New Mexico Educational Retirement Board Private Equity Performance Review Third Quarter 2014 June 2015

Transcription

1 New Mexico Educational Retirement Board Private Equity Performance Review Third Quarter 2014 June

2 EXECUTIVE SUMMARY The following report presents an analysis of the New Mexico ERB private equity portfolio and private equity portfolio performance as of the third quarter of All data is as of September 30, The New Mexico ERB Private Equity Portfolio experienced a positive third quarter return of 2.25% and a one year return of 19.49%. The private equity portfolio has achieved since inception return of 12.47% and a multiple on invested capital of As of quarter end, the Plan had $1.84 B in net commitments to 49 private equity funds managed by 37 different fund managers. The table below summarizes the status of portfolio in the quarter. Target Actual Q3 Return 1 Year Return Allocation Allocation 2.25% 19.49% 11% 8.2% Cumulative Commitments Paid in Capital Cumulative Distributions Reported Value Total Value (Distributions + Reported Value) $1,842,301,669 $1,162,873,680 $629,794,416 $917,236,760 $1,547,031,176 Call Ratio Distributions/ Paid In Net IRR Total Value/ Paid In % 1.33 This investment report information was prepared by the New Mexico Educational Retirement Board or its advisors or consultants solely for informational purposes and should not be relied on for any other purpose. Neither the investment s sponsor nor any of its affiliates (i) has reviewed, audited, verified, approved or sanctioned such information, or (ii) makes any representation or warranty regarding the completeness or accuracy of such information or the absence of miscalculations or errors from such information. 2

3 The following chart shows the commitment history of the private markets program through Q Note: Despite a steady commitment pace, 2013 saw some commitments made in 2012 that did not begin investing until 2013 and a large commitment to continue to fund the co-investment program. The following chart shows an analysis of the invested capital by vintage year. The amount above the green line is the value added for each vintage year. 3

4 The following slide shows the value added by strategy in dollars since inception of the private equity program. The following slide shows distributions to date by strategy. 4

5 The following graph shows the growth of the NMERB private equity portfolio since inception. The area above the green line and below the orange line is the cumulative value added which stands at $307.9 million to date The following charts shows the strategy allocation of invested capital, unfunded commitments and the resulting total exposure. Investment Strategy Policy Range Reported Value Unfunded Commitment Total Exposure Private Equity Buyouts 0%-80% 24.8% 15.7% 20.5% Co-Investment 0%-50% 14.5% 21.9% 18.0% Distressed 0%-40% 14.9% 14.7% 14.8% Growth Equity 0%-40% 23.3% 18.3% 20.9% Mezzanine 0%-40% 8.8% 13.6% 11.1% Secondaries 0%-40% 10.8% 13.1% 11.9% Venture Capital 0%-40% 2.9% 2.6% 2.8% Total 100.0% 100.0% 100.0% 5

6 Reported Value by Strategy 2.9% 8.8% 10.8% 24.8% Buyouts Co-Investment Distressed Growth Equity 23.3% 14.5% Mezzanine Secondaries 14.9% Venture Capital Unfunded Capital by Strategy 2.6% Total Exposure by Strategy 2.8% 13.1% 15.7% 11.9% 20.5% 13.6% 18.3% 14.7% 21.9% 11.1% 20.9% 14.8% 18.0% The following exhibit shows the reported, unfunded and total exposure by strategy. The exhibit can be used to recognize the current strategy mix and the direction of adjustments to the mix. The exhibit shows that the distressed allocation is expected to remain close to 15% as the current allocation and total strategy exposure are similar, while the co-investment allocation is expected to grow as the total exposrue of 18% is larger than the current invested exposure of 14.5%. 6

7 Trailing Period Performance Summary Partnership Name Vintage Commitment QTR IRR YTD IRR 1 year IRR 2 year IRR 3 year IRR 5 year IRR Inception IRR Apollo Investment Fund VIII, L.P ,000, na na na na na 17.9 Apollo VII ,000, Ares Corporate Opportunities Fund IV, L.P ,000, na na na 9.9 Ares Distressed Securities Fund, LP ,000, Ares Special Situations Fund III, L.P ,000, na 11.9 Audax Private Equity Fund IV L.P ,000, na na na 26.7 Bain Capital Partners XI, L.P ,000, na na na na na 1.1 BDCM Opportunity Fund III ,000, na 9.6 BR Co Investment (Transfer) ,139, BR/ERB Co Investment Fund I (BlackRock) ,000, BR/ERB Co Investment Fund II L.P. (BlackRo ,000, na na na na 14.3 BR/ERB Tactical Opportunities, L.P ,000, na na na na na 6.5 Bridgepoint Europe IV D ,264, Clayton, Dubilier & Rice VIII, LP ,000, ComVest Investment Partners III, LP ,000, DRI LSRC II ,000, na 11.3 Drug Royalty III, L.P ,000, na na na 50.6 Edison Venture Fund VII, LP ,000, na na 23.4 EIG Energy Fund XVI, L.P ,000, na na na na 28.1 Energy Funds XV, LP ,000, na 14.1 Fletcher Spaght Ventures II ,000, GF Capital Private Equity Fund, LP ,000, Goode Partners ,000, Hicks, Muse, Tate & Furst Incorporated ,000,000 N/A

8 Trailing Period Performance Summary (continued) Partnership Name Vintage Commitment QTR IRR YTD IRR 1 year IRR 2 year IRR 3 year IRR 5 year IRR Inception IRR Industrial Opportunity Partners ,000, Industry Ventures Fund VI, L.P ,000, na 16.1 Industry Ventures Partnership Holdings III, ,000, na na na na 25.9 Industry Ventures Partnership Holdings III ,000, na na na na na 40.3 Industry Ventures Secondary VII, L.P ,000, na na na na 37.6 Leeds Equity Partners V, LP ,000, Levine Leichtman IV ,000, Lex. Cap. Partners VII, LP ,000, na 18.4 Lexington Partners VI B ,000, Lightyear Fund III, L.P ,000, na na 20.5 Lion Capital ,897, LLCP Deep Value GP, LLC ,000, Marlin Equity Partners IV, L.P ,000, na na na na 12.1 Newstone Partners ,000, Perseus Partners VII, LP ,000, Pine Brook Capital Partners II, L.P ,000, na na na na na 2.0 Platinum Equity Partners II, LP ,000, Psilos Group Partners III LP ,000, Tenex Capital Partners SG, L.P ,000, na 8.2 TPG Growth II, L.P ,000, na na 30.8 Vicente Capital fka/k H Growth Equity Fun ,000, VSS Structured Capital Partners II ,000, W Capital Partners III, L.P ,000, na na 3.0 Warburg Pincus Private Equity XI, L.P ,000, na na na 22.4 Z Capital Special Situations Fund II, L.P ,000, na na na 16.1 Total 1,842,301,

9 Private Equity Vintage Year Performance Summary Vintage Year Comittment Paid In Capital Capital to be Funded Additional Fees Cumulative Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio TVPI Ratio Net IRR % ,000, ,788,243 3,466,475 9,069, ,009,579 46,614, ,624,091 39,766, ,162, ,223,339 32,464,010 27,145, ,347, ,956, ,303,726 66,934, ,000, ,673,465 30,449,974 11,632, ,128,749 87,871, ,000, ,694, ,139,173 84,968,984 13,538,165 4,717,859 46,278,439 99,964, ,243,193 56,556, ,000, ,986,799 41,047,483 10,806,519 71,797, ,835, ,633,125 41,839, ,000, ,390,958 56,295,145 12,126,905 48,184, ,334, ,518,748 36,000, ,000, ,609, ,963,460 11,251,662 6,867, ,693, ,561,457 24,700, ,000,000 86,809, ,801,567 7,408,260 12,180,106 88,772, ,952,224 6,734, ,000,000 21,386, ,735,575 1,878,318 23,194,360 23,194,360 (70,065) Total 1,842,301,669 1,066,836, ,761,854 96,037, ,794, ,236,760 1,547,031, ,157,

10 Private Equity Portfolio Vintage Year Performance Detail Vintage Year Comittment Paid In Capital Capital to be Funded Additional Fees Cumulative Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio TVPI Ratio Net IRR % 2006 Hicks, Muse, Tate & Furst Incorporated $20,000,000 $19,787,311 $1,141,396 $1,245,545 $19,258,466 $0 $19,258,466 $1,774, Industrial Opportunity Partners $15,000,000 $12,060,473 $803,334 $402,767 $17,640,170 $19,359,174 $36,999,344 $24,536, Lexington Partners VI B $20,000,000 $20,105,165 $326,939 $1,131,445 $17,254,050 $11,124,661 $28,378,711 $7,142, LLCP Deep Value GP, LLC $20,000,000 $21,986,216 $0 $2,938,252 $21,294,894 $3,850,411 $25,145,305 $220, Newstone Partners $20,000,000 $21,651,855 $1,194,776 $1,339,044 $25,534,114 $3,752,652 $29,286,766 $6,295, Psilos Group Partners III LP $10,000,000 $8,197,225 $30 $2,012,155 $5,027,885 $8,527,614 $13,555,499 $3,346, $105,000,000 $103,788,243 $3,466,475 $9,069,209 $106,009,579 $46,614,512 $152,624,091 $39,766, Bridgepoint Europe IV D $25,264,998 $21,882,774 $3,021,733 $2,493,144 $11,848,777 $20,343,451 $32,192,228 $7,816, Clayton, Dubilier & Rice VIII, LP. $40,000,000 $38,193,869 $7,704,187 $2,140,544 $33,838,350 $42,694,315 $76,532,665 $36,198, ComVest Investment Partners III, LP $25,000,000 $25,741,703 $2,204,223 $3,197,070 $16,583,231 $11,507,478 $28,090,709 $848, Fletcher Spaght Ventures II $20,000,000 $13,305,213 $2,800,000 $3,997,866 $1,720,202 $16,624,202 $18,344,404 $1,041, GF Capital Private Equity Fund, LP $15,000,000 $13,171,807 $3,967 $1,501,442 $10,594,527 $13,762,096 $24,356,623 $9,683, Goode Partners $20,000,000 $18,842,508 $681,957 $2,813,579 $19,322,065 $9,960,086 $29,282,151 $7,626, Leeds Equity Partners V, LP $20,000,000 $15,015,908 $6,500,741 $1,679,862 $3,812,949 $19,141,361 $22,954,310 $6,258, Lion Capital $37,897,497 $40,550,125 $3,286,337 $3,578,746 $10,398,567 $21,407,617 $31,806,184 $12,322, Perseus Partners VII, LP $15,000,000 $15,010,232 $486,239 $1,999,230 $4,322,989 $2,383,613 $6,706,602 $10,302, Platinum Equity Partners II, LP $30,000,000 $31,967,820 $5,306,747 $2,707,410 $35,286,655 $17,587,576 $52,874,231 $18,199, Vicente Capital fka/k H Growth Equity Fund $10,000,000 $8,541,381 $467,878 $1,036,998 $619,124 $12,544,494 $13,163,618 $3,585, $258,162,496 $242,223,339 $32,464,010 $27,145,891 $148,347,437 $187,956,289 $336,303,726 $66,934, Apollo VII $40,000,000 $43,019,495 $8,792,983 $2,629,586 $57,274,461 $24,315,368 $81,589,829 $35,940, Ares Distressed Securities Fund, LP $30,000,000 $29,137,640 $0 $1,328,596 $47,817,375 $6,021,352 $53,838,727 $23,372, Levine Leichtman IV $50,000,000 $46,745,372 $12,066,251 $3,868,483 $55,610,820 $28,438,887 $84,049,707 $33,435, VSS Structured Capital Partners II $40,000,000 $35,770,959 $9,590,740 $3,805,949 $29,426,093 $29,095,897 $58,521,990 $18,945, $160,000,000 $154,673,465 $30,449,974 $11,632,615 $190,128,749 $87,871,504 $201,761,364 $35,455, BR Co Investment (Transfer) $5,139,173 $4,975,125 $0 $164,048 $3,265,047 $3,115,056 $6,380,103 $1,240, BR/ERB Co Investment Fund I (BlackRock) $100,000,000 $79,993,859 $13,538,165 $4,553,811 $43,013,392 $96,849,698 $139,863,090 $55,315, $105,139,173 $84,968,984 $13,538,165 $4,717,859 $46,278,439 $99,964,754 $146,243,193 $56,556, DRI LSRC II $40,000,000 $30,586,301 $4,622,422 $4,939,173 $29,350,947 $11,617,822 $40,968,769 $5,443, Edison Venture Fund VII, LP $30,000,000 $22,370,733 $6,000,000 $2,083,582 $1,684,734 $34,138,918 $35,823,652 $11,369, Energy Funds XV, LP $40,000,000 $28,349,506 $18,481,961 $1,994,635 $11,712,234 $28,175,171 $39,887,405 $9,543, Lex. Cap. Partners VII, LP $45,000,000 $42,680,259 $11,943,100 $1,789,129 $29,050,060 $30,903,239 $59,953,299 $15,483, $155,000,000 $123,986,799 $41,047,483 $10,806,519 $71,797,975 $104,835,150 $176,633,125 $41,839,

11 Private Equity Portfolio Vintage Year Performance Detail (continued) Vintage Year Comittment Paid In Capital Capital to be Funded Additional Fees Cumulative Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio TVPI Ratio Net IRR % 2011 Ares Special Situations Fund III, L.P $30,000,000 $26,927,283 $8,900,041 $2,020,450 $7,835,776 $29,467,792 $37,303,568 $8,355, BDCM Opportunity Fund III $40,000,000 $36,490,119 $13,200,466 $2,433,999 $14,870,829 $28,927,382 $43,798,211 $4,874, Industry Ventures Fund VI, L.P. $45,000,000 $36,442,331 $6,750,000 $1,807,669 $16,087,746 $32,406,291 $48,494,037 $10,244, Lightyear Fund III, L.P. $40,000,000 $24,425,444 $18,110,534 $3,021,654 $6,911,870 $30,130,283 $37,042,153 $9,595, Tenex Capital Partners SG, L.P. $30,000,000 $20,105,781 $9,334,104 $2,843,133 $2,478,428 $23,402,351 $25,880,779 $2,931, $185,000,000 $144,390,958 $56,295,145 $12,126,905 $48,184,649 $144,334,099 $192,518,748 $36,000, Ares Corporate Opportunities Fund IV, L.P. $40,000,000 $14,385,808 $24,235,838 $1,378,354 $0 $16,922,962 $16,922,962 $1,158, TPG Growth II, L.P. $75,000,000 $43,734,908 $27,854,631 $5,093,274 $1,852,995 $62,539,702 $64,392,697 $15,564, W Capital Partners III, L.P. $40,000,000 $10,729,230 $29,460,491 $1,389,098 $2,757,213 $9,789,693 $12,546,906 $428, Warburg Pincus Private Equity XI, L.P. $75,000,000 $35,759,064 $36,412,500 $3,390,936 $2,257,275 $44,441,617 $46,698,892 $7,548, $230,000,000 $104,609,010 $117,963,460 $11,251,662 $6,867,483 $133,693,974 $140,561,457 $24,700, Apollo Investment Fund VIII, L.P. $50,000,000 $3,744,757 $45,340,627 $985,020 $70,404 $4,257,461 $4,327,865 $401, Audax Private Equity Fund IV L.P. $40,000,000 $13,436,847 $25,724,408 $838,745 $1,238,361 $17,053,297 $18,291,658 $4,016, BR/ERB Co Investment Fund II L.P. (BlackRock) $100,000,000 $25,292,134 $73,688,456 $1,019,410 $0 $28,420,364 $28,420,364 $2,108, Drug Royalty III, L.P. $30,000,000 $2,565,955 $26,866,273 $567,772 $0 $2,507,978 $2,507,978 $625, EIG Energy Fund XVI, L.P. $60,000,000 $6,587,283 $52,408,411 $1,062,717 $58,411 $5,704,417 $5,762,828 $1,887, Industry Ventures Partnership Holdings III, L.P. $30,000,000 $4,985,928 $24,900,000 $114,072 $0 $5,602,588 $5,602,588 $502, Industry Ventures Secondary VII, L.P. $45,000,000 $9,218,200 $35,550,000 $231,800 $1,934,702 $8,997,184 $10,931,886 $1,481, Marlin Equity Partners IV, L.P. $30,000,000 $5,021,418 $24,426,984 $552,584 $986 $5,125,543 $5,126,529 $447, Z Capital Special Situations Fund II, L.P. $49,000,000 $15,957,017 $39,896,407 $2,036,139 $8,877,241 $11,103,286 $19,980,527 $1,987, $434,000,000 $86,809,538 $348,801,567 $7,408,260 $12,180,106 $88,772,118 $100,952,224 $6,734, Bain Capital Partners XI, L.P. $40,000,000 $4,250,636 $35,700,000 $49,364 $0 $4,250,718 $4,250,718 $49, BR/ERB Tactical Opportunities, L.P. $100,000,000 $5,041,353 $94,815,184 $143,463 $0 $4,956,702 $4,956,702 $228, Industry Ventures Partnership Holdings III B, L $20,000,000 $1,000,000 $19,000,000 $0 $0 $1,402,709 $1,402,709 $402, Pine Brook Capital Partners II, L.P. $50,000,000 $11,094,118 $37,220,391 $1,685,491 $0 $12,584,231 $12,584,231 $195, $210,000,000 $21,386,107 $186,735,575 $1,878,318 $0 $23,194,360 $23,194,360 $70, Total $ 1,842,301,669 $ 1,066,836,443 $ 830,761,854 $ 96,037,238 $ 629,794,417 $ 917,236,760 $ 1,470,792,288 $307,918,

12 Private Equity Performance by Strategy Strategy Comittment Paid In Capital Capital to be Funded Additional Fees Cumulative Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio TVPI Ratio Net IRR % Venture $50,000,000 22,502,437 21,800,030 6,010,021 6,748,086 26,554,525 33,302,611 4,790, Growth Equity $320,000, ,362, ,790,343 17,150,680 14,564, ,432, ,996,902 51,483, Buyout $418,162, ,243, ,836,499 28,094, ,279, ,901, ,180, ,843, Mezzanine $230,000, ,511, ,164,583 13,709,291 96,081,799 80,853, ,935,736 37,714, Secondaries $225,000, ,161, ,930,530 6,463,213 67,083,771 98,823, ,907,427 35,283, Distressed $294,000, ,752, ,198,064 18,728, ,758, ,328, ,087,317 41,605, Co Investment $305,139, ,302, ,041,805 5,880,732 46,278, ,341, ,620,259 58,437, Total $ 1,842,301,669 1,066,836, ,761,854 96,037, ,794, ,236,760 1,547,031, ,157,

13 Private Equity Performance by Strategy Vintage Capital to be Cumulative TVPI Year Partnership Commitment Paid In Capital Funded Additional Fees Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio Ratio net IRR 2006 Psilos Group Partners III LP 10,000,000 8,197, ,012,155 5,027,885 8,527,614 13,555,499 3,346, Fletcher Spaght Ventures II 20,000,000 13,305,213 2,800,000 3,997,866 1,720,202 16,624,202 18,344,404 1,041, Industry Ventures Partnership Holdings III 20,000,000 1,000,000 19,000, ,402,709 1,402, , Venture Capital Total 50,000,000 22,502,437 21,800,030 6,010,021 6,748,086 26,554,525 33,302,611 4,790, Vicente Capital fka/k H Growth Equity Fun 10,000,000 8,541, ,878 1,036, ,124 12,544,494 13,163,618 3,585, Edison Venture Fund VII, LP 30,000,000 22,370,733 6,000,000 2,083,582 1,684,734 34,138,918 35,823,652 11,369, Lightyear Fund III, L.P. 40,000,000 24,425,444 18,110,534 3,021,654 6,911,870 30,130,283 37,042,153 9,595, TPG Growth II, L.P. 75,000,000 43,734,908 27,854,631 5,093,274 1,852,995 62,539,702 64,392,697 15,564, Warburg Pincus Private Equity XI, L.P. 75,000,000 35,759,064 36,412,500 3,390,936 2,257,275 44,441,617 46,698,892 7,548, Audax Private Equity Fund IV L.P. 40,000,000 13,436,847 25,724, ,745 1,238,361 17,053,297 18,291,658 4,016, Pine Brook Capital Partners II, L.P. 50,000,000 11,094,118 37,220,391 1,685, ,584,231 12,584, , Growth Total 320,000, ,362, ,790,343 17,150,680 14,564, ,432, ,996,902 51,483, Hicks, Muse, Tate & Furst Incorporated 20,000,000 19,787,311 1,141,396 1,245,545 19,258, ,258,466 1,774, Industrial Opportunity Partners 15,000,000 12,060, , ,767 17,640,170 19,359,174 36,999,344 24,536, Bridgepoint Europe IV D 25,264,998 21,882,774 3,021,733 2,493,144 11,848,777 20,343,451 32,192,228 7,816, Clayton, Dubilier & Rice VIII, LP. 40,000,000 38,193,869 7,704,187 2,140,544 33,838,350 42,694,315 76,532,665 36,198, GF Capital Private Equity Fund, LP 15,000,000 13,171,807 3,967 1,501,442 10,594,527 13,762,096 24,356,623 9,683, Goode Partners 20,000,000 18,842, ,957 2,813,579 19,322,065 9,960,086 29,282,151 7,626, Lion Capital 37,897,497 40,550,125 3,286,337 3,578,746 10,398,567 21,407,617 31,806,184 12,322, Perseus Partners VII, LP 15,000,000 15,010, ,239 1,999,230 4,322,989 2,383,613 6,706,602 10,302, Platinum Equity Partners II, LP 30,000,000 31,967,820 5,306,747 2,707,410 35,286,655 17,587,576 52,874,231 18,199, Apollo VII 40,000,000 43,019,495 8,792,983 2,629,586 57,274,461 24,315,368 81,589,829 35,940, Leeds Equity Partners V, LP 20,000,000 15,015,908 6,500,741 1,679,862 3,812,949 19,141,361 22,954,310 6,258, Levine Leichtman IV 50,000,000 46,745,372 12,066,251 3,868,483 55,610,820 28,438,887 84,049,707 33,435, Apollo Investment Fund VIII, L.P. 50,000,000 3,744,757 45,340, ,020 70,404 4,257,461 4,327, , Bain Capital Partners XI, L.P. 40,000,000 4,250,636 35,700,000 49, ,250,718 4,250,718 49, All Buyout Total 418,162, ,243, ,836,499 28,094, ,279, ,901, ,180, ,843, Newstone Partners 20,000,000 21,651,855 1,194,776 1,339,044 25,534,114 3,752,652 29,286,766 6,295, VSS Structured Capital Partners II 40,000,000 35,770,959 9,590,740 3,805,949 29,426,093 29,095,897 58,521,990 18,945, DRI LSRC II 40,000,000 30,586,301 4,622,422 4,939,173 29,350,947 11,617,822 40,968,769 5,443, Energy Funds XV, LP 40,000,000 28,349,506 18,481,961 1,994,635 11,712,234 28,175,171 39,887,405 9,543, Drug Royalty III, L.P. 30,000,000 2,565,955 26,866, , ,507,978 2,507, , EIG Energy Fund XVI, L.P. 60,000,000 6,587,283 52,408,411 1,062,717 58,411 5,704,417 5,762,828 1,887, All Mezzanine Total 230,000, ,511, ,164,583 13,709,291 96,081,799 80,853, ,935,736 37,714,

14 Private Equity Performance by Strategy (continued) Vintage Capital to be Cumulative TVPI Year Partnership Commitment Paid In Capital Funded Additional Fees Distributions Valuation Total Value Net Benefit Call Ratio DPI Ratio Ratio net IRR 2006 Lexington Partners VI B 20,000,000 20,105, ,939 1,131,445 17,254,050 11,124,661 28,378,711 7,142, Lex. Cap. Partners VII, LP 45,000,000 42,680,259 11,943,100 1,789,129 29,050,060 30,903,239 59,953,299 15,483, Industry Ventures Fund VI, L.P. 45,000,000 36,442,331 6,750,000 1,807,669 16,087,746 32,406,291 48,494,037 10,244, W Capital Partners III, L.P. 40,000,000 10,729,230 29,460,491 1,389,098 2,757,213 9,789,693 12,546, , Industry Ventures Partnership Holdings III, 30,000,000 4,985,928 24,900, , ,602,588 5,602, , Industry Ventures Secondary VII, L.P. 45,000,000 9,218,200 35,550, ,800 1,934,702 8,997,184 10,931,886 1,481, Secondary Total 225,000, ,161, ,930,530 6,463,213 67,083,771 98,823, ,907,427 35,283, ComVest Investment Partners III, LP 25,000,000 25,741,703 2,204,223 3,197,070 16,583,231 11,507,478 28,090, , Ares Distressed Securities Fund, LP 30,000,000 29,137, ,328,596 47,817,375 6,021,352 53,838,727 23,372, LLCP Deep Value GP, LLC 20,000,000 21,986, ,938,252 21,294,894 3,850,411 25,145, , Ares Special Situations Fund III, L.P 30,000,000 26,927,283 8,900,041 2,020,450 7,835,776 29,467,792 37,303,568 8,355, BDCM Opportunity Fund III 40,000,000 36,490,119 13,200,466 2,433,999 14,870,829 28,927,382 43,798,211 4,874, Tenex Capital Partners SG, L.P. 30,000,000 20,105,781 9,334,104 2,843,133 2,478,428 23,402,351 25,880,779 2,931, Ares Corporate Opportunities Fund IV, L.P. 40,000,000 14,385,808 24,235,838 1,378, ,922,962 16,922,962 1,158, Marlin Equity Partners IV, L.P. 30,000,000 5,021,418 24,426, , ,125,543 5,126, , Z Capital Special Situations Fund II, L.P. 49,000,000 15,957,017 39,896,407 2,036,139 8,877,241 11,103,286 19,980,527 1,987, Distressed Total 294,000, ,752, ,198,064 18,728, ,758, ,328, ,087,317 41,605, BR Co Investment (Transfer) 5,139,173 4,975, ,048 3,265,047 3,115,056 6,380,103 1,240, BR/ERB Co Investment Fund I (BlackRock) 100,000,000 79,993,859 13,538,165 4,553,811 43,013,392 96,849, ,863,090 55,315, BR/ERB Co Investment Fund II L.P. (BlackR 100,000,000 25,292,134 73,688,456 1,019, ,420,364 28,420,364 2,108, BR/ERB Tactical Opportunities, L.P. 100,000,000 5,041,353 94,815, , ,956,702 4,956, , Co Investment Total 305,139, ,302, ,041,805 5,880,732 46,278, ,341, ,620,259 58,437,

15 Vintage Year Performance Benchmarking Capital To Be Commitment Paid In Capital Funded Call Ratio DPI Ratio TVPI Ratio IRR 2006 Vintage Total 105,000, ,788,243 3,466,475 99% % 2006 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2007 Vintage Total 258,162, ,223,339 32,464,010 94% % 2007 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2008 Vintage Total 160,000, ,673,465 30,449,974 97% % 2008 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2009 Vintage Total 105,139,173 84,968,984 13,538,165 81% % 2009 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 15

16 2010 Vintage Total 155,000, ,986,799 41,047,483 80% % 2010 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2011 Vintage Total 185,000, ,390,958 56,295,145 78% % 2011 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2012 Vintage Total 230,000, ,609, ,963,460 45% % 2012 ILPA Private Markets All PE 1st Quartile % Median % Pooled Average % 4th Quartile % 2013 Vintage Total 434,000,000 86,809, ,801,567 20% % 2013 ILPA Private Markets All PE 1st Quartile n.m n.m n.m Median n.m n.m n.m Pooled Average n.m n.m n.m 4th Quartile n.m n.m n.m 2014 Vintage Total 210,000,000 21,386, ,735,575 10% % 2014 ILPA Private Markets All PE 1st Quartile n.m n.m n.m Median n.m n.m n.m Pooled Average n.m n.m n.m 4th Quartile n.m n.m n.m 16