the accuracy of the information presented and

takes no responsibility or liability (including for indirect, consequential, or incidental damages) for

any error, omission or inaccuracy in the data supplied by any third party.

This document should not be distributed, published or reproduced, in whole or in part nor should its

contents be disclosed by a recipient to any other person.

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 document has been prepared solely for NM SIC and it may not be reproduced, transferred to any

other person or used for any other purpose without the written consent of Mercer LLC and/or its

associated companies.

3NM SIC

Q4 2018 PERFORMANCE UPDATE

4NM SIC

Cumulative Investment Performance

NM SIC National Private Equity Performance (by Investment Strategy)

Quarter-over-quarter net asset value decreased by approximately $21 million

PERFORMANCE DASHBOARD

As of December 31, 2018 ($ in millions)

Source: Invient1 Performance since inception

As of December 31, 2018 ($ in thousands)

Source: InvientVY 2009 and Before NAV % 62% 46% 29% 19% 12%

VY 2011 and After NAV % 38% 54% 71% 81% 88%

# of Net Net Total Net Multiple 1 Net IRR 1

Strategy Funds Commit. Contributed Distributed NAV Value 12/31/2018 12/31/2017 12/31/2018 12/31/2017

Active Commitments

Venture Capital 12 199.0$ 196.9$ 189.8$ 13.9$ 203.7$ 1.03x 1.05x 0.5% 0.7%

Growth 17 688.1 472.3 249.4 408.1 657.5 1.39x 1.40x 9.5% 8.9%

Buyout 70 3,172.3 2,117.2 1,757.1 1,503.8 3,260.9 1.54x 1.55x 11.6% 12.3%

Special Situations 22 921.2 652.6 536.9 329.6 866.5 1.33x 1.35x 7.7% 8.1%

Sub-total 121 4,980.6$ 3,438.9$ 2,733.3$ 2,255.3$ 4,988.6$ 1.45x 1.46x 9.4% 9.7%

Liquidated Funds 41 405.9 386.2 597.4 - 597.4 1.55x 1.44x 14.9% 13.7%

Sold Funds 46 457.5 423.6 655.9 - 655.9 1.55x 1.55x 26.6% 26.6%

Grand Total 208 5,844.0$ 4,248.7$ 3,986.6$ 2,255.3$ 6,241.9$ 1.47x 1.46x 11.4% 11.4%

$0

$1,600

$3,200

$4,800

$6,400

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Cum

ula

tive

Cash F

low

s /

NA

V

Net Contributed NAV Net Distributed

6.2% 6.1%

7.7%

10.0%10.8% 10.3% 9.4%

7.8% 8.0%

11.1%

10.0%9.2%

6.9%6.2%

9.6%

0%

3%

6%

9%

12%

Rolli

ng 1

0-y

ear

Net

IRR

All Vintage Year Return Funds with Vintage Years 2009 and Before

5NM SIC

NM SIC Private Equity Portfolio – Quarterly NAV Changes

In Q4 2018, Buyout generated a net gain of $9.5 million, while Special Situations, Venture

Capital and Growth produced net losses of $3.3 million, $2.7 million and $1.6 million,

respectively

42 funds reported net gains, while 62 funds reported net losses

Across all funds, the portfolio experienced a $1.8 million net gain in Q4 2018

QUARTER-OVER-QUARTER PERFORMANCE

Distributions outpaced contributions by $23.1 million in Q4 2018


Source: Invient.

$2,198.3

$117.7 $106.2

$66.8

$2,276.6

$81.7 $104.8

$1.8

$2,255.3

6/30/18 NAV Net

Contributions

Net

Distributions

Net Gain /

(Loss)

9/30/18 NAV Net

Contributions

Net

Distributions

Net Gain /

(Loss)

12/31/18 NAV

$1,800

$1,900

$2,000

$2,100

$2,200

$2,300

$2,400

6NM SIC

NM SIC National Private Equity Performance Relative to Benchmarks

PUBLIC MARKET EQUIVALENT PERFORMANCE – 10-YEAR

Private equity is performing below the public markets indices on a 10 year basis

Last 10 years through December 31, 2018

Source: Invient.

11.1%

13.8%12.9%

13.6%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

NM SIC Private Equity Russell 3000 Russell 2000 S&P 500

7NM SIC

STRATEGY TARGETS

Strategy targets were approved in January 2018 structure study

NM SIC National Private Equity Strategy

Strategy Current State

Annual Commitment

Range

$550 million to $650 million annual pace

Six to eight fund commitments per year

Four commitments for up to $235 million have

been made in 2018

Three commitments for up to $275 million have

been made in Q1 2019

Strategy

Buyout: 60% - 80%

Growth: 10% - 25%

Special Situations: 5% - 15%

Venture Capital: 0% - 5%

Exposure 1:

Buyout: 67%

Growth: 17%

Special Situations: 15%

Venture Capital: 1%

Geography

North America: 60% - 75%

Europe: 10% - 25%

Asia and Emerging Markets: 10% - 25%

Other: 0% - 10%

Remaining value:

North America: 63%

Europe: 16%

Asia and Emerging Markets: 12%

Other: 9%

Concentration

Guidelines

10% upper exposure by General Partner

(“GP”)

5% upper exposure by fund series

One GP greater than 10%

Five fund series are greater than 5%

Managers / Funds

Guidelines

Less than 30 core managers

Approximately 75 to 100 funds

Portfolio has 24 managers that have new

commitments since 2011

Portfolio has 121 active funds, with 68 funds

having a vintage year of 2007 or older with an

aggregate remaining value of $167.7 million1 Exposure defined as the sum of net asset value and unfunded commitments.

All data as of December 31, 2018.

8NM SIC

Diversification and Pacing by Vintage Year – NM SIC National Private Equity Program Active Commitments

DIVERSIFICATION: VINTAGE YEAR

The Program has exposure across multiple vintage years

Current strategy targets an annual pace of $550 million to $650 million (assuming 12% long-term

target)

The SIC approved six commitments totaling $437.5 million in 2017

Four commitments were approved in 2018 with $50 million to Hellman & Friedman IX, $50 million to Vista Equity VII, $60 million to Bridgepoint Europe VI and $75 million to JMI Equity IX.


Source: Invient. Exposure defined as net asset value plus unfunded commitments.

Vintage year defined by the first cash flow of the fund.

Pacing by Vintage Year Exposure by Vintage Year

$-

$100

$200

$300

$400

$500

$600

$700 1997-20052%

20062%

20072%

20082%

20091%20114%

20127%

201310%

201418%2015

10%

201615%

201715%

201812%

9NM SIC

Diversification by Strategy – NM SIC National Private Equity Program Active Commitments

Strategy Allocation

As of December 31, 2018

DIVERSIFICATION: STRATEGY

Portfolio is within current strategy allocation targets


Source: Data from Invient and target allocations from January 2018 structure study presentation to NM SIC. Target allocation refers to portfolio’s total exposure (NAV + Unfunded).


By Commitment By Exposure

Buyout63%

Venture Capital7%

Growth13%

Special Situations17%

Buyout67%

Venture Capital<1%

Growth17%

Special Situations15%

Target Allocation NAV Unfunded Total Exposure

Strategy Low High $ % $ % $ %

Venture Capital 0% - 5% 13.9$ 1% 2.3$ 1% 16.2$ 1%

Growth 10% - 25% 408.1 18% 224.2 14% 632.3 17%

Buyout 60% - 80% 1,503.8 67% 1,057.5 68% 2,561.2 67%

Special Situations 5% - 15% 329.6 14% 263.2 17% 592.8 15%

Total 2,255.3$ 100% 1,547.1$ 100% 3,802.5$ 100%

10NM SIC

Underlying Portfolio Company Diversification (By Remaining Value)

DIVERSIFICATION: GEOGRAPHY AND INDUSTRY

Portfolio is diversified across geographies and industries

Geographic diversification is based on the headquarters of the underlying portfolio companies

The portfolio’s exposure to Europe is expected to increase over time due to recent commitments

The underlying companies are diversified across a number of industries, with information

technology companies having the largest allocation and consumer companies having the second

largest allocation


Source: Invient. Does not include liquidated or sold funds.

Geography and industry based on the headquarters and primary industry of the underlying portfolio companies.

Other geography includes those investments that are categorized “Other International” or do not have a geography defined, such as debt portfolios.

Geography Industry

North America63%

Europe16%

Asia + Emerging Markets

12%

Other9%

Consumer21%

Energy5%

Financials11%

Health Care15%

Industrials / Materials

14%

Information Technology

21%

Other10%

Real Estate1%

Telecom1% Utilities

<1%

11NM SIC

APPENDIX

12NM SIC

NM SIC National Private Equity Performance Since Inception

PERFORMANCE DASHBOARD (TOTAL)



# of Net Net Total Net Multiple1 Net IRR1


Venture Capital 57 426.4$ 407.6$ 484.4$ 13.9$ 498.3$ 1.22x 1.23x 10.2% 10.3%

Growth 23 746.8 530.0 331.6 408.1 739.7 1.40x 1.39x 10.5% 10.2%

Buyout 99 3,651.0 2,567.1 2,507.6 1,503.8 4,011.4 1.56x 1.55x 12.5% 12.6%

Special Situations 29 1,019.7 744.1 662.9 329.6 992.5 1.33x 1.35x 8.0% 8.2%

Grand Total 208 5,844.0$ 4,248.7$ 3,986.6$ 2,255.3$ 6,241.9$ 1.47x 1.46x 11.4% 11.4%

NM SIC National Program Fund Summary (Ranked by Vintage Year) - Active Funds

As of December 31, 2018 ($ in millions)Vintage year defined as the year in which the fund's first cash flow occurs.

Vintage Committed Exposure NetFund Year Strategy Capital (NAV + Unfunded) Multiple IRRVestar Capital Partners III, L.P. 1997 Buyout 1.3$ 0.0$ 1.14x 2.6%Tullis/Dickerson Capital Focus II, L.P. 1998 Venture Capital 10.0 0.4 0.54x (5.2%)Warburg Pincus Equity Partners, L.P. 1998 Growth 10.0 0.0 1.66x 10.3%BCI Growth V, L.P. 1999 Special Situations 10.0 0.5 0.49x (9.5%)Cypress Merchant Banking Partners II, L.P. 1999 Buyout 10.0 1.0 0.93x (1.2%)Oak Hill Capital Partners, L.P. 1999 Buyout 10.0 - 1.87x 11.8%Oak Investment Partners IX, L.P. 1999 Venture Capital 10.0 0.2 0.65x (6.6%)ARCH Venture Fund V, L.P. 2000 Venture Capital 10.0 1.1 0.37x (9.0%)Blackstone Communications Partners, L.P. 2000 Buyout 10.0 0.2 1.28x 6.6%Clarity Partners, L.P. 2000 Buyout 10.0 1.1 0.72x (5.8%)Sequel Limited Partnership III, L.P. 2000 Venture Capital 17.5 0.3 1.42x 5.2%Vestar Capital Partners IV, L.P. 2000 Buyout 8.0 0.1 1.78x 13.5%Ampersand 2001, L.P. 2001 Venture Capital 20.0 0.0 2.61x 17.2%CVC European Equity Partners III, L.P. 2001 Buyout 10.0 0.8 2.89x 41.0%Harvest Partners IV, L.P. 2001 Buyout 15.0 0.5 2.25x 34.7%Oak Investment Partners X, L.P. 2001 Venture Capital 15.0 2.6 1.23x 3.2%Summit Ventures VI-B, L.P. 2001 Growth 5.0 0.2 2.15x 15.1%Warburg Pincus Private Equity VIII, L.P. 2001 Growth 15.0 0.7 2.28x 14.7%Apex Investment Fund V, L.P. 2002 Venture Capital 15.0 0.1 0.36x (14.1%)CHL Medical Partners II, L.P. 2002 Venture Capital 15.0 0.2 0.98x (0.3%)Landmark Equity Partners XI, L.P. 2002 Special Situations 20.0 1.1 1.54x 23.0%Leeds Weld Equity Partners IV, L.P. 2002 Buyout 20.0 2.3 1.32x 4.3%Sterling Capital Partners, L.P. 2002 Buyout 15.0 1.0 2.13x 17.7%Thomas, McNerney & Partners, L.P 2002 Venture Capital 20.0 2.3 0.62x (7.7%)Wellspring Capital Partners III, L.P. 2002 Buyout 20.0 0.0 2.19x 26.1%Alta Communication IX, L.P. 2003 Venture Capital 20.0 2.3 0.82x (2.6%)Green Equity Investors IV, L.P. 2003 Buyout 28.1 3.4 1.95x 11.2%Levine Leichtman Capital Partners III, L.P. 2003 Special Situations 35.0 0.2 1.65x 9.8%Nordic Capital Fund V, L.P. 2003 Buyout 23.0 0.7 2.99x 20.6%Aurora Equity Partners III, L.P. 2004 Buyout 25.0 1.6 1.72x 13.3%Camden Partners Strategic Fund III, L.P. 2004 Growth 20.0 0.3 2.45x 13.4%Carlyle Mezzanine Partners, L.P. 2004 Special Situations 20.0 - 0.86x (2.9%)Markstone Capital, L.P. 2004 Buyout 20.0 3.5 0.33x (28.4%)NGN BioMed Opportunity I, L.P. 2004 Venture Capital 20.0 0.9 0.93x (1.1%)Pharos Capital Partners II-A, L.P. 2004 Growth 19.0 5.1 0.72x (4.3%)Trilantic Capital Partners III, L.P. 2004 Buyout 20.0 2.8 1.93x 16.6%VSS Communications Partners IV, L.P. 2004 Buyout 20.0 (0.0) 0.70x (5.5%)Yucaipa American Alliance Fund I, L.P. 2004 Buyout 20.0 7.5 1.33x 4.7%Bridgepoint Europe III, L.P. 2005 Buyout 35.4 11.2 1.28x 3.1%Carlyle Mexico Partners, L.P. 2005 Buyout 25.0 7.5 1.33x 7.8%Carlyle-Riverstone Global Energy and Power Fund III, L.P. 2005 Buyout 20.0 4.6 1.40x 6.7%Falcon Mezzanine Partners II, L.P. 2005 Special Situations 20.0 1.0 1.51x 7.0%Levine Leichtman Capital Partners Deep Value Fund, L.P. 2005 Special Situations 25.0 - 1.04x 0.7%

Source: Invient.



Vintage Committed Exposure NetFund Year Strategy Capital (NAV + Unfunded) Multiple IRRQuadrangle Capital Partners II, L.P. 2005 Buyout 17.4 1.9 1.47x 6.9%Rustic Canyon - Fontis Partners, L.P. 2005 Growth 20.0 8.5 0.75x (4.4%)Welsh, Carson, Anderson & Stowe X, L.P. 2005 Buyout 25.0 0.4 1.70x 8.1%Williams Capital Partners, L.P. 2005 Buyout 20.0 1.7 0.89x (1.8%)Catterton Partners VI, L.P. 2006 Buyout 25.0 13.4 2.07x 12.0%Fenway Partners Capital Fund III, L.P. 2006 Buyout 30.0 14.5 1.24x 3.5%GF Capital Private Equity Fund, L.P. 2006 Buyout 30.0 15.9 1.81x 12.4%GSC Recovery III, L.P. 2006 Buyout 30.0 2.8 1.18x 4.1%InterMedia Partners VII, L.P. 2006 Buyout 30.0 2.3 0.99x (0.1%)Lightyear Fund II, L.P. 2006 Buyout 60.0 9.9 1.66x 7.7%Newstone Capital Partners, L.P. 2006 Special Situations 30.0 1.3 1.39x 8.6%Thomas H. Lee Equity Fund VI, L.P. 2006 Buyout 30.0 8.9 1.60x 7.5%Wayzata Opportunities Fund, LLC 2006 Buyout 25.0 1.7 1.68x 8.4%Capital Point Partners, L.P. 2007 Special Situations 20.0 8.1 1.02x 0.4%CRATON EQUITY INVESTORS I, L.P. 2007 Growth 19.1 0.1 0.11x (32.7%)Gleacher Mezzanine Fund II, L.P. 2007 Special Situations 20.0 1.8 1.33x 10.6%Green Equity Investors V, L.P. 2007 Buyout 30.0 21.3 2.59x 21.5%Halyard Capital Fund II, L.P. 2007 Buyout 30.0 12.4 1.44x 6.6%Platinum Equity Capital Partners II, L.P. 2007 Buyout 30.0 7.1 1.66x 12.9%Quaker BioVentures II, L.P. 2007 Venture Capital 26.5 5.9 1.01x 0.3%Sector Performance Fund, L.P. 2007 Buyout 30.0 - 0.91x (2.4%)St. Cloud Capital Partners II, L.P. 2007 Special Situations 20.0 1.6 0.87x (3.3%)Trilantic Capital Partners IV, L.P. 2007 Buyout 21.0 5.2 1.73x 14.0%Vicente Capital Partners Growth Fund, L.P. 2007 Growth 25.0 21.5 1.46x 7.0%VMG Equity Partners, L.P. 2007 Buyout 30.0 1.7 2.80x 32.7%Ares Corporate Opportunities Fund III, L.P. 2008 Buyout 50.0 40.2 2.39x 21.2%Bridgepoint Europe IV, L.P. 2008 Buyout 46.6 19.5 1.50x 9.4%Carlyle Mezzanine Partners II, L.P. 2008 Special Situations 26.2 3.4 1.29x 6.1%Levine Leichtman Capital Partners IV, L.P. 2008 Special Situations 35.0 10.7 1.91x 18.4%NGP Energy Technology Partners II, L.P. 2008 Growth 30.0 11.8 1.16x 3.9%Falcon Strategic Partners III, L.P. 2009 Special Situations 25.0 9.3 1.56x 9.7%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 Buyout 50.0 18.4 1.66x 12.8%Ares Special Situations Fund III, L.P. 2011 Special Situations 40.0 11.1 1.10x 1.9%Asia Alternatives Capital Partners III, L.P. 2011 Special Situations 50.0 56.4 1.66x 14.9%Lightyear Fund III, L.P. 2011 Buyout 40.0 34.1 2.39x 22.3%TPG Growth Fund II, L.P. 2011 Growth 50.0 65.8 1.98x 18.1%Ares Corporate Opportunities Fund IV, L.P. 2012 Buyout 75.0 81.7 1.51x 12.0%Coller International Partners VI, L.P. 2012 Special Situations 75.0 49.3 1.68x 17.6%Green Equity Investors VI, L.P. 2012 Buyout 75.0 88.9 1.70x 16.0%Platinum Equity Capital Partners III, L.P. 2012 Buyout 75.0 46.5 1.92x 29.6%Affinity Asia Pacific Fund IV, L.P. 2013 Buyout 75.0 75.4 1.31x 14.0%Landmark Equity Partners XV, L.P. 2013 Special Situations 100.0 73.8 1.30x 14.7%New Mexico Asia Investors, L.P. 2013 Special Situations 25.0 31.2 1.54x 17.3%

Source: Invient.



Vintage Committed Exposure NetFund Year Strategy Capital (NAV + Unfunded) Multiple IRRNordic Capital Fund VIII, L.P. 2013 Buyout 70.7 92.1 1.60x 13.3%Pine Brook Capital Partners II, L.P. 2013 Growth 75.0 93.2 1.40x 10.3%CCMP Capital Investors III, L.P. 2014 Buyout 75.0 85.5 1.28x 8.0%FS Equity Partners VII, L.P. 2014 Buyout 75.0 86.2 1.19x 8.1%KPS Special Situations Fund IV, L.P. 2014 Buyout 50.0 48.6 1.29x 20.6%Sorenson Capital Partners III, L.P. 2014 Buyout 50.0 63.7 1.21x 8.1%TDR Capital Fund III, L.P. 2014 Buyout 75.4 90.9 2.64x 39.5%TPG Asia VI, L.P. 2014 Buyout 100.0 104.9 1.24x 8.3%TPG Opportunities Partners III, L.P. 2014 Special Situations 75.0 80.1 1.34x 10.1%Vista Equity Partners Fund V, L.P. 2014 Buyout 100.0 134.2 2.09x 20.8%Ares Special Situations Fund IV, L.P. 2015 Special Situations 75.0 65.3 0.84x (8.9%)BDCM Opportunity Fund IV, L.P. 2015 Buyout 75.0 85.3 1.20x 10.1%Bridgepoint Europe V, L.P. 2015 Buyout 75.8 73.5 1.21x 14.5%JMI Equity Fund VIII, L.P. 2015 Growth 50.0 59.1 1.31x 18.9%TPG Growth Fund III, L.P. 2015 Growth 75.0 78.2 1.37x 22.0%Coller International Partners VII, L.P. 2016 Special Situations 75.0 84.3 1.24x 23.6%EQT VII (No.2) Limited Partnership 2016 Buyout 56.7 68.4 1.28x 17.0%Lightyear Fund IV, L.P. 2016 Buyout 75.0 75.3 1.01x 0.9%Platinum Equity Capital Partners IV, L.P. 2016 Buyout 100.0 109.6 1.35x 33.6%TA XII, L.P. 2016 Growth 100.0 111.5 1.35x 28.6%Vista Equity Partners Fund VI, L.P. 2016 Buyout 100.0 124.5 1.36x 16.8%Ares Corporate Opportunities Fund V, L.P. 2017 Buyout 100.0 99.0 0.98x (2.5%)Green Equity Investors VII, L.P. 2017 Buyout 100.0 103.8 1.08x 8.0%Landmark Equity Partners XVI, L.P. 2017 Special Situations 100.0 102.3 5.23x 125.6%New Mountain Partners V, L.P. 2017 Buyout 62.5 62.5 1.02x 3.0%The Rise Fund, L.P. 2017 Growth 50.0 52.0 1.10x 20.3%TPG Asia VII, L.P. 2017 Buyout 100.0 99.0 0.95x (4.9%)TPG Growth Fund IV, L.P. 2017 Growth 50.0 49.2 0.93x (9.7%)Affinity Asia Pacific Fund V, L.P. 2018 Buyout 75.0 75.0 1.00x 0.0%Bridgepoint Europe VI, L.P. 2018 Buyout 57.1 55.9 N/A N/AHellman & Friedman Capital Partners IX, L.P. 2018 Buyout 50.0 50.0 N/A N/AJMI Equity Fund IX, L.P. 2018 Growth 75.0 75.0 N/A N/ANordic Capital Fund IX, L.P. 2018 Buyout 75.6 74.7 N/A N/ATDR Capital Fund IV, L.P. 2018 Buyout 77.8 72.9 0.00x NMVista Equity Partners Fund VII, L.P. 2018 Buyout 50.0 50.0 N/A N/A Total 4,980.6$ 3,802.5$ 1.45x 9.4%

Source: Invient and Burgiss. Note that funds with vintage years 2016 and after are not benchmarked.Benchmark quartile ranking compares each fund's December 31, 2018 performance to the most relevant Burgiss benchmark as of September 30, 2018.Note: Amounts that show as $0.0 are rounded amounts less than $50,000.

Source: Invient.

Regional Private Equity ProgramPerformance Update – Q4 2018

The Council Investment Committee of

The New Mexico State Investment Council

May 9, 2019

2NM SIC

DISCLAIMER

This document relies on information provided by third parties, including the New Mexico State

Investment Council (“NM SIC”) and NM SIC’s General Partners. The analysis included herein is

dependent on such information being complete and accurate in all material respects. While the

information is believed to be reliable, Mercer has not sought to verify it independently. As such,

Mercer makes no representations or warranties as to the accuracy of the information presented and

takes no responsibility or liability (including for indirect, consequential, or incidental damages) for

any error, omission or inaccuracy in the data supplied by any third party.

This document should not be distributed, published or reproduced, in whole or in part nor should its

contents be disclosed by a recipient to any other person.

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 document has been prepared solely for NM SIC and it may not be reproduced, transferred to any

other person or used for any other purpose without the written consent of Mercer LLC and/or its

associated companies.

3NM SIC

Q4 2018 PERFORMANCE UPDATE

4NM SIC

Cumulative Investment Performance

NM SIC Regional Private Equity Performance (by Portfolio)

Quarter-over-quarter net asset value increased by approximately $8 million

PERFORMANCE DASHBOARD




Source: Invient


Portfolio Funds Commit. Contributed Distributed NAV Value 12/31/2018 12/31/2017 12/31/2018 12/31/2017

Active Commitments

Catalyst Fund 1 10.0$ 1.9$ -$ 1.9$ 1.9$ 1.01x 0.54x 1.0% (52.4%)

Co-Investment Funds 5 192.6 181.4 1.2 320.4 321.5 1.77x 1.75x 9.9% 10.0%

Fund Investments 22 224.5 195.4 126.3 79.9 206.1 1.06x 1.04x 0.7% 0.6%

Sub-total 28 427.0$ 378.7$ 127.4$ 402.1$ 529.6$ 1.40x 1.35x 4.9% 4.5%

Liquidated Funds 10 107.0 106.9 46.6 - 46.6 0.44x 0.44x (14.3%) (14.3%)

Grand Total 38 534.1$ 485.5$ 174.0$ 402.1$ 576.1$ 1.19x 1.14x 2.3% 1.8%

-$1,200

-$800

-$400

$0

$400

$800

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Cum

ula

tive

Cash F

low

s /

NA

V

Net Contributed NAV Net Distributed

-11.8%

-6.6%-5.3%

-2.9%

-0.5%1.1%

2.3%2.5%

4.2%6.6%

-12%

-8%

-4%

0%

4%

8%

Rolli

ng 1

0-y

ear

Net

IRR

Rolling 10-year Net IRR

5NM SIC

NM SIC Regional Private Equity Portfolio – Quarterly NAV Changes

In Q4 2018, Fund Investments and Co-Investment Funds produced net losses of $4.6 million,

and $1.0 million, respectively

7 funds reported net gains, while 13 funds reported net losses

Across all funds, the portfolio experienced a $5.7 million net loss in Q4 2018

QUARTER-OVER-QUARTER PERFORMANCE

Contributions outpaced distributions by $14.1 million in Q4 2018


Source: Invient.

$392.4

$6.2 $5.0$0.1

$393.7

$15.5 $1.4

($5.7)

$402.1

6/30/18 NAV Net

Contributions

Net

Distributions

Net Gain /

(Loss)

9/30/18 NAV Net

Contributions

Net

Distributions

Net Gain /

(Loss)

12/31/18 NAV

$325

$350

$375

$400

$425

6NM SIC

NM SIC Regional Private Equity Performance Relative to Benchmarks

PUBLIC MARKET EQUIVALENT PERFORMANCE – 10-YEAR

Private equity is performing below the public markets indices on a 10 year basis

Last 10 years through December 31, 2018

Source: Invient.

6.6%

13.0%

11.7%

13.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

NM SIC Private Equity Russell 3000 Russell 2000 S&P 500

7NM SIC

NAV Unfunded Total Exposure

Portfolio $ % $ % $ %

Catalyst Fund 1.9$ 0% 8.1$ 16% 10.0$ 2%

Co-Investment Funds 320.4 80% 11.2 21% 331.5 73%

Fund Investments 79.9 20% 32.3 63% 112.2 25%

Total 402.1$ 100% 51.6$ 100% 453.7$ 100%

Diversification by Portfolio – NM SIC Regional Private Equity Program Active Commitments

Portfolio Allocation


DIVERSIFICATION: STRATEGY

The Program can be viewed as taking three approaches to making investments


Source: Invient


By Commitment By Exposure

Catalyst Fund2%

Co-Investment Funds48%

Fund Investments

50%

Catalyst Fund2%

Co-Investment Funds73%

Fund Investments

25%

8NM SIC

Diversification and Pacing by Vintage Year – NM SIC Regional Private Equity Program Active Commitments

DIVERSIFICATION: VINTAGE YEAR

Recent commitments comprise of all three investment approaches

2007, which has the most commitments, is comprised of the NM SIC Co-Investment Fund

Classic and NM SIC Co-Investment Fund Focused with a commitment to one other fund

From 2016 to 2018, there have been one additional commitment to the co-investment funds

(Tranche 2017) in addition to the commitment to the Catalyst Fund and six other fund

commitments



Vintage year defined by the first cash flow of the fund.

Pacing by Vintage Year Exposure by Vintage Year

$-

$20

$40

$60

$80

$100

$1201993-2000

<1%

20011%

20021%

20031%

20042%

20064%

200741%

20081%

20138%

201414%

201610%

201713%

20183%

9NM SIC

Underlying Portfolio Company Diversification (By Remaining Value)

DIVERSIFICATION: GEOGRAPHY AND INDUSTRY

Portfolio is diversified across geographies and industries

Geographic diversification is based on the headquarters of the underlying portfolio companies

Approximately 67% of remaining value are in New Mexico headquartered companies

The underlying companies are diversified across a number of industries, with information

technology companies having the largest allocation and health care companies having the

second largest allocation


Source: Invient.

Geography and industry based on the headquarters and primary industry of the underlying portfolio companies.

Other geography includes those investments that are categorized “Other International” or do not have a geography defined, such as debt portfolios.

Geography Industry

North America ex NM30%

Europe<1%New Mexico

67%

Other2%

Consumer2%

Energy1%

Financials<1%

Health Care32%

Industrials / Materials

6%

Information Technology

53%

Other2%

Real Estate<1%

Com Services1% Utilities

<1%

10NM SIC

ECONOMIC IMPACT UPDATE

Economic impact will be a part of the New Mexico Program performance reports

As part of the transition, a reconciliation between Sun Mountain’s data and Invient’s data is being

completed

We are in the process of collecting economic impact information from the fund managers,

including:

Number of New Mexico employees

Annualized New Mexico payroll

Estimated annualized expenditures on other New Mexico goods and services

Did company stay in New Mexico

Did company take advantage of any incentives from the State

To the extent fund managers report this information, it will be aggregated and reported in future

performance reports

We are meeting with current managers and prospective managers to learn more about New

Mexico investment activities and discuss ways to increase activity in New Mexico by increasing

connections

11NM SIC

APPENDIX

12NM SIC

NM SIC Regional Private Equity Performance (by Investment Strategy)

Quarter-over-quarter net asset value increased by approximately $8 million

PERFORMANCE DASHBOARD (BY STRATEGY)





Active Commitments

Buyout 2 15.0$ 12.8$ 32.6$ 0.8$ 33.4$ 2.61x 2.57x 10.4% 10.4%

Fund of Funds 1 10.0 1.9 - 1.9 1.9 1.01x 0.54x 1.0% (52.4%)

Venture Capital 25 402.0 364.1 94.9 399.5 494.3 1.36x 1.31x 4.4% 4.0%

Sub-total 28 427.0$ 378.7$ 127.4$ 402.1$ 529.6$ 1.40x 1.35x 4.9% 4.5%

Liquidated Funds 10 107.0 106.9 46.6 - 46.6 0.44x 0.44x (14.3%) (14.3%)

Grand Total 38 534.1$ 485.5$ 174.0$ 402.1$ 576.1$ 1.19x 1.14x 2.3% 1.8%

13NM SIC

NM SIC Regional Private Equity Performance Since Inception (by Investment Portfolio)

PERFORMANCE DASHBOARD (TOTAL)




Portfolio Funds Commit. Contributed Distributed NAV Value 12/31/2018 12/31/2017 12/31/2018 12/31/2017

Catalyst Fund 1 10.0$ 1.9$ -$ 1.9$ 1.9$ 1.01x 0.54x 1.0% (52.4%)

Co-Investment Funds 6 254.6 243.4 14.5 320.4 334.9 1.38x 1.31x 4.4% 3.7%

Fund Investments 31 269.5 240.3 159.5 79.9 239.4 1.00x 0.98x (0.0%) (0.2%)

Grand Total 38 534.1$ 485.5$ 174.0$ 402.1$ 576.1$ 1.19x 1.14x 2.3% 1.8%

NM SIC Regional Private Equity Performance Since Inception (by Investment Strategy)





Buyout 2 12.5$ 10.1$ 30.6$ 0.6$ 31.2$ 3.09x 2.21x 13.9% 8.3%

Fund of Funds 1 10.0 1.9 - 1.9 1.9 1.01x 0.54x 1.0% (52.4%)

Venture Capital 35 511.6 473.6 143.4 399.6 543.0 1.15x 1.10x 1.8% 1.3%

Grand Total 38 534.1$ 485.5$ 174.0$ 402.1$ 576.1$ 1.19x 1.14x 2.3% 1.8%

14NM SIC

NM SIC Regional Private Equity Performance Since Inception (by Active Co-Investment Funds)

PERFORMANCE DASHBOARD (CO-INVESTMENT FUNDS)



Net Net Total Net Multiple1 Net IRR1

Active Co-Investment Funds Commit. Contributed Distributed NAV Value 12/31/2018 12/31/2017 12/31/2018 12/31/2017

NMSIC Co-Investment Fund L.P. (Classic) 30.0$ 28.9$ 1.2$ 15.1$ 16.3$ 0.56x 0.59x (8.8%) (8.7%)

NMSIC Co-Investment Fund L.P. (Focused) 62.5 62.4 - 161.5 161.5 2.59x 2.28x 10.8% 10.5%

NMSIC Co-Investment Fund L.P. (Tranche 2013) 20.0 18.5 - 37.5 37.5 2.03x 1.90x 16.8% 19.2%

NMSIC Co-Investment Fund L.P. (Tranche 2014) 40.0 38.5 - 62.6 62.6 1.62x 1.62x 18.8% 29.2%

NMSIC Co-Investment Fund L.P. (Tranche 2017) 40.0 33.1 0.0 43.6 43.6 1.32x 1.87x 51.2% 333.4%

Grand Total 192.6$ 181.4$ 1.2$ 320.4$ 321.5$ 1.77x 1.75x 9.9% 10.0%

NM SIC Regional Program Fund Summary (Ranked by Vintage Year) - Active Funds


Vintage Committed Exposure Net

Fund Year Strategy Capital (NAV + Unfunded) Multiple IRR

Tullis/Dickerson Capital Focus II, L.P. 1998 Fund Investments 5.0$ 0.2$ 0.54x (5.3%)

International Venture Fund I, L.P. 2000 Fund Investments 5.0 - 0.17x (13.4%)

Murphree Venture Partners V, L.P. 2000 Fund Investments 3.0 - 0.30x (15.2%)

Red River Ventures, L.P. 2000 Fund Investments 7.2 0.3 0.94x (0.8%)

Tullis/Dickerson Capital Focus III, L.P. 2001 Fund Investments 15.0 4.6 1.27x 4.5%

Wasatch Venture Fund III, LLC 2001 Fund Investments 8.7 2.5 0.83x (2.4%)

Blue Sage Capital Fund, L.P. 2002 Fund Investments 10.0 3.0 3.95x 21.8%

Valley Ventures III, L.P. 2002 Fund Investments 6.7 0.1 0.36x (11.4%)

vSpring II, L.P. 2003 Fund Investments 20.0 5.0 0.25x (10.5%)

Flywheel I, L.P. 2004 Fund Investments 15.0 4.2 0.96x (0.6%)

Verge I, L.P. 2004 Fund Investments 10.0 1.8 0.92x (1.0%)

Wasatch New Mexico Fund, LLC 2004 Fund Investments 12.0 1.9 0.28x (12.7%)

Psilos Group Partners IIIB, L.P. 2006 Fund Investments 15.0 10.9 1.24x 3.4%

Village Ventures Fund II-B, L.P. 2006 Fund Investments 15.0 6.1 1.34x 5.1%

NMSIC Co-Investment Fund L.P. (Classic) 2007 Co-Investment Funds 30.0 16.3 0.56x (8.8%)

NMSIC Co-Investment Fund L.P. (Focused) 2007 Co-Investment Funds 62.5 161.6 2.59x 10.8%

vSpring III, L.P. 2007 Fund Investments 15.0 10.8 0.80x (2.4%)

Epic Venture Fund IV, LLC 2008 Fund Investments 10.0 4.7 2.37x 13.2%

NMSIC Co-Investment Fund L.P. (Tranche 2013) 2013 Co-Investment Funds 20.0 39.1 2.03x 16.8%


Epic Venture Fund V, L.P. 2016 Fund Investments 10.0 10.1 1.02x 1.6%

New Mexico Catalyst Fund, L.P. 2016 Catalyst Fund 10.0 10.0 1.01x 1.0%

Phoenix Venture Partners II, L.P. 2016 Fund Investments 10.0 12.6 1.51x 31.4%

Psilos Group Partners III Subsidiary, L.P. 2016 Fund Investments 2.0 3.0 1.50x 16.9%

Trinity Capital Fund III, L.P. 2016 Fund Investments 7.5 8.3 1.22x 13.1%

Kickstart Seed Fund IV, L.P. 2017 Fund Investments 7.4 7.4 0.98x (1.7%)


Crosslink Ventures VIII, L.P. 2018 Fund Investments 15.0 14.7 0.85x (60.4%)

Total 427.0$ 453.7$ 1.40x 4.9%

Source: Invient and Burgiss. Note that funds with vintage years 2016 and after are not benchmarked.Benchmark quartile ranking compares each fund's December 31, 2018 performance to the most relevant Burgiss benchmark as of December 31, 2018.Note: Amounts that show as $0.0 are rounded amounts less than $50,000.

3. Investment Matters: Investment Matters Requiring Vote

a. Investment Committee Report (Linda Eitzen)

b. Capital Market Assumptions (RVK)

c. Vote: Asset Allocation: Tobacco Settlement & Water Trust Funds (Smith, RVK)

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Phone: (505) 476-9500 Fax: (505) 424-2510

COUNCIL INVESTMENT COMMITTEE MEETING SUMMARY NOTES

THURSDAY, MAY 9, 2019 9:00 AM Committee Members present Linda Eitzen, Chair Lynn Hoffman Harold Lavender Staff present: Steve Moise Vince Smith Evan Land Brent Shipp Charles Wollmann Paul Chapman (by phone) David Lee Bart Stucky Clayton Camper Gordon Sellers Clayton Cleek Consultants: Matthias Bauer, RVK (by phone) Jack Koch, Townsend (by phone) Seth Marcus, Townsend (by phone) Richard Pugmire, Mercer (by phone) Council Investment Committee Chair Linda Eitzen called the meeting to order at 9:00 am with the introduction of members attending in-person as well as those attending via phone.



DEPUTY STATE INVESTMENT OFFICER

MICHELLE LUJAN GRISHAM GOVERNOR

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1. Investment Activity & Performance, Capital Markets Update

a. Performance Report (March 2019): Vince Smith presented a summary of performance and rebalancing activities. Ms. Eitzen posed a question on short-term underperformance in the US equity portfolio. This can generally be attributed to the portfolio’s relatively more defensive posture and the underperformance of value investing strategies. Ms. Eitzen also commented on volatility in Master Limited Partnership assets. While volatility has exceeded expectations, cash flow and long-term fundamentals in the space remain strong.

b. General Discussion: Mr. Smith elaborated on current public equity asset flows and market volatility. A substantial portion of stock market returns appear to be driven by stock buybacks, as corporate earnings remain near historical highs and there appears to be little new investment from institutions or individuals. The accumulation of debt used to fund share buybacks will remain an area of focus, with corporate debt loads much larger than in the prior economic cycle.

2. Portfolio Recommendations & Informational Items

a. Strategy: Asset Allocation Review: Matthias Bauer from RVK presented a study of long-term capital market assumptions and an asset allocation review. Ms. Eitzen emphasized the need to focus on compound rather than arithmetic returns. Mr. Bauer discussed modest changes to public equity, private equity, fixed income, real estate, and real return assumptions, concluding that the long-term capital market outlook remains challenged. Mr. Smith led a discussion of potential asset allocations for the Tobacco Settlement Permanent Fund (TSPF), recommending an asset allocation of for the consideration of the Council. The proposed allocation consists of (1) 10% broad US equity, (2) 10% broad international equity, (3) 10% core fixed income, (4) 25% non-core fixed income, (5) 25% real return, and (6) 20% real estate. The Committee voted unanimously to approve. Mr. Smith led a discussion of potential asset allocations for the Water Trust Permanent Fund (WTPF), recommending an asset allocation for the consideration of the Council. The proposed allocation consists of (1) 10% broad US equity, (2) 10% broad international equity, (3) 8%core fixed income, (4) 8% non-core fixed income, (5) 20% real return, (6) 22% real estate, (7) 22% private equity. The Committee voted unanimously to approve.

b. Strategy: Strategy Section Review, 2020 Annual Investment Plan (Draft): Mr. Smith led a discussion of the draft 2020 Annual Investment Plan to be submitted to the Council at its June 2019 meeting. The pace of the current economic expansion continues to be the slowest since 1919, with low population, labor, and productivity growth holding back GDP growth. Assumptions from previous Annual Investment Plans have largely held true, and the 2020 Annual Investment Plan continues with this line of thinking with mainly an incremental change to GDP growth due to the roll forward of economic cycle data in terms of changes.

c. Strategy: May 2019 Re-balancing Activity: Mr. Smith led a discussion of re-balancing activity. US equities are near the long-term target weight after April and May sales that were reallocated to core real estate, with the possibility of further reallocations to non-core real estate over time.

d. Private Equity: Q4 2018 Investment Performance: David Lee explained Mercer’s acquisition of Pavilion Financial Corporation on November 30, 2018. Richard Pugmire discussed Q4 2018 performance, which saw net asset value decline due to fund distributions. Ten-year rolling performance for the 2017-2018 period improved considerably, which is mostly explained by poor Q4 2008 performance rolling off. Ms. Eitzen commented that new investments are just keeping pace with distributions. Mr. Pugmire responded that distributions can be uneven given what are often multi-quarter time periods to realization, and that a review of the current pacing model is underway.

e. Private Equity: Q4 2018 New Mexico Investment Performance: Mr. Pugmire discussed the performance of the Catalyst Fund, Co-Investment Fund, and Fund investments. Contributions continue to exceed distributions, which Mr. Pugmire partly attributed to the tendency of venture capital funds to have lower

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distribution rates vis-à-vis buyout funds. An increase in the availability of capital in the venture capital space has also lessened the pressure for companies to seek liquidity events. Mr. Lee commented that higher company concentrations in the New Mexico portfolio than in the national portfolio have also created the opportunity for larger swings in value.

3. Investment Operations

a. Strategy Group Update: Mr. Smith stated that offers would soon be made to two individuals for roles inthe Strategy Group. The volume of resumes received was promising and Mr. Smith believes the twoindividuals’ backgrounds are complementary to current Strategy Group resources.

b. Asset Class Directors Group Update: Mr. Smith informed the council of upcoming studies from the PublicEquity and Fixed Income asset class directors.

4. Old or New Business and Informational Items

a. Old or New Business: Ms. Eitzen requested materials regarding asset allocations and asset class returnassumptions of other US public funds for use in modeling studies.

Adjournment: Ms. Eitzen adjourned the meeting at 12:00 p.m.

Capital Market Assumptions & Asset Allocation Review

New Mexico State Investment CouncilMay 28, 2019

Capital Markets AssumptionsPhilosophy

• Each year, RVK’s general consulting and research teams collaborate to review the capital market environment and update long-term, forward-looking capital market (CM) expectations for each asset class utilized by our clients.

• The forecast horizon is for long-term periods, typically 10 years or more.

• The components we estimate include:– Return– Risk (volatility of returns)– Correlation (relationship of asset class returns with all other asset

classes)

• Return assumptions are generally index-based and assume no investment manager alpha.

• Annual updates are typically gradual and incorporate historical performance, current valuations, as well as the overall economic environment.

Page 2

Building Block Methodology

Expected Return Building Blocks

For illustrative purposes only. While the above factors generally inform the direction and magnitude of the capital market assumptions, RVK also considers qualitative, triangulation, and other factors as needed, when arriving at final assumption values. Real Growth includes GDP and profit margin growth.

Yield (Income)

Inflation Assumption

RealGrowth

Approach: The sum of the building blocks equals expected return

Valuation Change

Page 3

What does it mean to get CM Assumptions “right”?

Relative accuracy is most important…

• Relative Accuracy: Assumptions capture the relative relationships between asset classes – particularly closely related ones.– Having some assumptions that are spot on and others that are far off will produce

unbalanced and poorly diversified portfolios.

But “absolute” accuracy matters too—just not as much.

• Absolute Accuracy: Assumptions reflect the absolute values actually experienced in future long-term market environments.– Having CM assumptions that are too high or too low across the board can cause

a Fund to believe it can spend more than it can afford or restrict spending more than necessary.

Page 4

RVK’s 2019 Capital Market Assumptions for NMSIC

Blue highlighted cells indicate values are being calculated based on a roll up of underlying asset classes. Please refer to the appendix for additional detail pertaining to estimated yields.

2019 Compositions:Broad US Equity is a combination of 92.9% Large/Mid Cap US Equity and 7.1% Small Cap US Equity.Broad International Equity is a combination of 64.0% Dev'd Large/Mid Cap Int'l Equity, 10.7% Dev'd Small Cap Int'l Equity, and 25.3% Emerging Markets Equity.NMSIC Non-Core Fixed Income is a combination of 20% Unconstrained, 30% US Middle Market Lending, 30% Structured Credit, and 20% Distressed/Other.NMSIC Real Return is a combination of 3% TIPS, 5% Floating/ST Mezz RE Debt, 3% EMD (Local), 9% MLPs, 13% Agriculture, 5% Commodities, 25% Private Energy, 26% Infrastructure, and 11% Timber.NMSIC Real Estate is a combination of 55% Core Real Estate and 45% Non-Core Real Estate.

2018 Compositions:Broad US Equity is a combination of 91.5% Large/Mid Cap US Equity and 8.5% Small Cap US Equity.Broad International Equity is a combination of 64.4% Dev'd Large/Mid Cap Int'l Equity, 11.2% Dev'd Small Cap Int'l Equity, and 24.4% Emerging Markets Equity.NMSIC Non-Core Fixed Income is a combination of 20% Unconstrained, 30% US Middle Market Lending, 30% Structured Credit, and 20% Distressed/Other.NMSIC Real Return is a combination of 2% TIPS, 5% Floating/ST Mezz RE Debt, 3% EMD (Local), 9% MLPs, 12% Agriculture, 8% Commodities, 24% Private Energy, 26% Infrastructure, 12% Timber.NMSIC Real Estate is a combination of 55% Core Real Estate and 45% Non-Core Real Estate.

Asset ClassNominal Return (Geo.)

Risk(StDev)

Nominal Return (Arith.)

Return / Risk Ratio

Nominal Return (Geo.)

Risk(StDev)


Return / Risk Ratio


Risk(StDev)


Return / Risk Ratio

Broad US Equity 5.35% 17.80% 6.80% 0.38 5.35% 17.80% 6.80% 0.38 -- -- -- --Broad International Equity 6.94% 20.95% 8.90% 0.42 6.66% 20.80% 8.60% 0.41 +0.28% +0.15% +0.30% +0.01

US Aggregate Fixed Income 3.58% 6.00% 3.75% 0.63 3.33% 6.00% 3.50% 0.58 +0.25% -- +0.25% +0.04NMSIC Non-Core Fixed Income 5.39% 8.75% 5.75% 0.66 4.72% 7.75% 5.00% 0.65 +0.67% +1.00% +0.75% +0.01

NMSIC Real Return 6.69% 12.90% 7.46% 0.58 6.48% 13.47% 7.32% 0.54 +0.21% -0.57% +0.14% +0.03

NMSIC Real Estate 5.76% 15.71% 6.90% 0.44 6.35% 15.75% 7.49% 0.48 -0.59% -0.04% -0.59% -0.04

Private Equity 6.65% 25.50% 9.50% 0.37 6.90% 25.50% 9.75% 0.38 -0.26% -- -0.25% -0.01

Cash Equivalents 2.96% 3.00% 3.00% 1.00 2.46% 3.00% 2.50% 0.83 +0.50% -- +0.50% +0.17

2019 2018 One Year Adjustment (2019-2018)

Favorable change relative to 2018Unfavorable change relative to 2018

Year-over-Year Changes

Page 5

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

Com

poun

d R

etur

n (A

nnua

lized

, %)

RVK 2019 Compound Return Assumptions

Equity Real Assets/Alternatives Fixed Income

LGPF long-term return target = 7%

Page 6

Asset Allocation Overview

Selecting an asset allocation is one of the most important investment decisions a fiduciary can make.

There are two steps to the asset allocation decision:1. Identification of the asset classes to be considered2. Selection of the portfolio mix that best meets fund objectives

Strategic asset allocation is the most powerful determinant of total fund performance in the long run:

– While good manager evaluation decisions will unquestionably add to performance over a full market cycle, they cannot make up for a poorly diversified, inefficient allocation.

Multiple studies have shown asset allocation’s effect on portfolio returns can be a significant driver of performance over a full market cycle.

Page 7

Asset Allocation: Land Grant

Group Constraints: Total public equity cannot be less than 40% of the total portfolio. International equity cannot be greater than US equity.Estimated Annual Yield is based on asset class index yields as of 12/31/2018.


Min Max LGPF Interim

LGPF LT

LGPF Interim

LGPF LT

DifferencesInterim

DifferencesLT

Broad US Equity 15 32 24 20 26 20 -2.00 --Broad International Equity 12 32 20 20 18 20 +2.00 --US Agg Fixed Income 10 10 11 10 14 10 -3.00 --NMSIC Non-Core Fixed Income 5 25 14 15 14 15 -- --NMSIC Real Return 6 12 10 12 9 12 +1.00 --NMSIC Real Estate 6 12 10 12 9 12 +1.00 --Private Equity 6 12 10 11 9 11 +1.00 --Cash Equivalents 0 0 1 0 1 0 -- --Total 100 100 100 100 -- --

Capital Appreciation 72 71 70 71 +2.00 --Capital Preservation 12 10 15 10 -3.00 --Alpha 4 5 4 5 -- --Inflation 12 15 11 15 +1.00 --

Expected Arithmetic Return 7.05 7.15 6.74 7.03 +0.31 +0.12Expected Risk (Standard Deviation) 12.66 12.62 12.20 12.62 +0.46 --Expected Compound Return 6.31 6.41 6.05 6.29 +0.26 +0.12

Expected Return (Arithmetic)/Risk Ratio 0.56 0.57 0.55 0.56 +0.01 +0.01RVK Expected Eq Beta (LCUS Eq = 1) 0.66 0.65 0.64 0.64 +0.02 +0.01RVK Liquidity Metric (T-Bills = 100) 59 54 61 54 -2 --

Estimated Annual Yield 3.79 3.90 3.52 3.64 +0.28 +0.261 Year 1st Percentile Return -29.28 -29.50 -29.43 -30.33 +0.15 +0.83Probability of Meeting Target Return Over 10 Years 45 46 43 46 +2 --


Page 8

Asset Allocation: Severance Tax



Min Max STPF Interim

STPF LT

STPF Interim

STPF LT

DifferencesInterim

DifferencesLT

Broad US Equity 15 32 25 20 26 20 -1.00 --Broad International Equity 12 32 20 20 18 20 +2.00 --US Agg Fixed Income 10 10 12 12 14 12 -2.00 --NMSIC Non-Core Fixed Income 5 25 12 12 14 12 -2.00 --NMSIC Real Return 6 12 10 12 9 12 +1.00 --NMSIC Real Estate 6 12 10 12 9 12 +1.00 --Private Equity 6 12 10 12 10 12 -- --Cash Equivalents 0 0 1 0 1 0 -- --Total 100 100 100 100 -- --

Capital Appreciation 71 70 70 70 +1.00 --Capital Preservation 13 12 15 12 -2.00 --Alpha 4 4 4 4 -- --Inflation 12 15 11 15 +1.00 --

Expected Arithmetic Return 7.04 7.14 6.80 7.05 +0.24 +0.09Expected Risk (Standard Deviation) 12.70 12.66 12.39 12.69 +0.31 -0.03Expected Compound Return 6.29 6.40 6.09 6.31 +0.20 +0.09

Expected Return (Arithmetic)/Risk Ratio 0.55 0.56 0.55 0.56 -- --RVK Expected Eq Beta (LCUS Eq = 1) 0.67 0.66 0.65 0.65 +0.02 +0.01RVK Liquidity Metric (T-Bills = 100) 60 55 61 55 -1 --

Estimated Annual Yield 3.67 3.71 3.52 3.42 +0.16 +0.301 Year 1st Percentile Return -29.23 -29.64 -29.79 -30.09 +0.56 +0.45Probability of Meeting Target Return Over 10 Years 48 49 46 48 +2 +1


Page 9

Asset Allocation: Tobacco Settlement

Group Constraints: International equity cannot be greater than US equity.Estimated Annual Yield is based on asset class index yields as of 12/31/2018.

Current to Approved ChangesCurrent Approved Adjustment

(Approved - Current)

Min Max TSPF Potential 1 Differences

Broad US Equity 0 50 33 10 -23.00Broad International Equity 0 50 33 10 -23.00US Agg Fixed Income 0 50 24 10 -14.00NMSIC Non-Core Fixed Income 0 35 10 25 +15.00NMSIC Real Return 0 25 0 25 +25.00NMSIC Real Estate 0 25 0 20 +20.00Private Equity 0 25 0 0 --Total 100 100 --

Capital Appreciation 73 55 -18.00Capital Preservation 24 10 -14.00Alpha 3 8 +5.00Inflation 0 28 +28.00

Expected Arithmetic Return 6.66 6.63 -0.03Expected Risk (Standard Deviation) 13.00 9.52 -3.48Expected Compound Return 5.88 6.21 +0.33

Expected Return (Arithmetic)/Risk Ratio 0.51 0.70 +0.19RVK Expected Eq Beta (LCUS Eq = 1) 0.69 0.46 -0.23RVK Liquidity Metric (T-Bills = 100) 84 42 -42

Estimated Annual Yield 3.74 5.15 +1.411 Year 1st Percentile Return -29.65 -23.91 +5.74Probability of Meeting Target Return Over 10 Years 41 42 +1

Page 10

Asset Allocation: Water Trust

Group Constraints: International equity cannot be greater than US equity.Estimated Annual Yield is based on asset class index yields as of 12/31/2018.

Current to Approved ChangesCurrent Approved Adjustment

(Approved - Current)

Min Max WTPF Potential 3 Differences

Broad US Equity 0 50 20 10 -10.00Broad International Equity 0 50 15 10 -5.00US Agg Fixed Income 0 50 15 8 -7.00NMSIC Non-Core Fixed Income 0 35 15 8 -7.00NMSIC Real Return 0 25 5 20 +15.00NMSIC Real Estate 0 25 15 22 +7.00Private Equity 0 25 15 22 +7.00Total 100 100 --

Capital Appreciation 69 64 -5.00Capital Preservation 15 8 -7.00Alpha 5 2 -3.00Inflation 12 26 +14.00

Expected Arithmetic Return 6.95 7.43 +0.48Expected Risk (Standard Deviation) 11.95 12.90 +0.95Expected Compound Return 6.29 6.66 +0.37

Expected Return (Arithmetic)/Risk Ratio 0.58 0.58 --RVK Expected Eq Beta (LCUS Eq = 1) 0.62 0.62 --RVK Liquidity Metric (T-Bills = 100) 53 36 -17

Estimated Annual Yield 3.75 3.39 -0.361 Year 1st Percentile Return -27.04 -29.06 -2.02Probability of Meeting Target Return Over 10 Years 8 11 +3

Page 11

Land Grant Permanent Fund

Page 12

Asset Allocation: Land Grant

2018 AssumptionsLGPF LT: Arith. Return = 7.03 / Risk = 12.62 / Geo. Return = 6.29 / Yield = 3.64LGPF Interim: Arith. Return = 6.74 / Risk = 12.20 / Geo. Return = 6.05 / Yield = 3.52


Min Max 1 2 3 4 5 6 7 8 9 10 LGPF Interim

LGPF LT

Broad US Equity 15 32 28 24 20 20 20 20 20 22 24 31 24 20Broad International Equity 12 32 12 16 20 20 20 20 20 22 24 31 20 20US Agg Fixed Income 10 10 10 10 10 10 10 10 10 10 10 10 11 10NMSIC Non-Core Fixed Income 5 25 25 25 25 20 18 16 13 9 5 5 14 15NMSIC Real Return 6 12 7 7 7 12 12 12 12 12 12 6 10 12NMSIC Real Estate 6 12 12 12 12 12 12 12 12 12 12 6 10 12Private Equity 6 12 6 6 6 6 8 10 12 12 12 12 10 11Cash Equivalents 0 0 0 0 0 0 0 0 0 0 0 0 1 0Total 100 100 100 100 100 100 100 100 100 100 100 100

Capital Appreciation 71 71 71 69 70 71 71 73 74 81 72 71Capital Preservation 10 10 10 10 10 10 10 10 10 10 12 10Alpha 8 8 8 6 5 5 4 3 2 2 4 5Inflation 11 11 11 14 15 15 15 15 15 7 12 15

Expected Arithmetic Return 6.70 6.79 6.87 6.95 7.04 7.12 7.20 7.29 7.37 7.45 7.05 7.15Expected Risk (Standard Deviation) 11.41 11.50 11.60 11.85 12.18 12.51 12.89 13.36 13.84 15.02 12.66 12.62Expected Compound Return 6.10 6.18 6.25 6.30 6.35 6.40 6.43 6.47 6.49 6.42 6.31 6.41

Expected Return (Arithmetic)/Risk Ratio 0.59 0.59 0.59 0.59 0.58 0.57 0.56 0.55 0.53 0.50 0.56 0.57RVK Expected Eq Beta (LCUS Eq = 1) 0.60 0.60 0.60 0.61 0.63 0.65 0.67 0.69 0.72 0.79 0.66 0.65RVK Liquidity Metric (T-Bills = 100) 55 55 55 55 55 54 55 57 60 69 59 54

Estimated Annual Yield 4.48 4.53 4.58 4.35 4.17 3.99 3.72 3.47 3.22 3.10 3.79 3.90

Page 13

Efficient Frontier: Land Grant

LGPF Interim

LGPF LT

70/30

5.25

5.50

5.75

6.00

6.25

6.50

6.75

11.00 11.50 12.00 12.50 13.00 13.50 14.00 14.50 15.00 15.50

Geo

met

ric R

etur

n (A

nnua

lized

, %)

Risk (Annualized Standard Deviation, %)

The 70/30 data point is representative of a model portfolio composed of 70% global equities, and 30% Global Fixed Income.Page 14

Monte Carlo Analysis: Land GrantThe table below shows the expected return by percentile for each portfolio for the 1, 1.5, 3, 5, and 10 year periods.

1 Year 1 2 3 4 5 6 7 8 9 10 LGPF Interim

LGPF LT

1st Percentile -27.08 -27.46 -28.05 -28.08 -28.71 -29.32 -30.04 -31.21 -32.07 -34.04 -29.28 -29.505th Percentile -11.63 -11.56 -11.52 -11.96 -12.26 -12.59 -12.99 -13.71 -14.59 -15.99 -12.76 -12.6625th Percentile 0.02 0.12 0.23 0.10 -0.03 -0.07 -0.17 -0.53 -0.81 -1.41 -0.31 -0.0850th Percentile 7.10 7.21 7.28 7.32 7.38 7.41 7.47 7.53 7.57 7.46 7.26 7.4275th Percentile 13.82 13.91 14.00 14.30 14.57 14.82 15.07 15.49 15.89 16.53 14.78 14.8795th Percentile 24.06 24.09 24.25 24.84 25.40 25.98 26.61 27.61 28.53 30.34 26.18 26.1599th Percentile 31.80 31.91 32.14 33.19 33.90 34.69 35.63 37.27 38.69 41.04 35.08 34.961.5 Years (18 Months)1st Percentile -8.93 -8.83 -8.78 -9.11 -9.35 -9.63 -10.01 -10.58 -11.25 -12.43 -9.82 -9.713 Years5th Percentile -5.55 -5.44 -5.38 -5.59 -5.74 -5.96 -6.27 -6.79 -7.39 -8.12 -6.19 -6.0325th Percentile 2.32 2.40 2.44 2.34 2.31 2.25 2.14 1.95 1.74 1.37 2.07 2.2450th Percentile 6.66 6.74 6.81 6.84 6.91 6.96 7.01 7.04 7.06 7.01 6.84 6.9775th Percentile 10.78 10.84 10.96 11.11 11.30 11.48 11.70 11.95 12.22 12.45 11.45 11.5395th Percentile 16.68 16.74 16.86 17.27 17.63 17.94 18.33 18.87 19.44 20.48 17.95 18.045 Years5th Percentile -2.94 -2.79 -2.77 -2.95 -3.11 -3.30 -3.51 -3.95 -4.33 -4.94 -3.48 -3.3225th Percentile 3.01 3.09 3.19 3.16 3.16 3.11 3.04 2.91 2.75 2.42 2.96 3.0950th Percentile 6.52 6.59 6.65 6.68 6.72 6.79 6.82 6.85 6.88 6.88 6.68 6.8075th Percentile 9.75 9.82 9.89 10.04 10.19 10.32 10.47 10.67 10.85 11.10 10.27 10.3695th Percentile 14.37 14.43 14.52 14.85 15.09 15.35 15.64 16.09 16.53 17.28 15.42 15.4410 Years5th Percentile -0.62 -0.54 -0.41 -0.55 -0.59 -0.64 -0.73 -1.06 -1.39 -2.04 -0.86 -0.6525th Percentile 3.74 3.83 3.92 3.88 3.89 3.88 3.84 3.74 3.65 3.39 3.74 3.8850th Percentile 6.30 6.38 6.47 6.51 6.55 6.61 6.66 6.68 6.70 6.66 6.51 6.6375th Percentile 8.71 8.79 8.88 9.00 9.10 9.24 9.36 9.49 9.63 9.79 9.17 9.2795th Percentile 12.06 12.12 12.21 12.43 12.63 12.84 13.08 13.35 13.68 14.18 12.82 12.90

Page 15

Monte Carlo Analysis: Land GrantThe table below shows the percentage chance of achieving or exceeding the given return for each portfolio for the 1, 3, 5, and 10 year periods.

2018 LGPF Interim probability of achieving 7% return over 10 years: 43%2018 LGPF LT probability of achieving 7% return over 10 years: 46%

1 Year 1 2 3 4 5 6 7 8 9 10 LGPF Interim

LGPF LT

Target 2% 69 69 70 69 69 69 69 68 67 66 68 69Target 4% 62 62 63 62 62 62 62 62 61 60 61 62Target 6% 54 55 55 55 55 55 55 55 55 54 55 55Target 6.75% 51 52 52 52 52 53 53 53 53 52 52 53Target 7% 50 51 51 51 51 52 52 52 52 51 51 52Target 8% 46 46 47 47 48 48 48 49 49 48 47 483 YearsTarget 2% 76 77 77 77 76 76 76 75 74 73 75 76Target 4% 66 66 67 67 67 66 66 66 65 64 66 67Target 6% 54 54 55 55 55 56 56 56 56 55 55 56Target 6.75% 49 50 50 51 51 51 51 52 52 51 50 51Target 7% 48 48 49 49 49 50 50 50 50 50 49 50Target 8% 41 42 43 43 44 44 44 45 45 45 44 445 YearsTarget 2% 81 81 82 81 81 81 80 79 79 77 80 81Target 4% 69 70 70 70 70 70 70 69 68 67 69 70Target 6% 54 54 55 55 55 56 56 56 56 55 55 56Target 6.75% 48 49 49 50 50 50 51 51 51 51 50 50Target 7% 46 47 47 48 48 48 49 49 49 49 48 49Target 8% 38 39 39 40 41 41 42 42 43 43 41 4110 YearsTarget 2% 86 87 87 87 87 86 86 85 84 83 86 86Target 4% 73 74 74 74 74 74 74 73 72 71 73 74Target 6% 53 54 55 55 56 56 56 56 56 56 55 56Target 6.75% 45 46 47 47 48 49 49 49 49 49 48 49Target 7% 43 43 44 45 46 46 47 47 47 47 45 46Target 8% 32 33 34 35 36 36 37 38 38 39 35 37

Page 16

Severance Tax Permanent Fund

Page 17

Asset Allocation: Severance Tax

2018 AssumptionsSTPF LT: Arith. Return = 7.05 / Risk = 12.69 / Geo. Return = 6.31 / Yield = 3.42STPF Interim: Arith. Return = 6.80 / Risk = 12.39 / Geo. Return = 6.09 / Yield = 3.52


Min Max 1 2 3 4 5 6 7 8 9 10 STPF Interim

STPF LT

Broad US Equity 15 32 28 25 22 20 20 20 20 20 21 27 25 20Broad International Equity 12 32 12 15 18 20 20 20 20 20 21 27 20 20US Agg Fixed Income 12 13 13 13 13 12 12 12 12 12 12 12 12 12NMSIC Non-Core Fixed Income 5 25 19 18 18 18 14 11 9 8 5 5 12 12NMSIC Real Return 6 12 6 6 6 7 11 12 12 12 12 6 10 12NMSIC Real Estate 6 12 11 12 12 12 12 12 12 12 11 6 10 12Private Equity 11 17 11 11 11 11 11 13 15 16 17 17 10 12Cash Equivalents 0 0 0 0 0 0 0 0 0 0 0 0 1 0Total 100 100 100 100 100 100 100 100 100 100 100 100

Capital Appreciation 71 71 71 71 70 70 71 71 72 79 71 70Capital Preservation 13 13 13 12 12 12 12 12 12 12 13 12Alpha 6 5 5 5 4 3 3 2 2 2 4 4Inflation 10 11 11 11 14 15 15 15 14 7 12 15

Expected Arithmetic Return 6.81 6.88 6.95 7.02 7.09 7.17 7.24 7.31 7.38 7.45 7.04 7.14Expected Risk (Standard Deviation) 11.93 11.99 12.07 12.23 12.46 12.75 13.06 13.37 13.81 14.83 12.70 12.66Expected Compound Return 6.15 6.21 6.28 6.33 6.37 6.42 6.45 6.49 6.50 6.44 6.29 6.40

Expected Return (Arithmetic)/Risk Ratio 0.57 0.57 0.58 0.57 0.57 0.56 0.55 0.55 0.53 0.50 0.55 0.56RVK Expected Eq Beta (LCUS Eq = 1) 0.63 0.63 0.63 0.63 0.65 0.66 0.68 0.69 0.72 0.78 0.67 0.66RVK Liquidity Metric (T-Bills = 100) 57 56 56 55 55 55 55 54 56 64 60 55

Estimated Annual Yield 3.97 3.96 4.00 4.03 3.85 3.62 3.44 3.35 3.10 2.96 3.67 3.71

Page 18

Efficient Frontier: Severance Tax

STPF Interim

STPF LT

6.00

6.25

6.50

6.75

11.50 12.00 12.50 13.00 13.50 14.00 14.50 15.00

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Page 19

Monte Carlo Analysis: Severance TaxThe table below shows the expected return by percentile for each portfolio for the 1, 1.5, 3, 5, and 10 year periods.

1 Year 1 2 3 4 5 6 7 8 9 10 STPF Interim

STPF LT

1st Percentile -28.55 -29.07 -28.77 -28.69 -29.20 -29.68 -30.21 -30.55 -31.12 -32.35 -29.23 -29.645th Percentile -12.01 -12.05 -11.91 -11.99 -12.47 -12.77 -13.02 -13.29 -13.95 -15.13 -12.94 -12.7825th Percentile 0.21 0.29 0.39 0.41 0.24 0.15 0.07 0.00 -0.25 -0.77 -0.42 -0.1250th Percentile 7.18 7.33 7.40 7.48 7.52 7.56 7.60 7.61 7.64 7.57 7.25 7.4075th Percentile 14.08 14.16 14.23 14.35 14.55 14.78 15.01 15.25 15.62 16.13 14.84 14.9095th Percentile 24.94 25.07 25.03 25.29 25.85 26.35 26.91 27.37 28.11 29.64 26.43 26.2499th Percentile 33.10 33.17 33.37 33.68 34.76 35.53 36.11 37.00 37.98 40.51 35.34 35.131.5 Years (18 Months)1st Percentile -9.03 -9.06 -8.95 -9.03 -9.40 -9.63 -9.86 -10.08 -10.58 -11.57 -10.02 -9.823 Years5th Percentile -5.68 -5.72 -5.61 -5.68 -5.86 -6.04 -6.27 -6.50 -6.87 -7.41 -6.30 -6.1025th Percentile 2.27 2.33 2.41 2.43 2.35 2.29 2.26 2.21 2.09 1.76 2.00 2.1850th Percentile 6.74 6.81 6.85 6.91 6.95 6.99 7.05 7.11 7.15 7.16 6.82 6.9675th Percentile 10.91 10.99 11.09 11.18 11.33 11.48 11.61 11.76 11.94 12.25 11.47 11.5695th Percentile 17.00 17.15 17.21 17.37 17.75 18.03 18.31 18.63 19.05 19.82 18.04 18.075 Years5th Percentile -3.65 -3.63 -3.55 -3.58 -3.70 -3.88 -4.07 -4.19 -4.48 -5.01 -3.61 -3.3925th Percentile 2.96 3.02 3.09 3.10 3.07 3.04 3.00 2.96 2.86 2.61 2.87 3.0750th Percentile 6.51 6.58 6.65 6.70 6.73 6.78 6.83 6.87 6.88 6.90 6.67 6.7875th Percentile 9.92 10.01 10.07 10.16 10.28 10.41 10.55 10.68 10.81 11.05 10.28 10.3695th Percentile 14.67 14.77 14.82 14.97 15.24 15.43 15.64 15.86 16.21 16.77 15.48 15.4610 Years5th Percentile -1.10 -1.05 -0.95 -0.93 -1.03 -1.15 -1.22 -1.29 -1.51 -2.08 -0.93 -0.7125th Percentile 3.79 3.86 3.94 3.97 3.95 3.93 3.91 3.91 3.84 3.63 3.69 3.8550th Percentile 6.44 6.51 6.60 6.67 6.71 6.77 6.81 6.84 6.86 6.83 6.48 6.6175th Percentile 8.91 9.00 9.07 9.16 9.27 9.38 9.48 9.59 9.69 9.84 9.17 9.2795th Percentile 12.24 12.36 12.44 12.57 12.77 12.95 13.13 13.32 13.55 13.98 12.86 12.94

Page 20

Monte Carlo Analysis: Severance TaxThe table below shows the percentage chance of achieving or exceeding the given return for each portfolio for the 1, 3, 5, and 10 year periods.

2018 STPF Interim probability of achieving 6.75% return over 10 years: 46%2018 STPF LT probability of achieving 6.75% return over 10 years: 48%

1 Year 1 2 3 4 5 6 7 8 9 10 STPF Interim

STPF LT

Target 2% 69 70 70 70 70 70 69 69 69 68 68 69Target 4% 62 63 63 63 63 63 63 62 62 62 61 62Target 6% 55 55 55 56 56 56 56 56 56 55 54 55Target 6.75% 52 52 53 53 53 53 53 53 53 53 52 53Target 7% 51 51 52 52 52 52 52 52 52 52 51 52Target 8% 47 47 47 48 48 48 48 49 49 49 47 483 YearsTarget 2% 76 77 77 77 77 76 76 76 75 74 75 76Target 4% 66 67 67 67 67 67 67 67 66 66 66 66Target 6% 55 55 55 56 56 56 56 56 56 56 55 56Target 6.75% 50 50 51 51 51 51 52 52 52 52 50 51Target 7% 48 49 49 49 50 50 50 51 51 51 49 50Target 8% 42 42 43 43 44 44 44 45 45 45 44 445 YearsTarget 2% 80 80 80 80 80 80 80 79 79 78 80 80Target 4% 68 69 69 70 70 69 69 69 69 68 68 70Target 6% 54 55 55 56 56 56 56 56 56 56 55 56Target 6.75% 48 49 49 50 50 50 51 51 51 51 49 50Target 7% 46 46 47 47 48 48 48 49 49 49 48 49Target 8% 39 39 40 40 41 41 42 42 42 42 41 4110 YearsTarget 2% 86 86 87 87 86 86 86 86 85 84 86 86Target 4% 73 74 74 75 75 74 74 74 74 73 73 74Target 6% 55 56 56 57 57 57 58 58 58 57 55 56Target 6.75% 47 48 49 49 50 50 50 51 51 51 48 49Target 7% 44 45 46 47 47 47 48 48 49 48 45 46Target 8% 33 34 35 35 36 37 38 39 39 39 35 37

Page 21

Tobacco Settlement Permanent Fund

Page 22

Asset Allocation: Tobacco Settlement

2018 AssumptionsTSPF: Arith. Return = 6.42 / Risk = 12.87 / Geo. Return = 5.65 / Yield = 3.34

Group Constraints: International equity cannot be greater than US equity. Total sum of NMSIC Real Return, NMSIC Real Estate, and Private Equity cannot be greater than 50% of the total. Estimated Annual Yield is based on asset class index yields as of 12/31/2018.

Min Max 1 2 3 4 5 6 7 8 9 10 TSPF Potential 1

Potential 2

Potential 3 (LGPF)

Broad US Equity 0 50 0 0 0 0 3 7 13 19 25 38 33 0 10 20Broad International Equity 0 50 0 0 0 0 3 7 13 19 25 38 33 0 10 20US Agg Fixed Income 0 50 50 45 36 22 9 0 0 0 0 0 24 40 10 10NMSIC Non-Core Fixed Income 0 35 35 23 21 28 35 35 24 12 0 0 10 22 25 15NMSIC Real Return 0 25 0 15 24 25 25 25 18 13 7 0 0 20 25 12NMSIC Real Estate 0 25 15 17 20 24 25 25 25 24 24 0 0 18 20 12Private Equity 0 25 0 0 0 1 0 0 7 13 18 25 0 0 0 11Total 100 100 100 100 100 100 100 100 100 100 100 100 100 100

Capital Appreciation 31 28 31 39 50 59 67 74 82 100 73 30 55 71Capital Preservation 50 45 36 22 9 0 0 0 0 0 24 40 10 10Alpha 11 7 6 8 11 11 7 4 0 0 3 7 8 5Inflation 8 19 27 30 30 31 26 22 18 0 0 23 28 15

Expected Arithmetic Return 4.92 5.29 5.66 6.04 6.41 6.78 7.15 7.52 7.89 8.26 6.66 5.50 6.63 7.15Expected Risk (Standard Deviation) 4.80 5.28 6.07 7.07 8.36 9.79 11.52 13.45 15.50 19.16 13.00 5.69 9.52 12.62Expected Compound Return 4.81 5.16 5.49 5.81 6.08 6.33 6.54 6.69 6.79 6.60 5.88 5.35 6.21 6.41

Expected Return (Arithmetic)/Risk Ratio 1.03 1.00 0.93 0.85 0.77 0.69 0.62 0.56 0.51 0.43 0.51 0.97 0.70 0.57RVK Expected Eq Beta (LCUS Eq = 1) 0.17 0.22 0.26 0.30 0.36 0.45 0.56 0.67 0.78 1.00 0.69 0.24 0.46 0.65RVK Liquidity Metric (T-Bills = 100) 53 50 44 35 31 32 38 45 53 71 84 47 42 54

Estimated Annual Yield 5.83 5.29 5.26 5.52 5.82 5.67 4.70 3.69 2.68 2.12 3.74 5.25 5.15 3.90

Page 23

Efficient Frontier: Tobacco Settlement

LGPF (Potential 3) does not plot on the efficient frontier because the TSPF constraints modeled differ than those modeled for LGPF.

TSPF

Potential 1

Potential 2Potential 3 (LGPF)

4.00

5.00

6.00

7.00

8.00

9.00

10.00

3.00 5.00 7.00 9.00 11.00 13.00 15.00 17.00 19.00 21.00

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Page 24

Monte Carlo Analysis: Tobacco Settlement The table below shows the expected return by percentile for each portfolio for the 1, 1.5, 3, 5, and 10 year periods.

LGPF (Potential 3) Monte Carlo results represent a different set of simulation results and may differ slightly from the results shown for LGPF LT in the prior section.

1 Year 1 2 3 4 5 6 7 8 9 10 TSPF Potential 1

Potential 2

Potential 3 (LGPF)

1st Percentile -14.57 -15.51 -17.91 -21.66 -23.92 -26.95 -29.76 -32.72 -37.24 -40.97 -29.65 -16.50 -23.91 -28.895th Percentile -4.28 -5.01 -6.09 -7.56 -8.66 -10.31 -12.53 -15.00 -17.70 -20.12 -13.75 -5.39 -9.72 -12.7125th Percentile 2.77 2.47 2.17 1.92 1.68 1.18 0.43 -0.42 -1.42 -2.95 -1.26 2.33 1.01 -0.2050th Percentile 5.65 5.95 6.34 6.77 7.17 7.45 7.75 8.02 8.28 8.21 6.68 6.12 7.11 7.4475th Percentile 8.22 9.16 10.15 11.22 12.15 13.41 14.77 16.23 17.72 19.23 14.63 9.63 13.04 14.9595th Percentile 11.50 13.56 15.59 17.63 19.57 22.01 25.05 28.66 32.19 36.50 26.99 14.55 21.65 26.1299th Percentile 14.15 16.97 19.77 22.66 25.31 28.71 33.16 38.17 43.57 50.93 36.68 18.27 28.32 35.351.5 Years (18 Months)1st Percentile -2.68 -3.35 -4.28 -5.60 -6.51 -7.85 -9.66 -11.76 -13.96 -15.68 -10.52 -3.70 -7.37 -9.583 Years5th Percentile -0.91 -1.44 -2.05 -2.92 -3.56 -4.64 -5.96 -7.53 -9.40 -10.79 -6.91 -1.66 -4.24 -5.8425th Percentile 3.27 3.20 3.13 3.06 3.04 2.88 2.51 1.99 1.39 0.53 1.38 3.22 2.79 2.2050th Percentile 5.24 5.51 5.87 6.29 6.64 6.89 7.03 7.23 7.43 7.42 6.25 5.70 6.66 6.9275th Percentile 6.93 7.59 8.26 9.05 9.70 10.49 11.33 12.21 13.15 14.01 10.99 7.91 10.18 11.4195th Percentile 9.08 10.29 11.59 12.90 14.14 15.69 17.52 19.56 21.63 24.09 18.14 10.91 15.37 18.065 Years5th Percentile 0.12 -0.16 -0.60 -1.23 -1.78 -2.57 -3.57 -5.02 -6.57 -8.09 -4.66 -0.27 -2.33 -3.7325th Percentile 3.49 3.54 3.56 3.53 3.55 3.44 3.14 2.76 2.30 1.69 2.24 3.58 3.36 2.9550th Percentile 5.14 5.42 5.73 6.08 6.41 6.66 6.90 7.08 7.23 7.20 6.14 5.58 6.49 6.7575th Percentile 6.47 7.02 7.69 8.34 8.95 9.56 10.32 11.10 11.87 12.65 9.95 7.37 9.35 10.3995th Percentile 8.17 9.20 10.24 11.29 12.30 13.59 15.07 16.67 18.35 20.11 15.39 9.72 13.30 15.4710 Years5th Percentile 1.36 1.29 1.03 0.54 0.18 -0.41 -1.08 -2.09 -3.30 -4.52 -1.96 1.19 -0.15 -1.2025th Percentile 3.80 3.91 4.00 4.07 4.14 4.12 3.98 3.71 3.37 2.99 3.14 3.98 4.08 3.8650th Percentile 5.00 5.31 5.64 5.97 6.28 6.53 6.70 6.86 6.96 7.03 6.04 5.50 6.34 6.5975th Percentile 6.00 6.50 7.00 7.55 8.07 8.61 9.18 9.76 10.31 10.82 8.75 6.76 8.39 9.1895th Percentile 7.31 8.11 8.92 9.78 10.58 11.56 12.63 13.75 14.89 16.18 12.53 8.52 11.27 12.74

Page 25

Monte Carlo Analysis: Tobacco Settlement The table below shows the percentage chance of achieving or exceeding the given return for each portfolio for the 1, 3, 5, and 10 year periods.

2018 TSPF LT probability of achieving 7% return over 10 years: 39%LGPF (Potential 3) Monte Carlo results represent a different set of simulation results and may differ slightly from the results shown for LGPF LT in the prior section.

1 Year 1 2 3 4 5 6 7 8 9 10 TSPF Potential 1

Potential 2

Potential 3 (LGPF)

Target 0% 88 86 84 82 81 79 76 74 72 69 71 85 78 74Target 2% 80 77 76 75 74 72 70 68 67 65 65 77 72 68Target 4% 66 65 65 65 66 65 64 63 62 60 59 65 64 62Target 6% 47 50 52 55 56 56 56 56 56 55 52 51 55 55Target 7% 36 41 45 49 51 52 53 53 53 53 49 43 50 51Target 8% 27 33 38 43 45 48 49 50 51 51 45 36 46 483 YearsTarget 0% 93 92 91 89 88 87 84 82 80 77 80 91 87 83Target 2% 85 84 83 81 80 79 77 75 73 70 72 84 79 76Target 4% 67 68 68 69 70 69 68 66 65 64 62 68 68 66Target 6% 39 44 49 53 55 56 56 57 56 56 51 47 55 55Target 7% 24 32 38 43 47 49 50 51 52 52 46 35 47 49Target 8% 12 21 27 34 38 42 44 46 47 48 41 24 40 435 YearsTarget 0% 95 95 94 92 91 90 88 86 83 81 84 94 90 87Target 2% 88 87 86 85 84 83 81 78 76 74 76 87 83 80Target 4% 69 70 71 71 72 71 70 69 67 66 65 71 71 69Target 6% 33 41 46 51 54 56 56 57 57 56 51 44 54 55Target 7% 17 25 33 39 44 47 49 50 51 51 44 30 45 48Target 8% 6 14 21 28 34 38 41 44 45 46 37 17 36 4110 YearsTarget 0% 98 97 97 96 95 94 93 91 89 87 91 97 95 93Target 2% 92 92 92 90 90 88 86 84 82 80 82 92 88 86Target 4% 71 74 75 76 77 76 75 73 71 69 68 75 76 74Target 6% 25 35 43 50 54 56 57 57 57 57 50 40 54 56Target 7% 8 16 25 33 40 44 47 49 50 50 41 21 42 46Target 8% 1 6 12 19 26 32 37 40 42 43 31 8 30 36

Page 26

Water Trust Permanent Fund

Page 27

Asset Allocation: Water Trust

2018 AssumptionsWTPF: Arith. Return = 6.99 / Risk = 12.29 / Geo. Return = 6.29 / Yield = 2.06

Group Constraints: International equity cannot be greater than US equity. Total sum of NMSIC Real Return, NMSIC Real Estate, and Private Equity cannot be greater than 50% of the total. Estimated Annual Yield is based on asset class index yields as of 12/31/2018.

Min Max 1 2 3 4 5 6 7 8 9 10 WTPF Potential 1

Potential 2 (LGPF)

Potential 3

Broad US Equity 0 50 0 0 0 0 3 7 13 19 25 38 20 10 20 10Broad International Equity 0 50 0 0 0 0 3 7 13 19 25 38 15 10 20 10US Agg Fixed Income 0 50 50 45 36 22 9 0 0 0 0 0 15 10 10 8NMSIC Non-Core Fixed Income 0 35 35 23 21 28 35 35 24 12 0 0 15 25 15 8NMSIC Real Return 0 25 0 15 24 25 25 25 18 13 7 0 5 25 12 20NMSIC Real Estate 0 25 15 17 20 24 25 25 25 24 24 0 15 20 12 22Private Equity 0 25 0 0 0 1 0 0 7 13 18 25 15 0 11 22Total 100 100 100 100 100 100 100 100 100 100 100 100 100 100

Capital Appreciation 31 28 31 39 50 59 67 74 82 100 69 55 71 64Capital Preservation 50 45 36 22 9 0 0 0 0 0 15 10 10 8Alpha 11 7 6 8 11 11 7 4 0 0 5 8 5 2Inflation 8 19 27 30 30 31 26 22 18 0 12 28 15 26

Expected Arithmetic Return 4.92 5.29 5.66 6.04 6.41 6.78 7.15 7.52 7.89 8.26 6.95 6.63 7.15 7.43Expected Risk (Standard Deviation) 4.80 5.28 6.07 7.07 8.36 9.79 11.52 13.45 15.50 19.16 11.95 9.52 12.62 12.90Expected Compound Return 4.81 5.16 5.49 5.81 6.08 6.33 6.54 6.69 6.79 6.60 6.29 6.21 6.41 6.66

Expected Return (Arithmetic)/Risk Ratio 1.03 1.00 0.93 0.85 0.77 0.69 0.62 0.56 0.51 0.43 0.58 0.70 0.57 0.58RVK Expected Eq Beta (LCUS Eq = 1) 0.17 0.22 0.26 0.30 0.36 0.45 0.56 0.67 0.78 1.00 0.62 0.46 0.65 0.62RVK Liquidity Metric (T-Bills = 100) 53 50 44 35 31 32 38 45 53 71 53 42 54 36

Estimated Annual Yield 5.83 5.29 5.26 5.52 5.82 5.67 4.70 3.69 2.68 2.12 3.75 5.15 3.90 3.39

Page 28

Efficient Frontier: Water Trust

LGPF (Potential 3) does not plot on the efficient frontier because the WTPF constraints modeled differ than those modeled for LGPF.

Potential 1 Potential 2 (LGPF)WTPF

Potential 3

4.00

5.00

6.00

7.00

8.00

9.00

10.00

3.00 5.00 7.00 9.00 11.00 13.00 15.00 17.00 19.00 21.00

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Page 29

Monte Carlo Analysis: Water TrustThe table below shows the expected return by percentile for each portfolio for the 1, 1.5, 3, 5, and 10 year periods.

LGPF (Potential 2) Monte Carlo results represent a different set of simulation results and may differ slightly from the results shown for LGPF LT in the prior section.

1 Year 1 2 3 4 5 6 7 8 9 10 WTPF Potential 1

Potential 2 (LGPF)

Potential 3

1st Percentile -14.66 -15.39 -16.98 -20.53 -21.73 -24.33 -27.27 -31.34 -35.52 -39.44 -27.04 -22.92 -27.42 -29.065th Percentile -3.99 -4.74 -5.88 -7.31 -8.51 -10.15 -12.33 -15.09 -17.60 -19.81 -12.21 -9.59 -12.43 -13.2025th Percentile 2.89 2.57 2.30 1.99 1.79 1.36 0.65 -0.26 -1.19 -2.69 0.25 1.22 -0.06 0.2450th Percentile 5.65 5.97 6.36 6.87 7.24 7.58 7.83 8.10 8.49 8.46 7.45 7.27 7.60 7.9775th Percentile 8.17 9.14 10.11 11.14 12.15 13.42 14.70 16.20 17.74 19.46 14.26 12.91 14.84 15.3995th Percentile 11.33 13.21 15.25 17.26 19.03 21.59 24.64 28.07 31.64 36.48 24.59 21.12 25.84 26.3799th Percentile 13.85 16.18 18.90 21.56 23.94 27.59 31.76 36.71 41.94 49.07 32.29 27.11 34.03 34.241.5 Years (18 Months)1st Percentile -2.55 -3.18 -4.11 -5.33 -6.19 -7.53 -9.38 -11.57 -13.83 -15.95 -9.20 -7.24 -9.50 -10.033 Years5th Percentile -0.74 -1.17 -1.76 -2.61 -3.15 -4.21 -5.44 -7.05 -8.68 -10.24 -5.23 -3.78 -5.46 -5.8025th Percentile 3.36 3.35 3.34 3.30 3.25 3.00 2.64 2.17 1.66 0.94 2.53 2.97 2.45 2.5750th Percentile 5.31 5.63 5.95 6.35 6.70 6.99 7.21 7.44 7.66 7.68 6.95 6.74 7.05 7.4175th Percentile 6.94 7.64 8.39 9.17 9.88 10.67 11.57 12.58 13.53 14.48 11.30 10.36 11.68 12.1095th Percentile 8.99 10.19 11.45 12.77 13.95 15.53 17.53 19.62 21.73 24.03 17.26 15.31 17.99 18.485 Years5th Percentile 0.20 -0.03 -0.47 -1.01 -1.51 -2.30 -3.30 -4.63 -6.04 -7.41 -3.12 -1.98 -3.41 -3.6625th Percentile 3.55 3.58 3.60 3.62 3.67 3.55 3.31 2.97 2.48 1.90 3.10 3.50 3.12 3.2950th Percentile 5.15 5.48 5.83 6.19 6.51 6.79 6.97 7.14 7.30 7.39 6.71 6.62 6.86 7.1475th Percentile 6.49 7.11 7.73 8.40 9.02 9.71 10.41 11.17 11.97 12.68 10.15 9.43 10.44 10.7795th Percentile 8.24 9.23 10.28 11.39 12.37 13.68 15.12 16.79 18.41 20.36 14.84 13.31 15.43 15.8910 Years5th Percentile 1.47 1.44 1.32 0.95 0.58 0.00 -0.61 -1.58 -2.61 -3.71 -0.61 0.28 -0.74 -0.7725th Percentile 3.85 3.98 4.11 4.18 4.30 4.31 4.20 3.95 3.65 3.20 4.00 4.26 4.02 4.2350th Percentile 5.03 5.37 5.69 6.02 6.33 6.61 6.85 7.05 7.17 7.22 6.63 6.47 6.77 6.9975th Percentile 6.05 6.55 7.07 7.66 8.17 8.71 9.26 9.81 10.41 10.96 9.05 8.49 9.29 9.6295th Percentile 7.33 8.16 9.02 9.92 10.75 11.69 12.75 13.92 15.13 16.37 12.46 11.41 12.92 13.42

Page 30

Monte Carlo Analysis: Water TrustThe table below shows the percentage chance of achieving or exceeding the given return for each portfolio for the 1, 3, 5, and 10 year periods.

2018 WTPF probability of achieving 11% return (FY18 distribution) over 10 years: 11%For fiscal year 2019, WTPF’s $4 million distribution represented approximately 9.27% of the trailing 5-year average market value ending June 30, 2018.9.27% + 2.50% inflation = 11.77% nominal return target. LGPF (Potential 2) Monte Carlo results represent a different set of simulation results and may differ slightly from the results shown for LGPF LT in the prior section.

1 Year 1 2 3 4 5 6 7 8 9 10 WTPF Potential 1

Potential 2 (LGPF)

Potential 3

Target 2% 80 78 76 75 74 73 71 69 68 66 70 72 70 70Target 6% 47 50 52 55 56 57 57 57 57 56 56 56 56 57Target 8% 26 34 39 43 46 48 49 50 51 51 48 47 48 50Target 10% 11 19 26 31 35 39 42 44 45 46 40 37 41 43Target 11% 6 13 20 26 30 35 38 41 42 44 36 33 37 39Target 11.75% 4 10 16 22 27 31 35 38 41 42 33 30 35 373 YearsTarget 2% 86 84 83 82 82 80 78 76 74 72 77 80 77 77Target 6% 39 45 49 53 56 57 58 58 58 57 56 55 56 58Target 8% 12 21 29 35 39 43 45 47 48 49 43 41 44 46Target 10% 2 6 12 18 24 30 34 37 39 41 32 28 33 35Target 11% 0 3 7 12 17 23 28 32 35 37 27 21 28 30Target 11.75% 0 1 4 9 13 19 24 29 32 34 23 17 25 275 YearsTarget 2% 89 88 87 86 85 83 82 79 77 75 81 84 81 81Target 6% 34 42 48 52 55 57 57 58 58 57 56 55 56 58Target 8% 7 14 22 29 35 39 42 45 46 47 40 37 42 44Target 10% 0 2 6 12 17 23 28 32 35 37 26 21 27 30Target 11% 0 1 3 6 11 16 21 26 30 32 20 14 22 24Target 11.75% 0 0 1 4 7 12 17 22 26 29 16 10 18 2010 YearsTarget 2% 93 93 92 91 91 89 87 86 83 80 87 90 87 87Target 6% 26 37 44 50 55 57 59 59 59 58 57 56 58 60Target 8% 2 6 13 21 27 32 37 41 44 44 35 30 37 40Target 10% 0 0 1 5 9 14 19 24 28 31 17 12 19 22Target 11% 0 0 0 1 4 8 13 18 21 25 11 7 13 15Target 11.75% 0 0 0 1 2 5 9 13 17 21 8 4 9 11

Page 31

Appendix

Page 32

Summary of 2017 Asset Allocation Refinements

1. Hedge Funds – Re-categorized from an asset class to a strategy, and removed hedge funds from the asset allocation process.

The new long-term target portfolios consolidated hedge funds into the non-core fixed income allocation.

2. Bifurcated Fixed Income Allocation – Differentiated the asset class by the actual purpose of the underlying strategies: Core (highly liquid, highly rated) and Non-Core(yield/return-seeking).

The new long-term target portfolios split the fixed income allocation into two asset classes.

3. Real Estate – Reviewed the role of real estate in the portfolio and future outlook to increase the allocation.

The new long-term target portfolios increased the allocation to real estate from 10% to 12% by decreasing the allocations to fixed income and private equity each by 1%.

4. International Equity Allocation vs. Peers – Reviewed the international equity allocation relative to peers, NMSIC’s largest asset allocation difference.

The new long-term target portfolios offer neutral-weighted region exposure between international equity and US equity.

Page 33

Themes for 2019 Capital Market Assumptions

• Past and future inflation levels are studied and considered given market conditions, break-even indications, sovereign intervention, and inflation component pricing behavior. 2019 assumption is for a 2.5% long-term expected increase (no change from 2018 assumption).

• Mean reversion is considered for asset classes demonstrating weaker recent returns and pricing environments. Non-US equity return assumptions were increased.

• Return decomposition models are run and examined in light of current and possible future market conditions.

• Yield history, current environment, and prospective environments are considered. US fixed income return assumptions were increased given the rise in yields.

• Hybrid asset classes are examined for impact from underlying asset classes. Custom real return and real estate assumptions reflect underlying exposure to asset class trends, along with structural characteristics.

Asset Class Return Expectation Rationale

US Equity Valuations Remain Elevated

Non-US Equity Valuations Improving

Fixed Income Yields Improving

Page 34

Summary of Expected Return MethodologyBuilding Block MethodologyCash Equivalents Current yield

Fixed Income Current yield + option-adjusted spread change

TIPS Current real yield + inflation assumption

Public Equity Current dividend yield + real GDP/earnings growth + inflation assumption + expected P/E change

Core Real Estate Current yield + inflation assumption + valuation – investment fees

Hedge Funds Beta return + alpha return + risk-free return (cash assumption)

Commodities Collateral return (cash assumption) + spot return (inflation assumption) + roll return

Build-Up/Spread MethodologyPrivate Credit Bank loan assumption + 3.25% return premium

Non-Core Real Estate Core real estate assumption + 2.00% return premium

Private Equity US large/mid cap equity assumption + 2.75% return premium

Asset Blend MethodologyGTAA 30% global equity + 25% US aggregate fixed income + 5% int’l

developed fixed income + 10% EMD (local) + 10% TIPS + 10% high yield + 10% commodities

Diversified Inflation Strategies 1/3 TIPS + 1/3 commodities + 1/3 global REITs

While the above factors generally inform the direction and magnitude of the capital market assumptions, RVK also considers qualitative, triangulation, and other factors as needed, when arriving at final assumption values.

Page 35

US Equity Valuations

Shiller P/E vs. Forward Returns

Trendline at 12/31/2018 = 1.6% Real Return (4.1% Nominal Return)

Trendline = -0.0047x + 0.1497

Forward 10-Year Real Return:1926-2008 Correlation: -64%1976-2008 R Squared: 0.40Dec 2018 CAPE: 27.6

Shiller P/E Ratio is based on the average inflation-adjusted earnings from the previous 10 years.

Page 36

US Fixed Income Valuations

Current Yield vs. Forward Returns

Trendline at 12/31/2018 = 1.25% Real Return (3.75% Nominal Return)

Forward 10-Year Return:1976-2008 Correlation: 92%1976-2008 R Squared: 0.85Dec 2018 YTW: 3.28%

Trendline = 0.9321x + 0.007

Page 37

Components of Expected Compound Return

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

Com

poun

d R

etur

n (A

nnua

lized

)

12/31/18 Yield Implied Capital Appreciation (Red = Depreciation)

Estimated yields reflect the underlying asset class index. Bank loans is used as a proxy for private credit yield. Cash equivalents is used as a proxy for hedge funds and commodities yields.

LGPF long-term return target = 7%

Page 38

Public and Private Equities

• US equity return expectations were unchanged from the prior year. – Although valuations improved in 2018, they remain relatively expensive

compared to historical averages. • International equity return expectations were increased due to improving valuations.

– Risk assumption for international equity increased due to emerging markets continuing to become a larger segment of the broad market.

• Private equity arithmetic return expectation decreased by 0.25% as we reduced our return premium over US large/mid cap equity from 300 to 275 basis points.

Asset Class Return RiskBroad US Equity ― ―Broad International EquityPrivate Equity ―

Directional changes relative to 2018:

Page 39

• Increased US Aggregate return assumption due to increase in yields.• Increased TIPS return assumption due to increase in real yields.• No change to future expectations for bank loans or emerging markets debt.

Fixed Income

Asset Class Return RiskUS Aggregate Fixed Income ―TIPS ―Bank Loans ― ―Emerging Markets Debt (LC) ― ―


Page 40

NMSIC Core Fixed Income Structure

The NMSIC Core Fixed Income Blend exhibits a similar historical risk and return profile relative to the broad market index. RVK’s US Aggregate Fixed Income assumption is used for this component of the fixed income portfolio.

Weighting Asset Class Index10% Treasurys B US Treasury5% Low Duration B US Gov’t/Credit 1-3 Yr15% Inv. Grade Corporate B US Corp: Investment Grade55% Core Plus Fixed Income B US Universal Bond15% High Yield Low Duration BofA ML HY US Corp Cash Pay BB-B 1-5 Yr

Average quality for the B US Universal Bond index is assumed to be A2.Custom Blended 2019 Assumption for NMSIC Core Fixed Income Structure: 3.99% Arithmetic Return / 5.65% Standard DeviationNMSIC Core Fixed Income Structure (1997-2018): Historical Annualized Return = 5.25% / Historical Annualized St. Dev. = 3.53%B US Agg Index (1997-2018): Historical Annualized Return = 4.89% / Historical Annualized St. Dev. = 3.42%

Arithmetic Return Assumption: 3.75%Standard Deviation Assumption: 6.00%

NMSIC Core FI Blend

B US Agg Bond Index

Effective Duration 5.22 6.03

Yield to Maturity (%) 3.92 3.46

Avg. Quality A2 Aa1

31.2

3.4

13.0

0.2 0.9

27.4

17.6

4.6 1.7

38.0

6.3

28.1

0.5 1.9

25.1

0.0 0.0 0.00.05.0

10.015.020.025.030.035.040.0

US Trsy Gov'tRelated

AgencyMBS

ABS CMBS Inv GradeCorp

Non-InvGradeCorp

Dev. Non-US

EMD

Sector Exposures (%)

NMSIC Core FI Blend B US Agg Bond Index

Page 41

NMSIC Custom Non-Core Fixed Income StructureWeighting Asset Class Index

20% Unconstrained BofA ML US High Yield Master30% US Middle Market Lending CS Leveraged Loan30% Structured Credit HFRX Fixed Income Asset Backed20% Distressed/Other HFRX Distressed


Int. Dur. Fixed

Income

Broad US Equity

Broad Int’l Equity

NMSIC Real Return

NMSIC Real Estate

Private Equity Cash Equiv.

0.02 0.59 0.64 0.71 0.11 0.54 -0.13

NMSIC Custom Non-Core Fixed Income Correlation Assumptions

Correlation period is 1998 to 2018, or the longest common history between the two asset classes.NMSIC Custom Non-Core Fixed Income Structure (1998-2018): Historical Annualized Return = 6.88% / Historical Annualized St. Dev. = 6.26%B US Agg Index (1998-2018): Historical Annualized Return = 4.65% / Historical Annualized St. Dev. = 3.40%

2018 NMSIC Custom Non-Core Fixed Income Assumption:Return = 5.00%St. Dev. = 7.75%

The NMSIC Non-Core Fixed Income assumption reflects a return premium of 2.00% and a risk premium of 2.75% relative to core fixed income, consistent with long-term historical averages.• Increased return and volatility premiums from 2018 to more closely align with historical averages.

Page 42

Real Estate

• Reduced both core and non-core real estate return assumptions.• Cap rates have matched pre-GFC lows, and in certain sectors reached new all-time

lows.• Core real estate spreads relative to 10-year US Treasury rates remain in line with the

long-term average.• Non-core real estate yields have fallen and spreads have widened relative to

historical averages, implying a larger component of future returns must come from capital appreciation.

Asset Class Return RiskCore Real Estate ―Non-Core Real Estate ―


Page 43

NMSIC Custom Real Estate Structure

Weighting Asset Class Index55% Core Real Estate NCREIF ODCE45% Non-Core Real Estate 70% NCREIF Townsend Value-Added /

30% NCREIF Townsend Opp


2018 NMSIC Custom Real Estate Assumption:Return = 7.49%St. Dev. = 15.75%

Page 44

Real Return

• Based entirely on assumption adjustments associated with the underlying component strategies:– TIPS– Commodities– REITs

• The NMSIC Custom Real Return assumption reflects a more diversified beta approach relative to RVK’s broad assumption, with key differences being allocations to infrastructure and timber in lieu of REITs.

Asset Class Return RiskDiversified Inflation Strategies ―


Page 45

NMSIC Custom Real Return StructureWeighting Asset Class Index

FinancialAssets (20%)

3% TIPS B US Trsy: US TIPS5% Floating/ST Mezz RE Debt 90 Day T-Bills + 4%3% EMD (Local) JPM GBI-EM Global Diversified9% MLPs Alerian MLP

Real Assets (80%)

13% Agriculture NCREIF Farmland5% Commodities B Commodity25% Private Energy S&P Global Natural Resources26% Infrastructure S&P Global Infrastructure11% Timber NCREIF Timberland


2018 NMSIC Custom Real Return Assumption:Return = 7.32%St. Dev. = 13.46%2018 Blend = 2% TIPS + 5% Float/ST Mezz RE Debt + 2% EMD (Local) + 9% MLPs + 2% Liquid Real Assets + 12% Agriculture + 8% Commodities + 24% Private Energy + 24% Infrastructure + 12% Timber

Page 46

RVK 2019 Assumptions

Blue highlighted cells indicate values are being calculated based on a roll up of underlying asset classes.2019 Compositions:Broad US Equity is a combination of 92.9% Large/Mid Cap US Equity and 7.1% Small Cap US Equity.Broad International Equity is a combination of 64.0% Dev'd Large/Mid Cap Int'l Equity, 10.7% Dev'd Small Cap Int'l Equity, and 25.3% Emerging Markets Equity.Diversified Inflation Strategies is a combination of 1/3 TIPS, 1/3 Global REITs, and 1/3 Commodities.2018 Compositions:Broad US Equity is a combination of 91.5% Large/Mid Cap US Equity and 8.5% Small Cap US Equity.Broad International Equity is a combination of 64.4% Dev'd Large/Mid Cap Int'l Equity, 11.2% Dev'd Small Cap Int'l Equity, and 24.4% Emerging Markets Equity.Diversified Inflation Strategies is a combination of 1/3 TIPS, 1/3 Global REITs, and 1/3 Commodities.

Favorable change relative to 2018Unfavorable change relative to 2018

Asset ClassNominal Return (Geo.)

Risk(StDev)


Return / Risk Ratio


Risk(StDev)


Return / Risk Ratio


Risk(StDev)


Return / Risk Ratio

Large/Mid Cap US Equity 5.30% 17.75% 6.75% 0.38 5.30% 17.75% 6.75% 0.38 -- -- -- --Small Cap US Equity 5.20% 21.25% 7.25% 0.34 5.20% 21.25% 7.25% 0.34Broad US Equity 5.35% 17.80% 6.80% 0.38 5.35% 17.80% 6.80% 0.38 -- -- -- --

Dev'd Large/Mid Cap Int'l Equity 6.62% 19.00% 8.25% 0.43 6.37% 19.00% 8.00% 0.42 +0.25% -- +0.25% +0.01Dev'd Small Cap Int'l Equity 6.14% 23.00% 8.50% 0.37 5.89% 23.00% 8.25% 0.36Emerging Markets Equity 7.14% 29.00% 10.75% 0.37 6.62% 29.00% 10.25% 0.35 +0.51% -- +0.50% +0.02

Broad International Equity 6.94% 20.95% 8.90% 0.42 6.66% 20.80% 8.60% 0.41 +0.28% +0.15% +0.30% +0.01Global Equity 6.26% 18.40% 7.80% 0.42 6.12% 18.35% 7.65% 0.42 +0.14% +0.05% +0.15% +0.01

US Aggregate Fixed Income 3.58% 6.00% 3.75% 0.63 3.33% 6.00% 3.50% 0.58 +0.25% -- +0.25% +0.04Non-US Dev'd Sov Fixed Income 1.72% 10.50% 2.25% 0.21 1.72% 10.50% 2.25% 0.21 -- -- -- --TIPS 3.81% 6.25% 4.00% 0.64 3.56% 6.25% 3.75% 0.60Low Duration Fixed Income 3.44% 3.50% 3.50% 1.00 2.94% 3.50% 3.00% 0.86 +0.50% -- +0.50% +0.14Long Duration Fixed Income 3.12% 11.50% 3.75% 0.33 2.87% 11.50% 3.50% 0.30High Yield 4.95% 15.00% 6.00% 0.40 4.45% 15.00% 5.50% 0.37 +0.50% -- +0.50% +0.03Bank Loans 4.78% 10.00% 5.25% 0.53 4.78% 10.00% 5.25% 0.53Emerging Markets Debt (HC) 5.23% 10.50% 5.75% 0.55 4.52% 12.50% 5.25% 0.42 +0.72% -2.00% +0.50% +0.13Emerging Markets Debt (LC) 5.02% 12.50% 5.75% 0.46 5.02% 12.50% 5.75% 0.46 -- -- -- --

Core Real Estate 5.27% 12.50% 6.00% 0.48 5.52% 12.50% 6.25% 0.50 -0.25% -- -0.25% -0.02Global REITs 4.84% 19.00% 6.50% 0.34 4.59% 19.00% 6.25% 0.33 +0.25% -- +0.25% +0.01MLPs 6.65% 23.00% 9.00% 0.39 6.34% 22.00% 8.50% 0.39 +0.32% +1.00% +0.50% +0.00

Funds of Hedge Funds 5.07% 9.50% 5.50% 0.58 5.33% 9.50% 5.75% 0.61 -0.25% -- -0.25% -0.03Multi-Strategy Hedge Funds 5.83% 9.50% 6.25% 0.66 n/a n/a n/a n/a n/a n/a n/a n/aGTAA 5.73% 10.50% 6.25% 0.60 5.48% 10.50% 6.00% 0.57 +0.25% -- +0.25% +0.02

Private Credit 6.14% 23.00% 8.50% 0.37 6.14% 23.00% 8.50% 0.37 -- -- -- --Senior Secured Direct Lending 5.35% 19.00% 7.00% 0.37 5.35% 19.00% 7.00% 0.37 -- -- -- --Private Equity 6.65% 25.50% 9.50% 0.37 6.90% 25.50% 9.75% 0.38 -0.26% -- -0.25% -0.01

Commodities 3.70% 19.75% 5.50% 0.28 3.95% 19.75% 5.75% 0.29 -0.25% -- -0.25% -0.01Diversified Inflation Strategies 4.73% 11.50% 5.35% 0.47 4.63% 11.50% 5.25% 0.46 +0.10% -- +0.10% +0.01

US Inflation 2.46% 3.00% 2.50% 0.83 2.46% 3.00% 2.50% 0.83 -- -- -- --Cash Equivalents 2.96% 3.00% 3.00% 1.00 2.46% 3.00% 2.50% 0.83 +0.50% -- +0.50% +0.17


Page 47

RVK 2019 Correlation Matrix

U.S. Inflation

Cash Equiv

US Agg Fixed

Income

Non-US Sov Debt TIPS

Low Dur Fixed

Income

Long Dur Fixed

Income

High Yield Fixed

Income

Bank Loans

EMD (Local)

EMD (Hard)

L/M Cap US

Equity

Small Cap US Equity

Broad US

Equity

Dev'd L/M Int'l Equity

Dev'd Small Int'l

Equity

Emg Markets Equity

Broad Intl Equity

Global Equity

Real Estate

Global REITs MLPs

Funds of Hedge Funds

Multi-Strat

Hedge Funds

GTAAPrivate Equity Comdty

Div Infl Strat

U.S. Inflation 1.00 0.37 -0.11 -0.01 0.07 0.04 -0.18 0.07 0.32 0.11 0.06 0.01 0.00 -0.01 0.06 0.11 0.07 0.07 0.06 0.15 0.03 0.18 0.15 0.16 0.13 0.12 0.26 0.17

Cash Equivalents 0.37 1.00 0.26 0.12 0.07 0.50 0.13 -0.05 -0.05 0.05 -0.01 0.03 0.00 0.02 -0.05 -0.12 -0.07 -0.06 -0.05 0.02 -0.05 0.04 0.12 0.08 -0.03 0.06 0.07 0.00

US Agg Fixed Income -0.11 0.26 1.00 0.44 0.77 0.89 0.93 0.23 -0.04 0.37 0.53 0.18 0.07 0.16 0.00 0.03 0.01 0.00 -0.02 -0.04 0.18 0.03 0.06 0.14 0.28 -0.26 0.02 0.26

Non-US Sovereign Debt -0.01 0.12 0.44 1.00 0.52 0.42 0.40 0.11 -0.03 0.61 0.42 0.04 -0.04 0.03 0.30 0.33 0.21 0.30 0.21 -0.05 0.32 0.10 0.01 0.06 0.45 -0.04 0.26 0.46

TIPS 0.07 0.07 0.77 0.52 1.00 0.61 0.72 0.29 0.15 0.47 0.53 0.02 -0.01 0.02 0.12 0.20 0.18 0.15 0.10 0.10 0.27 0.14 0.12 0.26 0.42 -0.19 0.27 0.48

Low Duration Fixed Income 0.04 0.50 0.89 0.42 0.61 1.00 0.72 0.12 -0.10 0.33 0.34 0.10 0.02 0.08 -0.08 -0.09 -0.05 -0.07 -0.10 -0.05 0.05 0.07 0.04 0.10 0.14 -0.14 0.06 0.16

Long Duration Fixed Income -0.18 0.13 0.93 0.40 0.72 0.72 1.00 0.23 -0.05 0.31 0.51 0.19 0.08 0.15 0.02 0.06 0.03 0.03 0.01 -0.01 0.19 0.00 0.05 0.12 0.27 -0.26 -0.01 0.24

High Yield Fixed Income 0.07 -0.05 0.23 0.11 0.29 0.12 0.23 1.00 0.76 0.60 0.68 0.59 0.61 0.62 0.66 0.71 0.64 0.69 0.70 0.07 0.60 0.58 0.48 0.74 0.79 0.42 0.36 0.63

Bank Loans 0.32 -0.05 -0.04 -0.03 0.15 -0.10 -0.05 0.76 1.00 0.36 0.42 0.44 0.44 0.46 0.49 0.58 0.45 0.51 0.51 0.18 0.45 0.47 0.48 0.72 0.59 0.38 0.39 0.53

Emg Markets Debt (Local) 0.11 0.05 0.37 0.61 0.47 0.33 0.31 0.60 0.36 1.00 0.79 0.55 0.45 0.54 0.71 0.67 0.80 0.76 0.68 0.10 0.70 0.36 0.45 0.51 0.79 0.40 0.52 0.75

Emg Markets Debt (Hard) 0.06 -0.01 0.53 0.42 0.53 0.34 0.51 0.68 0.42 0.79 1.00 0.48 0.43 0.49 0.60 0.58 0.66 0.64 0.59 0.21 0.63 0.32 0.49 0.60 0.78 0.28 0.36 0.65

Large/Mid Cap US Equity 0.01 0.03 0.18 0.04 0.02 0.10 0.19 0.59 0.44 0.55 0.48 1.00 0.83 0.99 0.82 0.79 0.71 0.82 0.93 0.22 0.70 0.44 0.57 0.55 0.81 0.73 0.30 0.61

Small Cap US Equity 0.00 0.00 0.07 -0.04 -0.01 0.02 0.08 0.61 0.44 0.45 0.43 0.83 1.00 0.88 0.71 0.75 0.66 0.73 0.83 0.16 0.64 0.41 0.59 0.57 0.72 0.73 0.31 0.57

Broad US Equity -0.01 0.02 0.16 0.03 0.02 0.08 0.15 0.62 0.46 0.54 0.49 0.99 0.88 1.00 0.83 0.80 0.73 0.83 0.94 0.22 0.70 0.45 0.60 0.57 0.82 0.74 0.32 0.62

Dev'd Large/Mid Int'l Equity 0.06 -0.05 0.00 0.30 0.12 -0.08 0.02 0.66 0.49 0.71 0.60 0.82 0.71 0.83 1.00 0.94 0.81 0.99 0.96 0.29 0.75 0.44 0.68 0.65 0.90 0.71 0.43 0.71

Dev'd Small Int'l Equity 0.11 -0.12 0.03 0.33 0.20 -0.09 0.06 0.71 0.58 0.67 0.58 0.79 0.75 0.80 0.94 1.00 0.84 0.95 0.91 0.32 0.78 0.49 0.81 0.74 0.87 0.66 0.50 0.75

Emerging Markets Equity 0.07 -0.07 0.01 0.21 0.18 -0.05 0.03 0.64 0.45 0.80 0.66 0.71 0.66 0.73 0.81 0.84 1.00 0.88 0.84 0.19 0.73 0.43 0.71 0.63 0.86 0.57 0.46 0.74

Broad International Equity 0.07 -0.06 0.00 0.30 0.15 -0.07 0.03 0.69 0.51 0.76 0.64 0.82 0.73 0.83 0.99 0.95 0.88 1.00 0.97 0.27 0.76 0.45 0.73 0.68 0.93 0.70 0.49 0.75

Global Equity 0.06 -0.05 -0.02 0.21 0.10 -0.10 0.01 0.70 0.51 0.68 0.59 0.93 0.83 0.94 0.96 0.91 0.84 0.97 1.00 0.29 0.76 0.48 0.73 0.67 0.91 0.75 0.44 0.71

Real Estate 0.15 0.02 -0.04 -0.05 0.10 -0.05 -0.01 0.07 0.18 0.10 0.21 0.22 0.16 0.22 0.29 0.32 0.19 0.27 0.29 1.00 0.30 0.19 0.24 0.17 0.34 0.42 0.21 0.36

Global REITs 0.03 -0.05 0.18 0.32 0.27 0.05 0.19 0.60 0.45 0.70 0.63 0.70 0.64 0.70 0.75 0.78 0.73 0.76 0.76 0.30 1.00 0.39 0.50 0.51 0.81 0.55 0.35 0.84

MLPs 0.18 0.04 0.03 0.10 0.14 0.07 0.00 0.58 0.47 0.36 0.32 0.44 0.41 0.45 0.44 0.49 0.43 0.45 0.48 0.19 0.39 1.00 0.42 0.51 0.52 0.40 0.41 0.49

Funds of Hedge Funds 0.15 0.12 0.06 0.01 0.12 0.04 0.05 0.48 0.48 0.45 0.49 0.57 0.59 0.60 0.68 0.81 0.71 0.73 0.73 0.24 0.50 0.42 1.00 0.71 0.73 0.71 0.39 0.55

Multi-Strategy Hedge Funds 0.16 0.08 0.14 0.06 0.26 0.10 0.12 0.74 0.72 0.51 0.60 0.55 0.57 0.57 0.65 0.74 0.63 0.68 0.67 0.17 0.51 0.51 0.71 1.00 0.75 0.49 0.41 0.60

GTAA 0.13 -0.03 0.28 0.45 0.42 0.14 0.27 0.79 0.59 0.79 0.78 0.81 0.72 0.82 0.90 0.87 0.86 0.93 0.91 0.34 0.81 0.52 0.73 0.75 1.00 0.66 0.65 0.89

Private Equity 0.12 0.06 -0.26 -0.04 -0.19 -0.14 -0.26 0.42 0.38 0.40 0.28 0.73 0.73 0.74 0.71 0.66 0.57 0.70 0.75 0.42 0.55 0.40 0.71 0.49 0.66 1.00 0.49 0.59

Commodities 0.26 0.07 0.02 0.26 0.27 0.06 -0.01 0.36 0.39 0.52 0.36 0.30 0.31 0.32 0.43 0.50 0.46 0.49 0.44 0.21 0.35 0.41 0.39 0.41 0.65 0.49 1.00 0.79

Diversified Inflation Strategies 0.17 0.00 0.26 0.46 0.48 0.16 0.24 0.63 0.53 0.75 0.65 0.61 0.57 0.62 0.71 0.75 0.74 0.75 0.71 0.36 0.84 0.49 0.55 0.60 0.89 0.59 0.79 1.00

Correlation greater than 0.50Correlation between 0.00 and 0.50

Correlation less than 0.00

Page 48

US Inflation & Cash Equivalents

• US inflation assumption held constant from prior year as market expectations for inflation remain muted.

• Cash assumption increased given increase in yields.


Risk (StDev)



Risk (StDev)



Risk (StDev)


US Inflation 2.46% 3.00% 2.50% 2.46% 3.00% 2.50% -- -- --Cash Equivalents 2.96% 3.00% 3.00% 2.46% 3.00% 2.50% +0.50% -- +0.50%

US Inflation & Cash Equivalents

Asset Class


Source: US Department of the Treasury (2019).

Market Expectations for Inflation

Page 49

Public Equity – US

• No change to US Equity assumptions from the prior year.

• Although valuations improved in 2018, they remain relatively expensive compared to historical averages.

• Current return assumptions remain lower than historical index averages.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Large/Mid Cap US Equity 5.30% 17.75% 6.75% 5.30% 17.75% 6.75% -- -- --Small Cap US Equity 5.20% 21.25% 7.25% 5.20% 21.25% 7.25% -- -- --Broad US Equity 5.35% 17.80% 6.80% 5.35% 17.80% 6.80% -- -- --

Public Equity: US

Asset Class


Russell 3000 Index Annual Returns

Broad US Equity is a combination of 92.9% Large/Mid Cap US Equity and 7.1% Small Cap US Equity.

Page 50

Public Equity – International

• Increased all international equity assumptions due to improving valuations.

• Risk assumption for broad international equity increased due to emerging markets continuing to become a larger segment of the broad market.

• Global equity assumption is a blend of 54% broad US equity and 46% broad international equity. Both the return and risk assumptions increased modestly relative to 2018.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Dev'd Large/Mid Cap Int'l Equity 6.62% 19.00% 8.25% 6.37% 19.00% 8.00% +0.25% -- +0.25%Dev'd Small Cap Int'l Equity 6.14% 23.00% 8.50% 5.89% 23.00% 8.25% +0.26% -- +0.25%Emerging Markets Equity 7.14% 29.00% 10.75% 6.62% 29.00% 10.25% +0.51% -- +0.50%Broad International Equity 6.94% 20.95% 8.90% 6.66% 20.80% 8.60% +0.28% +0.15% +0.30%Global Equity 6.26% 18.40% 7.80% 6.12% 18.35% 7.65% +0.14% +0.05% +0.15%

Public Equity: International

Asset Class


Broad International equity is a combination of 64.0% Dev’d Large/Mid Cap Int’l Equity, 10.7% Dev’d Small Cap Int’l Equity, and 25.3% Emerging Markets Equity. Global Equity is combination of 54.0% Broad US Equity and 46.0% International Equity.

Page 51

Fixed Income – Low Duration, US Aggregate & TIPS

• Increased both low duration and US Aggregate fixed income return assumptions due to increase in yields.

• Increased TIPS return assumption due to increase in real yields.Source: Barclays Live (2019).

Average Yield to Worst is for the time period January 1976 through December 2018. Yield to Maturity is for the time period August 2000 through December 2018. Averages are calculated based on monthly frequency.

Bloomberg US Aggregate Bond IndexYield to Worst and Yield to Maturity

Bloomberg US Treasury US TIPS IndexReal Yield and Modified Duration

Average Real Yield is for the time period June 2004 through December 2018. Average Modified Duration is for the time period March 1997 through December 2018. Averages are calculated based on monthly frequency.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Low Duration Fixed Income 3.44% 3.50% 3.50% 2.94% 3.50% 3.00% +0.50% -- +0.50%US Aggregate Fixed Income 3.58% 6.00% 3.75% 3.33% 6.00% 3.50% +0.25% -- +0.25%TIPS 3.81% 6.25% 4.00% 3.56% 6.25% 3.75% +0.25% -- +0.25%

Fixed Income: Low Duration, US Aggregate & TIPS

Asset Class


Page 52

Fixed Income – EMD, Private Credit & Bank Loans

• No change to the emerging markets debt (local currency) assumption.– Yields increased while

spreads remained relatively unchanged.

• Private credit and bank loans assumptions unchanged from the prior year.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Emerging Markets Debt (LC) 5.02% 12.50% 5.75% 5.02% 12.50% 5.75% -- -- --Private Credit 6.14% 23.00% 8.50% 6.14% 23.00% 8.50% -- -- --Bank Loans 4.78% 10.00% 5.25% 4.78% 10.00% 5.25% -- -- --

Asset Class

2019 2018 One Year Adjustment (2019-2018)Fixed Income: EMD, Private Credit & Bank Loans

Yield to Maturity is for the time period January 2003 through December 2018. Averages are calculated based on monthly frequency.

JPM GBI-EM Global Diversified TR Index Yield to Maturity

Source: JP Morgan (2019).

Page 53

Real Return – Infrastructure & MLPs

• Return assumptions for infrastructure and MLPs increased due to improving valuations and rising yields.– MLPs are a relatively immature

asset class that is still developing and has not gone through multiple market cycles, therefore we also heavily consider qualitative and triangulation factors when deriving our assumptions.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Infrastructure 5.21% 15.00% 6.25% 4.95% 15.00% 6.00% +0.25% -- +0.25%MLPs 6.65% 23.00% 9.00% 6.34% 22.00% 8.50% +0.32% +1.00% +0.50%

Real Return: Infrastructure & MLPs

Asset Class


Alerian MLP Index Dividend Yield

Source: Alerian (2019).

Page 54

Real Estate – Core & Non-Core

• Decreased both core and non-core real estate return assumptions.

• Cap rates have matched pre-GFC lows, and in certain sectors reached new all-time lows.

• Core real estate spreads remain in line with the long-term average.

• Non-core real estate yields have fallen and spreads have widened relative to historical averages, implying a larger component of future returns must come from capital appreciation.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Core Real Estate 5.27% 12.50% 6.00% 5.52% 12.50% 6.25% -0.25% -- -0.25%Non-Core Real Estate 5.73% 22.50% 8.00% 6.75% 22.50% 9.00% -1.02% -- -1.00%

Asset Class

2019 2018 One Year Adjustment (2019-2018)Real Estate: Core & Non-Core

0%1%2%3%4%5%6%7%8%9%

10%

Mar

-02

Dec

-02

Sep-

03Ju

n-04

Mar

-05

Dec

-05

Sep-

06Ju

n-07

Mar

-08

Dec

-08

Sep-

09Ju

n-10

Mar

-11

Dec

-11

Sep-

12Ju

n-13

Mar

-14

Dec

-14

Sep-

15Ju

n-16

Mar

-17

Dec

-17

Sep-

18

Cap Rates and Spread to Treasuries

Spread Cap Rate 10yr UST

LT Average 1 Standard Deviation

Source: Real Capital Analytics, Inc. (2018)

Page 55

Private Equity

• Arithmetic return assumption decreased, as we have decreased our return premium over US large/mid cap equity from 300 to 275 basis points.– Historical private equity premiums relative to public markets have been gradually

falling.


Risk (StDev)



Risk (StDev)



Risk (StDev)


Private Equity 6.65% 25.50% 9.50% 6.90% 25.50% 9.75% -0.26% -- -0.25%

Private Equity

Asset Class


Cambridge Private Equity Index vs. S&P 500 Index

Source: Cambridge Associates (2018).

Average Annual Return Differential is for the time period July 1987 through June 2018 (32 annual observations).Averages are calculated based on annual frequency.

Page 56

Estimated Asset Class Yields

Estimated yield represents the underlying benchmark index as of December 31, 2018, with the exception of structured credit and distressed/other which are general asset class estimates. Bank loans were used as a proxy for floating rate/short-term real estate debt. The US middle market lending yield is on an unlevered basis. Dec-2017 estimated yields for custom asset classes reflect the prior year blends.

Percent ofAsset Class

Dec-2018Est. Yield

Dec-2017Est. Yield

One Year Adjustment

Broad US Equity 100% 2.11% 1.89% +0.22%Broad International Equity 100% 3.47% 3.01% +0.46%Low Duration Fixed Income 100% 2.75% 2.03% +0.72%US Agg Fixed Income 100% 4.13% 3.16% +0.97%

Treasuries 10% 2.61% 2.19% +0.42%Low Duration 5% 2.75% 2.03% +0.72%Inv. Grade Corporate 15% 4.20% 3.25% +0.95%Core Plus Fixed Income 55% 3.73% 3.02% +0.71%High Yield Low Duration 15% 6.98% 4.60% +2.38%

NMSIC Non-Core Fixed Income 100% 9.04% 8.62% +0.42%Unconstrained 20% 7.95% 5.78% +2.17%US Middle Market Lending 30% 6.50% 6.55% -0.05%Structured Credit 30% 9.00% 9.00% --Distressed/Other 20% 14.00% 14.00% --

NMSIC Real Return 100% 4.43% 3.71% +0.72%TIPS 3% 1.11% 0.34% +0.77%Floating/ST Mezz RE Debt 5% 6.50% 6.55% -0.05%EMD (Local) 3% 6.46% 6.14% +0.32%MLPs 9% 7.42% 6.32% +1.10%Agriculture 13% 4.47% 3.99% +0.48%Commodities 5% 1.98% 0.95% +1.03%Private Energy 25% 4.08% 3.06% +1.02%Infrastructure 26% 4.42% 4.06% +0.36%Timber 11% 3.24% 2.77% +0.47%

NMSIC Real Estate 100% 4.04% 3.79% +0.25%Core Real Estate 55% 4.26% 4.36% -0.10%Non-Core Real Estate 45% 3.78% 3.09% +0.69%

Private Equity 100% 0.00% 0.00% --Cash Equivalents 100% 2.38% 1.36% +1.02%

Page 57

GlossaryAsset Allocation is a systematic analysis of the properties of specified asset classes to determine the allocation of those assets that meet the return targets of a portfolio.

Correlation is a statistical measure of the relationship between asset class returns. A value of 1.00 is a perfect correlation; that is, the asset classes always move in the same direction. A value of –1.00 indicates a perfect negative correlation, in which the asset classes always move in opposite directions of each other. A value of 0 indicates there is no relationship between the direction of returns of the two asset classes. Correlation calculations only consider the direction of changes relative to two variables and not the magnitude of those changes.

The Efficient Frontier is the set of portfolios that minimizes risk at given target levels of return. This process takes into account the risk, return and correlation of the asset classes to arrive at the most efficient set of portfolios.

Expected Equity Beta is a measure of the sensitivity of a portfolio to movements in the Large/Mid Cap US Equity market. It is a measure of a portfolio's non-diversifiable or systematic risk.

Performance Expectation is the best estimate of the average annual percentage increase in the value of an asset class over the next ten years.

Risk is quantified by the standard deviation of returns. Also known as the volatility of returns, it provides a statistical range of performance relative to the average expectations. With this measure, we can establish a level of "confidence“ about the expected range of returns for the portfolios.

RVK Liquidity Metric is a qualitative method for determining the relative amount of liquidity in a portfolio. The characteristics considered when determining relative liquidity include trading volume, gates for redemption, leverage, nature of transactions, and pricing mechanisms. The RVK Liquidity Metric is calculated using investment weights applied to each corresponding asset class liquidity rating. See next page for more details.

Thematic Classification represents dedicated manager allocations; as such, thematic allocations are approximations. RVK categorizes asset classes as Alpha, Capital Appreciation, Capital Preservation, and Inflation as displayed in the table on the next page.

Page 58

Glossary

Page 59

Tab 4.a CFO report

1. FY 19 Budget-to-Actual comparison for the ten months ending April 30, 2019.

There are no budget problems anticipated through the end of the current fiscal year.

2. Investment Holdings Report for the month ending April 30, 2019.

3. Agreed Upon Procedures (AUP):

Moss Adams is completing test work on sample selections for the third quarter of FY 19. No

problems are anticipated with meeting the June 30, 2019 deadline.

4. Tax Stabilization Reserve Fund:

The required form has been submitted to set up this new fund on the SHARE general ledger

system.

5. Rural Libraries Endowment Fund:

The required form has been submitted to set up this new fund on the SHARE general ledger

system.

Prepared by:

Phone:

Date:

Brent H. Shipp, CPA, CFA, CAIA

May 15, 2019

Based on Single-Year CAFR Budget Status Report by Pcode dated 04/30/2019

FY19

#33700 State Investment Council

BUDGET PROJECTIONSP629 State Investment Council

(505)476-9510

1 of 5

CATEGORY TOTALS

A B C D E F G H I J

FY18 FY19 FY19 FY19 FY19 FY19 FY19 FY19 FY19 FY19

1

2

NOTES:

Prepared by:

Phone:

Date:

Agencies must provide a detailed justification by object code of assumptions used for projecting planned expenditures through year end. This should include detailed salary projections (see tab

Salary) that State Budget Division can use to verify the agency methodology used in the projection calculations.

These amounts must tie to the SHARE report - Single-Year CAFR Budget Status Report By Pcode. Please attach SHARE report.

3,389,74254,744,900 25,873,612 24,879,415 50,753,027 3,991,873 602,131TOTAL

50,388,300 0 50,388,300 22,433,417 24,829,553 47,262,970

49,862 518,147 123,853642,000 0

2,971,910 742,690

0

642,000 468,285400

3,125,330

BALANCE AVAILABLE

3,714,600 0 3,714,600 0 2,971,910 602,131 140,559

EXPENDED

YEAR TO

DATE1

ENCUMBRANCES

YEAR TO

DATE1

TOTAL OBLIGATIONSUNOBLIGATED

BALANCE

0 123,853

3,125,330

600,230

48,214,348

Brent H. Shipp, CPA, CFA, CAIA

May 15, 2019

3,590,213

ORIGINAL BUDGETBUDGET

ADJUSTMENTSADJUSTED BUDGET

052,404,791 54,744,900

PRIOR YR ACTUAL

EXPENSESCATEGORY

Total Contractual

Services300

Total Other Operating

Costs

DESCRIPTION

(505)476-9510

9 Budget Projections April v1 (for SIC).xlsx]Detail Other Revenue



P629 State Investment Council

FY19

Total Personal Services

& Employee Benefits200

PROJECTED

EXPENDITURES TO

YEAR END2

2 of 5

Other Revenue

A B C D E F G H I J


520100 1,464,580 1,506,000 130,000 1,636,000 1,363,005 0 1,363,005 272,995 270,389 2,606520200 0 0 0 0 0 0 0 0 0 0520300 1,213,341 1,242,300 -120,000 1,122,300 850,321 0 850,321 271,979 180,031 91,948520400 0 0 0 0 0 0 0 0 0 0520500 0 0 0 0 0 0 0 0 0 0520600 4,012 10,000 0 10,000 6,016 0 6,016 3,984 3,984 0520700 0 2,000 0 2,000 0 0 0 2,000 2,000 0520800 15,118 12,000 -6,000 6,000 3,651 0 3,651 2,349 0 2,349520900 0 0 0 0 0 0 0 0 0 0521100 161,510 171,100 3,000 174,100 144,804 0 144,804 29,296 28,089 1,206521200 454,978 467,000 3,000 470,000 375,991 0 375,991 94,009 77,543 16,467521300 185,813 208,300 -11,000 197,300 142,992 0 142,992 54,308 30,838 23,470521400 175 300 0 300 223 0 223 77 77 0521410 2,825 2,700 0 2,700 2,673 0 2,673 27 27 0521500 0 0 0 0 0 0 0 0 0 0521600 34,304 38,000 0 38,000 37,975 0 37,975 25 25 0521700 53,558 54,900 1,000 55,900 44,260 0 44,260 11,640 9,128 2,512521900 0 0 0 0 0 0 0 0 0 0529999 0 0 0 0 0 0 0 0 0 0

535100 0 0 0 0 0 0 0 0 0535200 0 0 0 0 0 0 0 0 0535209 0 0 0 0 0 0 0 0 0535300 47,087,895 47,661,400 -98,000 47,563,400 21,745,566 24,217,169 45,962,735 1,600,665 1,600,665535309 19,200 25,000 0 25,000 19,200 0 19,200 5,800 5,800535310 0 0 0 0 0 0 0 0 0535400 124,191 126,200 0 126,200 109,601 2,799 112,400 13,800 13,800535500 923,161 2,500,000 0 2,500,000 437,240 562,759 999,999 1,500,001 1,500,001535600 59,900 75,700 98,000 173,700 121,810 46,825 168,635 5,065 5,065535609 0 0 0 0 0 0 0 0 0

542000 0 0 0 0 0 0 0 0 0542001 0 0 0 0 0 0 0 0 0542002 0 0 0 0 0 0 0 0 0542003 0 0 0 0 0 0 0 0 0542004 0 0 0 0 0 0 0 0 0542005 0 0 0 0 0 0 0 0 0542006 0 0 0 0 0 0 0 0 0542007 0 0 0 0 0 0 0 0 0542010 0 0 0 0 0 0 0 0 0542020 0 0 0 0 0 0 0 0 0542030 0 0 0 0 0 0 0 0 0542100 3,554 3,500 0 3,500 2,040 0 2,040 1,460 1,460542200 100 1,000 0 1,000 337 0 337 663 663542300 16,697 18,000 0 18,000 13,504 0 13,504 4,496 4,496542400 0 0 0 0 0 0 0 0 0542500 0 0 0 0 0 0 0 0 0542600 0 0 0 0 0 0 0 0 0542700 0 200 0 200 0 0 0 200 200542800 0 0 0 0 0 0 0 0 0542900 0 0 0 0 0 0 0 0 0543100 0 0 0 0 0 0 0 0 0543200 0 0 200 200 175 0 175 25 25543300 0 0 0 0 0 0 0 0 0

Maint - Furn, Fixt, EquipmentMaint - Buildings & Structures

Transp - Fuel & OilTransp - Parts & SuppliesTransp - Transp InsuranceState Transp Pool ChargesTransp - Other TravelMaint - Grounds & Roadways

Legislator Interim Com MtgLegislator Special SessionEmployee I/S Mileage & FaresEmployee I/S Meals & LodgingBrd & Comm Member I/S TravelEE Non Routine Part. Per Diem

Legis OT Trvl-non mbr interimLegislator O/S TravelLegis Reg Session PD & MLegis Special Session PD & MLegis Public Member ExpenseLegislator Regular Session

0 3,125,330

Legislator PerDiem&M-DFARollupLegis Voting Mbr PerDiem&MileLegis Advisory Member Expense

0 50,388,300 22,433,417 24,829,553 47,262,970 3,125,330

IT ServicesIT Services- Interagency

Total Contractual Services 300 48,214,348 50,388,300

Professional Svcs - InteragencOther ServicesOther Services - InteragencyOther Services - CUAudit ServicesAttorney Services

742,690 602,131 140,559

Medical ServicesProfessional Services

3,714,600 0 3,714,600 2,971,910 0 2,971,910

RHC Act ContributionsOther Employee BenefitsPayroll N/A

Total Personal Services 200 3,590,213

Retirement ContributionsF I C AWorkers' Comp Assessment FeeGSD Work Comp Insur PremiumUnemployment Comp PremiumEmployee Liability Ins Premium

Temporary Positions F/T & P/TPaid Unused Sick LeaveOvertime & Other Premium PayAnnl & Comp Paid At SeparationDifferential PayGroup Insurance Premium

Exempt Perm Positions P/T&F/TTerm PositionsClassified Perm Positions F/TClassified Perm Positions P/T

CHARTFIELD DESCRIPTION

SHARE

CHART

FIELD

PRIOR YR ACTUAL

EXPENSESORIGINAL BUDGET

BUDGET

ADJUSTMENTS

UNOBLIGATED

BALANCE

ADJUSTED

BUDGET

PROJECTED

EXPENDITURES TO

YEAR END2




FY19

G:\05.28.19 SIC Meeting\[FY19 Budget Projections April v1 (for SIC).xlsx]Detail Other Revenue

BALANCE

AVAILABLE

EXPENDED

YEAR TO

DATE1

ENCUMBRANCES

YEAR TO

DATE1

TOTAL

OBLIGATIONS

3 of 5

Other Revenue

A B C D E F G H I J



SHARE

CHART

FIELD

PRIOR YR ACTUAL


BUDGET

ADJUSTMENTS

UNOBLIGATED

BALANCE

ADJUSTED

BUDGET

PROJECTED

EXPENDITURES TO

YEAR END2




FY19


BALANCE

AVAILABLE

EXPENDED

YEAR TO

DATE1

ENCUMBRANCES

YEAR TO

DATE1

TOTAL

OBLIGATIONS

543400 0 0 0 0 0 0 0 0 0543500 0 0 0 0 0 0 0 0 0543600 0 0 0 0 0 0 0 0 0543700 0 0 0 0 0 0 0 0 0543820 969 8,000 0 8,000 6,262 753 7,015 985 985

IT HW/SW Agreements 543830 0 0 300 300 300 0 300 0 0543900 0 0 0 0 0 0 0 0544000 48,918 50,000 -4,850 45,150 11,374 0 11,374 33,776 33,776544100 9,023 12,000 0 12,000 5,922 175 6,097 5,903 5,903544200 0 0 0 0 0 0 0 0 0544300 0 0 0 0 0 0 0 0 0544400 0 0 0 0 0 0 0 0 0544500 0 0 0 0 0 0 0 0 0544600 0 0 0 0 0 0 0 0 0544700 0 0 0 0 0 0 0 0 0544800 0 0 0 0 0 0 0 0 0544900 10,428 9,200 0 9,200 2,459 0 2,459 6,741 6,741545600 471 3,000 0 3,000 43 0 43 2,957 2,957545609 0 0 0 0 0 0 0 0 0545700 7,532 6,500 2,000 8,500 6,319 2,081 8,400 100 100545701 0 0 0 0 0 0 0 0 0545710 11,935 11,900 50 11,950 11,935 0 11,935 15 15545800 0 0 0 0 0 0 0 0 0545801 0 0 0 0 0 0 0 0 0545810 0 0 0 0 0 0 0 0 0545900 387 500 8,550 9,050 9,042 0 9,042 8 8

546000 0 0 0 0 0 0 0 0 0546100 2,106 2,000 2,000 4,000 2,934 1,008 3,942 58 58546109 0 0 0 0 0 0 0 0 0546200 0 0 0 0 0 0 0 0 0546300 0 0 0 0 0 0 0 0 0546301 0 0 0 0 0 0 0 0 0546302 0 0 0 0 0 0 0 0 0546303 0 0 0 0 0 0 0 0 0546304 0 0 0 0 0 0 0 0 0546305 0 0 0 0 0 0 0 0 0546310 0 0 0 0 0 0 0 0 0546320 0 0 0 0 0 0 0 0 0546330 0 0 0 0 0 0 0 0 0546340 0 0 0 0 0 0 0 0 0546350 0 0 0 0 0 0 0 0 0546400 295,627 285,000 1,000 286,000 261,385 24,615 286,000 0 0546409 0 0 0 0 0 0 0 0 0546500 13,702 11,000 4,550 15,550 10,899 4,651 15,550 0 0546600 77 1,000 0 1,000 42 0 42 958 958546601 0 0 0 0 0 0 0 0 0546610 50,014 51,700 100 51,800 37,678 14,122 51,800 0 0546700 42,406 50,000 0 50,000 36,586 2,030 38,616 11,384 11,384546709 0 0 0 0 0 0 0 0 0546800 27,294 27,500 0 27,500 7,505 0 7,505 19,995 19,995546801 0 0 0 0 0 0 0 0 0546809 0 0 0 0 0 0 0 0 0546810 0 0 0 0 0 0 0 0 0546900 657 1,700 0 1,700 719 428 1,146 554 554547101 0 0 0 0 0 0 0 0 0547102 0 0 0 0 0 0 0 0 0547103 0 0 0 0 0 0 0 0 0547104 0 0 0 0 0 0 0 0 0547200 0 0 0 0 0 0 0 0 0547300 0 0 0 0 0 0 0 0 0547309 0 0 0 0 0 0 0 0 0

Care & SupportCare & Support InterSt Agency

AdvertisingInvestment Amort/AccretionInvestment Management ExpensesOther Investment ExpensesInvestment Transaction CostsGrants To Individuals

Subscriptions & DuesSubscription & Due InteragencyEmployee Training & EducationBoard Member TrainingEmp Train & Edu InterSt AgencyBoard Member Training

Rent Of Land & BuildingsRent Expense - InteragencyRent Of EquipmentCommunicationsDOIT TelecommunicationDOIT Telecommunications

Utilities - PropaneUtilities - Sewer/GarbageUtilities - ElectricityUtilities - WaterUtilities - Natural GasUtilities - Propane

Bond Assurity for EmployeesUtilitiesUtilities - Sewer/GarbageUtilities - ElectricityUtilities - WaterUtilities - Natural Gas

GSD Radio CommunicationGCD Radio Communications Svcs

Printing & Photo Services

Building Use Fee GSDPostage & Mail ServicesPostage&Mail Svcs Int Agency

Reporting & RecordingReport/Record Inter St AgencyISD ServicesDOIT HCM Assessment FeesDOIT HCM Assessment FeesRadio Communications Svcs

Supplies-Field SuppliesSupplies-FoodSupplies-Kitchen SuppliesSupplies-Clothng,Unifrms,LinenSupplies-Education&RecreationSupplies-Inventory Exempt

Maintenance IT

Other MaintenanceSupply Inventory ITSupplies-Office SuppliesSupplies-Medical,Lab,PersonalSupplies-Drugs

Maint - Property InsuranceMaint - SuppliesMaint - Laundry/Dry CleaningMaintenance Services

4 of 5

Other Revenue

A B C D E F G H I J



SHARE

CHART

FIELD

PRIOR YR ACTUAL


BUDGET

ADJUSTMENTS

UNOBLIGATED

BALANCE

ADJUSTED

BUDGET

PROJECTED

EXPENDITURES TO

YEAR END2




FY19


BALANCE

AVAILABLE

EXPENDED

YEAR TO

DATE1

ENCUMBRANCES

YEAR TO

DATE1

TOTAL

OBLIGATIONS

547350 0 0 0 0 0 0 0 0 0547360 0 0 0 0 0 0 0 0 0547400 0 0 0 0 0 0 0 0 0547401 0 0 0 0 0 0 0 0 0547402 0 0 0 0 0 0 0 0 0547403 0 0 0 0 0 0 0 0 0547410 0 0 0 0 0 0 0 0 0547415 0 0 0 0 0 0 0 0 0547420 0 0 0 0 0 0 0 0 0547430 0 0 0 0 0 0 0 0 0547440 0 0 0 0 0 0 0 0 0547450 0 0 0 0 0 0 0 0 0547500 0 0 0 0 0 0 0 0 0547600 0 0 0 0 0 0 0 0 0547610 0 0 0 0 0 0 0 0 0547700 0 0 0 0 0 0 0 0 0547800 0 0 0 0 0 0 0 0 0547900 100 5,100 -2,800 2,300 919 0 919 1,381 1,381547909 0 0 0 0 0 0 0 0 0547915 0 0 0 0 0 0 0 0 0547999 0 0 0 0 0 0 0 0 0548100 0 0 0 0 0 0 0 0 0548110 0 0 0 0 0 0 0 0 0548200 0 0 0 0 0 0 0 0 0548300 0 20,000 -10,600 9,400 0 0 0 9,400 9,400548400 0 0 0 0 0 0 0 0 0548600 0 0 0 0 0 0 0 0 0548700 0 0 0 0 0 0 0 0 0548800 0 0 0 0 0 0 0 0 0548801 0 0 0 0 0 0 0 0 0548802 0 0 0 0 0 0 0 0 0548810 0 0 0 0 0 0 0 0 0548820 0 0 0 0 0 0 0 0 0548900 0 0 0 0 0 0 0 0 0549600 29,673 33,200 -500 32,700 20,259 0 20,259 12,441 12,441549700 28,561 30,000 0 30,000 19,648 0 19,648 10,352 10,352549800 0 0 0 0 0 0 0 0 0549900 0 0 0 0 0 0 0 0

1

2

These amounts must tie to the SHARE report - Single-Year CAFR Budget Status Report By Pcode. Please attach SHARE report.

Agencies must provide a detailed justication by object code of assumptions used for projecting planned expenditures through year end. This should include detailed salary

projections (see tab Salary) that State Budget Division can use to verify the agency methodology used in the projection calculations.

49,862 518,147 123,853 0 123,853642,000 0 642,000 468,285

Buildings & StructuresEmployee O/S Mileage & FaresEmployee O/S Meals & LodgingBrd & Comm O/S Mileage & FaresBrd & Comm O/S Meals & Lodging

Total Other Costs 400 600,230

Spaceport EquipmentRailway EquipmentSpaceport Equipment

Automotive & AircraftRailway Equipment

Land - ImprovementsFurniture & FixturesInformation Tech EquipmentOther EquipmentAnimalsLibrary & Museum Acquisitions

Debt Service-InterestMiscellaneous ExpenseMisc Expense InteragencyFacilities & Admin. ExpenseRequest to Pay Prior YearLand

Grants To Other EntitiesGrants to Other AgenciesPurchases For ResaleCommissions Paid to OperatorsOperator Fair Minimum ReturnDebt Service-Principal

Grants -Higher Ed InstitutionGrants To Native Amer IndiansGrants To Public Schools-UnivGrants to Local Govt - NonoperGrants -Higher Ed InstitutionGrants to Native Amer Indians

Claims and Benefits ExpensesInsurance Premiums-non_payrollGrants To Local GovernmentsGrants To Public Schools-Univ

5 of 5

New Mexico

State Investment Council

Investment Holdings Report

April 30, 2019

FY 2019

Description

Managed Net Assets


Severance Tax Permanent Fund


Water Trust Fund

Third Party Investors Asset Allocation

Third Party Investors Allocation by Pool

Change in Market Values for Month by Asset Class

Change in Market Values for Month for Investment Pools Detail by Manager

Change in Market Values for Month for Permanent Funds

Change in Market Values for Month for Third Party Investors

Notes to Investment Holdings Report

Page No.

1

2

3

4

5

15-19

6

7

8

9-12

13-14

Index


April 30, 2019

FY 2019

20

Managed Net AssetsApril 30, 2019

% of

Cash Securities

Accrued

Income Other Assets

Other

Liabilities Net Assets Total

Equities

Domestic Equities:

Large Cap Pools

US Large Cap Active Pool 43,813,813 975,910,084 455,072 48,563,541 (800,855) 1,067,941,656 4.26%

US Large Cap Index Pool 22,724,992 1,721,567,915 1,438,364 71,514 (3,500) 1,745,799,284 6.97%

US Large Cap Alternative Weighted Index Pool 88,311,246 2,004,630,916 1,880,262 241,168,622 (20,249,734) 2,315,741,312 9.24%

Total Large Cap Equities 154,850,051 4,702,108,915 3,773,698 289,803,677 (21,054,089) 5,129,482,252 20.47%

Small/Mid Cap Pool

US Small/Mid Cap Pool 48,501,457 332,580,309 62,156 3,860,117 (934,970) 384,069,068 1.53%

US SMID Cap Alternative Weighted Index Pool 2,219,086 125,313,192 55,772 - (11,200) 127,576,850 0.51%

Total Small/Mid Cap Equities 50,720,543 457,893,501 117,928 3,860,117 (946,170) 511,645,918 2.04%

Total Domestic Equities 205,570,594 5,160,002,416 3,891,626 293,663,794 (22,000,260) 5,641,128,170 22.51%

International Pools

Non-US Developed Markets Index Pool 2,131,568 940,339,374 6,682,612 190,351 (11) 949,343,894 3.79%

Non-US Emerging Markets Index Pool 95,692 78,449,196 115,809 - - 78,660,697 0.31%

Non-US Developed Markets Active Pool 33,662,362 2,349,059,984 16,402,027 1,804,750 (3,444,207) 2,397,484,916 9.57%

Non-US Emerging Markets Active Pool 21,852,004 892,886,570 786,103 5,241,290 (6,957,035) 913,808,931 3.65%

Non-US Developed Alternative Weighted Index Pool 8,426,855 1,029,938,038 6,865,411 677,807 88,363 1,045,996,473 4.17%

Total International Equities 66,168,481 5,290,673,162 30,851,962 7,914,198 (10,312,891) 5,385,294,912 21.49%

Total Equities 271,739,075 10,450,675,578 34,743,588 301,577,991 (32,313,150) 11,026,423,082 44.00%

Core Fixed IncomeCore Plus Bonds Pool 20,728,647 1,399,991,483 9,022,937 49,344,643 (100,738,442) 1,378,349,267 5.50%

Core Bonds Pool 7,581,711 1,535,917,475 10,342,406 60,901,225 (133,415,621) 1,481,327,196 5.91%

Short Term Duration Fixed Income Pool 12,446,279 974,213,645 10,437,203 4,236,300 (9,587,192) 991,746,235 3.96%

Total Core Fixed Income 40,756,637 3,910,122,603 29,802,546 114,482,167 (243,741,255) 3,851,422,698 15.37%

Non-Core Fixed IncomeUnconstrained Fixed Income 15,348,476 327,240,512 1,588,104 1,632,219 (5,018,356) 340,790,955 1.36%

Credit & Structured Finance Pool 232,586,345 1,450,009,006 463,749 1,683,059,101 6.72%

Absolute Return Pool 15,310,477 73,607,934 26,037 88,944,447 0.35%

Bank Loans Pool 19,766,493 341,766,151 786,705 2,686,006 (16,619,011) 348,386,343 1.39%

Total Non-Core Fixed Income 283,011,791 2,192,623,602 2,864,596 4,318,225 (21,637,367) 2,461,180,847 9.82%

Other Securities and Cash 532,995,292 42,439,457 575,434,748 2.30%

Real Estate Pool 33,924,044 2,259,629,719 90,069 - - 2,293,643,831 9.15%

Real Return Pool 46,807,671 1,972,157,298 2,635,617 1,740,954 (223,403) 2,023,118,137 8.07%

Private Equity Pool 74,259,251 2,346,548,854 147,891 - - 2,420,955,997 9.66%

Private Equity - New Mexico 407,144,511 407,144,511 1.62%

Stock Distributions/Private Equity 1,841,914 1,841,914 0.01%

Total Managed Net Assets 1,283,493,761 23,540,744,080 70,284,306 464,558,794 (297,915,175) 25,061,165,763 100.00%

State Investment Council

1

Long-Term

Target

Cash / Cash Equivalents / Accruals 402,371,527 2.19% 0.00%

Equities:

US Large Cap Active Pool 811,001,332 4.41%

US Large Cap Index Pool 1,067,314,479 5.80%

US Large Cap Alternative Weighted Index Pool 1,803,680,273 9.80%

US Small/Mid Cap Active Pool 276,529,188 1.50%

US SMID Cap Alternative Weighted Index Pool 91,609,131 0.50%

Total US Equities 4,050,134,403 21.51% 20.00%

Non-US Developed Markets Index Pool 587,212,165 3.19%

Non-US Developed Markets Active Pool 1,867,300,058 10.15%

Non-US Emerging Markets Active Pool 689,912,621 3.75%

Non-US Developed Alternative Weighted Index Pool 814,938,450 4.43%

Total Non-US Equities 3,959,363,294 21.52% 20.00%

Total Equities 8,009,497,697 43.44% 40.00%

Core Fixed Income

Core Plus Bonds Pool 916,170,622 4.98%

Core Bonds Pool 1,023,757,366 5.57%

Short Term Duration Fixed Income Pool 804,664,533 4.37%

Total Core Fixed Income 2,744,592,521 14.92% 10.00%


Unconstrained Fixed Income 254,275,761 1.38%

Credit & Structured Finance Pool 1,296,391,745 7.05%

Absolute Return Pool 73,556,924 0.40%

Bank Loand Pool 243,870,440 1.33%

Total Non-Core Fixed Income 1,868,094,870 10.16% 15.00%

Real Estate Pool 1,702,559,318 9.25% 12.00%

Real Return Pool 1,537,957,978 8.36% 11.00%

2,131,045,183 11.58% 12.00%

Total Fund Net Assets 18,396,119,093 100.00% 100.00%

Market Value % of Net Assets


April 30, 2019

Private Equity Pool

2

Long-TermTarget

Cash / Cash Equivalents / Accruals 95,076,650 1.81% 0.00%

Equities:


US Large Cap Index Pool 342,298,333 6.51%

US Large Cap Alternative Weighted Index Pool 498,872,087 9.48%


US SMID Cap Alterntaive Weighted Index Pool 35,967,721 0.68%

Total US Equities 1,146,414,933 21.79% 20.00%


Non-US Developed Markets Active Pool 529,924,542 10.07%


Non-US Developed Alternative Weighted Index Pool 219,392,424 4.17%

Total Non-US Equities 1,191,981,714 22.65% 20.00%

Total Equities 2,338,396,647 44.44% 40.00%

Core Fixed Income


Core Bonds Pool 311,908,780 5.93%

Short Term Duration Fixed Income Pool 187,081,697 3.56%

Total Core Fixed Income 729,878,845 13.88% 12.00%


Unconstrained Fixed Income 86,515,198 1.64%

Credit & Structured Finance Pool 283,957,747 5.40%

Absolute Return Pool 552,519 0.00%

Bank Loans Pool 104,515,903 1.99%

Total Non-Core Fixed Income 475,541,367 9.03% 12.00%

Small Business Investment Corp & Other misc. loans* 42,439,457 0.81% 0.00%

Real Estate Pool 513,351,782 9.76% 12.00%

Real Return Pool 448,904,252 8.53% 12.00%

Private Equity:

Private Equity Pool 208,109,748 3.96%

Private Equity New Mexico* 407,144,511 7.74%

Stock Distributions/Private Equity 1,841,914 0.04%

Total Private Equity 617,096,174 0.00% 11.74% 12.00%

Total Fund Net Assets 5,260,685,173 100.00% 100.00%


Severance Tax Permanent FundApril 30, 2019

*Economically Targeted Investments, which authorize differential rate investments per Section 7-27-5, NMSA 1978.

3

Long-Term

Target

35,151,354 17.21% 0.00%

Equities:


US Alt Weighted Index Pool 13,189,002 6.46%


Total US Equities 107,690,485 52.71% 57.00%



Non- US Developed Alternative Weighted Index Pool 11,665,594

Total Non-US Equities 15,174,981 7.43% 10.00%

Total Equities 122,865,466 60.14% 67.00%

Core Fixed Income


Core Bonds Pool 3,149,785 1.54%

Total Core Fixed Income 36,915,125 18.07% 23.00%

Non-Core Fixed IncomeAbsolute Return Pool 9,363,824 4.58% 10.00%

Total Fund Net Assets (excl. cash) 169,144,414

Total Fund Net Assets 204,295,769 100.00% 100.00%

Tobacco Settlement Permanent FundApril 30, 2019

Cash / Cash Equivalents / Accruals


4

Long-Term

Target

395,769 0.91% 0.00%

Equities:

US Large Cap Index Pool 8,114,958

Total US Equities 8,114,958 18.72% 20.00%



Total Non-US Equities 5,996,768 13.83% 15.00%

Total Equities 14,111,727 32.55% 35.00%

Core Fixed Income

Core Plus Bonds 5,918,119 13.65% 15.00%


Absolute Return Pool 5,471,121 12.62% 15.00%

Real Estate Pool 7,355,593 16.97% 15.00%

Real Return Pool 2,538,388 5.86% 5.00%

7,562,740 17.44% 15.00%

Total Fund Net Assets (excl. cash) 42,957,688

Total Fund Net Assets 43,353,456 100.00% 100.00%

Water Trust FundApril 30, 2019

Private Equity Pool

Market Value

Cash / Cash Equivalents / Accruals

% of Net Assets

5

April 30, 2019

Cash / Cash Equivalents 0.00

Equities:




Total US Equities 328,773,891 28.42%


Non-US Emerging Markets Index Pool 78,660,653 6.80%


Non-US Developed Markets Active Pool 260,277 0.02%

Total Non-US Equities 212,778,115 18.40%

Total Equities 541,552,006 46.82%

Core Fixed Income

Core Plus Bonds 191,606,963 16.56%

Core Bonds Pool 142,511,278 12.32%


Credit & Structured Finance Pool 102,709,613 8.88%

Private Equity Pool 74,238,255 6.42%

Real Estate Pool 70,377,199 6.08%

Real Return Pool 33,717,484 2.91%

Total Third Party Ownership 1,156,712,792 100.00%


Third Party Investors Asset Allocation

6

US Large Cap

Active Pool

US Large Cap

Index Pool

US Small/Mid

Cap Pool

Core Plus

Bonds Pool

Non US

Developed

Index Pool

Non-US

Emerging Index

Pool

Core Bonds

Pool

Non-US

Emerging

Active Pool

Non-US

Developed

Active Pool

Credit &

Structured

Finance Pool

Private Equity

Pool

Real Estate

Pool

Real Asset

Pool

Total

Investments

New Mexico Military Institute - Trust Scholarship - 3,341,658 838,100 2,755,484 889,469 224,014 8,048,724

New Mexico Military Institute - Legislative Scholarship - 6,778,035 1,773,223 5,927,482 1,860,715 440,383 16,779,838

New Mexico Military Institute - Patterson Account - 2,582,116 675,834 2,253,326 707,648 166,698 6,385,622

New Mexico Military Institute - Capital Outlay - 953,517 239,216 786,694 253,871 63,900 2,297,198

New Mexico Military Institute - Capital Operations - 586,655 171,990 771,630 222,839 63,074 1,816,188

New Mexico Institute of Mining and Technology- Employee Benefit Trust - 1,121,038 179,069 344,823 117,544 - 1,762,473

New Mexico Institute of Mining and Technology- Plant/Debt/Allocated Fund - - - 16,892,276 - - 16,892,276

New Mexico Institute of Mining and Technology- Endowment Fund - 31,766,536 - 16,880,932 - - 48,647,468

New Mexico Tech Research Fund - 12,755,947 - 7,008,621 - - 19,764,567

New Mexico Military Institute - LFC/VC - 3,176,653 796,894 2,620,593 845,730 212,887 7,652,758

New Mexico School for the Visually Handicapped 1,672,093 - 1,406,392 5,223,630 1,313,577 1,041,933 10,657,624

New Mexico Retiree Health Care Authority - 97,964,602 12,806,069 - 94,091,322 69,417,341 142,511,278 102,709,613 74,238,255 70,377,199 33,717,484 697,833,162

New Mexico Commissioner of Public Lands-O&G 6,632,495 5,976,825 - 3,864,971 - - 16,474,291

Eastern New Mexico University - 9,310,185 2,095,107 2,549,729 1,093,999 91,783 15,140,803

Interstate Stream Commission-Improvement to the Rio Grande 1,535,335 - - 919,070 - - 2,454,404

Interstate Stream Commission-Improvement Works Construction 11,103,537 - - 6,500,967 - - 17,604,504

Office of the Superintendent of Insurance - 5,051,043 1,848,401 26,657,218 1,926,443 1,437,048 36,920,153

Los Alamos County - Permanent 5,875,166 6,365,682 3,319,353 7,025,229 3,439,761 708,121 26,733,312

Los Alamos County - Cemetery 214,727 228,286 119,366 252,632 123,601 25,739 964,351

Los Alamos County - General Fund 3,893,814 4,136,423 2,178,921 4,626,708 2,252,695 456,966 17,545,526

New Mexico Mortgage Finance Authority - 8,577,667 3,412,276 8,371,463 4,033,369 1,169,098 (0) 25,563,872

New Mexico Mortgage Finance Authority - IFT Housing - - - 13,467,729 - - 13,467,729

New Mexico Public Schools Insurance Authority - Benefits - 5,693,477 1,753,807 8,763,714 2,847,586 913,934 19,972,519

New Mexico Public Schools Insurance Authority- Risk - 2,419,305 756,539 3,736,704 1,225,810 381,132 8,519,490

New Mexico Highlands University - Endowment - 2,730,899 586,694 1,185,121 257,441 135,764 4,895,918

Springer Municipal School District - 42,067 51,006 30,468 47,529 42,323 213,392

CYFD - Trust Fund Non-Expendable 1,118,542 - - 3,606,031 183,749 43,659 4,951,980

CYFD - Next Generation Fund 433,883 - - 1,375,498 65,969 13,535 1,888,885

New Mexico Higher Education Department 548,463 794,880 216,892 786,154 31,165 - 2,377,553

City of Las Cruces 7,712,350 5,138,508 6,700,096 - 3,196,604 - 22,747,557

San Juan College Foundation 2,985,204 - 1,812,480 2,276,943 3,038,742 1,572,963 11,686,332

Clovis Community College Foundation Fund - 2,708,626 - 539,510 - - 3,248,135

John R. Carver Testamentary Trust - 554,387 - 105,517 - - 659,904

New Mexico Small Business Investment Corporation - - - 11,860,771 - - 11,860,771

Interstate Stream Commission-NM Unit Fund - 12,389,285 3,344,212 18,101,153 7,399,371 - 2,266,507 43,500,527

New Mexico Tech Research Restricted Fund - 3,647,259 - 2,105,456 - - 5,752,716

Central New Mexico Community College - 716,165 276,555 571,340 - - 85,576 260,277 1,909,914

New Mexico Tech Proceeds from Albuquerque Building Sale - - - 801,244 - - 801,244

City of Albuqerque 182,067 38,556 38,359 258,981

New Mexico Tech Research Enhanced 60,135 60,135

-

Total 43,725,608 237,689,793 47,358,491 191,606,963 131,505,102 78,660,653 142,511,278 2,352,082 260,277 102,709,613 74,238,255 70,377,199 33,717,484 1,156,712,792

Third Party Investors Allocation by Pool

April 30, 2019

7

Market Value Interfund Asset Gains - Realized Market ValueFund Name 3/31/2019 Contributions Distributions Transfers Fees re-allocation Income & Unrealized 4/30/2019

By Asset Class:

Investment Pools Assets: *

US Large Cap Active Pool 1,128,093,366 - (1,217,060) (100,000,000) - - 817,494 40,247,855 1,067,941,655

US Large Cap Index Pool 1,677,579,415 875,000 (419,334) - - - 1,901,377 65,862,825 1,745,799,283

US Small/Mid Cap Pool 444,140,262 100,000 (283,876) (75,000,000) - - 141,931 14,970,749 384,069,067

US Large Cap Alternative Weighted Index Pool 2,370,250,798 - - (125,000,000) - - 2,375,360 68,115,155 2,315,741,312

US SMID Cap Alternative Weighted Index Pool 73,422,121 - - 50,000,000 - - 90,464 4,064,264 127,576,850

US Core Plus Bonds Pool 1,373,749,360 1,725,458 (224,000) - - - 4,157,320 (1,058,871) 1,378,349,267

Core Bonds Pool 1,480,492,882 1,000,000 - - - - 3,452,650 (3,618,335) 1,481,327,197

Unconstrained Fixed Income Pool 338,964,679 - - - - - 1,180,683 645,593 340,790,954

Short Term Duration Fixed Income Pool 987,115,461 - - - - - 3,650,947 979,827 991,746,235

Credit & Structured Finance 1,543,768,862 750,000 - 135,000,000 - - 2,254,549 1,285,690 1,683,059,101

Non-US Developed Markets Index Pool 922,654,393 787,098 (100,000) - - - 3,522,855 22,479,548 949,343,894

Non-US Emerging Markets Index Pool 76,336,698 562,660 - - - - 106,972 1,654,368 78,660,697

Non-US Developed Markets Active Pool 2,327,823,931 - - - - - 9,556,520 60,104,465 2,397,484,916

Non-US Emerging Markets Active Pool 892,520,580 - - - - - 1,320,353 19,967,998 913,808,931

Non-US Developed Alternative Weighted Index Pool 1,030,713,058 - - - - - 3,359,857 11,923,560 1,045,996,474

Absolute Return Pool 88,703,625 - - - - - 117,395 123,428 88,944,448

Private Equity Pool 2,382,044,898 500,000 - 30,000,000 - - 230,644 8,180,454 2,420,955,996

Real Estate Pool 2,230,034,163 500,000 - 70,000,000 - - 6,752,333 (13,642,665) 2,293,643,831

Real Return Pool 2,010,740,506 250,000 - 15,000,000 - - 3,810,773 (6,683,142) 2,023,118,137

Bank Loans Pool 342,908,986 - - - - - 1,668,609 3,808,748 348,386,343

Total Investment Pools 23,722,058,044 7,050,216 (2,244,270) 0 - - 50,469,087 299,411,511 24,076,744,589

Fund-Specific Assets:

Land Grant Permanent Fund: **

Cash and Accruals 399,692,704 71,293,943 (62,295,249) (7,046,000) 726,129 402,371,527

Severance Tax Permanent Fund: **

Cash and Accruals 116,161,211 (18,385,123) (2,104,000) (1,163,431) 567,990 95,076,647

Small Business Investment Corp & Other misc. loans 43,673,682 (1,234,225) 42,439,457

Private Equity New Mexico 407,019,148 1,163,431 144,158 (1,182,226) 407,144,511

Stock Distributions/Private Equity 1,841,914 1,841,914

Tobacco Settlement Permanent Fund: **

Cash and accruals 447,388 34,703,111 850 35,151,349

Water Trust Fund **

Cash and Accruals 395,019 750 395,769

Grand Totals 24,691,289,111 113,047,270 (82,924,642) 0 (9,150,000) - 51,908,964 296,995,060 25,061,165,763

* Detail by investment manager presented on the following two pages.* Valuations for Private Equity, Real Estate and Real Assets are valued on a quarter lag.

** The assets listed for each permanent fund on the schedule include cash, accruals and ETI investments in the STPF. The permanent funds' investments in the equity, bond, and alternative pools are included in the pool totals

along with all of the other investors and are specifically allocated to each investor on the succeeding pages of this report.

Change in Market ValueFor the Month Ended April 30, 2019

8



Investment Pools Detail by Manager (Benchmark):

US Large Cap Active Pool: T. Rowe Price (Russell 1000 Growth Index) 661,079,641 (100,000,000) 135,912 19,196,523 580,412,076 Brown Brothers Harriman (Russell 1000 Index) 462,925,135 (1,217,060) 673,823 21,051,218 483,433,116 SIC Managed Large Cap Active (Russell 1000 Index) 4,088,590 0 7,759 113 4,096,463 Sub - Total US Large Cap Active Pool 1,128,093,367 - (1,217,060) (100,000,000) - - 817,494 40,247,855 1,067,941,656 Management Fees - - - - Total US Large Cap Active Pool 1,128,093,367 - (1,217,060) (100,000,000) - - 817,494 40,247,855 1,067,941,656

US Large Cap Index Pool:

NT Russell 1000 Index 1,677,113,784 875,000 (419,334) 1,900,493 65,862,825 1,745,332,768

Large Cap Index Cash 465,632 0 884 466,516

Sub -Total US Large Cap Index Pool 1,677,579,416 875,000 (419,334) - - - 1,901,377 65,862,825 1,745,799,284

Management Fees - -

Total US Large Cap Index Pool 1,677,579,416 875,000 (419,334) - - - 1,901,377 65,862,825 1,745,799,284

US Small/Mid Cap Pool:

Donald Smith (Russell Small Cap Value Index) 171,344,391 (50,000,000) 56,252 5,354,543 126,755,186

Seizert Partners (Russell Midcap Index) 97,994,781 100,000 (283,876) (25,000,000) 29,377 3,566,388 76,406,671

Blackrock (Russell 2000 Small Cap Index) 174,142,564 - - - 55,053 6,049,817 180,247,434

Cash Account 658,527 1,250 659,777

Sub-Total US Small/Mid Cap Pool 444,140,263 100,000 (283,876) (75,000,000) - - 141,931 14,970,749 384,069,068

Management Fees 0 0

Total US Small/Mid Cap Pool 444,140,264 100,000 (283,876) (75,000,000) - - 141,931 14,970,749 384,069,068

US SMID Cap Alternative Weighted Index Pool

NT S&P 600 73,422,121 50,000,000 90,464 4,064,264 127,576,850

Management Fees - -

Total US SMID Enhanced Pool 73,422,121 - - 50,000,000 - - 90,464 4,064,264 127,576,850

US Large Cap Alternative Weighted Index Pool

Citigroup Transition 65 (65) 0 (0)

NT Russell Fundamental LC 521,482,872 777,071 17,861,869 540,121,812

AQR SPLO 1,078,859,952 (100,000,000) 837,094 30,642,106 1,010,339,152

NT SciBeta USA HFE Index 768,640,433 (25,000,000) 758,789 19,611,179 764,010,401

Cash Account 1,267,477 65 2,405 1,269,948

Sub-Total US Large Cap Alternative Weighted Index Pool 2,370,250,798 - - (125,000,000) - - 2,375,360 68,115,155 2,315,741,312

Management Fees - - - - -

Total US Alternative Weighted Index Pool 2,370,250,798 - - (125,000,000) - - 2,375,360 68,115,155 2,315,741,312

Total US Equities in Investment Pools 5,693,485,966 975,000 (1,920,270) (250,000,000) - - 5,326,627 193,260,847 5,641,128,170

US Core Plus Bonds Pool

US Core Bonds Cash 53 0 53

PIMCO Barclays (Universal Bond Index) 2,948,907 - (2,900,000) 1,742 50,649

Prudential Barclays Universal (Bond Index) 681,271,419 2,523,814 (385,070) 683,410,163

Loomis Sayles Barclays (Universal Bond Index) 689,528,982 1,725,458 (224,000) 2,900,000 1,631,764 (673,801) 694,888,403

Sub - Total US Core Plus Bonds Pool 1,373,749,361 1,725,458 (224,000) - - - 4,157,320 (1,058,871) 1,378,349,268

Management Fees - -

Total US Core PLUS Bonds Pool 1,373,749,361 1,725,458 (224,000) - - - 4,157,320 (1,058,871) 1,378,349,268

9



Investment Pools Detail by Manager (Benchmark) (continued):

Core Bonds Pool

Blackrock 1,114,679,073 1,000,000 2,119,277 (5,211,906) 1,112,586,444

Cash 17 17

PIMCO Barclays (Libor + 2.5%) 365,813,792 1,333,373 1,593,571 368,740,736

Management Fees - -

Total Core Bonds Pool 1,480,492,881 1,000,000 - - - - 3,452,650 (3,618,335) 1,481,327,196

Unconstrained Fixed Income Pool:

Loomis Sayles Barclays (Libor + 2.5%) 334,663,543 - 4,271,679 1,178,247 645,592 340,759,061

GAM International Management Limited 4,289,495 - (4,271,679) 2,414 0 20,230

Unconstrained Pool - Cash 11,642 - 22 - 11,664

Sub - Total Unconstrained Fixed Income Pool 338,964,680 - - - - - 1,180,683 645,593 340,790,955

Management Fees - -

Total Unconstrained Fixed Income Pool 338,964,680 - - - - - 1,180,683 645,593 340,790,955

Short Term Duration Fixed Income Pool

JP Morgan Investment Management 415,290,680 851,175 301,967 416,443,823

Shenkman High Yield 571,824,781 2,799,771 677,860 575,302,412

Sub - Total Short Term Duration Fixed Income Pool 987,115,461 - - - - - 3,650,947 979,827 991,746,235

Management Fees - -

Total Short Term Duration Fixed Income Pool 987,115,461 - - - - - 3,650,947 979,827 991,746,235

Credit & Structured Finance Pool Cash 122,487,635 750,000 - 109,348,710 463,631 233,049,976

NMSIC Rio Grande LLC 701,065,184 2,614,308 703,679,492

Non-Core Fixed Income 720,216,043 25,651,290 1,790,919 (1,328,618) 746,329,633

Total Credit & Structured Finance Pool 1,543,768,862 750,000 - 135,000,000 - - 2,254,549 1,285,690 1,683,059,101

Absolute Return Pool

Cash Account 10,040,381 5,270,096 22,074 15,332,551

CT Preferred LP 842,876 (0) 0 842,876

NMSIC Matador Fund LLC 52,500,008 113,185 52,613,193 NMSIC High Desert 3,134 (3,134) 2 2 NMSIC Enchantment, Class A 4,998,812 (1,793) 4,997,019

NMSIC Enchantment, Class B 14,936,459 7,171 14,943,630

Absolute Return Pool 5,381,954 (5,266,962) 95,320 4,865 215,177

Total Absolute Return Pool 88,703,625 - - - - - 117,395 123,428 88,944,448

Non-US Developed Markets Index Pool:

Alliance Bernstein (MSCI - EAFE Index) 922,543,882 787,098 (100,000) 3,522,661 22,479,548 949,233,189

SIC Tax Reclaims 107,916 194 108,111

Non US Developed Cash account 1,396 3 1,399

Citi Transition 1,199 (2) 1,197

Sub - Total Non- US Developed Markets Index Pool 922,654,393 787,098 (100,000) - - - 3,522,855 22,479,548 949,343,894

Management Fees - - -

Total Non-US Developed Markets Index Pool 922,654,393 787,098 (100,000) - - - 3,522,855 22,479,548 949,343,894

Non-US Emerging Markets Index Pool:

Alliance Bernstein (MSCI Emerging Markets Free Index) 76,336,527 562,660 106,971 1,654,368 78,660,526

Non US Emerging Cash account 171 0 171

Sub - Total Non- US Emerging Markets Index Pool 76,336,698 562,660 - - - - 106,972 1,654,368 78,660,697

Management Fees - -

Total Non-US Emerging Markets Index Pool 76,336,698 562,660 - - - - 106,972 1,654,368 78,660,697

10




Non-US Developed Markets Active Pool:

LSV 577,830,571 2,148,311 10,145,338 590,124,220 T Rowe Price 623,841,749 2,748,693 17,415,763 644,006,205

MFS 537,582,237 2,718,616 15,278,148 555,579,001

Templeton 366,288,515 1,379,426 9,022,111 376,690,052

Transition 753 4 (3) 755

Neuberger Berman 222,272,843 561,456 8,243,109 231,077,407

Non US Developed Active Cash account 7,263 14 7,277

Sub - Total Non- US Developed Markets Active Pool 2,327,823,931 - - - - - 9,556,520 60,104,465 2,397,484,916

Management Fees - -

Total Non-US Developed Active Markets Pool 2,327,823,931 - - - - - 9,556,520 60,104,465 2,397,484,916

Non-US Emerging Markets Active Pool:

Blackrock 551,733,244 822,474 9,938,152 562,493,870

Non US Emerging Active Cash Account 17,399 33 17,432 Citi Transition 2,492 (65) 2,427

William Blair 340,767,444 497,846 10,029,911 351,295,202

Sub - Total Non- US Emerging Markets Active Pool 892,520,579 - - - - - 1,320,353 19,967,998 913,808,931

Management Fees - -

Total Non-US Emerging Markets Active Pool 892,520,579 - - - - - 1,320,353 19,967,998 913,808,931

Non-US Developed Alternative Weighted Index Pool

BLK MSCI Sector Neutral Quality Index 250,996 (1,099) (2,064) 247,833 BLK FTSE Developed ex-US Min Variance 253,820,932 674,381 342,748 254,838,060

MSCI EAFE IMI Momentum 176,036 (579) (333) 175,123

MSCI EAFE IMI Enhanced Value Index 171,920 (224) 931 172,628

BLK MSCI World ExUSA IMI Custom Factor Index 775,965,232 2,687,156 11,598,322 790,250,710

BLK Transition 174,498 (63) (16,044) 158,391

Citi Transition 2,294 (2) 2,292

Non US Developed Alt Weighted Cash Account 151,149 287 151,436

Sub - Total Non- US Developed Alt. Weighted Index Poo 1,030,713,058 - - - - - 3,359,857 11,923,560 1,045,996,474

Management Fees - -

Total Non-US Developed Alternative Weighted Index Pool 1,030,713,058 - - - - - 3,359,857 11,923,560 1,045,996,474

Total Non-US Equities in Investment Pools 5,250,048,659 1,349,758 (100,000) - - - 17,866,556 116,129,939 5,385,294,912.23

Private Equity Pool

National 2,044,987,654 32,591,538 89,262 9,269,259 2,086,937,713

International 283,822,918 (13,587,508) 19,470 (1,045,233) 269,209,647

Cash 52,986,628 500,000 10,995,970 121,600 64,604,198

Stock Distributions 247,698 313 (43,572) 204,439

Total Private Equity Pool 2,382,044,898 500,000 - 30,000,000 - - 230,644 8,180,454 2,420,955,996

Real Estate Pool

National 2,054,596,818 89,664,581 6,337,852 (12,476,787) 2,138,122,464

International 115,582,507 8,586,949 331,799 (1,165,879) 123,335,377

Cash 59,854,838 500,000 (28,251,530) 82,682 32,185,991

Total Real Estate Pool 2,230,034,163 500,000 - 70,000,000 - - 6,752,333 (13,642,665) 2,293,643,831

11




Real Return Pool

Real Assets 1,457,512,185 26,492,614 1,176,908 (1,546,735) 1,483,634,973

Real Assets International 103,993,016 (7,953) 4 2,964,620 106,949,687

Harvest MLP 407,508,008 2,548,877 (8,101,027) 401,955,859

Cash 41,727,296 250,000 (11,484,662) 84,983 30,577,618

Sub - Total Real Return Pool 2,010,740,506 250,000 - 15,000,000 - - 3,810,773 (6,683,142) 2,023,118,137

Management Fees - -

Total Real Asset Pool 2,010,740,506 250,000 - 15,000,000 - - 3,810,773 (6,683,142) 2,023,118,137

Bank Loans Pool

Floating Rate Bank Voya (formerly ING) 186,724,549 911,322 2,332,358 189,968,229

Floating Rate Bank Loan Credit Suisse 156,184,437 757,287 1,476,390 158,418,114

Management Fees - -

342,908,986 - - - - - 1,668,609 3,808,748 348,386,343

Total Assets in Investment Pools 23,722,058,049 7,050,215 (2,244,270) 0 - - 50,469,087 299,411,511 24,076,744,592

12



Permanent Funds:

Land Grant Permanent Fund:

Cash and Accruals 399,692,704 71,293,943 (62,295,249) - (7,046,000) - 726,129 - 402,371,527

Private Equity Pool 2,103,641,318 20,000,000 203,025 7,200,840 2,131,045,183

Real Estate Pool 1,657,673,974 50,000,000 - 5,012,220 (10,126,876) 1,702,559,318

Real Return Pool 1,530,141,530 10,000,000 - 2,896,919 (5,080,471) 1,537,957,978

Bank Loans Pool 240,036,290 1,168,027 2,666,123 243,870,440

Absolute Return Pool 73,357,763 - - - 97,086 102,075 73,556,924

US Large Cap Active Pool 849,816,064 - (70,000,000) - - 620,810 30,564,458 811,001,332

US Large Cap Index Pool 1,025,886,058 - - - 1,162,429 40,265,992 1,067,314,479

US Small/Mid Cap Pool 318,148,083 - (52,500,000) - - 102,190 10,778,915 276,529,188

US Large Cap Alternative Weighted Index Pool 1,836,276,753 (87,500,000) - 1,850,116 53,053,404 1,803,680,273

US SMID Cap Alternative Weighted Index Pool 53,625,744 35,000,000 64,960 2,918,427 91,609,131

US Core Plus Bonds Pool 914,111,124 - 2,763,316 (703,818) 916,170,622

Core Bonds Pool 1,023,871,872 - - 2,386,154 (2,500,661) 1,023,757,366

Unconstrained Fixed Income Pool 252,913,114 - - 880,948 481,699 254,275,761

Short Term Duration Fixed Income Pool 800,907,302 2,962,237 794,994 804,664,533

Credit & Structured Finance 1,198,664,844 95,000,000 - - 1,736,587 990,314 1,296,391,745

Non-US Developed Markets Index Pool 571,128,501 - - - - 2,179,046 13,904,618 587,212,165

Non-US Developed Markets Active Pool 1,813,044,049 - 7,443,171 46,812,838 1,867,300,058

Non-US Emerging Markets Active Pool 673,840,221 - 996,848 15,075,552 689,912,621

Non-US Developed Alternative Weighted Index Pool 803,031,102 - 2,617,673 9,289,675 814,938,450

Total - Land Grant Permanent Fund 18,139,808,410 71,293,943 (62,295,249) - (7,046,000) - 37,869,891 216,488,098 18,396,119,093

Severance Tax Permanent Fund:

Cash and Accruals 116,161,214 - (18,385,123) - (2,104,000) (1,163,431) 567,990 - 95,076,650

Small Business Investment Corp & Other misc. loans 43,673,682 - - - - - (1,234,225) 42,439,457

Private Equity New Mexico 407,019,148 - - - 1,163,431 144,158 (1,182,226) 407,144,511

Private Equity Pool 197,386,714 10,000,000 19,827 703,207 208,109,748

Stock Distributions/Private Equity 1,841,914 - - - - - - 1,841,914

Real Estate Pool 494,893,941 20,000,000 - 1,511,273 (3,053,432) 513,351,782

Real Return Pool 444,541,595 5,000,000 - 845,562 (1,482,905) 448,904,252

Bank Loans Pool 102,872,696 - - 500,583 1,142,624 104,515,903

Absolute Return Pool 551,023 - - 729 767 552,519

US Large Cap Active Pool 235,016,148 - (30,000,000) - - 163,213 8,035,493 213,214,854

US Large Cap Index Pool 329,011,829 - - - 372,802 12,913,702 342,298,333

US Small/Mid Cap Pool 76,355,966 - (22,500,000) - - 20,717 2,185,255 56,061,938

US Large Cap Alternative Weighted Index Pool 521,186,561 (37,500,000) - - 511,715 14,673,810 498,872,087

US SMID Cap Alternative Weighted Index Pool 19,796,379 15,000,000 - - 25,505 1,145,837 35,967,721

US Core Plus Bonds Pool 230,369,344 - - - 696,396 (177,372) 230,888,368

Core Bonds Pool 311,943,667 - - 726,991 (761,878) 311,908,780

Unconstrained Fixed Income Pool 86,051,568 - - 299,735 163,894 86,515,198

Short Term Duration Fixed Income Pool 186,208,154 - - 688,710 184,833 187,081,697

Credit & Structured Finance 243,360,455 40,000,000 - - 380,377 216,915 283,957,747

Non-US Developed Markets Index Pool 220,212,330 - - - - - 840,183 5,361,260 226,413,774

Non-US Developed Markets Active Pool 514,527,129 - - - 2,112,311 13,285,102 529,924,542

Non-US Emerging Markets Active Pool 211,213,130 - - - 312,459 4,725,385 216,250,974

Non-US Developed Alternative Weighted Index Pool 216,186,806 - - - 704,713 2,500,906 219,392,424

Total - Severance Tax Permanent Fund 5,210,381,394 - (18,385,123) - (2,104,000) - 11,445,950 59,346,952 5,260,685,173

13



Permanent Funds (continued):


Cash and Accruals 447,393 34,703,111 - - - - 850 - 35,151,354

Absolute Return Pool 9,338,471 - - 12,359 12,994 9,363,824

US Large Cap Index Pool 86,873,754 - - - - 98,436 3,409,791 90,381,981

US Small/Mid Cap Pool 3,957,405 - - - - 1,522 160,575 4,119,502

US Large Cap Alternative Weighted Index Pool 12,787,533 - 13,529 387,941 13,189,002

US Core Plus Bonds Pool 33,689,438 - - - - 101,842 (25,939) 33,765,340

Core Bonds Pool 3,150,137 7,341 (7,694) 3,149,785

Non-US Developed Markets Index Pool 1,239,219 - - - - 4,728 30,170 1,274,117

Non-US Emerging Markets Active Pool 2,183,195 - - 3,230 48,844 2,235,268

Non-US Developed Alternative Weighted Index Pool 11,495,144 37,471 132,979 11,665,594

Total - Tobacco Settlement Permanent Fund 165,161,689 34,703,111 - - - - 281,308 4,149,661 204,295,769

Water Trust Fund

Cash and accruals 395,018 - - - - - 750 - 395,769

Private Equity Pool 7,536,464 - - 721 25,555 7,562,740

Real Estate Pool 7,377,690 - - 21,654 (43,751) 7,355,593

Real Return Pool 2,541,992 - - 4,781 (8,385) 2,538,388

Absolute Return Pool 5,456,308 - - 7,221 7,592 5,471,121

US Large Cap Index Pool 7,799,972 - - 8,838 306,148 8,114,958

US Core Plus Bonds Pool 5,904,815 - - 17,850 (4,546) 5,918,119

Non-US Developed Markets Index Pool 2,858,291 - - 10,905 69,588 2,938,785

Non-US Emerging Markets Active Pool 2,986,744 - - 4,418 66,821 3,057,984

Total - Water Trust Fund 42,857,295 - - - - - 77,139 419,022 43,353,456

Total Permanent Funds 23,558,208,787 105,997,054 (80,680,372) - (9,150,000) - 49,674,288 280,403,733 23,904,453,490

14



Third Party Investors:

New Mexico Military Institute - Trust Scholarship

Investment in US Large Cap Index Pool 3,211,949 - - 3,639 126,070 3,341,658

Investment in US Small/Mid Cap Pool 805,121 - - 310 32,669 838,100

Investment in US Core Plus Bonds Pool 2,749,290 - - 8,311 (2,117) 2,755,484

Investment in Non-US Developed Markets Index Pool 865,106 - - 3,301 21,062 889,469

Investment in Non-US Emerging Markets Index Pool 218,998 - - 305 4,711 224,014

7,850,463 - - - - - 15,866 182,395 8,048,724

New Mexico Military Institute - Legislative Scholarship


Investment in US Small/Mid Cap Pool 1,703,450 - - 655 69,118 1,773,223


Investment in Non-US Developed Markets Index Pool 1,809,750 - - 6,905 44,060 1,860,715


16,372,823 - - - - - 33,419 373,596 16,779,838

New Mexico Military Institute - Patterson Account




Non-US Developed Markets Index Pool 688,266 - - 2,626 16,756 707,648

Non-US Emerging Markets Index Pool 162,964 - - 227 3,507 166,698

6,230,619 - - - - - 12,711 142,292 6,385,622

New Mexico Military Institute - Capital Outlay

Investment in US Large Cap Index Pool 916,506 - 1,038 35,973 953,517

Investment in US Small/Mid Cap Pool 229,804 - 88 9,324 239,216

Investment in US Core Plus Bonds Pool 784,925 - 2,373 (604) 786,694

Investment in Non-US Developed Markets Index Pool 246,918 - 942 6,011 253,871

Investment in Non-US Emerging Markets Index Pool 62,469 - 87 1,344 63,900

2,240,622 - - - - - 4,528 52,048 2,297,198

New Mexico Military Institute- Operating

Investment in US Large Cap Index Pool 563,882 - 639 22,134 586,655


Investment in US Core Plus Bonds Pool 769,895 - 2,327 (593) 771,630

Investment in Non-US Developed Markets Index Pool 216,735 - 827 5,277 222,839

Investment in Non-US Emerging Markets Index Pool 61,661 - 86 1,327 63,074

1,777,396 - - - - - 3,943 34,849 1,816,188

NM Institute of Mining and Technology - Employee Benefit Trust

Investment in US Large Cap Index Pool 1,077,524 - 1,221 42,293 1,121,038


Investment in US Core Plus Bonds Pool 344,048 - - - - - 1,040 (265) 344,823

Investment in Non-US Developed Markets Index Pool 114,325 - - - - - 436 2,783 117,544

1,707,919 - - - - - 2,763 51,791 1,762,473

New Mexico Institute of Mining and Technology - Plant/Debt/Allocated Fund

Investment in US Core Plus Bonds Pool 16,854,303 - - - - 50,950 (12,977) 16,892,276

16,854,303 - - - - - 50,950 (12,977) 16,892,276

New Mexico Institute of Mining and Technology - Endowment Fund

Investment in US Large Cap Index Pool 30,533,504 - - 34,597 1,198,435 31,766,536


47,376,488 - - - - - 85,513 1,185,467 48,647,468

15



New Mexico Tech Research Fund



19,253,682 - - - - - 35,032 475,853 19,764,567

New Mexico Tech Research Restricted Fund

Investment in US Large Cap Index Pool 3,541,688 (36,000) - - 3,972 137,599 3,647,259

Investment in US Core Plus Bonds Pool 2,124,724 (24,000) - - 6,350 (1,617) 2,105,456

5,666,412 - (60,000) - - - 10,322 135,981 5,752,716

New Mexico Tech Proceeds from ABQ Building Sale

Investment in US Core Plus Bonds Pool 799,443 - - 2,417 (616) 801,244

799,443 - - - - - 2,417 (616) 801,244

New Mexico School for the Blind and Visually Impaired

Investment in US Large Cap Active Pool 1,607,796 - 1,280 63,017 1,672,093

Investment in US Small/Mid Cap Pool 1,351,051 - 520 54,820 1,406,392


Investment in Non-US Developed Markets Index Pool 1,277,599 - 4,874 31,104 1,313,577

Investment in Non-US Emerging Markets Index Pool 1,018,603 - 1,417 21,913 1,041,933

10,466,936 - - - - - 23,846 166,842 10,657,624

New Mexico Retiree Health Care Authority

Investment in US Large Cap Index Pool 93,462,048 700,000 - - 106,695 3,695,858 97,964,602

Investment in US Small/Mid Cap Pool 12,202,164 100,000 - - 4,732 499,173 12,806,069

Investment in US Core Bonds Pool 141,527,217 1,000,000 - - 332,163 (348,102) 142,511,278

Investment in Non-US Developed Markets Index Pool 90,814,174 700,000 - - 349,157 2,227,991 94,091,322

Investment in Non-US Emerging Markets Index Pool 67,362,974 500,000 - - 94,401 1,459,965 69,417,341

Investment in Credit and Structured Finance Pool 101,743,568 750,000 - - 137,585 78,460 102,709,613

Investment in Private Equity Pool 73,480,329 500,000 - - 7,073 250,852 74,238,255

Investment in Real Estate Pool 70,088,619 500,000 - - 207,186 (418,606) 70,377,199

Investment in Real Return Pool 33,515,356 250,000 - - 63,511 (111,382) 33,717,484

684,196,450 5,000,000 - - - - 1,302,503 7,334,210 697,833,162

New Mexico Commission of Public Lands-O&G


Investment in US Large Cap Active Pool 6,377,457 - - - - 5,077 249,961 6,632,495


15,978,572 - - - - - 23,243 472,476 16,474,291

Eastern New Mexico University




Investment in Non-US Developed Markets Index Pool 1,064,034 - - - - 4,060 25,905 1,093,999

Investment in Non-US Emerging Markets Index Pool 89,728 - - - - 125 1,930 91,783

14,659,232 - - - - - 22,789 458,782 15,140,803

Interstate Stream Commission-Improvement to the Rio Grande

Investment in US Large Cap Active Pool 1,476,297 - - - - - 1,175 57,863 1,535,335

Investment in US Core Plus Bonds Pool 917,004 - - - - - 2,772 (706) 919,070

2,393,301 - - - - - 3,947 57,157 2,454,404

Interstate Stream Commission-Irrigation Works Construction

Investment in US Large Cap Active Pool 10,676,574 - - - - 8,500 418,462 11,103,537

Investment in US Core Plus Bonds Pool 6,486,354 - - - - - 19,608 (4,994) 6,500,967

17,162,928 - - - - - 28,108 413,468 17,604,504

16



Interstate Stream Commission-NM Unit Fund


Investment in US Small/Mid Cap Pool 3,212,621 - 1,236 130,356 3,344,212



Investment in Non-US Emerging Markets Active Pool 2,213,705 - 3,275 49,527 2,266,507

42,591,881 - - - - - 100,058 808,588 43,500,527

Office of the Superintendent of Insurance




Investment in Non-US Developed Markets Index Pool 1,873,678 - - - - - 7,149 45,616 1,926,443

Investment in Non-US Emerging Markets Index Pool 1,404,871 - - - - - 1,954 30,223 1,437,048

36,506,495 - - - - - 95,689 317,968 36,920,153

Los Alamos County - Permanent

Investment in US Large Cap Active Pool 6,274,282 - (625,034) - - 4,497 221,421 5,875,166

Investment in US Large Cap Index Pool 6,320,126 - (201,532) - - 6,933 240,155 6,365,682

Investment in US Small/Mid Cap Pool 3,356,548 - (167,808) - - 1,227 129,386 3,319,353

Investment in US Core Plus Bonds Pool 6,059,666 949,771 - - 21,189 (5,397) 7,025,229

Investment in Non-US Developed Markets Index Pool 3,316,088 29,458 - - 12,764 81,450 3,439,761

Investment in Non-US Emerging Markets Index Pool 677,122 15,144 - - 963 14,893 708,121

26,003,832 994,373 (994,373) - - - 47,573 681,907 26,733,312

.

Los Alamos County - Cemetery

Investment in US Large Cap Active Pool 226,219 - (19,748) - - 164 8,092 214,727

Investment in US Large Cap Index Pool 228,043 - (8,619) - - 249 8,612 228,286

Investment in US Small/Mid Cap Pool 120,783 - (6,115) - - 44 4,654 119,366

Investment in US Core Plus Bonds Pool 219,168 32,896 - - - 762 (194) 252,632

Investment in Non-US Developed Markets Index Pool 119,194 1,021 - - - 459 2,927 123,601

Investment in Non-US Emerging Markets Index Pool 24,597 566 - - 35 541 25,739

938,006 34,482 (34,482) - - - 1,713 24,632 964,351

Los Alamos County - General Fund

Investment in US Large Cap Active Pool 4,116,362 - (372,278) - - 2,981 146,748 3,893,814

Investment in US Large Cap Index Pool 4,149,050 - (173,184) - - 4,505 156,052 4,136,423

Investment in US Small/Mid Cap Pool 2,203,135 - (109,953) - - 805 84,933 2,178,921

Investment in US Core Plus Bonds Pool 3,989,461 626,845 - - 13,955 (3,554) 4,626,708

Investment in Non-US Developed Markets Index Pool 2,171,875 19,119 - - 8,359 53,342 2,252,695

Investment in Non-US Emerging Markets Index Pool 437,284 9,450 - - 621 9,611 456,966

17,067,168 655,414 (655,414) - - - 31,226 447,132 17,545,526

New Mexico Public Schools Insurance Authority - Benefits



Investment in US Core Plus Bonds Pool 8,744,013 - - - 26,433 (6,732) 8,763,714

Investment in Non-US Developed Markets Index Pool 2,769,591 - - - - 10,567 67,428 2,847,586

Investment in Non-US Emerging Markets Index Pool 893,468 - - - - 1,243 19,223 913,934

19,564,352 - - - - - 45,092 363,075 19,972,519

New Mexico Public Schools Insurance Authority - Risk




Investment in Non-US Developed Markets Index Pool 1,192,235 - - - 4,549 29,026 1,225,810

Investment in Non-US Emerging Markets Index Pool 372,599 - - - 518 8,015 381,132

8,345,306 - - - - - 19,253 154,931 8,519,490

17



New Mexico Highlands University - Endowment Fund



Investment in US Core Plus Bonds Pool 1,182,456 - - - - 3,575 (910) 1,185,121

Investment in Non-US Developed Markets Index Pool 250,390 - - - - - 955 6,096 257,441

Investment in Non-US Emerging Markets Index Pool 132,724 - - - - - 185 2,855 135,764

4,754,075 - - - - - 7,906 133,937 4,895,918

Springer School District

Investment in US Large Cap Index Pool 40,435 - - 46 1,586 42,067


Investment in US Core Plus Bonds Pool 30,399 - - - 92 (23) 30,468

Investment in Non-US Developed Markets Index Pool 46,228 - - - - 176 1,125 47,529

Investment in Non-US Emerging Markets Index Pool 41,375 - - - - 58 890 42,323

207,435 - - - - - 391 5,566 213,392

New Mexico Mortgage Finance Authority - General Fund



Investment in US Small/Mid Cap Pool 3,278,007 - - 1,261 133,008 3,412,276


Investment in Non-US Emerging Markets Index Pool 1,142,921 - - 1,590 24,587 1,169,098

24,941,186 - - - - - 52,410 570,276 25,563,872

New Mexico Mortgage Finance Authority IFT Housing Trust Fund

Investment in US Core Plus Bonds Pool 13,381,507 55,947 - - - 40,621 (10,346) 13,467,729

13,381,507 55,947 - - - - 40,621 (10,346) 13,467,729

New Mexico Military Institute - LFC/VC Main. Endowment




Investment in Non-US Developed Markets Index Pool 822,566 - - 3,138 20,026 845,730


7,464,277 - - - - - 15,086 173,395 7,652,758

CYFD - Trust Fund Non-Expendable

Investment in US Large Cap Active Pool 1,075,531 - - 856 42,155 1,118,542


Investment in Non-US Developed Markets Index Pool 178,716 - - 682 4,351 183,749

Investment in Non-US Emerging Markets Index Pool 42,682 - - 59 918 43,659

4,894,853 - - - - - 12,473 44,654 4,951,980

CYFD - Next Generation Fund

Investment in US Large Cap Active Pool 417,199 - - 332 16,352 433,883


Investment in Non-US Developed Markets Index Pool 64,162 - - 245 1,562 65,969

Investment in Non-US Emerging Markets Index Pool 13,232 - - 18 285 13,535

1,866,999 - - - - - 4,744 17,142 1,888,885

New Mexico Higher Education

Investment in US Large Cap Active Pool 527,375 - - 420 20,668 548,463




Investment in Non-US Developed Markets Index Pool 30,311 - - 116 738 31,165

2,314,449 - - - - - 3,853 59,245 2,377,547

18



City of Las Cruces

Investment in US Large Cap Active Pool 7,415,788 - - 5,904 290,658 7,712,350


Investment in US Small/Mid Cap Pool 6,436,455 - - 2,476 261,165 6,700,096


21,900,346 - - - - - 25,838 821,373 22,747,557

San Juan College Foundation

Investment in US Large Cap Active Pool 3,070,413 (200,000) - - 2,285 112,506 2,985,204


Investment in US Core Plus Bonds Pool 2,471,824 (200,000) - - 6,868 (1,749) 2,276,943

Investment in Non-US Developed Markets Index Pool 3,055,511 (100,000) - - 11,276 71,955 3,038,742

Investment in Non-US Emerging Markets Index Pool 1,537,742 - - 2,139 33,082 1,572,963

11,876,651 - (500,000) - - - 23,238 286,443 11,686,332

Clovis Community College Foundation Fund



3,141,785 - - - - - 4,577 101,773 3,248,135

John R. Carver Testamentary Trust

Investment in US Large Cap Index Pool 532,868 - 604 20,915 554,387

Investment in US Core Plus Bonds Pool 105,280 - 318 (81) 105,517

638,148 - - - - - 922 20,834 659,904

New Mexico Small Business Investment Corporation


11,834,108 - - - - - 35,774 (9,112) 11,860,771

Central New Mexico Community College




Investment in Non-US Developed Markets Active Pool 252,715 - - 1,037 6,525 260,277

Investment in Non-US Emerging Markets Active Pool 83,582 - - 124 1,870 85,576

1,860,393 - - 3,767 45,755 1,909,914

City of Albuquerque

Investment in US Large Cap Index Pool 175,000 198 6,868 182,067

Investment in Non-US Developed Markets Index Pool 37,500 143 913 38,556

Investment in Non-US Emerging Markets Index Pool 37,500 52 806 38,359

- 250,000 - - - - 393 8,588 258,981

New Mexico Tech Research Enhanced

Investment in US Core Plus Bonds Pool 60,000 181 (46) 60,135

- 60,000 - - - - 181 (46) 60,135

Total Third Party Investors 1,133,080,841 7,050,216.21 (2,244,269.60) - - - 2,234,678 16,591,326 1,156,712,792

Grand Total 24,691,289,111 113,047,270 (82,924,642) - (9,150,000) - 51,908,964 296,995,060 25,061,165,763

19


Notes to Report April 30, 2019

Page 8 reflects the summary of activity in the State Investment Council’s portfolio for the month ended April 30, 2019 Items to note:

• The monthly contribution from the State Land Office of $71,293,943 this is an increase of $9,162,763 from March. For year-to-year comparison purposes, the April 2018 contribution from the State Land Office was $59,357,859.

• The Tobacco Settlement Permanent Fund received $34,703,111 in tobacco settlement

proceeds.

• The monthly beneficiary distributions of $62,295,249 and $18,385,123 from the permanent funds are reflected for Land Grant Permanent Fund (LGPF) and Severance Tax Permanent Fund (STPF), respectively.

• The bimonthly transfers to the Administrative Fund from the Land Grant Permanent Fund and the Severance Tax Permanent Fund are reflected in the fees column as $7,046,000 and $2,104,000 respectively.

• The March New Mexico Small Business Investment Corporation (NMSBIC) value of $42,439,457 is reflected in the Severance Tax Permanent Fund’s Small Business Investment Corp and miscellaneous loans amount.

• Contributions, distributions and rebalancing by Third Party Clients are reflected on pages 15 thru 19. In April the following activity was processed:

New Mexico Tech withdrew $60,000 from their Research Restricted Fund and contributed $60,000 to their new Research Enhanced Fund.

New Mexico Retiree Health Care Authority contributed $5,000,000. Los Alamos County rebalanced their Permanent, Cemetery and General

Fund. New Mexico Mortgage Finance Authority contributed $55,947 to their

IFT Housing Trust Fund. San Juan College Foundation withdrew $500,000. Our newest client, City of Albuquerque, contributed $250,000.

The total on page 12 reflects only the investment pools included on page 8 as a sub-total.

The total on page 14 is inclusive of the permanent funds and exclusive of the third party investors.

This report reflects the third quarter summaries on pages 20 through 31.

20

Un-audited

Unaudited April BOOK VALUE

April 1, 2019 INCOME DISTR LAND INCOME ENDING BAL

INSTITUTIONS BEGINNING BAL % OF FUND 4/26/19 TRANSFER CAPITAL G/L UNREALIZED G/L EARNINGS April 30, 2019

COMMON SCHOOLS $15,520,374,496.26 85.559747% ($53,299,657.94) $67,440,234.28 74,438,866.10 142,567,955.15 (5,407,265.94) $15,746,114,627.91

UNIVERSITY OF N.M. $228,740,792.08 1.260988% (785,535.55) $339,344.00 1,097,087.26 2,101,180.42 (79,692.81) 231,413,175.40

UNM SALINE LANDS $7,984,576.23 0.044017% (27,420.42) $5,904.00 38,295.65 73,345.18 (2,781.81) 8,071,918.83

NM STATE UNIVERSITY $71,416,834.17 0.393702% (245,257.80) $24,189.00 342,529.63 656,024.89 (24,881.48) 72,169,438.41

WESTERN NM UNIV $4,220,340.78 0.023266% (14,493.38) $3,191.00 20,241.61 38,767.45 (1,470.36) 4,266,577.10

N.M. HIGHLANDS UNIV $4,199,052.68 0.023148% (14,420.28) $3,191.00 20,139.51 38,571.90 (1,462.94) 4,245,071.87

NO. NM COLLEGE $3,422,052.26 0.018865% (11,751.92) $3,199.00 16,412.86 31,434.49 (1,192.24) 3,460,154.45

EASTERN NM UNIVERSITY $13,089,872.86 0.072161% (44,952.89) $3,520.00 62,781.69 120,241.71 (4,560.48) 13,226,902.89

NM INST. MINING & TECH $32,368,823.83 0.178441% (111,160.16) $31,849.00 155,247.45 297,335.42 (11,277.23) 32,730,818.31

N.M. MILITARY INSTITUTE $539,550,413.70 2.974400% (1,852,909.70) $1,311,480.00 2,587,793.29 4,956,233.45 (187,978.23) 546,365,032.51

NM BOYS SCHOOL $910,029.07 0.005017% (3,125.20) $0.00 4,364.68 8,359.40 (317.05) 919,310.90

DHI MINERS HOSPITAL $149,964,309.71 0.826714% (515,003.45) $85,775.00 719,259.27 1,377,550.84 (52,247.25) 151,579,644.12

N.M. STATE HOSPITAL $60,808,834.61 0.335223% (208,828.09) $182,465.00 291,651.51 558,581.32 (21,185.67) 61,611,518.68

NM STATE PENITENTIARY $326,795,980.88 1.801540% (1,122,274.08) $373,150.00 1,567,379.85 3,001,901.45 (113,855.03) 330,502,283.07

NM SCHOOL FOR THE DEAF $323,297,612.11 1.782255% (1,110,260.07) $471,216.00 1,550,600.96 2,969,765.93 (112,636.21) 327,066,298.72

NM SCHOOL FOR THE BLIND & VIS IMPAIRED $322,644,138.73 1.778652% (1,108,015.93) $471,217.00 1,547,466.77 2,963,763.22 (112,408.54) 326,406,161.25

CHAR. PENAL & REFORM $132,934,062.63 0.732831% (456,518.63) $82,630.00 637,578.74 1,221,113.41 (46,313.95) 134,372,552.20

WATER RESERVOIR $167,011,997.61 0.920693% (573,548.17) $65,590.00 801,023.44 1,534,148.48 (58,186.63) 168,781,024.73

IMPROVE RIO GRANDE $37,289,867.00 0.205569% (128,059.87) $11,262.00 178,849.77 342,539.42 (12,991.71) 37,681,466.61

PUBLIC BLDGS. CAP. INC. $192,555,131.75 1.061506% (661,267.72) $384,537.00 923,533.49 1,768,784.08 (67,085.80) 194,903,632.80

CARRIE TINGLEY HOSPITAL $229,453.91 0.001265% (787.98) $0.00 1,100.51 2,107.73 (79.94) 231,794.23

$18,139,808,672.86 100.000000% ($62,295,249.25) $71,293,943.28 87,002,204.04 $166,629,705.34 ($6,319,871.30) $18,396,119,404.97

LAND GRANT PERMANENT FUND

FUND BALANCE AND INCOME DISTRIBUTION

I:\FY19 Monthly Reconciliations\FY19 LGPF Beneficiary Information for Distributions and Valuations 5/16/2019 Prepared by ___________



Phone: (505) 476-9500 Fax: (505) 424-2510

MICHELLE LUJAN GRISHAM

GOVERNOR



DEPUTY STATE INVESTMENT OFFICER CHIEF INVESTMENT OFFICER

To: State Investment Council Members From: Bruce Brown, Deputy Chief Counsel and Compliance Officer;

Commissioned New Mexico Assistant Attorney General in SIC v. Bland Date: May 24, 2019 Re: Recommendation – Litigation settlements establishing liability and maximizing monetary recovery from Gary Bland, Guy Riordan, and Marc and Anthony Correra We seek approval of the attached proposed litigation settlements with Gary Bland, Guy Riordan, and Marc and Anthony Correra. Like other settlements presented to the Council, these settlements will be effective only if approved by the Council in a transparent and open meeting vote. Together these settlements resolve all the remaining claims in the SIC v. Bland action. We have won. The four remaining defendants have all conceded liability. They have lost, and accepted three judgments worth approximately $19 million total. The reason for the settlements is to continue to maximize monetary recoveries now in our pay-to-play litigation, without years of protracted appeals by these defendants. Moreover, the settlements are conditioned, under penalty of perjury, on these defendants’ sworn financial condition. We are recommending these settlements because a costly trial of this matter could not be expected to provide a better result for the SIC. Recoveries after any trial victory would be limited by the collectability of the judgment; and collectability is the emphasis here. Based on both confidential settlement-communication financial statements provided by the defendants as a condition of settlement, required by our attorneys, as well as affirmative representations by defendants in the attached proposed settlement agreements, we believe these settlements will result in a materially higher recovery for the SIC than we would be able to collect after a trial regardless of the judgment’s size. Further, by settling these claims we will avoid all delay, costs, and uncertainty of further legal proceedings, some of which could be substantial. As explained in more detail below, pursuant to these settlement agreements the four defendants, in the aggregate, will be paying or releasing claims to assets worth more than $6 million to them. These monies will be in addition to the approximately $51.5 million recovered (including pending escrows) from more than 20 litigation targets to date. Specifically: 1) Anthony Correra, who lives abroad and whose assets are primarily held in trust, will nevertheless pay $1 million in cash, which represents a substantial portion of his sworn remaining assets; 2) Marc Correra, whose declaration of Chapter 7 bankruptcy in 2016 limits the

assets from which SIC’s claims can be paid, has provided to the bankruptcy estate IRAs valued by Marc at $4.1 million, thereby allowing those assets to be used, in part, to pay the SIC’s claim; 3) Guy Riordan, who has an unpaid IRS lien of roughly $2 million on his property, will pay $10,000 (on a $90,000 liability); and, 4) former SIO Bland, who has likewise sworn to no assets, a negative monthly income, and significant unpaid IRS debt in the hundreds-of-thousands of dollars, will be dismissed in exchange for his foregoing liability appeals, because a judgment against him would be uncollectible. Further, the entry of judgment against Marc Correra in the amount of $18,770,514 will trigger the release of an additional $900,000 being held in a Maryland escrow account. Background The pay-to-play at the heart of SIC v. Bland, et al., first came to light in March of 2009 through an investigation into a similar scheme in New York by the Securities and Exchange Commission and New York State Attorney General’s Office. One of the participants identified by New York investigators was Aldus Equity Partners, which was also the SIC’s private equity consultant. Soon after Aldus’ involvement in New York was made public, the SIC began its own internal investigation and formally requested that the SEC investigate possible wrongdoing. Although the New York investigation resulted in criminal charges being brought against several participants, including Aldus partner Saul Meyer, no state or federal law enforcement agency brought charges in New Mexico. Nevertheless, the SIC’s internal investigation revealed links between third-party marketers, primarily Marc Correra, and numerous investments. More than $18 million was paid by investment managers to Marc Correra, not because he had any particular ability to market their funds, but because of the influence he and his father, Anthony Correra, had with Aldus and State Investment Officer Gary Bland. As a result of SIC action, Aldus was terminated in April 2009, and Bland resigned in October 2009. In June 2010, before the SEC and DOJ investigations of pay-to-play in New Mexico were complete, the SIC issued a request for proposals for law firms capable of investigating and recovering civil damages arising from pay-to-play. After a thorough review of responses from national law firms, Day Pitney was chosen to be the SIC’s recovery counsel. Since being selected, Day Pitney, together with SIC staff and the NM Attorney General’s office, has been responsible for implementing the SIC’s pay-to-play recovery efforts. Day Pitney lawyers and SIC counsel Bruce Brown were given special commissions by the New Mexico Attorney General to pursue these claims in SIC v. Bland, and other cases brought on behalf of the SIC over the last nine-plus years. As evidenced by state and federal law enforcement authorities’ decisions not to bring criminal charges related to pay-to-play in New Mexico, conspiracies of this sort can be difficult to prove. Conspirators intentionally obscure their activities and tend not to leave written roadmaps of their schemes. Further, at the time of alleged New Mexico pay-to-play from 2003 to 2008, successful and unsuccessful investment managers routinely made campaign contributions to elected officials, regardless of political party, in a manner that would be prohibited today by current

SEC rules1, but was at the time considered unexceptional. As a result, the essence of the New Mexico pay-to-play scheme was not a series of quid pro quo exchanges of investments for political contributions, but rather the purchase of influence with conflicted fiduciaries. Eight million pages of documents and SEC transcripts reviewed by Day Pitney reveal a scheme masterminded by Anthony Correra to get his son, Marc, paid placement fees by fund managers seeking to do business with the SIC. In aggregate, fund managers paid Marc more than $18 million because they believed that he would be able to influence the SIC investment selection process. SIC fiduciaries Bland and Aldus made investment recommendations and decisions knowing that Marc Correra would benefit from those recommendations and decisions without disclosing their conflicts in breach of their duty of loyalty to the SIC. There is no evidence, however, that Bland or Aldus received a bribe, kickback or other pay-to-play payments from investment managers. Settlement with Marc and Anthony Correra Like other settlements, the settlement with the Correras will not become effective until the SIC approves it, but because Marc declared bankruptcy in 2016, the settlement will also require bankruptcy court approval. We expect, based on appropriate communications with the federal bankruptcy trustee, that once the settlement is approved by the SIC, bankruptcy court approval will be granted. The critical benefit of the settlement is that Marc and Anthony will consent to entry of an $18,770,514 judgment against them in the SIC v. Bland case―representing the total fees we can prove that Marc was paid through the pay-to-play scheme. To be clear, if we were to go to trial and were completely successful, and then prevailed on all appeals, this is the same amount of the judgment we would win. In addition, some non-monetary benefits from the settlement that we would not get at trial include: 1) Marc and Anthony promise to never do business again in New Mexico; 2) Marc will not appeal any issues decided against him in the bankruptcy proceeding; 3) the result is not subject to indefinite appeals, and 4) the SIC has the ability to move forward in an appropriate manner. Settling now avoids the expense of trial and the diversion of resources from the SIC’s primary purpose, consistently obtaining prudent investment results. Finally, unlike previous settlements entered into in pay-to-play matters, the SIC has not agreed to a non-disparagement clause. The Council is free to tell the world that Marc and Anthony Correra finally surrendered. To maximize the SIC’s monetary recovery, the settlement agrees to accept as satisfaction of the judgment money currently available from defendants: as to Marc, all available assets after his declaration of bankruptcy (including his IRAs), together with assistance obtaining monies held in escrow; and, as to Anthony, $1 million cash, which we likely would not be able to access even

1 Recognizing that “the full extent of pay to play practice remains hidden and is often hard to

prove,” the SEC adopted a rule in 2010 which prohibits investment advisors working for government entities from making certain types of political campaign contributions. Rule 206(4)-5, Investment Advisers Act of 1940, 17 CFR Part 275.

with a trial victory because his assets are seemingly abroad. As with other defendants, as a condition of the settlement, Anthony and Marc have provided financial information that if later proves false, will void their settlement releases and allow the SIC to pursue the entire judgment against any undisclosed assets. As a matter of law, Marc’s bankruptcy, for which it is also a federal crime to make a false statement, limits the amount of money that the SIC could recover from him. Specifically, the SIC would be able to get no more than a share of the assets held by Marc on the date he declared bankruptcy, referred to as his bankruptcy estate. The bankruptcy estate will be divided between two creditors, the SIC and the New Mexico Taxation and Revenue Department (NMTRD). The settlement agreement splits the bankruptcy estate between the SIC and NMTRD in proportion to the claims made by each in the bankruptcy (by this calculation the assets will be divided on a ratio between the SIC and NMRTD of aproximately16:1 in favor of the SIC). The primary assets in the bankruptcy estate are non-exempt IRAs containing securities, per Marc, with a paper value of roughly $4.1 million. As part of the settlement, Marc agrees that the IRAs belong fully in the bankruptcy estate. Anthony and Marc Correra have fled the country. Based upon the foreign location of many of Anthony’s assets, the $1 million2 that Anthony agrees to pay under the settlement is likely to be more than the SIC could collect on any judgment. Asset searches have not revealed any assets which could be used to satisfy the full multimillion dollar judgment. If at some later date the SIC discovers that Anthony has additional assets he has not disclosed, under the settlement agreement the SIC would then be able to seek payment from Anthony of the entire judgment. Bland Settlement The SIC has already obtained a summary judgment holding Bland liable for a breach of his fiduciary duty in relation to the pay-to-play scheme. Any trial of Bland would be to set an amount as to his liability. Bland, however, has sworn he has no money to pay any judgment. In the settlement, Bland agrees not to appeal the summary judgment decision in exchange for dismissal. Further, as part of the settlement, Bland’s sworn financial statement indicates he has a negative monthly income, significant outstanding taxes owed to the IRS, and limited assets with which to pay anything. If the statement proves to be false, the settlement will be void. Riordan Settlement Riordan admits that he has been unjustly enriched in the amount of $90,575.84. There is currently an unsatisfied IRS lien of approximately $2 million against Riordan’s assets. The settlement amount of $10,000 is more than the SIC would be likely to collect from Riordan if this case were resolved favorably at trial with a complete win as to him.

2 The bankruptcy trustee will be paid $150,000 of this $1 million for fees incurred in

administering the bankruptcy estate, which is required by federal bankruptcy law.

Recommendation Accordingly, the attached, proposed public settlements are recommended by SIC Staff (State Investment Officer Steve Moise, Chief Counsel Evan Land and Deputy Chief Counsel Bruce Brown) and special litigation counsel, Day Pitney, based upon their review of the facts and law relevant to this case. The settlements are reasonable in light of multiple factors, in particular the collectability of any judgment the SIC might otherwise get if no settlement were entered.

SETTLEMENT AGREEMENT

THIS AGREEMENT is made this 24th day of May, 2019, by, between and among the

NEW MEXICO STATE INVESTMENT COUNCIL, the NEW MEXICO TAXATION AND

REVENUE DEPARTMENT, ANTHONY CORRERA, MARC CORRERA and JAMES

CUNNINGHAM, TRUSTEE (collectively, the “Parties”).

W I T N E S S E T H:

WHEREAS, the New Mexico State Investment Council (“NMSIC” or “Council”) is a

state agency that serves as trustee of the Land Grant Permanent Fund and the Severance Tax

Permanent Fund (collectively the “Public Trust Funds”);

WHEREAS, NMSIC makes investments on behalf of the Public Trust Funds;

WHEREAS, NMSIC instituted a civil action in 2011 against various defendants,

including Gary Bland (“Bland”), Aldus Equity Advisors (“Aldus”), Anthony Correra and Marc

Correra, in the District Court for New Mexico’s First Judicial District, being Case No. D-101-

CV-201101534 (“Action”), alleging that Bland and Aldus breached their fiduciary duties to

NMSIC and that Anthony Correra and Marc Correra aided and abetted those breaches and were

unjustly enriched;

WHEREAS, the Court in the Action found that former State Investment Officer Bland

breached his fiduciary duty to make investment decisions solely on the basis of the best interests

of the Public Trust Funds by making unilateral investment decisions that he knew would benefit

Marc Correra without disclosing that fact to the Council;

WHEREAS, Aldus, NMSIC’s private equity advisor during Bland’s tenure, admitted that

it breached its fiduciary duty to make investment recommendations solely on the basis of the best

-2-

interests of the Public Trust Funds by recommending private equity funds that Anthony Correra

pressured Aldus to recommend and private equity funds that Aldus knew would pay Marc

Correra if they received an investment from NMSIC;

WHEREAS, Marc Correra and the companies he controlled received at least $18,770,514

from fund managers, investment advisors and other service providers doing business with

NMSIC;

WHEREAS, NMSIC claims that a judgment should enter in the Action against Anthony

Correra and Marc Correra, jointly and severally, in the amount of $18,770,514, and neither

Anthony Correra nor Marc Correra contends otherwise;

WHEREAS, Marc Correra commenced a bankruptcy case by filing a petition for relief

under Chapter 7 of Title 11 of the U.S. Code in the United States Bankruptcy Court for Northern

District of Texas, being Case No. 16-30728 (“Bankruptcy Case”);

WHEREAS, James Cunningham (“Trustee”) was appointed Chapter 7 Trustee in the

Bankruptcy Case;

WHEREAS, the only creditors with outstanding proofs of claim in the Bankruptcy Case

are NMSIC and the New Mexico Taxation and Revenue Department (“NMTRD”);

WHEREAS, NMTRD has filed an amended proof of claim in the amount of $1,141,226,

all of which claim NMTRD states is unsecured;

WHEREAS, Marc Correra had claimed in the Bankruptcy Case that the assets held in his

two Individual Retirement Accounts (“IRAs”) were exempt;

WHEREAS, NMSIC challenged the exemption, the Bankruptcy Court decided that Marc

Correra’s IRAs and the assets held in the IRAs are not exempt and are property of the

bankruptcy estate, and Marc Correra has not and will not appeal that decision;

-3-

WHEREAS, the assets disclosed by Marc Correra in the Bankruptcy Case, including the

IRAs, are insufficient to satisfy the judgment NMSIC seeks in the Action;

WHEREAS, NMSIC filed motions in the Bankruptcy Case seeking sanctions against

Marc Correra and Anita Gianardi (“Sanctions Motions”);

WHEREAS, the Bankruptcy Court entered orders granting relief in connection with the

Sanctions Motions (“Sanctions Orders”);

WHEREAS, Marc Correra filed notices of appeal seeking to appeal the Sanctions Orders,

the appeals were docketed in the United States District Court for the Northern District of Texas,

being case numbers 3:18-CV-2451-S and 3:18-CV-2811-K, and NMSIC filed motions to dismiss

the appeals;

WHEREAS, the District Court has dismissed the appeal in case number 3:18-CV-2811-

K, but the appeal in case 3:18-CV-2451-S (“Appeal”) is still pending;

WHEREAS, Anthony Correra has provided NMSIC with a sworn financial statement

demonstrating that he is unable to satisfy the judgment NMSIC seeks in the Action;

WHEREAS, Marc Correra has provided NMSIC with a sworn certification that there

have been no material changes in the value of his assets (except the market value of disclosed

assets) or the sources or amounts of his income since the commencement of the Bankruptcy

Case;

WHEREAS, pursuant to an agreement between NMSIC and Moldenhauer Investment

Trust I, an escrow account was established with William W. Carrier III as escrow agent and

funded with a deposit of $900,000, to be paid to NMSIC with accumulated interest if a judgment

in an equal or greater amount is entered against Marc Correra in the Action (“Carrier Escrow”);

-4-

WHEREAS, Anthony Correra has deposited $1,000,000 in Kessler and Collins’s IOLTA

account;

WHEREAS, the Parties want to resolve any claims NMSIC or the Trustee might have

against Anthony Correra or Marc Correra and effect a global resolution of all remaining issues in

the Bankruptcy Case;

NOW THEREFORE, for the mutual consideration herein recited, it is agreed and

covenanted that:

1. This Agreement shall become effective if and when it is approved both by the

Council in accordance with the Open Meetings Act and by the Bankruptcy Court.

2. The IRAs listed in the bankruptcy schedules filed by Marc Correra in the

Bankruptcy Case and all iterations of those accounts and the assets held in those IRAs are

property of the bankruptcy estate. The proceeds of those IRAs will be administered by the

Trustee for the benefit of the creditors of the bankruptcy estate consistent with the provisions of

the United States Bankruptcy Code and this Agreement.

3. On the effective date of this Agreement, NMSIC and the Correras shall execute

and file a motion for the entry of a stipulated final judgment in the Action, substantially in the

form attached hereto as Exhibit A.

4. Promptly after the stipulated final judgment (“Agreed Judgment”) has entered in

the Action, Anthony Correra will instruct Kessler and Collins to pay NMSIC $850,000 from

Kessler and Collins’s IOLTA account by wire transfer to the State Investment Council Suspense

Fund at the New Mexico Treasury in accordance with the wire instructions to be provided by

NMSIC and to pay the Trustee, for the benefit of the bankruptcy estate, $150,000 by check

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payable to James W. Cunningham, Trustee in Bankruptcy for Marc Anthony Correra, Bk Case

No 16-30728-sgj-7.

5. After the Agreed Judgment has entered in the Action, Marc Correra will provide

whatever reasonable assistance NMSIC requests to obtain the funds in the Carrier Escrow.

6. The Trustee and NMSIC agree that NMSIC’s claim in the Bankruptcy Case shall

be liquidated in the amount of the Agreed Judgment.

7. The Trustee and NMTRD agree that NMTRD’s claim in the Bankruptcy Case is a

general unsecured claim that shall be liquidated in the amount of $1,141,226 and treated pari

passu with NMSIC’s claim in the Bankruptcy Case.

8. The Trustee, NMSIC and NMTRD agree to waive any and all rights to seek

rescission or withdrawal of the relief granted pursuant to the Order of Discharge entered on April

3, 2017, in the Bankruptcy Case.

9. The Trustee shall pay from the bankruptcy estate any and all tax, penalty and

interest owing to the Internal Revenue Service as a result of the disqualification of the IRA

accounts which are now property of the bankruptcy estate. In furtherance of this obligation, the

Trustee shall obtain a determination of the amount of liability for any tax, interest or penalty

relating to a tax, or any addition to a tax, attributable to the assets held in the IRA accounts.

After such determination has been made, the Trustee shall promptly seek authority from the

Bankruptcy Court to pay to the governmental unit charged with responsibility for collection of

such tax the full amount of the determined liability from the assets of the bankruptcy estate after

providing for payment of the Chapter 7 Administrative Expenses and pursuant to the order of

priority provided in 11 U.S.C. §507(a).

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10. Upon the entry of an Order by the Bankruptcy Court approving this settlement

which is final and not appealable, entry of the Agreed Judgment in the Action which is final and

not appealable, and receipt of the payment of $150,000, as provided in paragraph 4, by the

bankruptcy estate, the Trustee will release and waive any further claims against Anthony Correra

and Marc Correra, including any court-ordered award of sanctions.


which is final and not appealable, entry of the Agreed Judgment in the Action which is final and

not appealable and receipt of the payment of $850,000, as provided in paragraph 4, by NMSIC,

except for the obligations under this Agreement, including paragraphs 5 and 14, NMSIC, on

behalf of itself, the Public Trust Funds and any and all persons or entities purporting to act on

behalf of or in any representative capacity for NMSIC and/or the Public Trust Funds, or claiming

injury through any of them, including by way of any individual, qui tam, derivative, class or

other proceeding in which any person may or purports to, act in a representative capacity on

behalf of any of them (collectively the “NMSIC Releasing Parties”), shall release and forever

discharge Anthony Correra, Marc Correra and their respective heirs, successors, assigns, any

entity in which Anthony Correra or Marc Correra holds or held a controlling interest, and their

insurers, agents and representatives (“Correra Released Parties”) from any and all claims,

lawsuits, causes of action, complaints, charges, demands, obligations, damages, losses,

judgments (including, but not limited to, the Agreed Judgment) whether individual, qui tam,

derivative, class or otherwise, attorneys’ fees and costs, and liabilities of any type whatsoever, at

law or in equity, whether as yet asserted or not, that the NMSIC Releasing Parties now have,

once had or may in the future have against the Correra Released Parties for any matter relating to

or arising from investments managed by NMSIC.

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which is final and not appealable, except for the obligations under this Agreement, the Correra

Released Parties shall release and forever discharge the NMSIC Releasing Parties from any and

all claims, lawsuits, causes of action, complaints, charges, demands, obligations, damages,

losses, whether individual, derivative, class or otherwise, attorneys’ fees and costs, and liabilities

of any type whatsoever, at law or in equity, whether as yet asserted or not, that the Correra

Released Parties now have, once had or may in the future have against the NMSIC Releasing

Parties for any matter relating to or arising from investments managed by NMSIC.


which is final and not appealable, Marc Correra shall dismiss the Appeal, if it has not already

been dismissed.

14. Anthony Correra represents that the information contained in his sworn financial

statement is true, correct and complete. Marc Correra represents that the information contained

in his certification is true and correct.


which is final and not appealable; entry of the Agreed Judgment in the Action which is final and

not appealable; receipt of the payment of $150,000, as provided in paragraph 4, by the

bankruptcy estate; receipt of the payment of $850,000, as provided in paragraph 4, by NMSIC;

and dismissal of the Appeal, the Trustee and NMSIC shall release and forever discharge Gaetana

Correra, Claudia Correra, Vincent Settecase and Anita Gianardi (collectively the “Additional

Released Individuals”) from any and all claims, lawsuits, causes of action, complaints, charges,

demands, obligations, damages, losses, whether individual, derivative, class or otherwise,

attorneys’ fees and costs, and liabilities of any type whatsoever, at law or in equity, whether as

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yet asserted or not, that the Trustee or NMSIC now has, once had or may in the future have

against the Additional Released Individuals that were or could have been asserted in the

Bankruptcy Case. The release contemplated by this paragraph will become void as to any

Additional Released Individual who subsequently brings a claim against, or otherwise seeks

money from, the Trustee or NMSIC.

16. Anthony Correra and Marc Correra agree, for a period of nine months after the

Agreed Judgment has entered in the Action, not to make any public statement about facts,

allegations or claims related to the subject matter of the Action. NMSIC agrees that, after the

nine months have passed, it will file a satisfaction of judgment in the Action.

17. Anthony Correra and Marc Correra agree never to do business in the State of New

Mexico again.

18. This Agreement and its terms shall be interpreted and governed according to the

laws of the State of New Mexico. The Parties agree that any claims arising from this Agreement,

or relating to the enforcement or interpretation of this Agreement, shall be brought exclusively in

the District Court for New Mexico’s First Judicial District. Anthony Correra and Marc Correra

agree to submit to the jurisdiction of said Court.

19. This Agreement supersedes all prior or contemporaneous negotiations,

commitments, agreements and writings of any sort between the Parties with respect to its subject

matter. There are no other promises, representations, obligations or understandings between the

Parties.

20. Each Party to this Agreement represents and warrants that he or it understands the

terms of this Agreement and has had full opportunity to have this Agreement reviewed by his or

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its legal counsel and to obtain any advice regarding his or its rights and obligations hereunder

which he or it deems prudent.

21. Each provision hereof is severable, and if one or more provisions hereof are

declared invalid or unenforceable by a court of competent jurisdiction, then the remaining

provisions shall nevertheless remain in full force and effect.

22. The Parties may not modify, amend, or waive the terms of this Agreement other

than by a written instrument signed by the Parties.

23. This Agreement may be executed in counterparts, each of which shall be deemed

to be an original, but all of which together shall constitute one and the same instrument. Each

Party represents that the signatory to this Agreement on its behalf is authorized to make the

promises and commitments herein. Signature pages transmitted by facsimile, email or other

electronic means shall be valid for all purposes.

24. If at any time after the date hereof any further action is necessary or desirable to

carry out the purposes of this Agreement, each Party hereto will take such further action

(including the execution and delivery of such further instruments and documents) as the other

Party may reasonably request.

25. This Agreement is binding upon, and shall inure to the benefit of, the Parties and

their respective assigns and successors-in-interest.

Signatures on the following pages

THE NEW MEXICO STATE INVESTMENT COUNCIL

ByBruce A. BrownDeputy Chief Counsel & Compliance OfficerSpecial Assistant Attorney General41 Plaza La PrensaSanta Fe, New Mexico 87507(505) [email protected]

THE NEW MEXICO TAXATION AND REVENUEDEPARTMENT

ByHector H. Balderas, New Mexico Attorney GeneralBy: James C. JacobsenAssistant Attorney General201 Third Street NW, Suite 300Albuquerque, New Mexico 87102(505) 717-3527jjçobsen(Znmag.gov

JAMES CUNNINGHAM, CHAPTER 7 TRUSTEE

By________________James Cunningham

ANTHONY CORRERA

By_______________Anthony Correra

MARC CORRERA

By_____________Marc Correra

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By_______________________________________________ Bruce A. Brown Deputy Chief Counsel & Compliance Officer Special Assistant Attorney General 41 Plaza La Prensa Santa Fe, New Mexico 87507 (505) 476-9517 [email protected]

THE NEW MEXICO TAXATION AND REVENUE DEPARTMENT

By_______________________________________________ Hector H. Balderas, New Mexico Attorney General By: James C. Jacobsen Assistant Attorney General 201 Third Street NW, Suite 300 Albuquerque, New Mexico 87102 (505) 717-3527 [email protected]

JAMES CUNNINGHAM, CHAPTER 7 TRUSTEE

By_______________________________________________ James Cunningham

ANTHONY CORRERA

By_________________________________________________ Anthony Correra

MARC CORRERA

By________________________________________________ Marc Correra

APPROVED AS TO FORM:

Day Pitney, LLPOne StamfordPlaza263 Tresser BoulevardStamford, Connecticut 069 0 l -323 6(203) 977-7318kwrittlôdaypitney. comAttorney for NMSIC

James C. JacobsenAssistant Attorney General201 Third Street NW, Suite 300Albuquerque, New Mexico 87102(s0s) 717-3s27(s05) 318-1050 (fax)

[email protected] for NMTRD

Robert Yaquinto, Jr.Sherman & Yaquinto, LLP509 N. Montclair Ave.Dallas, Texas :75208(2r4) 942-ss02rob@s],llp.comAttorney for Chapter 7 Trustee

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APPROVED AS TO FORM:

_____________________________________ Kenneth W. Ritt Day Pitney, LLP One Stamford Plaza 263 Tresser Boulevard Stamford, Connecticut 06901-3236 (203) 977-7318 [email protected] for NMSIC

_____________________________________ James C. Jacobsen Assistant Attorney General 201 Third Street NW, Suite 300 Albuquerque, New Mexico 87102 (505) 717-3527 (505) 318-1050 (fax) [email protected] for NMTRD

_____________________________________ Robert Yaquinto, Jr. Sherman & Yaquinto, LLP 509 N. Montclair Ave. Dallas, Texas 75208 (214) 942-5502 [email protected] for Chapter 7 Trustee


THIS AGREEMENT, by and between the NEW MEXICO STATE INVESTMENT

COUNCIL and GARY BLAND (collectively, the “Parties”).

WITNES SETH:


state agency that serves as trustee of and is responsible for investing the Land Grant Permanent

Fund and the Severance Tax Permanent Fund (collectively the “Public Trust Funds”);

WHEREAS, NMSIC makes investments on behalfofthe Public Trust Funds;

WHEREAS, Gary Bland (“Bland”) was the State Investment Officer;

WHEREAS, NMSIC instituted a civil action in 201 1 against Bland and other defendants

in the District Court for New Mexico’ s First Judicial District, being Case No. D- 1 0 1 -CV-

201101534 (the “Action”), alleging that Bland breached his fiduciary duties to NMSIC and was

unjustly enriched;

WHEREAS, the District Court entered a partial summaryjudgment in favor ofNMSIC

against Bland as to liability finding that Bland breached his fiduciary duties to NMSIC;

WHEREAS, NMSIC claims that Bland was unjustly enriched by and should forfeit some

or all of the salary he received as State Investment Officer, because his breaches of fiduciary

duty were intentional;

WHEREAS, Bland claims that he was not unjustly enriched and should not forfeit any

portion of his compensation, because his breaches of fiduciary duty did not cause an identifiable

pecuniary loss to the value of the Public Trust Funds and because he rendered good and valu,ó

services to the Public Trust Funds during his tenure as State Investment Officer;

WHEREAS, Bland has provided counsel for NMSIC with a sworn statement

demonstrating his limited financial means and inability to pay any substantial judgment that

might be entered against him;

WHEREAS, the Parties recognize the costs and uncertainties associated with litigation;

and

WHEREAS, the Parties want to resolve the claims forming the subject matter of the

Action;


covenanted that:

1 . This Agreement shall become effective if and only if approved by the Council in

accordance with the Open Meetings Act.

2. Bland agrees not to appeal the District Court decision dismissing his

counterclaims and entering a partial summary judgment against him.

3. Bland represents that all ofthe information contained in the sworn financial

statement he provided to NMSIC is true and accurate. Bland acknowledges that this Agreement

is conditioned on the truth of the financial statement and, if it is later determined that Bland

provided false information with knowledge of its falsity, then this Agreement will be null and

void, and NMSIC reserves all of its rights under law and equity.

4. On the effective date of this Agreement, except for the obligations under this

Agreement, NMSIC, on behalf of itself, the Trust Funds, and any and all persons or entities

purporting to act on behalf of or in any representative capacity for NMSIC and/or the Trust

Funds, or claiming injury through any of them, including by way of any individual, qui tam,

derivative, class or other proceeding in which any person may or purports to act in a64j//

-2-

representative capacity on behalf of any of them (collectively the “NMSIC Releasing Parties”)

releases and forever discharges Bland from any and all claims, lawsuits, causes of action,

complaints, charges, demands, obligations, damages, losses, and liabilities of any type

whatsoever, at law or in equity that the NMSIC Releasing Parties now have, once had or may in

the future have, arising out of or relating to his service as State Investment Officer.

5. On the effective date ofthis Agreement, except for the obligations under this

Agreement, Bland releases and forever discharges the NMSIC Releasing Parties from any and all

claims, lawsuits, causes of action, complaints, charges, demands, obligations, damages, losses,

and liabilities of any type whatsoever, at law or in equity that Bland now has, once had or may in

the future have, arising out of or relating to his service as State Investment Officer.

6. Promptly after the effective date of this Agreement, NMSIC shall execute and file

a motion for voluntary dismissal ofthe Action against Bland with prejudice.


laws ofthe State ofNew Mexico. The Parties agree that any claims arising from this Agreement,


the District Court for New Mexico’s First Judicial District. Bland agrees to submit to the

jurisdiction of said Court even if he should hereafter leave the State.




Parties.

9. The Parties may not modi, amend, or waive the terms of this Agreement oth’


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10. This Agreement may be executed in several counterparts, each of which shall be

deemed to be an original, but all of which together shall constitute one and the same instrument.

The Parties represent that each signatory to this Agreement on his or its behalf is authorized to

make the promises and commitments herein. Signature pages transmitted by facsimile, email or

other electronic means shall be valid for all purposes.

1 1 . If at any time after the date hereof any further action is necessary or desirable to

carry out the purposes of this Agreement, each Party hereto will take such tiirther action




their respective heirs, assigns, successors-in-interest, and any and all other persons or entities

claiming through or under the Parties.


By / /

Deputy Chief Counsel & Compliance OfficerSpecial Assistant Attorney General

GARY BLAND

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THIS AGREEMENT, by and between the NEW MEXICO STATE INVESTMENT

COUNCIL and GUY RIORDAN (collectively, the “Parties”).

W I T N E S S E T H:


state agency that serves as trustee of and is responsible for investing the Land Grant Permanent

Fund and the Severance Tax Permanent Fund (collectively the “Public Trust Funds”);

WHEREAS, NMSIC makes investments on behalf of the Public Trust Funds;

WHEREAS, Guy Riordan (“Riordan”) was a placement agent who represented a private

equity advisor and a hedge fund manager that were selected by NMSIC;

WHEREAS, NMSIC instituted a civil action in 2011 against various defendants,

including Riordan, in the District Court for New Mexico’s First Judicial District, being Case No.

D-101-CV-201101534 (the “Action”), alleging that Riordan aided and abetted other defendants’

breaches of their fiduciary duties to NMSIC and was unjustly enriched in the amount of

$90,575.84, the commissions he received from the private equity advisor and the hedge fund

manager;

WHEREAS, NMSIC served a request on Riordan that he admit liability and admit that he

was unjustly enriched in the amount of $90,575.84;

WHEREAS, by failing to respond to the request, Riordan is deemed to have admitted

liability and unjust enrichment in the amount of $90,575.84;

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WHEREAS, Riordan has cooperated with the investigation by NMSIC’s counsel, made

himself available to be interviewed by NMSIC’s counsel on two occasions and provided helpful

information; and

WHEREAS, the United States Securities and Exchange Commission has a lien on all of

Riordan’s property in the amount of approximately $2,000,000;


covenanted that:

1. This Agreement shall become effective if and when it is approved by the Council

in accordance with the Open Meetings Act.

2. On the effective date of this Agreement, Riordan shall make, or cause to be made

on his behalf, a payment to NMSIC of ten thousand dollars (USD$10,000.00) by a wire transfer

to the State Investment Council Suspense Fund at the New Mexico Treasury in accordance with

wire instructions to be provided by NMSIC.

3. Upon receipt of the payment called for in paragraph Two, except for the

obligations under this Agreement, NMSIC, on behalf of itself, the Trust Funds, and any and all

persons or entities purporting to act on behalf of or in any representative capacity for NMSIC

and/or the Trust Funds, or claiming injury through any of them, including by way of any

individual, qui tam, derivative, class or other proceeding in which any person may or purports to

act in a representative capacity on behalf of any of them (collectively the “NMSIC Releasing

Parties”) releases and forever discharges Riordan from any and all claims, lawsuits, causes of

action, complaints, charges, demands, obligations, damages, losses, and liabilities of any type

whatsoever, at law or in equity that the NMSIC Releasing Parties now have, once had or may in

-3-

the future have, arising out of or relating to the selection of investment advisers and managers by

NMSIC.

4. On the effective date of this Agreement, except for the obligations under this

Agreement, Riordan releases and forever discharges the NMSIC Releasing Parties from any and

all claims, lawsuits, causes of action, complaints, charges, demands, obligations, damages,

losses, and liabilities of any type whatsoever, at law or in equity that Riordan now has, once had

or may in the future have, arising out of or relating to the selection of investment advisers and

managers by NMSIC.

5. Promptly after receipt of the payment called for in paragraph Two, NMSIC shall

execute and file a motion for voluntary dismissal of the Action against Riordan with prejudice.


laws of the State of New Mexico. The Parties agree that any claims arising from this Agreement,


the District Court for New Mexico’s First Judicial District. Riordan agrees to submit to the

jurisdiction of said Court.




Parties.

8. This Agreement shall not be construed more strictly against either of the Parties

merely by virtue of the fact that it, or any part of it, may have been prepared by counsel for one

of the Parties. This Agreement is in all respects the result of arm’s-length negotiations between

-4-

the Parties, and both of the Parties have been advised by counsel of their own choice and have

contributed substantially and materially to preparation of this Agreement.

9. The Parties may not modify, amend, or waive the terms of this Agreement other


10. This Agreement may be executed in several counterparts, each of which shall be

deemed to be an original, but all of which together shall constitute one and the same instrument.

The Parties represent that each signatory to this Agreement on his or its behalf is authorized to

make the promises and commitments herein. Signature pages transmitted by facsimile, email or

other electronic means shall be valid for all purposes.

11. If at any time after the date hereof any further action is necessary or desirable to

carry out the purposes of this Agreement, each Party hereto will take such further action




their respective heirs, assigns, successors-in-interest, and any and all other persons or entities

claiming through or under the Parties.

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By_______________________________________________ Bruce A. Brown Deputy Chief Counsel & Compliance Officer Special Assistant Attorney General

GUY RIORDAN

__________________________________________________

Tabs 6, 7, 8

6. Closing Matters

a. Old or new business

b. Next SIC meeting: Tuesday, June 25, 2019, 9am, Santa Fe, NM

7. Public Comment Period

8. Adjournment

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