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THE CITY OF NEW YORK TELEPHONE: (212) 669-8318 OFFICE OF THE COMPTROLLER FAX NUMBER: (212) 815-8503 BUREAU OF ASSET MANAGEMENT WWW.COMPTROLLER.NYC.GOV

1 CENTRE STREET ROOM 736 EMAIL: [email protected] NEW YORK, N.Y. 10007-2341

Scott C. Evans ───────────── Chief Investment Officer SCOTT M. STRINGER COMPTROLLER

MEMORANDUM

TO: Trustees New York City Police Pension Fund

FROM: Scott C. Evans

DATE: February 24, 2015

RE: New York City Police Pension Fund Investment Meeting – March 3, 2015

Enclosed is a copy of the public agenda for the March 3, 2015 Investment Meeting. The meeting will be held at the Police Pension Fund, 233 Broadway – 25th Floor; beginning at 10:00am.

Please remember to bring your Quarterly Performance Overview book with you to the meeting, it will be mailed to you.

If you have questions about any agenda item, please give me a call at 212-669-8318.

I:\Investment Strategy\Agendas\AGENDAS -POLICE\03 - March 3, 2015\Memo (Public).doc 1

THE CITY OF NEW YORK OFFICE OF THE COMPTROLLER 1 CENTRE STREET NEW YORK, N.Y. 10007-2341 ───────────── Scott M. Stringer COMPTROLLER

NEW YORK CITY POLICE PENSION FUND

INVESTMENT MEETING

MARCH 3, 2015

2 NEW YORK CITY POLICE PENSION FUND

INVESTMENT MEETING

MARCH 3, 2015

PUBLIC AGENDA

Page I. Performance Reviews: (30 Minutes) • Quarterly Review/Annual Review – December 31, 2014 (To be distributed) 6 • ETI Quarterly Report – December 31, 2014 • Private Equity Quarterly Report – September 30, 2014 12 • Real Assets Quarterly Report – September 30, 2014 43

II. January Monthly Performance Review: (30 Minutes) (Material to be sent under separate cover) ---

APPENDICES: • Basket Clause 74 • Liquidity Analysis 76

PUBLIC AGENDA 4

I. Performance Reviews: 5

Quarterly Review/Annual Review (To be distributed) 6

~ETI Quarterly Report~ Police Economically Targeted Investments Quarterly Report 7

Public/Private Apartment Rehabilitation Program (PPAR) Lenders* BOA CCD CFSB CPC JPMS LIIF NCBCI NHS Wells Fargo All Lender Totals Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Contractual Commitments $25.00 MM n/a $10.00 MM n/a $4.00 MM n/a $160.00 MM n/a $40.00 MM n/a $15.00 MM n/a $4.00 MM n/a $2.00 MM n/a $5.00 MM n/a $265.00 n/a Current Market Value $7.55 MM $4.90 MM $1.32 MM $106.26 MM $3.75 MM $3.20 MM $0.96 MM $0.64 MM $0.00 MM $128.58 MM

Commitments 4Q 14 (included in total) Bronx $0 0 $182,500 67 $0 0 $106,875 3 $0 0 $0 0 $0 0 $0 0 $0 0 $289,375 70 Brooklyn 536,000 58 0 0 0 0 1,822,081 260 0 0 0 0 0 0 0 0 0 0 2,358,081 318 Manhattan 0 0 0 0 0 0 5,193,000 399 0 0 0 0 0 0 0 0 0 0 5,193,000 399 Queens 480,000 54 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 480,000 54 Staten Island 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 90,000 67 90,000 67 Outside of NYC 476,000 39 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 476,000 39

Total $1,492,000 151 $182,500 67 $0 0 $7,121,956 662 $0 0 $0 0 $0 0 $0 0 $90,000 67 $8,886,456 947

Delivered 4Q 14 (included in total) Bronx $0 0 $0 0 $0 0 $2,712,135 288 $2,125,479 108 $360,000 43 $0 0 $0 0 $0 0 $5,197,614 439 Brooklyn 0 0 585,000 128 0 0 175,725 10 0 0 0 0 0 0 0 0 0 0 760,725 138 Manhattan 0 0 0 0 0 0 4,631,063 422 0 0 0 0 0 0 0 0 0 0 4,631,063 422 Queens 689,120 65 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 689,120 65 Staten Island 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Outside of NYC 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Total $689,120 65 $585,000 128 $0 0 $7,518,922 720 $2,125,479 108 $360,000 43 $0 0 $0 0 $0 0 $11,278,521 1,064

Total Commitments Bronx $1,400,000 60 $856,200 153 $0 0 $7,623,502 649 $11,277,699 847 $598,000 74 $0 0 $0 0 $0 0 $21,755,401 1,783 Brooklyn 2,021,521 112 0 0 0 0 13,112,972 1,127 2,618,120 268 2,350,993 212 0 0 0 0 0 0 20,103,605 1,719 Manhattan 1,792,000 100 0 0 0 0 15,219,087 1,149 1,796,020 232 3,478,918 338 155,773 8 0 0 0 0 22,441,797 1,827 Queens 3,326,624 163 0 0 0 0 5,971,050 406 360,000 96 0 0 0 0 0 0 0 0 9,657,674 665 Staten Island 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 90,000 67 90,000 67 Outside of NYC 476,000 39 0 0 0 0 4,871,475 207 1,541,356 122 0 0 0 0 0 0 0 0 6,888,831 368

Total $9,016,145 474 $856,200 153 $0 0 $46,798,085 3,538 $17,593,195 1,565 $6,427,911 624 $155,773 8 $0 0 $90,000 67 $80,937,309 6,429

Historical Investments Bronx $5,435,177 1,216 $1,098,250 366 $0 0 $78,884,603 6,324 $3,699,479 352 $360,000 43 $0 0 $0 0 $0 0 $89,477,509 8,301 Brooklyn 763,676 88 1,355,604 252 0 0 81,398,866 4,351 0 0 1,390,000 245 0 0 330,213 7 0 0 85,238,359 4,943 Manhattan 475,691 48 1,525,075 283 1,531,217 197 72,814,887 4,480 54,000 47 1,472,462 122 920,742 123 252,445 15 0 0 79,046,519 5,315 Queens 1,169,120 130 380,000 54 0 0 21,191,301 1,258 0 0 0 0 0 0 0 0 0 0 22,740,421 1,442 Staten Island 0 0 0 0 0 0 2,862,500 111 0 0 0 0 0 0 0 0 0 0 2,862,500 111 Outside of NYC 0 0 0 0 0 0 3,540,825 217 0 0 0 0 0 0 0 0 0 0 3,540,825 217

Total $7,843,663 1,482 $4,358,929 955 $1,531,217 197 $260,692,982 16,741 $3,753,479 399 $3,222,462 410 $920,742 123 $582,658 22 $0 0 $282,906,132 20,329 *Lenders : Bank of Citibank Community Carver Federal The Community JP Morgan Low Income NCB Capital Impact Neighborhood Wells Fargo America Development Savings Bank Preservation Corporation Chase Investment Fund Housing Service

The City of New York - Office of the Comptroller Collateral Benefits as of 12/31/2014 Police Economically Targeted Investments Quarterly Report 8

Public/Private Apartment Rehabilitation Program (PPAR) Historical Investments Since Inception AII PPAR Lenders Brooklyn $85,238,359 30% Manhattan 4,943 Units $79,046,519 28% 5,315 Units Bronx $89,477,509 32% Queens 8,301 Units $22,740,421 Outside of NYC Staten Island 8% $3,540,825 $2,862,500 1,442 Units 1% 1% 217 Units 111 Units

Current Commitments AII PPAR Lenders Brooklyn $20,103,605 Manhattan 25% $22,441,797 1,719 Units 28% 1,827 Units

Bronx $21,755,401 Queens 27% $9,657,674 1,783 Units 12% 665 Units Outside of NYC Staten Island $6,888,831 $90,000 9% 0% 368 Units 67 Units

The City of New York - Office of the Comptroller Collateral Benefits as of 12/31/2014 Police Economically Targeted Investments Quarterly Report 9

AFL-CIO Housing Investment Trust (HIT) Market Value $120.44 million* NYC Community Investment Initiative (NYCCII )

NYCCII Phase II 2006-2013 HIT Multifamily Investments Multifamily Investments Detail Manhattan Investments Housing Units $174,075,200 Borough 4Q Investments Since Inception 4Q Housing Units Since Inception 38% Queens Bronx $0 $52,827,900 0 802 926 Units $17,760,000 Brooklyn 0 103,890,446 0 5,616 4% Manhattan 0 174,075,200 0 926 1,260 Units Queens 0 17,760,000 0 1,260 Staten Island 0 6,414,554 0 693 Outside NYC 0 100,000,000 0 137 Total $0 $454,968,100 0 9,434

Grand Total NYCCII Phase II $454,968,100 9,434

NYCCII Phase I 2002 - 2005

Dollars Units Member Loans Total All NYC PF's Multifamily Investments $249,123,500 12,337 n/a n/a HIT Home Investments 348,300,563 n/a 131 446 Staten Island Total NYCCII Phase I $597,424,063 12,337 131 446 $6,414,554 1% 693 Units NYCCII Phases I & II Brooklyn $103,890,446 Dollars Units Member Loans Total All NYC PF's 23% 5,616 Units Multifamily Investments $704,091,600 21,771 n/a n/a Outside NYC Bronx HIT Home Investments 2,899,899,500 n/a 131 446 $100,000,000 $52,827,900 Grand Total NYCCII Phases I & II $3,603,991,100 21,771 131 446 22% 12% 137 Units 802 Units

*Interest is reinvested

The City of New York - Office of the Comptroller Collateral Benefits as of 12/31/2014 Police Economically Targeted Investments Quarterly Report 10

AFL-CIO Housing Investment Trust (HIT) NYC Workforce Housing Initiative

Investments Through 12/31/2014

Workforce Investments Detail

Investments Housing Units Borough 4Q Investments Since Inception 4Q Housing Units Since Inception Bronx $0 $5,000,000 0 776 Brooklyn 0 8,051,087 0 422 Manhattan 0 214,252,488 0 4,627 Queens 8,265,000 58,293,425 619 3,226 Staten Island 0 0 0 0 Total $8,265,000 $285,597,000 619 9,051

HIT Workforce Housing Initiative

Manhattan $214,252,488 75% 4,627 Units

Queens $58,293,425 20% 3,226 Units

Brooklyn Bronx Staten Island $8,051,087 $5,000,000 $0 3% 2% 0% 422 Units 776 Units 0 Units

The City of New York - Office of the Comptroller Collateral Benefits as of 12/31/2014 Police Economically Targeted Investments Quarterly Report 11

ACCESS CAPITAL STRATEGIES (Since Inception 2/1/07)

$61 million Allocated (20.33% of total account) Access Multifamily Investments Since Inception Police Market Value $63.98 million Manhattan $12,955,248 Multifamily Investments Detail $ Invested Units Brooklyn 43% 4Q Total 4Q Total $4,482,944 5,738 Units Bronx $706,387 $9,073,067 79 16,960 15% Brooklyn 0 $4,482,944 0 8,633 8,633 Units Manhattan 0 $12,955,248 0 5,738 Queens 0 $3,384,945 0 873 Staten Island 0 $0 0 0 Total Police Multifamily Investments 706,387 $29,896,204 79 32,204

Multifamily Total All Systems 3,474,605 $147,054,619 79 32,204

Single Family Investments Detail $ Invested Units Queens 4Q Total 4Q Total $3,384,945 Bronx 0 $6,974,846 0 200 11% Brooklyn 0 $19,817,337 0 500 873 Units Manhattan 0 $1,736,021 0 39 Queens 0 $28,704,153 0 655 Bronx Staten Island Staten Island 0 $16,017,876 0 371 $9,073,067 $0 Total Police Single Family Investments 0 $73,250,233 0 1,765 30% 0% 16,960 Units 0 Units

Single Family Total All Systems 0 $360,306,112 0 1,765 Access Single Family Investment Since Inception Police Bronx Other Investments Detail $ Invested Units Staten Island $6,974,846 4Q Total 4Q Total $16,017,876 10% Bronx 0 $137,228 0 1 22% 200 Units Brooklyn 0 $1,095,869 0 8 371 Units Manhattan 0 $494,610 0 5 Queens 0 $110,480 0 3 Staten Island 0 $0 0 0 Brooklyn Total Police Other Investments 0 $1,838,186 0 17 $19,817,337 27% 500 Units Other Investments Total All Systems 0 $9,041,740 0 17

Grand Total Police 706,387 $104,984,622

Grand Total All Systems 3,474,605 $516,402,471 Queens Manhattan $28,704,153 $1,736,021 39% 2% 655 Units 39 Units

The City of New York - Office of the Comptroller Collateral Benefits as of 12/31/2014 12

~Private Equity Quarterly Report~ 13

Private Equity Monitoring Report

For the period ended September 30, 2014

Report Prepared For: New York City Police Pension Fund, Subchapter 2

Table of Contents I. Executive Summary ...... 1 Performance Summary ...... 1 Portfolio Performance vs. Benchmarks ...... 2 Portfolio Diversification ...... 2 By Strategy ...... 2 By Fund Geographic Focus ...... 2 II. Market Overview ...... 3 Executive Summary ...... 3 Capital Markets Overview ...... 4 Public Equity Markets ...... 4 Debt Markets ...... 7 Private Equity Market Overview ...... 8 All Private Equity ...... 8 Fundraising ...... 8 Investment Activity ...... 9 Deal Environment ...... 10 III. Portfolio Review ...... 11 Quarterly Highlights ...... 11 Investment Performance ...... 12 Since Inception Performance ...... 12 Performance by Vintage Year ...... 13 Portfolio Periodic Returns vs. Russell 3000® Index ...... 14 Performance by Strategy / Sub-Strategy ...... 14 Performance by Strategy ...... 15 Performance by Sub-Strategy ...... 15 Portfolio Diversification ...... 16 By Strategy/Sub-Strategy ...... 16 By Fund Geographic Focus ...... 16 By Investment Manager ...... 17 Portfolio Cash Flow Analysis ...... 18 Yearly Cash Flow Activity ...... 18 Quarterly Cash Flow Activity ...... 19 Invested Capital by Vintage Year ...... 20 Portfolio Company-Level Analysis ...... 21 Geographic Exposure ...... 21 Industry Exposure ...... 21 Public Market Exposure ...... 22 IV. Appendix ...... 23 Private Equity Portfolio ...... 24 Subsequent Commitments ...... 27

Important Information

This document is meant only to provide a broad overview for discussion purposes. All information provided here is subject to change. This document is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation for any security, or as an offer to provide advisory or other services by StepStone Group LP, its subsidiaries or affiliates (collectively, “StepStone”) in any jurisdiction in which such offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. The information contained in this document should not be construed as financial or investment advice on any subject matter. StepStone expressly disclaims all liability in respect to actions taken based on any or all of the information in this document.

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All valuations are based on current values provided by the general partners of the Underlying Funds and may include both realized and unrealized investments. Due to the inherent uncertainty of valuation, the stated value may differ significantly from the value that would have been used had a ready market existed for all of the portfolio investments, and the difference could be material. The long-term value of these investments may be lesser or greater than the valuations provided.

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Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments. Each prospective investor is urged to discuss any prospective investment with its legal, tax and regulatory advisors in order to make an independent determination of the suitability and consequences of such an investment.

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Past performance is not necessarily indicative of future results. Actual performance may vary.

I. Executive Summary

The New York City Police Pension Fund, Subchapter 2 (“NYCPPF”) established the Alternative Investment Program (the “Program”) on January 1, 1997 on behalf of its beneficiaries to participate in attractive long-term investment opportunities and to provide diversification to its overall pension investment portfolio.

StepStone Group LP (“StepStone”) was engaged by NYCPPF on February 1, 2012 to provide private equity advisory services for prospective investment opportunities and monitoring and reporting services for existing and new investments.

Since inception through September 30, 2014, the Program has committed US$4.3 billion to 174 partnership investments (the “Portfolio”). This quarterly monitoring report covers the performance of the Portfolio as of September 30, 2014 as well as significant activity that occurred during the third quarter of 2014.

Performance Summary

Quarterly Yearly September 30, 2014 June 30, 2014 September 30, 2013 US$ in millions Change Change Number of Managers 109 109 109 - - Number of Investments 174 173 166 1 8 Committed Capital 1 $4,325.9 $4,252.3 $4,022.1 $73.7 $303.8 Contributed Capital $3,432.4 $3,309.4 $3,011.3 $123.0 $421.1 Distributed Capital 2 $2,470.0 $2,368.0 $2,045.6 $102.1 $424.4 Market Value 2 $2,222.6 $2,174.7 $1,965.9 $47.8 $256.7 Total Value $4,692.6 $4,542.7 $4,011.5 $149.9 $681.1 Total Gain/(Loss) $1,260.2 $1,233.3 $1,000.2 $26.9 $260.0 Unfunded Commitment3 $1,332.0 $1,370.7 $1,406.9 ($38.7) ($74.9) Total Exposure 4 $3,554.6 $3,545.5 $3,372.8 $9.1 $181.8 DPI5 0.72x 0.72x 0.68x 0.00x 0.04x TVM6 1.37x 1.37x 1.33x -0.01x 0.04x IRR7 10.5% 10.6% 10.1% - 17 bps + 35 bps TVM Net of StepStone Fees 8 1.37x 1.37x 1.33x 0.00x 0.04x 8 IRR Net of StepStone Fees 10.4% 10.6% 10.1% - 20 bps + 30 bps

1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. 2 Please note that the Distributions and Market Value are presented Pro-Forma for the sale of nine partnership investments in secondary transactions that closed during the first half of 2012. 3Unfunded Commitment represents the aggregate remaining commitments to partnership investments. Please note that the Unfunded Commitment is presented Pro-Forma for the sale of nine partnership investments in secondary transactions that closed during the first half of 2012. 4 Total Exposure represents the sum of Market Value and Unfunded Commitment. 5 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided by Contributed Capital. 6 TVM, or Total Value Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time. TVM is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 7 IRR, or Internal Rate is Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund manager’s fees, expenses and carried interest. 8 TVM and IRR Net of StepStone fees represent TVM and IRR net of fees paid by NYCPPF to StepStone.

Portfolio Performance vs. Benchmarks

The Portfolio’s performance is measured against a dollar-weighted public benchmark, which produced the return that would have been earned if NYCPPF’s private equity cash flows were invested in the Russell 3000® Index1 plus a 300 basis point illiquidity premium (the Opportunity Cost Benchmark).

The following graph illustrates Portfolio IRR performance versus benchmarks as of September 30, 2014.

1 16% 15.1% Benchmark is a dollar-weighted Long-Nickels calculation of quarterly changes in the Russell 3000® Index. Russell Investment 14% 12.9% Group is the source and owner of the trademark, service marks 12% and copyrights related to the Russell Indexes. Russell® is a 10.5% trademark of Russell Investment Group. 10% 8.0% 2 Benchmark is for informational purposes only and is NOT part of 8% the Program’s Policy Benchmarks. Benchmark is provided by 6% Thomson ONE/Cambridge and reflects U.S. All Private Equity Funds Median Quartile IRR as of September 30, 2014 for funds 4% with vintage years 1998 to 2014. Note: Thomson ONE/Cambridge data is continuously updated and is therefore subject to change. 2% 3 0% Benchmark is for informational purposes only and is NOT part of NYCPPF Russell 3000® + Thomson ONE / Thomson ONE / the Program’s Policy Benchmarks. Benchmark is provided by 300 bps¹ Cambridge Cambridge Thomson ONE/Cambridge and reflects U.S. All Private Equity Funds Upper Quartile IRR as of September 30, 2014 for funds with Median IRR² Upper IRR³ vintage years 1998 to 2014. Note: Thomson ONE/Cambridge data is continuously updated and is therefore subject to change.

Portfolio Diversification

By Strategy Market Value Unfunded Commitment Total Exposure As of September 30, 2014 (US$ in millions) $ % of Total $ % of Total $ % of Total Buyout 1,298.1 58.4% 693.2 52.0% 1,991.3 56.0% Growth Equity 277.1 12.5% 207.3 15.6% 484.4 13.6% Special Situations 87.6 3.9% 77.5 5.8% 165.2 4.6% Energy 88.5 4.0% 10.6 0.8% 99.1 2.8% Secondaries 141.8 6.4% 222.8 16.7% 364.6 10.3% Co-Investment 75.3 3.4% 96.8 7.3% 172.1 4.8% Other 254.1 11.4% 23.8 1.8% 277.9 7.8% Total 2,222.6 100.0% 1,332.0 100.0% 3,554.6 100.0%

By Fund Geographic Focus Market Value Unfunded Commitment Total Exposure As of September 30, 2014 (US$ in millions) $ % of Total $ % of Total $ % of Total North America 1,583.4 71.2% 807.4 60.6% 2,390.9 67.3% Global 427.9 19.3% 455.2 34.2% 883.1 24.8% Western Europe 180.7 8.1% 66.5 5.0% 247.2 7.0% Rest of World 30.5 1.4% 3.0 0.2% 33.5 0.9% Total 2,222.6 100.0% 1,332.0 100.0% 3,554.6 100.0%

Prior to a fund being 75% drawn, fund geographic focus isbased on the GP-stated geographic strategy. Subsequent to a fund being 75% drawn, fund geographic focus is based on actual portfolio company exposure by total invested capital. Funds with less than 75% of total invested capital allocated to one geographic region are classified as Global.

II. Market Overview

Executive Summary

Public equity markets cooled during the third quarter, following the second quarter’s rally. U.S. stocks rose modestly – the S&P 500 index surpassed the 2,000 mark for the first time in its history before a late-quarter selloff stifled performance. The large-cap benchmark returned 1.1% during the quarter, notching its seventh consecutive quarterly gain. Global developed and emerging market equity performance was lackluster, negatively impacted by a combination of geopolitical tensions, tumbling commodity prices, a rising dollar, and signs of global economic slowing. The MSCI Europe declined 7.4%, while the MSCI Emerging Markets index decreased 4.3%. Central bank policy diverged; the Fed tapered its quantitative easing program while the European Central Bank implemented additional stimulus measures and the Bank of Japan remained fully engaged in its stimulus programs. Expectations of tightening monetary policy in the U.S. and accommodative policies in Europe and Japan contributed to higher volatility in global asset classes during the quarter.

In private markets, U.S. LBO debt activity totaled US$21.4 billion in the third quarter, a 22% decrease from the prior quarter, but above the 10-year quarterly average of US$18.0 billion. According to data from S&P, purchase price multiples for U.S. LBOs rose to 11.2x EBITDA in the third quarter, compared to 9.6x a quarter ago and 8.5x a year ago; however, the data for the third quarter was biased towards large deals greater than $500 million, which accounted for 78% of the sample. Equity contributions for U.S. LBOs also rose, from 36.7% in the second quarter of 2014 to 40.1% in the third quarter. As a result, deal flow in the third quarter was mainly driven by efforts to build current portfolio companies rather than acquire new investments. High valuations in the public markets have also led to a significant decline in public-to- private buyouts, which virtually ceased in the third quarter. While take-privates have declined, private investment in public equity deals have held steady. Private equity fundraising activity was flat quarter-over-quarter, while private equity investment activity rose 42%. The increase was driven by Sinopec, a Chinese state-owned oil and gas company, which sold a US$17.4 billion stake in its retail unit.

NYSE and NASDAQ IPO transaction volume reached US$31.7 billion for 40 private equity-backed companies, representing a 70% increase in value compared to the prior quarter. The US$25.0 billion IPO of Alibaba (NYSE:BABA), a Chinese e- commerce company, was the largest in history. M&A volume totaled US$144.9 billion for the quarter, up 106% from the US$70.3 billion in deals completed in the second quarter of 2014, and up 21% from the US$119.5 billion in deals completed during the third quarter of 2013.

Capital Markets Overview

Public Equity Markets

Equities were mixed in the third quarter. While the S&P 500 posted its seventh consecutive quarterly gain, the 1.1% return was modest compared to recent quarters. The smaller-cap indexes posted declines and dropped into negative territory on a year-to-date basis. While developed and emerging market equities managed to return slight gains in local currency terms during the quarter, performance in USD terms suffered significantly due to the sizable appreciation of the US dollar. The MSCI Asia, MSCI Europe, and MSCI Emerging Markets indices returned -2.7%, -7.4%, and -4.3% in USD terms, respectively.

1-Year Global Public Indices Returns

25%

20%

15%

10%

(5%)

(10%) Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14

S&P 500 MSCI Europe MSCI Asia MSCI EM MSCI ACWI Source: Capital IQ

The following table shows the returns of three MSCI indices and the S&P 500, as well as the S&P 500 total return, over various time horizons from three months to ten years through September 30, 2014. Returns for time periods over one year are annualized. Over the last three years, the U.S. and European markets have significantly outperformed the Asian and emerging markets. Regional Indices 3 Mo 1 Yr 3 Yr 5 Yr 10 Yr MSCI Asia (2.7%) 2.4% 7.7% 3.8% 4.4% MSCI Europe (7.4%) 3.0% 12.1% 3.7% 3.5% MSCI EM (4.3%) 1.8% 4.5% 1.9% 8.0% S&P 500 0.6% 17.3% 20.4% 13.3% 5.9% S&P 500 Total Return* 1.1% 19.7% 23.0% 15.7% 8.1% For the period ended September 30, 2014 *Includes reinvestment of dividends. Source: Capital IQ

Sector performance reflected a wide dispersion during the third quarter. Health care and technology stocks were the strongest performers, boosted by growth in the biotechnology industry and a pickup in business spending. Conversely, despite being top performers in the second quarter, energy and utility stocks suffered steep declines in the third quarter as oil prices fell. The chart below details the capitalization-weighted average change in stock prices for the S&P 500 by industry during the third quarter and last 12 months ended September 30, 2014.

S&P 500 Performance by Industry 30% 26.3% 27.1% 25% 18.0% 20% 16.4% 17.3% 13.4% 14.3% 15% 12.7% 10.1% 9.3% 10% 7.9% 5.0% 4.3% 5% 1.9% 1.8% 1.2% 0.6% 0% (0.1%) (0.3%) (5%) (1.6%) (4.9%) (10%) (9.1%) (15%) Consumer Consumer Energy Financials Health Industrials IT Materials Telecomm Utilities S&P 500 Disc Staples Care (All)

Source: Capital IQ Q3 2014 Quarterly Change Annual Change to September 30, 2014

The CBOE Volatility Index (“VIX”), maintained by the Chicago Board Options Exchange, is a popular indicator of investor sentiment and public market volatility. VIX measures the market's expectation of 30-day volatility based on S&P 500 index option prices. The VIX ended the third quarter of 2014 at 16.3, above the second quarter’s closing value of 11.6 but well below the 10-year average of 19.9. The graph below depicts the historical level of the VIX over the last ten years through September 30, 2014.

VIX Volatility Index (^VIX)

40 Index Index Value

20 10-yr Avg. = 19.9 10-yr Med. = 16.9 9/30/14 = 16.3 10

0 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Source: Capital IQ

Debt Markets U.S. LBO new loan issuance totaled US$21.4 billion during the third quarter of 2014, representing a decrease of 21.5% from the prior quarter, but 18.9% higher than the 10-year quarterly average of US$18.0 billion. The following chart shows the quarterly volume of U.S. LBO new loan issuance for the past ten years.

Quarterly U.S. LBO Loan New Issuance $80

$70

$60

$50

$40

$30

Volume (US$Volumebillions) 21.4 $20

$10

$0 3Q04 1Q05 3Q05 1Q06 3Q06 1Q07 3Q07 1Q08 3Q08 1Q09 3Q09 1Q10 3Q10 1Q11 3Q11 1Q12 3Q12 1Q13 3Q13 1Q14 3Q14

EBITDA multiples and equity contributions for LBO deals rose during the quarter. The EBITDA multiple of 11.2x total enterprise value (“TEV”) to EBITDA is notably higher than the previous quarter multiple of 9.6x, and also remains above the ten-year average of 8.5x. The average equity contribution for LBOs rose to 40.1% in the third quarter of 2014, up from 36.7% in the second quarter of 2014.

Purchase Price Multiples and Equity Contribution for U.S. LBOs

12x 50% 11.2x Equity Contribution (% Total Contribution Total EquityPurchase(% Price)

10x 9.7x 9.6x 45% 9.1x 45.7% 9.1x 8.5x 8.8x 8.7x 8.8x 8.4x 8.4x 8x 7.7x 40% 7.3x 41.4% 40.1% 38.9% 38.0% 37.7% 6x 36.7% 35% 35.6% 35.7%

32.59%

Purchase Price Multiple (TEV/EBITDA) Multiple Price Purchase 4x 30% 31.1% 30.9% 29.8%

2x 25%

0x 20% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q1 2014 Q2 2014 Q3 2014 Source: S&P LBO Review

Private Equity Market Overview

All Private Equity

During the third quarter of 2014, private equity fund performance decreased 0.5%. This compares to the S&P 500, which saw an increase of 0.6% (1.1% total return) during the same period. Of note, the Venture sector increased 1.4% during the quarter, representing the largest quarterly increase amongst sectors. Large buyouts reflected the greatest quarterly decline, returning -1.4%. The table below shows the pooled Internal Rate of Return (“IRR”) performance of global private equity investments by sector over various investment horizons from 3 months to 10 years through September 30, 2014.

Sector 3 Mo 1 Yr 3 Yr 5 Yr 10 Yr Small/Middle Buyouts (<$3bn) (0.3%) 14.5% 12.6% 13.8% 14.0% Large Buyouts (>$3bn) (1.4%) 16.2% 16.6% 16.2% 12.1% Mezzanine 0.1% 8.6% 10.2% 9.8% 9.4% Venture Capital 1.4% 22.3% 14.4% 14.6% 10.0% All Private Equity (0.5%) 15.7% 14.2% 14.4% 12.1% Source: Burgiss

Fundraising

Private equity fundraising was relatively flat quarter-over-quarter, totaling US$84.2 billion. Buyout fundraising was down for the quarter, raising US$49.0 billion compared to US$56.6 billion last quarter. Venture Capital fundraising also decreased, from US$14.2 billion in the second quarter to US$8.7 billion in the third quarter. Geographically, U.S. fundraising activity was up for the quarter, raising US$56.5 billion, representing 67% of all activity, while Europe, Asia, and the rest of the world each accounted for approximately 21%, 9%, and 2% of the total capital raised, respectively. The chart below shows private equity fundraising activity by calendar year over the last 10 years and the first three quarters of 2014.

Fundraising by Year - All Private Equity

$500.0

$400.0 1,424 1,372 1,260 1,168 1,122 $300.0 1,069 1,037 981 890 929

$200.0

Amount Raised billions) Amount (US$ Raised $100.0 250 250 267

$119.2 $267.1 $356.7 $441.6 $439.5 $134.4 $149.6 $257.7 $233.7 $299.1 $69.8 $84.1 $84.2 $- 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q1 2014 Q2 2014 Q3 2014

Source: Thomson ONE Global Amount Raised # of Funds

Investment Activity

Private equity funds invested US$61.4 billion during the third quarter, an increase of 38% from the prior quarter. The large quarter-over-quarter increase is attributable primarily to three large deals: 1) Sinopec, a Chinese state-owned oil and gas company, which sold a US$17.4 billion stake in its retail unit, 2) Berkshire Hathaway’s US$3.0 billion preferred equity financing of the Burger King/Tim Horton’s merger, and 3) China Huarong Asset Management Co Ltd, a Chinese state-owned investment manager, which sold a US$2.4 billion equity stake. The average investment size increased 43% to US$19.7 million quarter-over-quarter.

Investment Activity - All Private Equity

$200

$175

$150 14,142 13,163 13,557 12,651 13,103 13,090 12,117 12,082 12,331 $125 9,755 $100

$75 Amount Invested (US$ Amount billions) Invested

$50 2,993 3,221 3,110 $25 $79.8 $103.8 $129.1 $172.4 $160.6 $101.9 $152.5 $150.1 $134.8 $126.6 $34.7 $44.6 $61.4 $0 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q1 2014 Q2 2014 Q3 2014

Source: Thomson ONE Global US$ Invested # of Deals

The graphs below depict the percentage of invested capital by industry and geography for the third quarter of 2014 and over the last ten years. The Energy sector attracted the most capital during the quarter, accounting for US$22.2 billion, or 36% of total capital invested, in 112 transactions. Investment activity by geography during the third quarter was dominated by Asia, which comprised 46% of invested capital. Invested Capital by Geography*

13.8% 12.8%

2.8% 5.6% 9.1% 42.8% 59.8% 35.9% 11.3%

13.7% 8.8%

11.3% 14.2%

7.3% 19.5% 5.6% 46.2% 21.7%

21.3% 17.5% 3.1% 7.5% 1.8%0.1% 3.3% 0.1% 1.1% 2.2% Quarterly % (Q3 2014) 10-Yr Avg % Quarterly % (Q3 2014) 10-Yr Avg % Utilities Telecommunication Services Materials Information Technology Industrials Healthcare ROW Asia/Pacific EMEA North America Financials Energy Consumer Staples Consumer Discretionary Source: Thomson ONE Source: Thomson ONE *Note: Invested Capital is for all private equity from Q3 2004 – Q3 2014

Deal Environment

IPO market activity continued its torrid pace in the third quarter of 2014. There were 40 IPOs on the New York Stock Exchange and the NASDAQ that raised a total of $31.7 billion in proceeds during the third quarter of 2014, reflecting a 364% increase over the proceeds raised during the same period a year ago. The largest IPO of the quarter, and in history, was Alibaba (NYSE:BABA), a Chinese e-commerce company, which raised $25.0 billion in its debut. IPO Activity - All Private Equity $50

$45

$40 151 $35 145 135 131 $30 127 113 $25 90 $20 81

$15 57 54 Amount Raised billions) Amount (US$ Raised 40 $10 36 15 $5 $21.8 $23.4 $26.3 $27.8 $2.9 $9.8 $17.8 $28.9 $31.3 $44.1 $10.9 $18.6 $31.7 - 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q1 2014 Q2 2014 Q3 2014

Source: Thomson ONE Amount Raised # IPO Exits

Private equity-backed Mergers and Acquisitions (“M&A”) deal activity rose in the third quarter of 2014 to US$144.9 billion, representing an increase of 21% from last quarter and an increase of 106% from the third quarter of 2013. The largest deal during the third quarter of 2014 was the purchase of Grupo Corporativo ONO, S.A., an operator of cable television and telecommunication networks, by Vodafone, for €7.2 billion (US$10.3 billion).

M&A Activity - All Private Equity

$600 2,701 2,597 2,691 2,618 2,278 $500 2,229 2,030 $400 1,772 1,497 1,399 $300

$200

Deal Value (US$ billions) (US$ Value Deal 745 662 621

$100

$165.3 $255.2 $385.2 $504.0 $348.1 $260.9 $323.3 $446.6 $485.3 $481.1 $108.0 $70.3 $144.9 - 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 Q1 2014 Q2 2014 Q3 2014 Source: Capital IQ Deal Value (US$ billions) # M&A Exits

III. Portfolio Review

Quarterly Highlights

 Cash Flow Activity – During the third quarter of 2014, the Portfolio made US$123.0 million of contributions and received US$116.6 million of distributions, for a net cash outflow of US$6.4 million, compared to a net cash outflow of US$18.6 million during the prior quarter and a net cash inflow of US$38.7 million during the third quarter of 2013. Contributions increased 10.3% from the prior quarter and increased 98.2% from the third quarter of 2013. The most recent four quarter average of the Program’s contributions is US$105.3 million. Distributions increased 25.4% from the prior quarter and increased 15.8% from the third quarter of 2013. The most recent four quarter average of the Program’s distributions is US$114.2 million.

 Recent Portfolio Activity – During the third quarter of 2014, net of cash flow activity, the valuation of the Portfolio increased by US$26.9 million, or 1.2%, from the prior quarter. The increase in Portfolio value is primarily attributable to strong performance of small buyout funds during the quarter, which generated a $7.3 million increase in valuation from the prior quarter-end. During the last twelve months, net of cash flow activity and Pro-Forma for the Secondary Sale, the valuation of the Portfolio increased by US$260.0 million, or 13.2%, from the quarter ended September 30, 2013.

 New Investment Commitment – During the third quarter of 2014, the Program closed on one new investment commitment, totaling US$85.0 million.

As of September 30, 2014 (US$ in millions) Month Closed Sub-Strategy Geographic Focus Committed Capital Vista Equity Partners Fund V, L.P. July 2014 Growth Equity North America $ 85.0 Total $ 85.0

 Subsequent Investment Commitments – Subsequent to quarter-end through February 24, 2015, the Program closed on seven new investment commitments, totaling US$78.4 million.

As of February 24, 2015 (US$ in millions) Month Closed Sub-Strategy Geographic Focus Committed Capital NMS Fund II, L.P. October 2014 Small Buyout North America $ 2.4 Centerbridge Capital Partners III, L.P. October 2014 Special Situations North America 11.1 Webster Capital III, L.P. December 2014 Small Buyout North America 4.5 Mill City Fund II, L.P. December 2014 Small Buyout North America 2.4 Raine Partners II, L.P. December 2014 Growth Equity North America 6.0 American Securities Partners VII, L.P. January 2015 Large Buyout North America 37.0 Siris Partners III, L.P. February 2015 Middle-Market Buyout North America 15.0 Total $ 78.4

Investment Performance

Since Inception Performance

Quarterly Yearly September 30, 2014 June 30, 2014 September 30, 2013 US$ in millions Change Change Active Investments Number of Managers 100 100 100 - - Number of Investments 161 160 153 1 8 Committed Capital 1 $4,167.9 $4,094.3 $3,864.1 $73.7 $303.8 Contributed Capital $3,259.8 $3,136.8 $2,838.7 $123.0 $421.1 Distributed Capital 2 $2,285.8 $2,183.8 $1,861.4 $102.1 $424.4 Market Value 2 $2,222.6 $2,174.7 $1,965.9 $47.8 $256.7 Total Value $4,508.4 $4,358.5 $3,827.3 $149.9 $681.1 Total Gain/(Loss) $1,248.7 $1,221.7 $988.6 $26.9 $260.0 Unfunded Commitment3 $1,332.0 $1,370.7 $1,406.9 ($38.7) ($74.9) Total Exposure 4 $3,554.6 $3,545.5 $3,372.8 $9.1 $181.8 DPI5 0.70x 0.70x 0.66x 0.01x 0.05x TVM6 1.38x 1.39x 1.35x -0.01x 0.03x IRR7 10.9% 11.1% 10.6% - 19 bps + 32 bps Exited Investments Number of Managers 10 10 10 - - Number of Investments 13 13 13 - - Committed Capital 1 $158.0 $158.0 $158.0 $0.0 $0.0 Contributed Capital $172.6 $172.6 $172.6 $0.0 $0.0 Distributed Capital 2 $184.2 $184.2 $184.2 ($0.0) ($0.0) Total Value $184.2 $184.2 $184.2 ($0.0) ($0.0) Total Gain/(Loss) $11.6 $11.6 $11.6 ($0.0) ($0.0) Unfunded Commitment3 $0.0 $0.0 $0.0 $0.0 $0.0 DPI5 1.07x 1.07x 1.07x 0.00x 0.00x TVM6 1.07x 1.07x 1.07x 0.00x 0.00x IRR7 2.1% 2.1% 2.2% + 0 bps - 7 bps Total Portfolio Number of Managers 109 109 109 - - Number of Investments 174 173 166 1 8 Committed Capital 1 $4,325.9 $4,252.3 $4,022.1 $73.7 $303.8 Contributed Capital $3,432.4 $3,309.4 $3,011.3 $123.0 $421.1 Distributed Capital 2 $2,470.0 $2,368.0 $2,045.6 $102.1 $424.4 Market Value 2 $2,222.6 $2,174.7 $1,965.9 $47.8 $256.7 Total Value $4,692.6 $4,542.7 $4,011.5 $149.9 $681.1 Total Gain/(Loss) $1,260.2 $1,233.3 $1,000.2 $26.9 $260.0 Unfunded Commitment3 $1,332.0 $1,370.7 $1,406.9 ($38.7) ($74.9) Total Exposure 4 $3,554.6 $3,545.5 $3,372.8 $9.1 $181.8 DPI5 0.72x 0.72x 0.68x 0.00x 0.04x TVM6 1.37x 1.37x 1.33x -0.01x 0.04x IRR7 10.5% 10.6% 10.1% - 17 bps + 35 bps 1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. 2 Please note that the Distributions and Market Value are presented Pro-Forma for the sale of nine partnership investments in secondary transactions that closed during the first half of 2012. 3Unfunded Commitment represents the aggregate remaining commitments to partnership investments. Please note that the Unfunded Commitment is presented Pro-Forma for the sale of nine partnership investments in secondary transactions that closed during the first half of 2012. 4 Total Exposure represents the sum of Market Value and Unfunded Commitment. 5 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided by Contributed Capital. 6 TVM, or Total Value Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time. TVM is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 7 IRR, or Internal Rate is Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund manager’s fees, expenses and carried interest.

Performance by Vintage Year

The following table and chart illustrate the Portfolio’s since inception investment performance by vintage year as of September 30, 2014 relative to the median quartile U.S. All Private Equity TVM and IRR benchmarks as provided by Thomson ONE/Cambridge. Performance of funds that are less than two years old is not meaningful. Note that Thomson ONE/Cambridge data is continuously updated and is therefore subject to change.

As of September 30, 2014 (US$ in millions)

Thomson ONE Thomson ONE / Cambridge / Cambridge Vintage Committed Contributed Distributed Market Unfunded Total TVM IRR U.S. All PE U.S. All PE Year Capital Capital Capital Value Commitment Exposure Median Median Quartile TVM Quartile IRR 1998 $20.0 $20.1 $27.2 $0.4 $0.0 $0.4 1.37x 6.3% 1.34x 6.0% 1999 106.2 122.9 151.2 18.2 1.3 19.5 1.38x 8.2% 1.02x 0.4% 2000 58.0 69.5 89.3 15.4 4.4 19.7 1.51x 8.6% 1.19x 2.7% 2001 98.6 121.4 216.6 4.9 4.3 9.2 1.83x 25.0% 1.38x 6.9% 2002 77.0 85.2 96.1 22.3 2.7 25.1 1.39x 13.3% 1.44x 8.5% 2003 96.3 112.8 198.8 33.0 5.7 38.6 2.05x 25.2% 1.50x 8.1% 2004 165.6 170.7 156.6 47.8 12.0 59.8 1.20x 4.1% 1.40x 5.9% 2005 331.6 346.2 318.7 187.4 20.9 208.3 1.46x 8.6% 1.42x 7.4% 2006 542.6 581.8 419.1 362.1 33.6 395.7 1.34x 7.2% 1.45x 8.1% 2007 427.0 437.3 284.6 271.6 45.4 317.0 1.27x 7.8% 1.56x 11.6% 2008 587.9 597.3 342.9 477.0 94.9 572.0 1.37x 12.2% 1.46x 13.5% 2009 113.2 101.7 55.2 90.3 17.7 108.0 1.43x 15.4% 1.58x 17.6% 2010 102.5 83.7 31.2 85.2 34.3 119.5 1.39x 22.6% 1.38x 15.4% 2011 424.0 296.9 48.6 315.9 153.0 469.0 1.23x 14.3% 1.21x 11.4% 2012 462.0 206.4 32.6 211.6 265.5 477.2 1.18x 21.1% 1.10x 9.4% 2013 465.5 62.3 1.1 61.5 404.4 465.9 NM NM NM NM 2014 248.0 16.3 - 17.9 231.8 249.7 NM NM NM NM Total $4,325.9 $3,432.4 $2,470.0 $2,222.6 $1,332.0 $3,554.6 1.37x 10.5% 1.31x 8.0%

As of September 30, 2014

30.0% 2.50x

25.0% 2.00x

20.0%

1.50x IRR TVM 15.0%

1.00x

10.0%

0.50x 5.0%

0.0% 0.00x 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Vintage Year

NYCPPF IRR Thomson ONE Median IRR NYCPPF TVM Thomson ONE Median TVM

Portfolio Periodic Returns vs. Russell 3000® Index

Since As of September 30, 2014 1 Year 3 Year 5 Year 10 Year Inception

NYCPPF IRR 13.2% 12.2% 13.4% 11.0% 10.5%

Russell 3000®¹ 17.9% 23.2% 15.9% 10.4% 9.9%

Russell 3000® + 300 bps¹ 20.9% 26.2% 18.9% 13.4% 12.9%

NYCPPF Outperformance/(Underperformance) (7.7%) (14.0%) (5.6%) (2.4%) (2.4%) vs. Russell 3000® + 300 bps¹

1Benchmark is a dollar-weighted Long-Nickels calculation of quarterly changes in the Russell 3000® Index. Russell Investment Group is the source and owner of the trademark, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.

Performance by Strategy / Sub-Strategy

The following table and charts illustrate the Portfolio’s since inception investment performance by strategy and sub- strategy as of September 30, 2014.

As of September 30, 2014 (US$ in millions)

Committed Contributed Distributed Market Unfunded Total Strategy / Sub-Strategy TVM IRR Capital Capital Capital Value Commitment Exposure

Buyout $2,509.1 $2,130.2 $1,742.4 $1,298.1 $693.2 $1,991.3 1.43x 11.9% Mega Buyout 892.6 613.1 493.0 416.0 362.5 778.5 1.48x 14.3% Large Buyout 288.1 307.7 356.4 139.1 38.1 177.2 1.61x 25.2% Middle-Market Buyout 652.5 538.4 413.7 346.4 200.1 546.4 1.41x 9.0% Small Buyout 676.0 670.9 479.4 396.6 92.6 489.2 1.31x 8.3% Growth Equity 464.6 291.4 113.6 277.1 207.3 484.4 1.34x 16.6% Special Situations 232.8 187.1 167.8 87.6 77.5 165.2 1.37x 13.2% Energy 130.0 133.2 52.4 88.5 10.6 99.1 1.06x 1.5% Secondaries 411.3 191.8 126.5 141.8 222.8 364.6 1.40x 16.9% Co-Investment 193.9 106.0 69.2 75.3 96.8 172.1 1.36x 10.3% Other 384.3 392.8 197.9 254.1 23.8 277.9 1.15x 3.2% Venture Capital 342.8 345.6 144.5 243.2 19.3 262.6 1.12x 2.5% Mezzanine 41.5 47.2 53.5 10.9 4.4 15.3 1.36x 12.1% Total $4,325.9 $3,432.4 $2,470.0 $2,222.6 $1,332.0 $3,554.6 1.37x 10.5%

Performance by Strategy

As of September 30, 2014

20% 1.6x

1.4x 15% 1.2x 10% 1.0x

IRR 5% 0.8x TVM

0.6x 0% 0.4x (5%) 0.2x

(10%) 0.0x Buyout Growth Equity Special Situations Energy Secondaries Co-Investment Other Total

Strategy NYCPPF IRR NYCPPF TVM

Performance by Sub-Strategy

As of September 30, 2014

30% 1.8x

1.6x 25% 1.4x

20% 1.2x

IRR 1.0x TVM 15% 0.8x

10% 0.6x

0.4x 5% 0.2x

0% 0.0x Mega Buyout Large Buyout Middle-Market Small Buyout Growth Equity Special Energy Secondaries Co-Investment Venture Capital Mezzanine Total Buyout Situations Sub-Strategy NYCPPF IRR NYCPPF TVM

Portfolio Diversification

The following tables illustrate the Portfolio’s diversification by strategy and fund geographic focus as of September 30, 2014.

By Strategy/Sub-Strategy

Market Value Unfunded Commitment Total Exposure As of September 30, 2014 (US$ in millions) $ % of Total $ % of Total $ % of Total Buyout 1,298.1 58.4% 693.2 52.0% 1,991.3 56.0% Mega Buyout 416.0 18.7% 362.5 27.2% 778.5 21.9% Large Buyout 139.1 6.3% 38.1 2.9% 177.2 5.0% Middle-Market Buyout 346.4 15.6% 200.1 15.0% 546.4 15.4% Small Buyout 396.6 17.8% 92.6 7.0% 489.2 13.8% Growth Equity 277.1 12.5% 207.3 15.6% 484.4 13.6% Special Situations 87.6 3.9% 77.5 5.8% 165.2 4.6% Energy 88.5 4.0% 10.6 0.8% 99.1 2.8% Secondaries 141.8 6.4% 222.8 16.7% 364.6 10.3% Co-Investment 75.3 3.4% 96.8 7.3% 172.1 4.8% Other 254.1 11.4% 23.8 1.8% 277.9 7.8% Venture Capital 243.2 10.9% 19.3 1.5% 262.6 7.4% Mezzanine 10.9 0.5% 4.4 0.3% 15.3 0.4% Total 2,222.6 100.0% 1,332.0 100.0% 3,554.6 100.0%

By Fund Geographic Focus

Market Value Unfunded Commitment Total Exposure As of September 30, 2014 (US$ in millions) $ % of Total $ % of Total $ % of Total North America 1,583.4 71.2% 807.4 60.6% 2,390.9 67.3% Global 427.9 19.3% 455.2 34.2% 883.1 24.8% Western Europe 180.7 8.1% 66.5 5.0% 247.2 7.0% Rest of World 30.5 1.4% 3.0 0.2% 33.5 0.9% Total 2,222.6 100.0% 1,332.0 100.0% 3,554.6 100.0%

By Investment Manager

As of September 30, 2014, the Portfolio was highly diversified by investment manager, with 19 managers comprising US$2,050.1 million, or 57.7% of total exposure. The remaining 81 managers comprised 42.3% of total exposure as of quarter-end.

Portfolio Total Exposure by Investment Manager As of September 30, 2014

Vista Equity Partners 5.2% Apollo Management 4.9% Ardian (fka AXA Private Equity)

4.8% The Carlyle Group Landmark Partners

3.8% CVC Capital Partners Neuberger Berman 3.6% 42.3% The Blackstone Group Lexington Partners 3.5% The Yucaipa Companies

3.5% Trilantic Capital Partners Ares Management 3.2% Warburg Pincus

2.8% Crestview Partners Summit Partners 2.8% Avista Capital Partners 2.7% 2.5% BC Partners 1.8% 1.8% 2.4% 1.9%2.0% 2.1% 2.4% Grosvenor Capital Management The Comvest Group Remaining 81 managers

Portfolio Cash Flow Analysis

The following yearly and quarterly cash flow analysis is based on actual Portfolio cash flows during those time periods, excluding the proceeds expected to be received from the Secondary Sale that closed in the first half of 2012. Yearly Cash Flow Activity

During the nine months ended September 30, 2014, the Portfolio made US$306.7 million of contributions and received US$327.9 million of distributions, for a net cash inflow of US$21.1 million, compared to a net cash inflow of US$98.1 million during the same period in the prior year. The graph below illustrates cash flow activity since inception by calendar year.

$600

$500 $460.6 $434.4 $400 $327.9 $285.6 $300 $219.9 $195.5 $200 $146.6 $116.2 $88.1 $100 $64.5 $80.1 $22.5 $21.0 $0.0 $0.6 $6.7 $0 ($20.8) ($15.7)

US$ US$ in millions ($42.9) ($100) ($60.1) ($74.8) ($135.3) ($200) ($144.6) ($217.9) ($241.5) ($300) ($321.8) ($306.7) ($333.2) ($341.9) ($400) ($355.1) ($404.9) ($415.1) ($500) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 YTD 2014

Calendar Year Contributions Distributions Net Cash Flow

Buyout funds were the most active in terms of cash flow activity during the first nine months of 2014. Buyout funds drew down US$163.9 million, or 53.4% of total contributions during the first nine months of 2014, and distributed US$227.6 million, or 69.4% of total distributions during the first nine months of 2014. YTD 2014 Contributed by Sub-Strategy YTD 2014 Distributed by Sub-Strategy

0.6% 2.2%

4.1% Mega Buyout 7.4% 6.1% Mega Buyout Large Buyout Large Buyout 3.1% 23.9% 28.5% Middle-Market Buyout 9.1% Middle-Market Buyout 6.1% Small Buyout 1.0% Small Buyout 2.3% Growth Equity Growth Equity 6.6% 5.4% Special Situations Special Situations 4.1% Energy Energy 11.6% Secondaries 9.7% Secondaries Co/Direct Investment 19.1% Co/Direct Investment 17.4% Venture Capital 6.3% Venture Capital 16.5% Mezzanine 9.0% Mezzanine

Quarterly Cash Flow Activity

During the third quarter of 2014, the Portfolio made US$123.0 million of contributions and received US$116.6 million of distributions, for a net cash outflow of US$6.4 million. The graph below illustrates recent cash flow activity by quarter.

$200 $170.4

$150 $123.4 $128.8 $118.1 $118.4 $116.6 $100.7 $92.9 $100 $81.5

$50

$0 US$ US$ in millions

($50)

($62.0) ($74.3) ($71.1) ($72.3) ($100) ($87.0)

($114.3) ($111.5) ($123.0) ($126.0) ($150) Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014

Calendar Quarter

Contributions Distributions Net Cash Flow

Buyout funds were the most active in terms of cash flow activity during the third quarter of 2014. Buyout funds drew down US$67.3 million, or 54.7% of total contributions during the quarter, and distributed US$81.1 million, or 69.6% of total distributions during the quarter.

Q3 2014 Contributed by Sub-Strategy Q3 2014 Distributed by Sub-Strategy

<0.1% 0.3% 1.4% 1.4% 8.7% Mega Buyout 5.3% Mega Buyout 3.5% Large Buyout Large Buyout 22.9% 7.4% Middle-Market Buyout 6.2% Middle-Market Buyout 31.8% Small Buyout Small Buyout Growth Equity Growth Equity 12.9% 11.8% Venture Capital Venture Capital 6.2% Secondaries Secondaries

4.6% Co/Direct Investment Co/Direct Investment 0.9% 7.7% Energy Energy 11.3% Special Situations 19.5% Special Situations 20.9% 8.6% Mezzanine Mezzanine 6.6%

Invested Capital by Vintage Year

The following chart illustrates cumulative capital contributions as a percentage of total capital commitments, by fund vintage year, as of September 30, 2014.

Capital Contributions to Unfunded by Vintage Year (%)

100% 3.1% 5.9% 3.4% 4.8% 5.7% 5.5% 1.0% 6.6% 9.4% 13.7% 14.8% 90% 29.1% 28.0% 34.0% 80%

70% 56.3%

60% 86.7% 93.4%

% 50% 100.0% 99.0% 94.1% 96.6% 96.9% 95.2% 94.3% 94.5% 93.4% 90.6% 86.3% 85.2% 40% 70.9% 72.0% 66.0% 30%

20% 43.7%

10% 13.3% 6.6% 0% 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Total

Vintage Year Contributed Capital Unfunded Commitment

The following chart illustrates cumulative capital contributions relative to unfunded commitment, by fund vintage year, as of September 30, 2014 Pro-Forma for the Secondary Sale.

Capital Contributions to Unfunded by Vintage Year

$800

$700 $692.3

$94.9 $615.4 $600 $33.6

$500 $482.7 $471.9 $466.7 $45.4 $449.9

$400 $367.1 $153.0 $20.9 $265.5 US$ in millions in US$ $300 $581.8 $597.3 $404.4 $248.1 $182.7 $437.3 $200 $12.0 $346.2 $124.2 $125.7 $118.5 $1.3 $4.3 $296.9 $88.0 $5.7 $119.4 $118.0 $231.8 $73.9 $100 $2.7 $17.7 $34.3 $206.4 $4.4 $170.7 $122.9 $121.4 $112.8 $101.7 $20.1 $69.5 $85.2 $83.7 $16.3 - $62.3 $0 $20.1 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Vintage Year Contributed Capital Unfunded Commitment

Portfolio Company-Level Analysis

Geographic Exposure

The following charts illustrate the Portfolio’s current exposure by geography at the portfolio company level as of September 30, 2014. Please note that the geography is based upon the corporate headquarters of each portfolio company.

Geographic Exposure by Current Cost

As of September 30, 2014 (US$ in millions) 1.0% 1.5%

Sum of Current Cost % of Total U.S. (non-NY State) North America $1,382.8 79.7% 15.5% U.S. (NY State) U.S. (non-NY State) 1,217.9 70.2% 2.3% U.S. (NY State) 130.9 7.5% 2.0% Canada, Cayman Canada, Cayman Islands, Mexico 34.0 2.0% Islands, Mexico Asia Asia 40.6 2.3% 7.5% Europe 268.1 15.5% Europe Latin America 17.1 1.0% 70.2% Latin America Middle East/Africa 26.3 1.5% Total $1,734.9 100.0% Middle East/Africa

Geographic Exposure by Current Market Value

1.4% 1.1% As of September 30, 2014 (US$ in millions) Sum of Current % of Total Market Value 15.4% U.S. (non-NY State) North America $1,881.5 80.0% 2.1% U.S. (non-NY State) 1,676.4 71.2% U.S. (NY State) 1.6% U.S. (NY State) 166.8 7.1% Canada, Cayman Canada, Cayman Islands, Mexico 38.3 1.6% 7.1% Islands, Mexico Asia 50.5 2.1% Asia Europe 362.2 15.4% Europe Latin America 32.6 1.4% 71.2% Middle East/Africa 26.5 1.1% Latin America Total $2,353.3 100.0% Middle East/Africa

Industry Exposure

The following charts illustrate the Portfolio’s current exposure by industry at the portfolio company level as of September 30, 2014. Please note that the Financials category includes investments in various debt securities as well as certain undisclosed fund of funds investments. Industry Exposure by Current Cost Industry Exposure by Current Market Value

1.9% 1.4% 2.6% 1.3%

3.9% 4.8% 20.4% 20.9% 12.4% 13.9%

3.5% 4.0% 13.1% 8.3% 11.6% 8.6%

11.7% 22.7% 11.6% 21.4%

Consumer Discretionary Consumer Staples Consumer Discretionary Consumer Staples Energy Financials Energy Financials Health Care Industrials Health Care Industrials Information Technology Materials Information Technology Materials Telecommunication Services Utilities Telecommunication Services Utilities

Public Market Exposure

As of quarter-end, publicly traded investments comprised 7.5% of the Portfolio’s exposed cost and 11.2% of the Portfolio’s exposed market value. The following charts illustrate the current public market exposure at the portfolio company level.

Public Market Exposure by Current Cost Public Market Exposure Current Market Value

7.5% 11.2%

92.5% 88.8%

Private Public Private Public

IV. Appendix

New York City Police Pension Fund, Subchapter 2 Private Equity Portfolio Private Equity Portfolio As of September 30, 2014 (in USD)

Vintage Committed Contributed Distributed Investment First Drawdown Market Value Multiple IRR Year Capital Capital Capital Active Investments 1998 VS&A Communications Partners III, L.P. 12/15/1998 $ 20,000,000 $ 20,099,362 $ 27,245,485 $ 380,817 1.37x 6.3% 1999 Cypress Merchant Banking Partners II, L.P. 3/29/1999 45,172,972 53,861,600 43,440,706 6,087,032 0.92x (1.7%) 1999 FdG Capital Partners LLC 6/2/1999 50,000,000 57,513,671 85,895,768 11,348,307 1.69x 14.9% 1999 Lincolnshire Equity Fund II, L.P. 10/20/1999 11,038,409 11,556,880 21,877,852 756,680 1.96x 24.7% 2000 Carlyle Partners III, L.P. 3/1/2000 22,989,887 28,296,561 59,977,912 40,421 2.12x 23.3% 2000 Solera Partners, L.P. 5/26/2000 9,999,888 13,145,833 20,817,577 6,045,930 2.04x 10.9% 2000 SCP Private Equity Partners II, L.P. 6/15/2000 25,000,000 28,057,160 8,542,740 9,276,411 0.64x (5.8%) 2001 New Mountain Partners, L.P. 3/16/2001 13,606,449 12,830,735 17,181,449 1,385,338 1.45x 12.3% 2001 Apollo Investment Fund V, L.P. 4/13/2001 35,000,000 54,534,624 107,075,831 2,504,721 2.01x 38.9% 2001 CVC European Equity Partners III, L.P. 9/4/2001 25,000,000 28,947,553 73,933,532 1,026,689 2.59x 41.1% 2002 Yucaipa American Alliance Fund I, LP 7/1/2002 20,000,000 29,967,488 22,321,365 15,422,845 1.26x 7.0% 2002 Coller International Partners IV, L.P. 7/2/2002 27,000,000 26,761,761 33,764,157 2,603,968 1.36x 11.8% 2002 Landmark Equity Partners XI, L.P. 10/23/2002 30,000,000 28,518,970 40,049,448 4,310,192 1.56x 24.0% 2003 FS Equity Partners V, L.P. 1/20/2003 15,000,000 13,732,533 22,738,656 6,858,948 2.16x 17.3% 2003 Blackstone Capital Partners IV, L.P. 2/26/2003 46,253,267 57,048,335 117,486,707 21,220,196 2.43x 36.9% 2003 Ares Corporate Opportunities Fund, L.P. 4/1/2003 35,000,000 42,006,955 58,536,196 4,874,808 1.51x 13.4% 2004 Markstone Capital Partners, LP 1/30/2004 10,000,000 11,724,772 4,892,031 2,943,768 0.67x (12.5%) 2004 Euro Choice II (Delaware) L.P. 2/25/2004 20,270,544 20,142,503 20,949,886 8,654,540 1.47x 7.7% 2004 FdG Capital Partners II LP 8/30/2004 25,000,000 26,377,880 29,760,812 4,567,635 1.30x 5.1% 2004 Paladin Homeland Security Fund (NY City), L.P. 9/27/2004 30,000,000 32,254,953 7,537,068 10,467,124 0.56x (8.6%) 2004 Lincolnshire Equity Fund III, L.P. 10/1/2004 15,000,000 14,265,948 17,600,641 9,091,908 1.87x 32.7% 2005 Palladium Equity Partners III, L.P. 11/12/2004 25,000,000 25,808,751 32,001,644 22,037,457 2.09x 19.3% 2004 Aurora Equity Partners III L.P. 11/16/2004 15,000,000 16,232,510 25,828,767 1,123,953 1.66x 14.1% 2004 Trilantic Capital Partners III L.P. 11/18/2004 20,000,000 17,819,516 28,751,696 824,451 1.66x 14.8% 2004 Medica III Investments (International) L.P. 12/1/2004 10,000,000 9,816,293 4,237,089 4,016,000 0.84x (5.0%) 2004 Celtic Pharmaceutical Holdings L.P. 12/23/2004 10,000,000 10,160,838 160,838 6,078,294 0.61x (6.7%) 2005 New Mountain Partners II, L.P. 1/12/2005 7,741,935 6,898,549 11,915,627 1,133,956 1.89x 13.3% 2005 VSS Communications Partners IV, L.P. 3/14/2005 12,500,000 14,035,403 4,435,873 6,682,593 0.79x (4.4%) 2005 Carlyle Partners IV, L.P. 4/29/2005 50,000,000 50,829,820 85,778,792 13,635,858 1.96x 13.0% 2005 Levine Leichtman Capital Partners Deep Value Fund, L.P. 5/18/2005 20,000,000 24,978,381 21,223,156 3,850,411 1.00x 0.1% 2005 Prism Venture Partners V-A, L.P. 7/14/2005 20,000,000 20,199,852 7,883,117 7,180,471 0.75x (6.4%) 2005 Arlington Capital Partners II, L.P. 7/29/2005 20,000,000 20,139,153 19,244,542 10,122,883 1.46x 8.9% 2005 Quadrangle Capital Partners II LP 8/29/2005 23,276,501 22,869,612 12,599,362 13,846,709 1.16x 3.2% 2005 Snow Phipps Group, L.P. 9/7/2005 10,000,000 10,905,566 7,253,650 6,812,915 1.29x 7.8% 2005 GI Partners Fund II L.P. 9/26/2005 12,500,000 12,610,778 13,915,125 4,895,763 1.49x 7.1% 2005 Blackstone Mezzanine Partners II, L.P. 10/10/2005 14,000,000 13,345,539 15,743,041 1,424,036 1.29x 7.1% 2005 Psilos Group Partners III, L.P. 10/24/2005 12,500,000 13,287,792 6,410,270 10,659,522 1.28x 6.1% 2005 FirstMark Capital I, L.P. (fka FirstMark IV) 11/21/2005 10,000,000 10,815,838 10,423,479 31,131,761 3.84x 39.6% 2005 USPF II Institutional Fund, L.P. 11/23/2005 20,000,000 26,379,750 16,074,347 16,775,699 1.25x 5.1% 2005 Bridgepoint Europe III 12/6/2005 15,814,624 14,480,947 8,494,493 8,208,513 1.15x 2.4% 2005 JP Morgan Fleming (Tranche A) 12/21/2005 40,000,000 37,918,470 22,008,865 28,952,200 1.34x 7.5% 2006 Aisling Capital II, LP 1/12/2006 2,500,000 2,749,739 1,176,086 1,751,355 1.06x 1.3% 2006 InterMedia Partners VII, L.P. 1/20/2006 12,500,000 14,245,538 2,369,705 20,297,277 1.59x 8.0% 2006 Falconhead Capital Partners II, L.P. 1/24/2006 15,000,000 16,670,432 13,416,081 5,607,698 1.14x 3.2% 2006 Terra Firma Capital Partners III, L.P. 3/8/2006 15,538,454 15,417,460 331,028 8,800,275 0.59x (10.5%) 2006 Fenway Partners Capital Fund III, L.P. 3/29/2006 15,000,000 16,832,826 8,899,298 8,500,886 1.03x 0.8% 2006 Blackstone Capital Partners V, L.P. 4/13/2006 42,875,000 44,188,553 30,544,853 36,765,207 1.52x 7.9% 2006 Avista Capital Partners, L.P. 4/27/2006 20,000,000 25,398,552 20,459,018 13,916,612 1.35x 7.2% 2006 GSC Recovery III, L.P. 5/4/2006 5,000,000 5,606,404 5,764,248 913,113 1.19x 4.7% 2006 Apollo Investment Fund VI, L.P. 5/10/2006 45,000,000 57,919,123 60,529,614 27,182,947 1.51x 9.9% 2006 Landmark Equity Partners XIII, L.P. 5/11/2006 10,000,000 9,495,335 7,431,568 4,456,296 1.25x 5.6% 2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 15,000,000 16,393,133 23,553,621 3,705,828 1.66x 13.6% 2006 Atlantic Equity Partners IV, L.P. 7/12/2006 20,000,000 20,580,000 - 13,380,071 0.65x (8.0%) 2006 CCMP Capital Investors II, L.P. 8/17/2006 20,000,000 21,781,831 19,598,887 15,248,474 1.60x 14.4% 2006 Capital Partners Private Equity Income Fund, L.P. 8/23/2006 15,000,000 14,370,100 15,561,675 9,855,872 1.77x 18.5% 2006 Perseus Partners VII, L.P. 8/31/2006 15,000,000 17,050,240 4,363,767 2,383,613 0.40x (24.2%) 2006 NB Co-Investment Partners LP 9/28/2006 60,000,000 60,060,176 55,854,585 28,719,572 1.41x 8.9% 2006 Euro Choice III L.P. 11/21/2006 26,886,631 25,286,406 10,013,357 18,931,296 1.14x 3.4% 2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 10,000,000 9,225,000 3,914,832 10,221,907 1.53x 10.4% 2006 Catterton Partners VI, L.P. 12/14/2006 20,000,000 21,745,771 24,592,726 15,398,295 1.84x 13.9% 2006 First Reserve Fund XI, L.P. 12/14/2006 20,000,000 21,253,053 11,455,253 11,015,142 1.06x 1.3% 2006 Permira IV, L.P. 12/14/2006 16,072,069 16,740,501 12,652,653 10,438,417 1.38x 7.4% 2006 Arsenal Capital Partners II, LP 12/19/2006 10,000,000 11,743,359 5,723,269 11,485,385 1.47x 9.8%

New York City Police Pension Fund, Subchapter 2 Private Equity Portfolio As of September 30, 2014 (in USD)

Vintage Committed Contributed Distributed Investment First Drawdown Market Value Multiple IRR Year Capital Capital Capital 2006 RRE Ventures IV, L.P. 12/19/2006 15,000,000 17,825,703 4,246,196 23,023,996 1.53x 10.2% 2006 Coller International Partners V, L.P. 12/21/2006 10,000,000 8,529,674 7,192,742 4,817,119 1.41x 9.3% 2006 MidOcean Partners III, L.P. 12/21/2006 40,000,000 42,808,825 20,111,414 38,026,714 1.36x 7.9% 2006 GF Capital Private Equity Fund, L.P. 12/22/2006 10,000,000 10,208,044 7,431,823 9,174,736 1.63x 14.9% 2006 The Fourth Cinven Fund 1/22/2007 13,950,229 13,840,124 10,371,977 8,109,274 1.34x 6.5% 2007 Pegasus Partners IV, L.P. 1/29/2007 15,000,000 16,332,181 7,014,270 10,055,455 1.05x 1.1% 2007 Olympus Capital Asia III, L.P. 1/31/2007 20,000,000 21,532,861 4,441,121 21,481,845 1.20x 6.8% 2007 FTVentures III, LP 3/1/2007 7,500,000 7,635,000 5,922,804 8,981,040 1.95x 17.4% 2007 Highland Consumer Fund I LP 3/16/2007 10,000,000 9,316,060 - 7,452,158 0.80x (4.7%) 2007 Montreux Equity Partners IV, L.P. 3/27/2007 10,000,000 10,000,000 3,296,419 9,825,339 1.31x 7.5% 2007 Gleacher Mezzanine Fund II, L.P. 3/30/2007 10,000,000 9,148,218 8,091,494 2,971,964 1.21x 8.2% 2007 Quaker BioVentures II, L.P. 3/30/2007 15,000,000 12,344,055 5,913,934 8,143,472 1.14x 4.0% 2007 SCP Vitalife Partners II Fund 4/13/2007 15,000,000 14,324,774 1,184 14,820,527 1.03x 0.9% 2007 Comvest Investment Partners III, L.P. 5/15/2007 15,000,000 18,267,897 10,860,840 6,904,482 0.97x (1.1%) 2007 Constellation Venture Capital III, L.P. 5/22/2007 15,000,000 16,011,810 3,059,224 8,154,492 0.70x (9.3%) 2007 United States Power Fund III, L.P. 6/28/2007 15,000,000 14,992,160 4,998,105 11,502,909 1.10x 2.3% 2007 Carlyle Partners V, L.P. 7/6/2007 50,000,000 49,783,769 36,335,974 41,719,019 1.57x 14.0% 2007 PCG Clean Energy & Technology Fund (East), LLC 7/6/2007 40,000,000 34,666,637 2,235,176 21,463,467 0.68x (9.3%) 2007 GSO Capital Opportunities Fund LP 7/16/2007 17,500,000 24,713,361 29,649,918 6,518,168 1.46x 18.6% 2007 New Mountain Partners III, L.P. 8/9/2007 35,000,000 33,877,088 11,977,199 31,674,633 1.29x 8.1% 2007 Vista Equity Partners Fund III, L.P. 10/3/2007 20,000,000 21,207,318 38,735,834 11,306,676 2.36x 28.0% 2007 Trilantic Capital Partners IV L.P. 10/22/2007 45,856,523 45,669,245 44,707,387 35,291,344 1.75x 18.9% 2008 Paladin III (NY City), L.P. 1/8/2008 30,000,000 30,879,387 11,320,049 26,531,558 1.23x 6.9% 2007 Pine Brook Capital Partners, L.P. 1/11/2008 15,000,000 14,951,159 7,552,706 13,357,626 1.40x 13.7% 2008 Relativity Fund, L.P. 1/17/2008 15,000,000 7,990,110 546,386 2,833,317 0.42x (19.0%) 2008 Apollo Investment Fund VII, L.P. 1/28/2008 50,000,000 56,401,164 70,932,926 30,394,185 1.80x 26.8% 2008 NGN BioMed Opportunity II, L.P. 2/11/2008 10,000,000 8,725,911 1,714,742 5,053,349 0.78x (7.0%) 2008 Carpenter Community BancFund-A, L.P. 2/12/2008 15,000,000 14,389,912 690,525 19,644,938 1.41x 8.1% 2008 Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 3/3/2008 15,000,000 15,407,459 10,499,004 11,221,286 1.41x 12.7% 2008 Yucaipa American Alliance Fund II, LP 3/28/2008 50,000,000 65,081,410 31,805,907 71,435,891 1.59x 15.5% 2008 Milestone Partners III, L.P. 4/7/2008 15,000,000 15,342,408 4,168,234 11,525,883 1.02x 0.6% 2008 Levine Leichtman Capital Partners IV, L.P. 4/8/2008 10,000,000 9,949,276 10,503,684 5,687,776 1.63x 21.2% 2008 Lee Equity Partners Fund, L.P. 4/23/2008 20,000,000 20,198,081 8,169,587 15,374,148 1.17x 5.7% 2008 Coral's 2007 Institutional Momentum Fund, L.P. 5/13/2008 10,000,000 9,492,863 - 5,815,695 0.61x (10.0%) 2008 Yucaipa Corporate Initiatives Fund II, LP 6/23/2008 14,030,930 13,550,651 2,395,367 8,873,976 0.83x (5.5%) 2008 CVC European Equity Partners V, L.P. 7/21/2008 34,263,971 33,882,010 19,014,147 23,805,746 1.26x 9.3% 2008 GI Partners Fund III L.P. 7/29/2008 17,500,000 18,491,051 16,784,210 10,710,546 1.49x 15.6% 2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 25,000,000 28,950,106 23,860,224 22,865,896 1.61x 22.3% 2008 GCM Grosvenor NYCPPF Emerging Manager Co-Investment Fund, L.P. 8/22/2008 4,457,094 5,112,490 5,940,753 1,894,754 1.53x 11.5% 2008 GCM Grosvenor NYCPPF Emerging Manager Fund, L.P. 8/22/2008 59,909,091 53,521,671 20,764,181 41,431,391 1.16x 7.7% 2008 First Reserve Fund XII, L.P. 8/25/2008 20,000,000 20,507,802 7,159,345 16,565,973 1.16x 4.6% 2008 Landmark Equity Partners XIV, L.P. 9/19/2008 27,250,000 23,706,293 13,363,372 18,685,459 1.35x 17.2% 2008 Crestview Partners II, L.P. 10/1/2008 22,500,000 22,618,723 11,504,554 22,576,961 1.51x 16.7% 2008 Erasmus New York City Growth Fund IA 10/17/2008 4,835,960 4,835,960 1,670,495 1,549,781 0.67x (7.9%) 2008 Euro Choice IV L.P. 10/22/2008 19,886,283 15,118,974 1,591,956 15,216,223 1.11x 4.7% 2008 Avista Capital Partners II, L.P. 11/5/2008 35,000,000 40,389,367 29,784,198 45,601,649 1.87x 22.0% 2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 15,000,000 15,665,956 5,988,120 12,734,115 1.20x 8.5% 2008 Bridgepoint Europe IV 11/14/2008 13,465,119 12,113,428 5,812,775 10,171,738 1.32x 10.2% 2008 Aisling Capital III, LP 11/20/2008 7,000,000 6,204,853 4,129,481 5,411,843 1.54x 23.5% 2008 Onex Partners III LP 12/10/2008 15,000,000 16,017,424 6,682,166 13,401,455 1.25x 10.4% 2009 NorthBound Emerging Manager Custom Fund LP 1/29/2009 20,000,000 14,615,020 5,965,498 14,721,825 1.42x 13.9% 2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 22,500,000 19,508,584 7,736,061 20,477,146 1.45x 14.2% 2009 Scale Venture Partners III, LP 5/1/2009 10,000,000 9,532,553 3,945,139 15,075,949 2.00x 26.5% 2009 FS Equity Partners VI, L.P. 7/27/2009 20,000,000 20,085,424 9,208,389 21,508,689 1.53x 19.1% 2009 Lincolnshire Equity Fund IV, L.P. 8/5/2009 7,500,000 6,355,998 1,363,834 4,804,760 0.97x (1.6%) 2009 Lexington Capital Partners VII, L.P. 12/3/2009 20,000,000 15,759,465 8,906,437 13,734,761 1.44x 18.4% 2010 Snow Phipps II, L.P. 1/8/2010 17,500,000 10,141,752 1,878,829 12,115,984 1.38x 15.3% 2010 Trident V, L.P. 4/29/2010 40,000,000 39,542,676 5,843,336 39,133,055 1.14x 8.0% 2010 Comvest Investment Partners IV, L.P. 10/21/2010 45,000,000 33,981,464 23,526,529 33,972,008 1.69x 45.6% 2011 Blackstone Capital Partners VI, L.P. 1/24/2011 35,000,000 21,223,944 3,693,772 22,561,797 1.24x 18.2% 2011 Ampersand 2011 3/11/2011 12,500,000 10,750,000 705,463 14,517,495 1.42x 16.3% 2011 BDCM Opportunity Fund III, L.P. 4/8/2011 20,000,000 19,535,478 7,610,418 14,542,425 1.13x 10.3% 2011 AXA Secondary Fund V B L.P. 6/16/2011 80,000,000 54,022,329 15,825,134 62,012,103 1.44x 22.5% 2011 Wellspring Capital Partners V, L.P. 7/1/2011 22,500,000 9,900,999 1,293,552 8,059,839 0.94x (3.4%)

New York City Police Pension Fund, Subchapter 2 Private Equity Portfolio As of September 30, 2014 (in USD)

Vintage Committed Contributed Distributed Investment First Drawdown Market Value Multiple IRR Year Capital Capital Capital 2011 EQT VI, L.P. 8/1/2011 49,967,621 35,154,573 485,197 36,973,761 1.07x 5.3% 2011 Pegasus Partners V, L.P. 8/16/2011 14,552,940 8,683,634 74,033 12,423,662 1.44x 17.8% 2011 BC European Capital IX 9/19/2011 69,451,129 39,717,832 5,558,453 36,031,963 1.05x 3.0% 2011 American Securities Partners VI, L.P. 11/18/2011 50,000,000 36,185,588 8,698,732 39,043,211 1.32x 26.1% 2011 Vista Equity Partners Fund IV, L.P. 11/30/2011 70,000,000 61,677,662 4,679,796 69,781,931 1.21x 12.9% 2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 80,000,000 46,368,634 7,207,760 47,404,389 1.18x 17.9% 2012 Summit Partners Growth Equity Fund VIII-A, L.P. 6/14/2012 75,000,000 44,930,639 7,331,728 42,292,662 1.10x 13.7% 2012 Trilantic Capital Partners V L.P. 9/20/2012 50,000,000 14,025,574 108,699 14,180,666 1.02x 2.2% 2012 Palladium Equity Partners IV, L.P. 10/10/2012 35,000,000 6,665,039 650,375 5,844,968 0.97x NM 2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 50,000,000 19,705,203 - 21,153,703 1.07x NM 2012 Green Equity Investors VI, L.P. 11/30/2012 55,000,000 24,824,949 197,541 25,627,245 1.04x NM 2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 50,000,000 17,104,196 11,126,671 15,729,341 1.57x NM 2012 NYCPPF - 2012 Emerging Manager Program* 2/7/2013 50,000,000 8,216,290 723,499 7,631,430 1.02x NM 2012 Neuberger Berman Strategic Co-Investment II LP 3/20/2013 60,000,000 30,412,719 5,764,047 37,288,529 1.42x NM 2013 Carlyle Partners VI, L.P. 7/3/2013 60,000,000 17,600,069 - 16,163,626 0.92x NM 2013 Carlyle Partners VI, L.P. (Side Car) 9/23/2014 6,600,000 1,456,435 - 1,349,153 0.93x NM 2013 Landmark Equity Partners XV, L.P. 10/30/2013 67,000,000 12,068,282 - 15,899,303 1.32x NM 2013 Landmark - NYC Fund I, L.P. 12/24/2013 23,000,000 4,085,386 - 4,521,346 1.11x NM 2013 Apollo Investment Fund VIII, L.P. 12/11/2013 100,000,000 9,206,273 145,384 8,487,843 0.94x NM 2013 Olympus Growth Fund VI, L.P. 1/21/2014 35,000,000 4,029,764 - 4,059,701 1.01x NM 2013 CVC Capital Partners VI, L.P. 2/18/2014 98,030,087 8,107,146 408,466 6,286,136 0.83x NM 2014 ASF VI B L.P. 5/9/2014 60,000,000 12,894,823 - 15,299,612 1.19x NM 2014 ASF VI B NYC Co-Invest L.P. 5/9/2014 20,000,000 2,000 - 2,000 1.00x NM 2013 Crestview Partners III, L.P. N/A 45,000,000 - - (509,911) - N/A 2013 Crestview Partners III (Co-Investment B), L.P. N/A 15,000,000 - - - - N/A 2014 Vista Equity Partners Fund V, L.P. 9/8/2014 85,000,000 3,215,197 - 2,355,539 0.73x NM 2014 Lexington Capital Partners VIII, L.P. 1/8/2015 80,000,000 - - - - NM Total Portfolio1 $ 4,350,028,931 $ 3,432,372,540 $ 2,470,017,032 $ 2,222,588,893 1.37x 10.5%

*Please note that the NYCPPF - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $35.2 million has been committed as of February 24, 2015. 1 Total Portfolio includes liquidated investments. Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York CityPolice Pension Fund, Subchapter 2, based on information provided by the general partners (e.g. cash flows and valuations). The IRR calculations and other information contained in this report have not been reviewed or confirmed by the general partners. The result of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

New York City Police Pension Fund, Subchapter 2 Subsequent Commitments Subsequent Commitments As of September 30, 2014 (in USD)

Vintage Committed Contributed Distributed Investment First Drawdown Market Value Multiple IRR Year Capital Capital Capital Commitments Closed Subsequent to as of Date 2014 NMS Fund II LP 10/31/2014 $ 2,400,000 - - - N/A N/A 2014 Centerbridge Capital Partners III, L.P. N/A 11,100,000 - - - N/A N/A 2014 Webster Capital III, L.P. 1/16/2015 4,500,000 - - - N/A N/A 2014 Mill City Fund II, L.P. 12/29/2014 2,400,000 - - - N/A N/A 2014 Raine Partners II, L.P. N/A 6,000,000 - - - N/A N/A 2015 American Securities Partners VII, L.P. N/A 37,000,000 - - - N/A N/A 2015 Siris Partners III, L.P. N/A 15,000,000 - - - N/A N/A Total Commitments Closed Subsequent to as of Date $ 78,400,000 $ - $ - $ - N/A N/A

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York CityPolice Pension Fund, Subchapter 2, based on information provided by the general partners (e.g. cash flows and valuations). The IRR calculations and other information contained in this report have not been reviewed or confirmed by the general partners. The result of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

~Real Assets Quarterly Report~ The New York City Police Pension Fund Teachers’ Retirement System of the City of New44 York Executive Summary:Performance Third Quarter Measurement 2014 Performance Report as of Measurement September 30, Report 2013 Real Estate

Portfolio Profile OVERVIEW The New York City Police Pension Fund has allocated 6.0% Real estate assets continue to attract demand with allocations growing from nearly (+/- 2%) of the total plan to Real Assets. Real Estate all investor types. Occupational markets are getting healthier led by the US, investments are categorized under Real Assets. The Real London and select Asian markets as tenant options are becoming more limited from a low supply of quality space. Global vacancy has dropped below 13% for the Estate Portfolio’s objective is to generate a total net return first time in the current cycle as supply accelerates with construction activity that exceeds the NFI-ODCE +100 bps total net return anticipated to be around 25% higher in 2015 compared to 2014. The recent decline measured over full market cycles. in gas prices should be a boon to consumer spending and manufacturing, while a prolonged dip could hurt energy-producing regions and markets like Houston. Portfolio Statistics (September 30, 2014) Investment activity will continue to be driven by improving fundamentals and the Total Plan Assets $33.6 billion attractiveness of property yields relative to other asset classes. Capital continues to Target Real Assets Allocation (%) 6% be attracted to the sector with queues growing for open-end funds and dry powder from closed-end funds at the highest level since early-2000s. Target Real Assets Allocation ($) $2.0 billion

Total Real Estate Market Value $1.2 billion Direct Commercial Real Estate Volumes, YTD 2014

Real Estate Unfunded Commitments $542.5 million % % % Total Real Estate Exposure $1.8 billion Change Change Change $ US Q2 14 - Q3 13 - YTD 2013 - Number of Investments 52 Billions Q2 14 Q3 14 Q3 14 Q3 13 Q3 14 YTD 2013 YTD 2014 YTD 2014 Number of Managers 37 Americas 67 79 17% 63 25% 153 208 36% EMEA 62 59 -5% 53 13% 135 175 29% Asia Pacific 32 30 -5% 30 1% 89 85 -5% Net Returns (as of September 30, 2014) Total 161 168 4% 146 15% 377 468 24% 3Q14 Time-Weighted Net Return: 3.2% Source: Jones Lang LaSalle

1 Year Time Weighted Net Return: 16.7% The New York City Police Pension Fund (“Police”) Real Estate Portfolio is, and has 3 Year Time Weighted Net Return: 15.0% been, well positioned to take advantage of conditions in the real estate market Inception-to-Date (ITD) Time-Weighted: 6.2% place. Post economic downturn, in the period reflected in the rolling three-year returns, Police performance exceeds benchmark by 259 basis points. At the end of ITD Net IRR: 6.6% the Third Quarter 2014, the Portfolio achieved a total gross return of 3.9% which ITD Net Equity Multiple: 1.2x was comprised of 1.2% in income and 2.7% in appreciation. The net return for the Quarter was 3.2%. A detailed analysis of the Portfolio’s real estate performance is Investment Guidelines found later in this Executive Summary. Style Sector: Target •40-60% Core/Core Plus •40-60% Non-Core

18.0% Benchmark NFI-ODCE Index +100 bps net 16.7% 16.0% 15.0% over full market cycles 14.0% 14.0% Region Diversification Maximum 25% Int’l 12.5% 12.4% 12.5% Investment Diversification Limit 15% to a single investment 12.0% Manager Diversification Limit 15% to a single manager 10.0% 7.7% 7.2% 65% 8.0% 6.7% Leverage NetReturn 6.2% 6.0% Third Quarter Investment Activity 4.0% 3.2% 3.3% 2.0% No new investment activity occurred during the Quarter. 0.0% Quarter 1 Year 3 Year 5 Year 10 Year Inception

Police Portfolio NFI-ODCE + 100 BPS

The New York City Police Pension Fund 1 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New45 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

FUNDING AND COMPOSITION At the end of the Third Quarter, the Portfolio was funded at $1.2 billion, or 3.7% of total plan assets. A total of $542.4 Real Estate Exposure million in unfunded commitments are still outstanding. Unfunded commitments are down from $581.3 million as of Third Quarter 2014. New commitment activity has accelerated Emerging Managers Portfolio over the past several months and the trend will continue $16 Core / Core Plus throughout 2015. 0.9% Portfolio $581 32.6% New contributions for the Quarter totaled $50.1 million, offset by approximately $81.3 million in distributions and withdrawals. Distributions were weighted to the non-core sector.

Shown in the pie chart to the right is the current risk sector exposure calculated by Market Value + Unfunded Commitments. The Core/ Core Plus component accounts for 32.6% of the Portfolio exposure during the Quarter. The Non- Core component accounts for 66.5% of the Portfolio exposure. Non-Core Portfolio The Emerging Manager component accounts for 0.9% of the $1,186 66.5% Portfolio exposure.

A more detailed break-down of the Portfolio Composition is shown in the table below. Attached as Exhibit A is a matrix which demonstrates compliance with various Investment Policy Statement guidelines.

New York City Police Pension Fund Total Plan Assets 9/30/2014 $33,600 Real Estate Allocation (%) 6% Real Estate Allocation ($) $2,016 Style Sector Allocation

Core / Core Plus Portfolio 40.0 $806 Non-Core Portfolio 55.0 $1,109 Emerging Managers Portfolio 5.0 $101 Uncommitted Core / Core Plus Portfolio $225 Uncommitted Non-Core Portfolio -$77 Uncommitted Emerging Managers Portfolio $85 Funded (Market Value) and Committed Statistics

Core / Core Plus Portfolio 32.6% Non-Core Portfolio 66.5% Emerging Managers Portfolio 0.9% $ Committed 1,783 % Committed on Real Estate Allocation 88.5% % Committed on Total Plan Assets 5.3% Funded (Market Value) Statistics

% Funded (Market Value) of Total Plan Assets 3.7% % Funded (Market Value) of Total Real Estate Allocation 61.5%

The New York City Police Pension Fund 2 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New46 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

PERFORMANCE During the Quarter under review, the Police Real Estate Portfolio produced a 3.9% total gross return. The total net return for the Quarter was 3.2%. On a rolling one-year basis the total gross return of 20.3% was recorded. On a net basis the total return was 16.7%. On a gross basis the Police Portfolio exceeds the NFI-ODCE in all relevant time periods. The benchmark return contemplates a 100 bps premium over the ODCE net

return over full market cycles (10-year). This benchmark is exceeded over all relevant time periods with the exception of the quarter, 10-year and inception periods. The various components of the Portfolio returns are depicted in the chart below.

Core/Core Plus As of September 30, 2014 the market value of the Core/ Core Plus Portfolio was $481 million, or 38.8% on an invested basis. On a funded and committed basis, the Core/ Core Plus Portfolio totaled $581 million, or 32.6% of the total Portfolio. The Core/ Core plus Portfolio generated a 2.9% total gross return for the Quarter comprised of 1.2% in income and 1.7% in appreciation. The total net return for the Quarter was 2.7%.

The most significant contribution to the Quarterly return in this sector was PRISA II, with 0.08%. The largest detractor from the Core/Core Plus Portfolio was JP Morgan Strategic Property Fund, which detracted (0.13%) from the total net return.

The Core/Core Plus Portfolio achieved a 11.3% net return over the three-year period ending September 30, 2014. Of the 15 Core/Core Plus Funds, PRISA II was the largest contributor, adding 0.46% to the overall performance of the Portfolio. Colony Realty Partners II was the largest detractor, taking away (0.81%) from the overall performance of the Core/Core Plus Portfolio.

Non-Core As of September 30, 2014 the market value of the Non-Core Portfolio was $747 million, or 60.2% on an invested basis. On a funded and committed basis, the Non-Core Portfolio totaled $1.2 billion, or 66.5% of the total Portfolio. The Non-Core Portfolio generated a 4.6% total gross return for the Quarter comprised of 1.2% in income and 3.4% in appreciation. The total net return for the Quarter was 3.5%.

Of the 36 Funds contributing to the Quarterly return of the Non-Core, Divco West Fund III was the largest contributor, adding 0.69%. The City Investment Fund was the largest detractor for the Quarter, taking away (0.47%) from the overall performance of the Non-Core Portfolio.

The Non-Core Portfolio generated a three-year net return of 17.8%. Of the 34 non-core Funds contributing to the three-year performance of the Portfolio, Divco West Fund III was the largest contributor, adding 1.21%. The largest detractor among these Funds was Colony Realty Partners, which took away (0.75%) from overall Non-Core performance.

Emerging Managers As of September 30, 2014 the market value of the Emerging Managers Portfolio was $12.2 million, or 1.0% on an invested basis. On a funded and committed basis, the Emerging Managers Portfolio totaled $15.9 million, or 0.9% of the total Portfolio. The Emerging Managers Portfolio generated a 1.3% total gross return for the Quarter comprised of 1.0% in income and 0.4% in appreciation. The total net return for the Quarter was 1.0%. The Emerging Managers Portfolio has underperformed for a number of reasons including the fact that performance has been adversely impacted by virtue of the vintage years of these funds.

25.0%

19.9% 20.0% 17.8% 16.7%

15.0% 15.2% 15.0% 14.0% 13.1% 12.3% 11.9% 11.4% 11.3% 11.3% 11.3% 10.7%

Net Return Net 10.0% 7.8% 6.7% 6.6% 6.6% 6.2% 6.2% 6.1%

5.0% 3.5% 3.2% 2.7% 3.0% 1.8% 1.0% 0.0% 0.0% 0.0% 0.0% Quarter 1 Year 3 Year 5 Year 10 Year Inception

Police Portfolio Core / Core Plus Portfolio Non-Core Portfolio Emerging Managers Portfolio NFI-ODCE

The New York City Police Pension Fund 3 Third Quarter 2014

The New York City Police Pension Fund Teachers’ Retirement System of the City of New47 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

PERFORMANCE Portfolio Performance At the end of the Third Quarter 2014, the Portfolio had a cumulative market value of $1.2 billion. Total market value plus unfunded Fund Contribution to Quarter Return commitments was $1.8 billion, or 88.5% of the real estate allocation. Divco West Fund III 0.42% During the Quarter, the Portfolio achieved a total gross return of 3.9% Blackstone Real Estate Partners VII 0.21% which was comprised of 1.2% in income and 2.7% in appreciation. The Carlyle Realty Partners VI Divco West Fund IV Portfolio achieved a total net return of 3.2%. Since inception, the PRISA III Taconic New York City Investment Fund LP

Portfolio has a net IRR of 6.6% and an equity multiple of 1.2x. Note, Blackstone Real Estate Partners VI Average Above NYC Asset Investor #1 LLC attached as Exhibit B are performance metrics relating to each AG Realty Fund VII investment within the Portfolio. Fidelity Real Estate Growth Fund III KTR Industrial Fund III OCM Real Estate Opportunities Fund III, L.P. The Quarterly return was driven by Divco West Fund III, which RREEF America REIT II AREA Real Estate Investment Fund V, LP contributed 0.42% to the overall performance. The primary laggards in MetLife Core Property Fund RREEF America REIT III the Portfolio were The City Investment Fund and Colony Investors VIII, Almanac Realty Securities VI (Sidecar II) Brookfield Strategic Real Estate Partners detracting (0.27%) and (0.12%), respectively. Brief reviews of Funds LaSalle Property Fund making positive contributions to performance during the Quarter are PRISA II JP Morgan Special Situation Fund found below. Note, that attached as Exhibit C are charts relating to fund Canyon Johnson Urban Fund Prologis Targeted U.S. Logistics Fund, L.P. contributions to returns during different relevant periods. Canyon Johnson Urban Fund III PRISA SA Heitman America Real Estate Trust DivcoWest Fund III (DWF III). During the Quarter, the Fund recorded a Westbrook Real Estate Fund VII total gross return of 11.9% comprised of 0.7% in income and 11.2% in Carlyle Realty Partners V Carbon Capital III appreciation. The net return after fees was 9.4%. As of September 30, Metropolitan Workforce Housing Fund American Value Partners I 2014, the Fund has 11 unrealized investments with a cost of $1.6 billion ARA Asia Dragon Fund and seven realized investments. One realized investment was part of UBS Trumbull Property Fund

Blackstone IV Average Below the three building Portfolio. Through the end of September, capital NYC Asset Investor #3 LLC Lone Star Real Estate Fund III commitments have totaled $470.15 million. The seven realized Canyon Johnson Urban Fund II

investments have generated a leveraged gross IRR of 42.7% and a 1.9x Silverpeak Legacy Partners III (Lehman) Carlyle Realty Partners VII gross equity multiple. Blackstone Real Estate Partners Europe III (USD Vehicle) Westbrook Fund VIII Core/Core NYC Asset Investor #2 LLC Walton Street Real Estate Fund VI Plus Blackstone Real Estate Partners VII (BREP VII). BREP VII had a total Stockbridge Real Estate Fund III Colony Realty Partners II quarterly return of 7.6% comprised of 0.8% in income and 6.8% in AREA European Real Estate Fund III, LP Non-Core appreciation. The net return after fees was 5.8%. Since its inception, the Almanac Realty Securities VI JP Morgan Strategic Property Fund Fund has committed $12.2 billion of equity and has distributed $3.3 Thor Urban Property Fund II Emerging H/2 Special Opportunities Fund II billion of proceeds. At the end of the Quarter, the Fund’s portfolio Manager Blackstone Real Estate Partners Europe IV (USD Vehicle) valuation increased by $949 million. Approximately $1.0 billion of equity Colony Investors VIII -0.13% The City Investment Fund I -0.28% was invested in transactions during the Third Quarter, with an additional -0.4%-0.3%-0.2%-0.1% 0.0% 0.1% 0.2% 0.3% 0.4% 0.5% $1.1 billion committed for investments that will be closed in the fourth quarter. Approximately $550 million was distributed to limited partners during the Third Quarter. Approximately 95% of a retail portfolio was sold in September for $402 million generating a 77% gross IRR and a 1.9x on initial investment.

Carlyle Realty Partners VI (Carlyle VI). Carlyle VI had a total gross return of 8.1% comprised of 7.2% in income and 0.9% in appreciation. The

net return after fees was 8.0%. As of September 30, 2014, Carlyle VI has closed on 121 investments requiring approximately $2.02 billion of Fund equity. Multi-family investments continue to be the focus of the Fund in addition to for-sale residential and senior living assets. Subsequent to Quarter-end, Carlyle has placed under contract or closed on an additional eight investments, bringing the total equity commitment amount to approximately $2.1 billion. Distributions for the Quarter were in excess of $854 million. The Fund has completed its exit strategy on 34 investments and partially exited one investment. This investment activity has generated a gross IRR of 52% and a 1.9x gross equity multiple.

The New York City Police Pension Fund 4 Third Quarter 2014

The New York City Police Pension Fund Teachers’ Retirement System of the City of New48 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

PROPERTY TYPE DIVERSIFICATION

The diversification of the current Portfolio by property type is shown below and compared to the diversification of the NCREIF-ODCE at the end of the Quarter. Relative to the ODCE, the Portfolio is still underweight to all property sectors (excluding hotels) due to its allocation to other property types such as For Sale Residential, Self Storage, Land, Health Care, Medical Office, Data Centers, Senior Living and Student Housing.

Property Type Diversification

40.0% 36.9%

35.0% 31.8% 30.0% 25.2% 25.0% 19.7% 19.1% 20.0% 14.2% 13.1% 15.0% 13.0% 11.8% 10.6% 10.0% Portfolio Composition (%) 5.0% 1.8% 2.8% 0.0% Apartment Office Industrial Retail Hotel Other

Police Portfolio NFI-ODCE

GEOGRAPHIC DIVERSIFICATION

The diversification of the current funded Portfolio by geographic region is shown below and compared to the diversification of the NFI-ODCE at the end of the Quarter. The ODCE is a US-only index. The domestic portion of the Portfolio is well diversified relative to the ODCE with a slight underweight to various regions. The 16.4% international exposure is appropriate for the risk and return profile of Police and consistent with our long-term target. Exposure to the NYC MSA is also included, which stands at 13.1% as of September 30, 2014.

Geographic Diversification 40.0%

35.0% 33.5%

30.0% 24.2% 24.0% 25.0% 20.9% 20.0% 16.4% 15.0% 13.1% 12.1% 10.8% 8.6%9.0% 10.0% 6.5% 7.2% 8.1% Portfolio Composition (%) 5.1% 4.9% 3.9% 5.0% 1.6% 2.5% 0.7% 0.0% 0.0% 0.0% NE ME ENC WNC SE SW Mtn Pac Var. US Int'l

Police Portfolio NFI-ODCE NYC - MSA

The New York City Police Pension Fund 5 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New49 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

MARKET UPDATE

General .Real GDP increased at an annual rate of 3.9% in the third quarter following a 4.6% increase in the second quarter. Economic expansion in the US has been driven by stronger consumer spending, easier credit conditions and stronger business investment.

.Year-to-date, an additional 2 million jobs have been created compared with 1.74 million created during the same time frame in 2013 and marking the strongest job creation pace in 15 years.

.Overall, US consumer household balance sheets are in excellent health with rising stock values, rising home prices and improving job prospects.

.Additionally, the recent decline in gas prices should be a boon to consumer spending and manufacturing, while a prolonged dip could hurt energy-producing regions and markets like Houston.

Commercial Real Estate .Investment activity will continue to be driven by improving fundamentals and the attractiveness of property yields relative to other asset classes.

.Capital continues to be attracted to the sector with queues growing for open-end funds and dry powder from closed-end funds at the highest level since early-2000s.

.The debt markets remain healthy with broad based activity across all lender groups in the US. The availability of debt should continue to support transactions and pricing growth and may compress spreads further in 2015.

.Most office markets in the US are positioned for further rent and occupancy gains as supply remains constrained in all but the strongest markets.

.While the apartment sector continues to see strong demand as employment gains encourage household formation, supply has increased near its long-term average.

.Industrial fundamentals continue to improve as demand remains strong and supply remains limited.

Cap Rates NPI NOI Growth by Property Type (U.S. Core Properties Over $2.5 Million) (4 quarter moving average) 12% 20%

11% 15% 10% 10% 9% 8% 5%

Cap RatesCap 7% 0% 6% -5% 5% % AnnualChange -10% 4% -15% 01 02 03 04 05 06 07 08 09 10 11 12 13 14 02 03 04 05 06 07 08 09 10 11 12 13 14 ------Sep Sep Sep Sep Sep Sep Sep Sep Sep Sep Sep Sep Sep Sep Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar Mar 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 All Core Apartments Industrial Office Retail Hotel Office Retail Apartment Industrial Source: PREA, Real Capital Analytics Source: NCREIF

The New York City Police Pension Fund 6 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New50 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

EXHIBIT A: COMPLIANCE MATRIX

Category Requirement Portfolio Status

NFI-ODCE (net) +100 bps over full market Portfolio returns underperform the Benchmark cycles (10-year) benchmark.

Core/Core Plus (minimum of 40%)

The portfolio is funded (market value) and Non Core (minimum of 40%) committed at 88.5% of real estate Portfolio Composition allocation with a portfolio composition of Non Core Emerging 32.6% core, 66.5% non-core, and 0.9% emerging.

Target of 6.0% Funded (market value) and committed Real Estate Allocation dollars place the portfolio at 5.3% of total Currently Funded at 3.7% plan assets.

Up to 40% Mutlifamily Up to 35% Industrial Up to 45% Office All property type locations are in Property Type Diversification Up to 35% Retail compliance. Up to 25% Hotel Up to 20% Other

Diversified geographically All geographic type locations are in Geographic Diversification Max 25% Ex-US compliance

Portfolio is in early stages of funding, but is LTV 65% in compliance (43.0 %).

Manager exposure is within compliance Manager Exposure 15% of real estate allocation ranges.

The New York City Police Pension Fund 7 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New51 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

EXHIBIT B: THIRD QUARTER 2014 FOIL

New York City Police Pension Fund

Vintage Year Fund Name First Draw Down Capital Committed Contributions Distributions Market Value Equity Multiple Net IRR 2012 Almanac Realty Securities VI 6/6/2012 50,000,000 25,568,226 -4,363,645 25,584,722 1.2 14.6 2012 Almanac Realty Securities VI (Sidecar II) 7/31/2012 15,000,000 2,864,252 -353,099 3,245,912 1.3 22.5 2007 Colony Realty Partners II 12/20/2006 20,000,000 21,420,211 -666,108 7,689,500 0.4 -13.0 2007 Heitman HART 3/29/2007 28,000,000 35,677,882 -7,677,882 42,107,889 1.4 7.0 2007 JP Morgan Special Situation Property Fund 1/2/2007 15,000,000 16,657,033 -3,220,931 15,150,835 1.1 1.5 2007 JP Morgan Strategic Property Fund 12/4/2006 56,000,000 59,279,677 0 86,823,948 1.5 7.6 2010 LaSalle Property Fund 7/1/2010 50,000,000 43,847,638 -5,486,477 53,137,052 1.3 12.1 2014 MetLife Core Property Fund 7/1/2014 40,000,000 7,751,938 -83,701 8,016,901 1.0 19.3 2013 NYC Asset Investor #2 LLC 7/9/2013 60,000,000 27,505,223 -731,035 27,153,871 1.0 2.6 2007 PRISA II 6/30/2007 60,278,867 63,007,261 -7,773,896 67,348,108 1.2 3.0 2006 PRISA SA 9/29/2006 21,000,000 22,281,186 -3,671,467 23,527,526 1.2 2.7 2006 Prologis Targeted U.S. Logistics Fund 10/1/2006 10,000,000 12,230,402 -2,326,183 9,781,263 1.0 -0.2 2006 RREEF America REIT II 10/1/2006 21,000,000 27,724,347 -10,349,478 23,609,643 1.2 3.4 2007 RREEF America REIT III - 1410 10/1/2007 15,000,000 15,000,000 -3,952,706 4,290,801 0.5 -8.7 2006 UBS Trumbull Property Fund 9/28/2006 61,000,000 73,997,659 -10,326,726 83,978,849 1.3 6.1 Core / Core Plus Portfolio 522,278,867 454,812,934 -60,983,333 481,446,819 1.2 3.9 2008 AG Realty Fund VII 5/20/2008 25,000,000 23,500,000 -24,312,500 10,974,891 1.5 14.0 2008 American Value Partners Fund I 10/18/2007 15,000,000 11,291,112 -4,002,549 6,691,387 0.9 -1.4 2008 ARA Asia Dragon Fund 7/9/2008 10,000,000 9,284,000 -8,231,344 4,557,815 1.4 9.5 2008 AREA European Real Estate Fund III, LP 5/6/2008 30,000,000 30,487,500 -21,730,000 15,686,958 1.2 6.0 2006 AREA Real Estate Investment Fund V, LP 6/15/2006 5,000,000 5,000,004 -1,853,705 2,322,888 0.8 -3.4 2004 Blackstone Fund IV 5/10/2004 15,000,000 19,220,353 -18,292,345 8,667,322 1.4 11.6 2010 Blackstone Real Estate Partners Europe III (USD Vehicle)10/24/2008 35,000,000 34,741,801 -12,024,043 36,542,159 1.4 17.6 2014 Blackstone Real Estate Partners Europe IV (USD Vehicle)12/23/2013 97,500,000 30,680,034 -2,281,056 29,113,467 1.0 5.6 2007 Blackstone Real Estate Partners VI 9/27/2007 40,000,000 43,746,571 -27,102,835 52,464,923 1.8 13.9 2012 Blackstone Real Estate Partners VII 3/31/2012 100,000,000 88,547,732 -25,603,332 98,646,746 1.4 28.9 2012 Brookfield Strategic Real Estate Partners 9/20/2012 60,000,000 37,795,890 -7,460,431 37,524,208 1.2 19.1 2003 Canyon Johnson Urban Fund 12/6/2002 10,000,000 9,060,242 -10,582,954 0 1.2 10.2 2005 Canyon Johnson Urban Fund II 5/11/2005 20,000,000 17,977,405 -3,197,297 6,167,344 0.5 -9.4 2010 Canyon Johnson Urban Fund III 3/29/2010 15,000,000 13,894,016 -8,303,477 9,332,951 1.3 11.0 2009 Carbon Capital III 7/2/2009 15,000,000 16,408,936 -19,084,318 906,714 1.2 8.7 2007 Carlyle Realty Partners V 8/27/2007 20,000,000 24,719,318 -24,501,043 6,995,506 1.3 7.3 2011 Carlyle Realty Partners VI 9/14/2011 40,000,000 31,149,939 -14,601,602 28,062,813 1.4 26.4 2014 Carlyle Realty Partners VII 6/30/2014 60,000,000 246,247 0 -208,207 n./a n/a 2007 Colony Investors VIII 9/18/2007 20,000,000 21,249,679 -4,105,727 5,599,252 0.5 -14.3 2012 Divco West Fund III 12/30/2011 70,000,000 68,667,971 -37,678,103 73,165,728 1.6 29.2 2014 Divco West Fund IV 1/15/2014 70,000,000 24,567,354 0 26,172,049 1.1 12.6 2008 Fidelity Real Estate Growth Fund III 5/19/2008 15,000,000 13,388,046 -10,868,608 5,184,690 1.2 5.5 2011 H/2 Special Opportunities Fund II 1/31/2011 25,000,000 24,252,426 -5,217,914 25,666,602 1.3 19.3 2013 KTR Industrial Fund III 6/28/2013 30,000,000 10,109,606 0 12,533,467 1.2 26.0 2014 Lone Star Real Estate Fund III 5/20/2014 75,000,000 18,899,425 -204,232 18,520,100 1.0 -3.3 2007 Metropolitan Workforce Housing Fund 7/13/2007 7,000,000 7,006,513 -2,277,753 5,501,329 1.1 2.9 2013 NYC Asset Investor #1 LLC 6/25/2013 30,000,000 11,400,114 -853,322 12,268,167 1.2 26.1 2013 NYC Asset Investor #3 LLC 9/20/2013 40,000,000 6,034,388 0 5,826,862 1.0 -8.3 2003 OCM Real Estate Opportunities Fund III 3/5/2003 15,000,000 15,000,000 -24,074,046 2,052,611 1.7 11.8 2008 PRISA III 9/30/2008 30,000,000 33,064,529 0 51,597,101 1.6 10.1 2008 Silverpeak Legacy Partners III (Lehman) 5/28/2008 30,000,000 13,301,089 -1,102,135 4,702,892 0.4 -13.7 2008 Stockbridge Real Estate Fund III 9/9/2008 27,000,000 26,285,345 0 36,717,142 1.4 8.7 2012 Taconic New York City Investment Fund LP 7/5/2012 40,000,000 16,090,909 -363,636 19,066,606 1.2 11.2 2004 The City Investment Fund I 3/16/2004 70,000,000 69,030,360 -46,401,247 26,536,983 1.1 1.3 2009 Thor Urban Property Fund II 10/30/2008 20,000,000 25,878,333 -10,606,848 18,089,475 1.1 4.8 2009 Walton Street Real Estate Fund VI 4/27/2009 30,000,000 26,594,360 -8,991,612 28,203,015 1.4 10.6 2008 Westbrook Real Estate Fund VII 12/3/2007 10,000,000 11,011,962 -6,769,697 5,525,894 1.1 2.4 2010 Westbrook Real Estate Fund VIII 12/28/2009 35,000,000 41,184,629 -30,760,980 21,870,613 1.3 13.6 Non Core and Emerging Manager Portfolio 1,301,500,000 930,768,136 -423,440,690 759,250,462 1.3 8.8 New York City Police Pension Fund 1,823,778,867 1,385,581,070 -484,424,022 1,240,697,282 1.2 6.6 Source: PCG historical cash flow data. TTG cash flow data from Fund Managers, effective 2005. Note: The equity multiples and IRRs contained in this report are interim calculations based upon information provided by the investment managers of the New York City Retirement Systems, including cash flows and quarterly unaudited, or audited, valuations. The IRR calculated in early years of a fund life is not meaningful given the J-curve effect and can be significantly impacted by the timing of cash flows, investment strategy, investment pacing, and fund life. The calculations are not necessarily indicative of total fund performance, which can only be determined after the fund is liquidated and all capital contributed and earnings have been distributed to the investor. All data supplied is as of September 30, 2014.

The New York City Police Pension Fund 8 Third Quarter 2014 The New York City Police Pension Fund Teachers’ Retirement System of the City of New52 York Executive Summary: Third Quarter 2014 Performance Measurement Report The TownsendReal Group Estate

EXHIBIT C : ATTRIBUTION

Fund Contribution to 1 Year Return Fund Contribution to 3 Year Return Divco West Fund III 1.04% Divco West Fund III 0.78% Blackstone Real Estate Partners VI 0.69% Blackstone Real Estate Partners VII 0.54% Blackstone Real Estate Partners VII The City Investment Fund I AREA European Real Estate Fund III, LP Blackstone Real Estate Partners VI Stockbridge Real Estate Fund III Carlyle Realty Partners VI Carlyle Realty Partners VI Stockbridge Real Estate Fund III

Taconic New York City Investment Fund LP Average Above AG Realty Fund VII Brookfield Strategic Real Estate Partners Blackstone Real Estate Partners Europe III (USD Vehicle) Average Above AG Realty Fund VII H/2 Special Opportunities Fund II KTR Industrial Fund III Carlyle Realty Partners V NYC Asset Investor #1 LLC Brookfield Strategic Real Estate Partners Fidelity Real Estate Growth Fund III Thor Urban Property Fund II Thor Urban Property Fund II RREEF America REIT III RREEF America REIT III Fidelity Real Estate Growth Fund III Almanac Realty Securities VI OCM Real Estate Opportunities Fund III, L.P. Almanac Realty Securities VI (Sidecar II) KTR Industrial Fund III Blackstone Real Estate Partners Europe III (USD Vehicle) NYC Asset Investor #1 LLC AREA Real Estate Investment Fund V, LP JP Morgan Special Situation Fund MetLife Core Property Fund AREA Real Estate Investment Fund V, LP Divco West Fund IV Westbrook Real Estate Fund VII Canyon Johnson Urban Fund Almanac Realty Securities VI (Sidecar II) Blackstone IV MetLife Core Property Fund OCM Real Estate Opportunities Fund III, L.P. Divco West Fund IV Carbon Capital III Canyon Johnson Urban Fund American Value Partners I Canyon Johnson Urban Fund III Metropolitan Workforce Housing Fund Prologis Targeted U.S. Logistics Fund, L.P. Canyon Johnson Urban Fund III Almanac Realty Securities VI Westbrook Real Estate Fund VII Carlyle Realty Partners VII Carlyle Realty Partners VII PRISA III Prologis Targeted U.S. Logistics Fund, L.P. Colony Investors VIII Walton Street Real Estate Fund VI NYC Asset Investor #3 LLC JP Morgan Special Situation Fund Lone Star Real Estate Fund III H/2 Special Opportunities Fund II American Value Partners I

NYC Asset Investor #3 LLC Average Below Metropolitan Workforce Housing Fund Lone Star Real Estate Fund III Blackstone Real Estate Partners Europe IV (USD Vehicle) Carlyle Realty Partners V Taconic New York City Investment Fund LP

Silverpeak Legacy Partners III (Lehman) NYC Asset Investor #2 LLC Average Below PRISA SA Walton Street Real Estate Fund VI PRISA II ARA Asia Dragon Fund Blackstone Real Estate Partners Europe IV (USD Vehicle) RREEF America REIT II RREEF America REIT II Blackstone IV Canyon Johnson Urban Fund II Carbon Capital III ARA Asia Dragon Fund PRISA II Westbrook Fund VIII PRISA SA Colony Investors VIII Westbrook Fund VIII PRISA III Core/Core Plus Heitman America Real Estate Trust Core/Core Plus NYC Asset Investor #2 LLC LaSalle Property Fund Colony Realty Partners II Non-Core Silverpeak Legacy Partners III (Lehman) Heitman America Real Estate Trust AREA European Real Estate Fund III, LP Non-Core LaSalle Property Fund Canyon Johnson Urban Fund II JP Morgan Strategic Property Fund -0.53% Emerging Manager JP Morgan Strategic Property Fund Emerging Manager UBS Trumbull Property Fund Colony Realty Partners II -0.39% The City Investment Fund- I0.68% UBS Trumbull Property Fund -0.45% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% -1.0% -0.5% 0.0% 0.5% 1.0%

The New York City Police Pension Fund 9 Third Quarter 2014 53

Infrastructure Monitoring Report

For the period ended September 30, 2014

Report Prepared For: New York City Police Pension Fund, Subchapter 2

NEW YORK LONDON SAN DIEGO BEIJING HONG KONG SEOUL SÃO PAULO SAN FRANCISCO

Table of Contents

I. Executive Summary ...... 1 Allocation Summary ...... 1 Performance Summary ...... 2 Portfolio Performance vs. Benchmarks ...... 3 Portfolio Diversification ...... 3 II. Infrastructure Market Overview ...... 4 Market Overview ...... 4 Infrastructure Fundraising ...... 5 Major Transactions...... 6 III. Portfolio Review ...... 7 Quarterly Highlights ...... 7 Investment Performance ...... 8 Since-Inception Performance ...... 8 Performance by Vintage Year ...... 9 Performance by Strategy and Industry Focus...... 9 Performance by Geographic Focus ...... 9 Portfolio Diversification ...... 10 By Strategy, Geography and Industry Focus ...... 10 By Investment Manager ...... 10 Portfolio Cash Flow Analysis ...... 11 Quarterly Cash Flow Activity ...... 11 Annual Cash Flow Activity ...... 11 Net Funded and Unfunded Commitments by Vintage Year ...... 12 Portfolio Company-Level Analysis ...... 13 Geographic Exposure ...... 13 Industry Exposure ...... 13 Public Market Exposure ...... 14 IV. Risk Management Matrix ...... 15

New York City Police Pension Fund, Subchapter 2 Infrastructure Monitoring Report

Important Information

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An investment involves a number of risks and there are conflicts of interest.

Past performance is not necessarily indicative of future results. Actual performance may vary.

New York City Police Pension Fund, Subchapter 2 Infrastructure Monitoring Report

I. Executive Summary

New York City Police Pension Fund, Subchapter 2 (“NYC PPF”) established the Infrastructure Program (the “Program”) in December of 2012 on behalf of its beneficiaries to participate in attractive long-term investment opportunities and to provide diversification to its overall pension investment portfolio.

The inclusion of infrastructure in the NYC PPF pension portfolio allows for global investments in facilities or assets that provide core essential services critical to the operation and development of economies. Typically infrastructure investments have high barriers to entry due to significant capital expenditure requirements, exclusive long term contracts or regulatory requirements. Infrastructure investments are comprised of long useful-life assets with high tangible value and relatively low value erosion over time.

The Program seeks to invest in opportunities in a variety of infrastructure sectors, including but not limited to, transportation, energy, power, utilities, water, wastewater, communications and social infrastructure.

StepStone Group LP (“StepStone”) was engaged by NYC PPF on October 20, 2014 to provide infrastructure advisory services for prospective investment opportunities and monitoring and reporting services for existing and new investments.

Since inception through September 30, 2014, the Program has committed US$160.0 million to three partnership investments (the “Portfolio”). This quarterly monitoring report covers the performance of the Portfolio as of September 30, 2014 as well as significant activity that occurred during the third quarter of 2014.

Allocation Summary

NYC PPF has a Real Assets allocation target of 6% (plus or minus 2%) of total pension assets. Infrastructure is a component asset class within the NYC PPF Real Assets investment program.

As of September 30, 2014, the market value of NYC PPF Real Assets Program represented approximately 3.7% of total pension assets. The market value of NYC PPF Infrastructure Program represented approximately 0.1% of total pension assets, a one basis point increase from the prior quarter.

As the Program matures, the percentage of its market value relative to the total NYC PPF pension assets as well as total Real Assets will continue to increase.

Quarterly September 30, 2014 June 30, 2014 US$ in millions Change Total Pension Assets* $33,600.0 $33,894.0 ($294.0) Total Real Assets* $1,241.0 $1,198.0 $43.0 % Allocation to Real Assets (Target of 6% +/- 2%) 3.7% 3.5% + 16 bps Total Infrastructure Assets $20.4 $15.6 $4.8 % Allocation to Infrastructure vs. Total Pension Assets 0.1% 0.0% + 1 bps

% Allocation to Infrastructure vs. Total Real Assets 1.6% 1.3% + 34 bps

*NYC PPF total Pension Assets and total Real Assets are as of quarter-end (or, if not yet available, the most recent month-end prior to quarter-end) as reported by The New York City Comptroller's Office on www.comptroller.nyc.gov

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Performance Summary

As of September 30, 2014, the Infrastructure Program has achieved a Total Value to Paid-In multiple of 1.0x invested capital and an IRR of 8.2%. Note that, given the relative immaturity of the Portfolio and underlying fund investments, the current performance to-date is not meaningful.

Quarterly September 30, 2014 June 30, 2014 US$ in millions * Change Number of Managers 3 3 0 Number of Investments 3 3 0

Committed Capital1 $160.0 $160.0 $0.0 Contributed Capital $20.4 $15.5 $4.9 Distributed Capital $0.7 $0.3 $0.4 Market Value $20.4 $15.6 $4.8 Total Value $21.1 $15.9 $5.2 Total Gain/(Loss) $0.6 $0.4 $0.2 Unfunded Commitment $139.6 $144.5 ($4.9) Exposure2 $160.0 $160.2 ($0.2) DPI3 0.0x 0.0x 0.0x TVPI4 1.03x 1.03x 0.00x IRR5 8.2% 10.5% -2.3% TVPI Net of StepStone Fees6 1.03x 1.03x 0.00x 6 IRR Net of StepStone Fees 8.2% 10.5% -2.3%

* Note that amounts may not total due to rounding. 1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. Note that the Base/(US$) committed capital for foreign currency-denominated investments as of respective quarter-end dates is calculated as follows: (total net amount funded in Base currency) + (unfunded commitment in Local currency * quarter-end exchange rate). StepStone utilizes OANDA as the source for quarter-end exchange rates to calculate committed capital. 2 Exposure represents the sum of Market Value and Unfunded Commitment. 3 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided by Contributed Capital. 4 TVPI, or Total Value to Paid-In Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time. TVPI is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 5 IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’ fees, expenses and carried interest. 6 TVPI and IRR Net of StepStone fees represent TVPI and IRR net of fees paid by NYC PPF to StepStone through the quarter-end date. Note that no fees have been paid by NYC PPF to StepStone as of September 30, 2014.

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Portfolio Performance vs. Benchmarks

The performance benchmark for the Infrastructure Portfolio is to meet or exceed the Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%.

As of September 30, 2014, the Program outperformed the benchmark by 2.3%. However, as noted previously, given the relative immaturity of the Portfolio, the current performance to-date versus benchmarks is not meaningful. The following graph illustrates Portfolio IRR performance versus the benchmark as of September 30, 2014.

9% 8.2% 1 NYC PPF since inception Internal Rate of Return 8% (“IRR”) is calculated based on the Portfolio’s daily 7% cash flows and market value as of quarter-end. 5.9% IRR is net of fund managers’ fees, expenses and 6% carried interest. 5% 2

% Consumer Price Index ("CPI") benchmark 4% represents the compound annual growth rate of 3% the Consumer Price Index for All Urban 2% Consumers and All Items, as provided by the U.S. Department of Labor: Bureau of Labor Statistics, 1% calculated over a five-year rolling period plus a 0% 4.0% premium.

NYC PPF Consumer Price Index IRR ¹ (“CPI”) + 4% ²

Portfolio Diversification

Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.

Market Value Unfunded Commitment Exposure As of September 30, 2014 (US$ in millions) $ % of Total $ % of Total $ % of Total By Strategy: Core 20.4 100.0% 139.6 100.0% 160.0 100.0% Non-Core - 0.0% - 0.0% - 0.0% Total 20.4 100.0% 139.6 100.0% 160.0 100.0% By Geographic Focus: Global 20.4 100.0% 39.6 28.4% 60.0 37.5% OECD - 0.0% 100.0 71.6% 100.0 62.5% Total 20.4 100.0% 139.6 100.0% 160.0 100.0% By Industry Focus: Diversified 20.4 100.0% 99.6 71.3% 120.0 75.0% Energy - 0.0% 40.0 28.7% 40.0 25.0% Total 20.4 100.0% 139.6 100.0% 160.0 100.0%

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II. Infrastructure Market Overview

Market Overview

Demand for infrastructure investments from institutional investors remained strong during the third quarter of 2014 (“3Q14”). Investor interest continued to be influenced by expansionary monetary policies in most markets, which has kept interest rates at low levels and encouraged investors to seek alternatives to traditional sources of investment income (e.g., fixed income). This demand continued to drive a high valuation environment for the infrastructure asset class, particularly in mature markets such as Western Europe and Australia.

Global economic growth was mixed during 3Q14. Among OECD countries, annualized gross domestic product (“GDP”) was 1.7% higher than the prior corresponding period (“pcp”) and down from 1.9% during 2Q13. Of the seven major economies – the United States, Canada, the United Kingdom, Germany, France, Italy and Japan – the UK experienced the highest GDP growth rate of 3.0%, while Japan’s GDP contracted by 1.1% mainly due to an increase in the rate of consumption tax. The US economy continued its recovery, with GDP increasing 2.3% compared to pcp and the unemployment rate continued its downward trend, reaching a 14-year low. Germany achieved nominal GDP growth of 0.1% quarter over quarter, and, in doing so, avoided sliding into a technical recession. The German economy was aided by a 0.7% increase in private consumption. In major emerging markets, economic activity was generally subdued during the quarter. China’s economy expanded by 7.3% compared to pcp, its slowest rate of growth since 2009. Brazil’s GDP grew 0.1% quarter over quarter, the first expansion in three quarters.

The third quarter of 2014 marked the beginning of what would be a precipitous decline in oil prices. Between last July and January 2015, the price of West Texas Intermediate (“WTI”) crude oil fell from over US$100 to below US$50 per barrel for the first time since the aftermath of the Global Financial Crisis in 2009. The decline in oil prices has been driven largely by a combination of tepid GDP growth, particularly in China and in regions within the OECD, and the late November announcement of the decision by OPEC to maintain its current production level. In essence, demand has not kept up with strong production growth in the US and globally. The long-term economic impacts remain uncertain and will depend on the duration of the downturn.

Infrastructure investment in the US and Canada has been concentrated in the energy sector, although the number of public-private partnerships (“P3s”) in the transport and social infrastructure sectors is expected to grow in the US, Canada and Mexico. While Canada’s P3 market is the most mature in North America, the US market is poised to be the largest. According to a Moody’s report from September 2014, as a result of supportive legislation and public-policy initiatives, as well fiscal challenges facing local governments, more US P3 projects are reaching financial close or are in procurement than ever before.

European markets continue to remain competitive, with a significant amount of capital targeting infrastructure investment in the region. The resulting upward pricing pressure, combined with uncertain medium-term economic growth in the Eurozone, ongoing financial sector reforms, concerns surrounding bank capital adequacy, and geopolitical risks in Eastern Europe, present an uncertain outlook for investors. Notwithstanding this, activity levels are being sustained by the ongoing unbundling of integrated utilities, commitments to renewable energy targets, balance sheet deleveraging by existing asset owners, and security of energy supply priorities.

Investment activity in Latin America remains strong. In Mexico, recent changes in government policy are driving significant growth in infrastructure investment opportunities. Policy initiatives include allowing foreign investment in the energy sector and a National Infrastructure Plan that contains 743 projects requiring investment of approximately US$600 billion from 2014 to 2018. Infrastructure is a political and economic priority in many other parts of Latin America, including Brazil, Chile, Peru and Columbia, each of which continues to provide a range of potential investment opportunities.

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While infrastructure investment in Japan has traditionally been dominated by government-related entities and infrastructure companies with limited private participation by institutional investors, the government continues to face high debt levels. The country recently announced the privatization act for infrastructure assets including airports, and opened bidding processes for Sendai Airport and New Kansai airport. Australia’s economy grew increasing 0.3% quarter over quarter in the third quarter. The continued slow growth and fiscal constraints placed on the federal and state governments has increased the reliance on private sector capital in meeting Australia’s infrastructure deficit. Government initiatives have encouraged a number of high profile asset sales/P3 transactions that expect to be continued into 2015.

Infrastructure Fundraising

Fundraising for infrastructure strategies continues to be robust with a large number of funds in market and several managers having closed new funds at or in excess of targeted fund sizes during the second quarter.

During the third quarter, 14 managers held final Unlisted Infrastructure Fundraising closings, raising aggregate capital of US$8.5 billion. Source: Preqin For the year-to-date period, a total of $27 billion 30 28 26 was raised, an increase of $4 billion compared to 25 the same period in 2013. However, only 28 funds $21 $19 19 held final closes through Q314, compared to 41 20 17 14 15 14 15 $14 15 13 13 13 $12 funds during the same period in 2013. $12 11 12 12 9 $9 9 9 $10 10 $9 $8 $9 $8 7 $7 $6 5 The largest fund to reach a final closing during Q3 $4 $4 $4 5 $4 $3 $3 was Macquarie Infrastructure Partners III, which closed with US$3.0 billion of commitments versus - the US$2.0 billion target. The fund is North America-focused and invests across energy/utilities, transportation, communications infrastructure, and # of Funds Closed Capital Raised (US$bn) waste management. The second large infrastructure fund to close during the quarter was AMP Capital’s second Global Infrastructure Debt, which raised US$1.1 billion. AMP’s debt fund underwrites debt for acquisitions and refinancings and may also make secondary purchases of infrastructure debt securities. The Fund invests across North America, Western Europe, and Australia.

Fund General Partner Size Final Close Date Location Focus Macquarie Infrastructure Partners III Macquarie Infra & Real Assets $ 3,000 Sep-14 Global AMP Capital Global Infrastructure Debt Fund II AMP Capital $ 1,100 Sep-14 Global Balfour Beatty Infrastructure Partners Balfour Beatty $ 618 Jul-14 Europe, North America Panda Power Generation Infrastructure Fund II Panda Power Funds $ 612 Sep-14 US Harbert Power Fund V Harbert Management $ 296 Aug-14 US

Through Q3 2014, Preqin observed 148 funds in market Unlisted Infrastructure Fundraising Source: Preqin targeting aggregate capital commitments of US$95 billion. The 160 144 145 148 largest funds in market include: Morgan Stanley Infrastructure 137 136 140 Partners II, which is targeting $4.0 billion in commitments for 120 107 $93 $97 $95 global infrastructure investments, and ArcLight Energy 100 84$90 $90 $85 $86 77 Partners Fund VI, also targeting US$4.0 billion to invest in 80 energy infrastructure across North America and Western 60 40 $39 Europe. Additionally, Deutsche Asset & Wealth Management 40 $25 is targeting €2bn for its Pan- European Infrastructure Fund II. 20 0 Lastly, Bastion Infrastructure Group is fundraising for its Q1 '07 Q1 '08 Q1 '09 Q1 '10 Q1 '11 Q1 '12 Q1 '13 Q1 '14 Q3 '14 US$2.0 billion first fund which will invest in infrastructure # of Funds Aggregate Target Capital (US$bn) assets on a global basis.

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Major Transactions

Several significant infrastructure transactions occurred on a global basis during the third quarter, with notable activity in North America and Europe.

In July 2014, Global Infrastructure Partners agreed to purchase 25% of Freeport LNG for Quarterly Global Infrastructure Deal Flow $850 million from funds managed by Source: Preqin Hastings Funds Management and Zachry 350 $140 295 American Infrastructure. Freeport LNG is 300 $120 261 262 249 developing a three-train liquefied natural gas 250 216 220 $100 188 199 export facility at its existing LNG receiving 200 176 170 $80 and regasification facility on the Gulf Coast 156 150 $60 of Texas. 100 $40 Number of of Number Deals 50 $20 Also in July, Canada Pension Plan Investment Aggregate Deal Value Board announced its European subsidiary 0 $- had signed an agreement to invest Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 approximately €376 million for a 39% stake 2012 2012 2012 2012 2013 2013 2013 2013 2014 2014 2014 in Interparking from AG Real Estate, reducing # of Deals Estimated Aggregate Value (US$bn) that firm’s stake to 51%. Interparking is one of Europe’s largest car park management companies.

In August 2014, Dynegy announced it would acquire two portfolios of coal- and gas-fired generation assets from Duke Energy Corp and Energy Capital Partners, in two deals totaling $6.25 billion. The assets from Energy Capital Partners include most of the generating facilities in its second fund. The deal is expected to close during the first half of 2015 and is subject to regulatory approvals.

In September 2014, Macquarie European Infrastructure Fund announced the sale of its 50% stake in Bristol Airport to Ontario Teachers' Pension Plan making Ontario Teachers the sole owner. Macquarie has owned Bristol Airport since 2001.

Also in September, Veresen, a Canadian pipeline company developing the Jordan Cove liquefied natural gas facility in Oregon, announced it had agreed to acquire Global Infrastructure Partners' half interest in the Ruby Pipeline system for $1.43 billion. Veresen will become Kinder Morgan’s partner in the Ruby line, which carries as much as 1.5 billion cubic feet per day of natural gas 680 miles from the Opal, Wyoming hub to the Malin hub in southern Oregon. From there the gas will travel by a new pipeline to Jordan Cove for export. Kinder Morgan will remain as operator of the pipeline.

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III. Portfolio Review

Quarterly Highlights

• No New Investment Commitments – There were no new investment commitments made during the third quarter of 2014.

• Subsequent Investment Commitments – Subsequent to quarter-end through February 11, 2015, the Program has not closed on any additional investment commitments.

• Cash Outflow Decreased – During the third quarter of 2014, the Program made US$4.9 million of contributions and received US$0.4 million of distributions, for a net cash outflow of US$4.5 million. This compared to a net cash outflow of US$7.6 million during the prior quarter. Net cash flow is expected to remain negative for the next several years as the Program’s committed capital is drawn down for investments, fees and expenses by fund managers.

• Valuation Increased – During the third quarter of 2014, net of cash flow activity, the valuation of the Portfolio increased by approximately US$0.2 million, or 1.2%, from the prior quarter. The valuation increase reflects the increase in value of underlying investments in Brookfield Infrastructure Fund II.

• No New Investments – There were no new investment positions added to the Portfolio during the third quarter of 2014.

• No Exits – There were no exits of investment positions during the quarter.

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Investment Performance

Since-Inception Performance

As of September 30, 2014, the Program achieved a Total Value to Paid-In multiple of 1.0x and an IRR of 8.2%. Note that, given the relative immaturity of the Portfolio and underlying fund investments, the current performance to-date is not meaningful.

Quarterly September 30, 2014 June 30, 2014 US$ in millions * Change Number of Managers 3 3 0 Number of Investments 3 3 0

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Performance by Vintage Year

The following table illustrates the Portfolio’s since-inception investment performance by vintage year as of September 30, 2014. Note that the performance of funds that are less than one year old is not meaningful.

As of September 30, 2014 (US$ in millions)

Vintage Committed Contributed Distributed Market Total Total Gain/ Unfunded Exposure DPI TVPI IRR Year Capital Capital Capital Value Value (Loss) Commitment 2013 $60.0 $20.4 $0.7 $20.4 $21.1 $0.6 $39.6 $60.0 0.0x 1.0x 8.2% 2014 100.0 - - - - - 100.0 100.0 NM NM NM Total $160.0 $20.4 $0.7 $20.4 $21.1 $0.6 $139.6 $160.0 0.0x 1.0x 8.2%

Performance by Strategy and Industry Focus

The following table illustrates the Portfolio’s since-inception investment performance by strategy and industry focus as of September 30, 2014.

As of September 30, 2014 (US$ in millions)

Committed Contributed Distributed Market Total Total Gain/ Unfunded Strategy/Industry Exposure DPI TVPI IRR Capital Capital Capital Value Value (Loss) Commitment Core $160.0 $20.4 $0.7 $20.4 $21.1 $0.6 $139.6 $160.0 0.0x 1.0x 8.2% Diversified 120.0 20.4 0.7 20.4 21.1 0.6 99.6 120.0 0.0x 1.0x 8.2% Energy 40.0 - - - - - 40.0 40.0 NM NM NM Total $160.0 $20.4 $0.7 $20.4 $21.1 $0.6 $139.6 $160.0 0.0x 1.0x 8.2%

Performance by Geographic Focus

The following table and charts illustrate the Portfolio’s since-inception investment performance by geographic focus as of September 30, 2014.

As of September 30, 2014 (US$ in millions)

Committed Contributed Distributed Market Total Total Gain/ Unfunded Geographic Focus Exposure DPI TVPI IRR Capital Capital Capital Value Value (Loss) Commitment

Global $60.0 $20.4 $0.7 $20.4 $21.1 $0.6 $39.6 $60.0 0.0x 1.0x 8.2% OECD 100.0 - - - - - 100.0 100.0 NM NM NM Total $160.0 $20.4 $0.7 $20.4 $21.1 $0.6 $139.6 $160.0 0.0x 1.0x 8.2%

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New York City Police Pension Fund, Subchapter 2 Infrastructure Monitoring Report

Portfolio Diversification

By Strategy, Geography and Industry Focus

The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows: • Core Infrastructure Investments: 60 to 100%; and • Non-Core Infrastructure Investments: 0% to 40%. Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.

By Investment Manager

As of September 30, 2014, the Program had made three investment commitments to three managers. NYC PPF seeks to limit its exposure to any single manager to no more than 10% of the total Real Assets Program when fully invested. As the Program matures and closes on additional commitments, the single manager exposure is expected to decline significantly. Below is the Portfolio’s current exposure by manager.

25.0% 37.5% Brookfield

IFM Investors

First Reserve

37.5%

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New York City Police Pension Fund, Subchapter 2 Infrastructure Monitoring Report

Portfolio Cash Flow Analysis

Quarterly Cash Flow Activity

During the third quarter of 2014, the Program made US$4.9 million of contributions and received US$0.4 million of distributions, for a net cash outflow of US$4.5 million. As of September 30, 2014, only one fund investment in the Portfolio had cash flow activity. As the Program’s commitment and investment activity increases, net cash outflow is expected to increase. The graph below illustrates cash flow activity since inception by calendar quarter.

$1.0 $0.4 $0.0 $0.1 $0.2 $0.0 ($1.0) ($2.0) ($3.0) ($4.0) ($3.3) ($5.0) ($4.4) ($4.9) ($6.0) US$ in millions ($7.0) ($8.0) ($7.8) ($9.0) Q4 2013 Q1 2014 Q2 2014 Q3 2014

Calendar Quarter

Contributed Distributed Net Cash Flow

Annual Cash Flow Activity

During the first nine months of 2014, the Program made US$16.0 million of contributions and received US$0.7 million of distributions, for a net cash outflow of US$15.4 million. The graph below illustrates cash flow activity since inception by calendar year.

$2.0 $0.0 $0.7 $0.0 ($2.0) ($4.0) ($6.0) ($4.4) ($8.0) ($10.0) ($12.0) US$ in millions ($14.0) ($16.0) ($18.0) ($16.0) 2013 2014

Calendar Year

Contributed Distributed Net Cash Flow

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Net Funded and Unfunded Commitments by Vintage Year

The following chart illustrates the Portfolio’s net funded commitments (defined as total contributions inside commitment less any returns of excess capital and recallable distributions) as a percentage of total capital commitments, by fund vintage year, as of September 30, 2014. Overall, the Portfolio was 87.2% unfunded as of quarter-end.

Net Funded and Unfunded Commitment by Vintage Year (%)

100% 12.8% 90% 34.0% 80% 70% 60%

% 50% 100.0% 87.2% 40% 66.0% 30% 20% 10% 0% 2013 2014 Total

Vintage Year Unfunded Commitment Net Funded Commitment

The following chart illustrates the Portfolio’s net funded commitments relative to total capital commitments, by fund vintage year, as of September 30, 2014. Overall, the Portfolio had US$139.6 million of unfunded commitments as of quarter-end.

Net Funded and Unfunded Commitment by Vintage Year (US$ millions)

$180 $160.0 $160 $15.5 $140

$120 $100.0 - $100

$80 $60.0 $144.5 $60 US$ millionsin $15.5 $100.0 $40 $44.5 $20

$0 2013 2014 Total Unfunded Commitment Net Funded Commitment Vintage Year

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Portfolio Company-Level Analysis

As of quarter‐end, the Portfolio had exposure to five unique portfolio companies/investment positions. As the Portfolio matures, the number of unique portfolio companies/investment positions is expected to increase significantly. On the individual fund level, all current investments are within the single investment limitation of 15% of total fund size.

Geographic Exposure

The following charts illustrate the Portfolio’s current exposure by geographic region at the portfolio company level.

Geographic Exposure by Current Cost Geographic Exposure by Current Market Value

22.9% 21.8%

77.1% 78.2%

North America Europe North America Europe

Industry Exposure

The following charts illustrate the Portfolio’s current exposure by industry at the portfolio company level.

Industry Exposure by Current Cost Industry Exposure by Current Market Value

8.0% 8.0%

12.6% 12.3%

79.3% 79.7%

Renewables Transportation Energy Renewables Transportation Energy

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Public Market Exposure

The Portfolio had no exposure to publicly-traded investments as of the quarter-end.

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IV. Risk Management Matrix

Category Requirement Status Status Notes

The market value of NYC PPF Real Assets Program currently NYC PPF has a Real Assets allocation target of represents approximately 3.7% of total pension assets and the 6% (plus or minus 2%) of total pension assets. market value of NYC PPF Infrastructure Program represents approximately 0.1% of total pension assets. Allocation Infrastructure is a component asset class  within the NYC PPF Real Assets investment As the Program matures, its market value as a percentage of the program. total NYC PPF pension assets and the total Real Assets Program is expected to increase.

The performance benchmark for the Infrastructure Portfolio is to meet or exceed As of September 30, 2014, the Portfolio outperformed the the Consumer Price Index (“CPI”) plus 4% net benchmark by 2.3%. Performance vs. of fees over a rolling 5-year period. Benchmarks  However, given the relative immaturity of the Portfolio, the The Infrastructure Portfolio is expected to current performance to-date versus benchmarks is not generate a total return, net of investment meaningful. management fees, of at least 6.5%.

Core Infrastructure Investments: 60-100% Non-Core Infrastructure Investments: 0-40% The Program is in compliance with the Core/Non-Core allocation Strategy ranges. Currently the Program only has exposure to Core Diversification Actual percentages may differ substantially  investments. from these targets during the initial years of the Program.

The Program will seek diversification by asset type, revenue drivers, and geography. The Given the relative immaturity of the Portfolio, it is not yet portfolio may include a variety of assets diversified by asset type. Asset Type & Location including but not limited to electricity Diversification transmission, pipelines, airports, toll roads,  The asset types and geographic location of current Portfolio communication towers and electric investments are in compliance with the Program’s Investment generators, windmills etc. to vary the sources Policy Statement and Permissible Markets. of revenue to the portfolio.

The average leverage of all investments in the The Program is in compliance with the average leverage Leverage Program is to be no higher than 65%.  limitation. The current leverage level is 40%.

On the individual fund level, all current investments are in compliance with the single investment limitation of 15% of total The maximum commitment to a single fund size. investment is limited to no more than 15% of Single Investment Size the aggregate committed capital of each fund. The Program is in compliance with the single manager limitation & Manager of 10% of the total Real Assets Program.

Diversification The maximum commitment to a single  manager is limited to 10% of the total Real The Program’s manager exposure is currently relatively Assets Program allocation when fully invested. concentrated as a result of the relative immaturity of the Program. Manager diversification is expected to increase as the Program closes on new investment commitments.

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New York City Police Pension Fund, Subchapter 2 Infrastructure Monitoring Report 71

New York City Police Pension Fund, Subchapter 2 Infrastructure Portfolio As of September 30, 2014

Committed Contributed Distributed Market Vintage Year Investment Closing Date TVPI IRR Capital Capital Capital Value Active Investments: 2013 Brookfield Infrastructure Fund II 7/8/2013 $60,000,000 $20,444,879 $688,669 $20,401,185 NM NM 2014 IFM Global Infrastructure Fund 1/2/2014 60,000,000 - - - N/A N/A 2014 First Reserve Energy Infrastructure Fund II, L.P. 4/16/2014 40,000,000 - - - N/A N/A Total $160,000,000 $20,444,879 $688,669 $20,401,185 1.03x 8.2%

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in the early years of a fund is usually not meaningful given the J-Curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP, a consultant to the New York City Retirement Systems, based on information provided by the general partners of each investment (e.g. cash flows and valuations). The IRR calculations and other information contained in this report have not been reviewed or confirmed by the general partners. The result of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

StepStone Group LP 72

II. January Monthly Performance Review: (Material to be sent under separate cover) 73

APPENDICES: 74

Basket Clause 75

Police- BASKET/NON BASKET SUMMARY

Fund Actual (PE & RE on an As of January 31st, 2015 Adjusted Fund Policy invested basis) Non Non Equity Basket* Basket* Total Basket* Basket* Total Domestic Equity 35.5% 0.0% 35.5% 35.1% 0.0% 35.1%

Non-U.S. Equity 10.0% 6.1% 16.1% 10.0% 4.8% 14.8%

Private Equity 0.0% 6.7% 6.7% 0.0% 6.7% 6.7%

Real Assets 4.0% 0.0% 4.0% 4.0% 0.0% 4.0%

REITS 0.3% 0.3% 0.6% 0.3% 0.3% 0.6%

Hedge Funds 0.0% 3.7% 3.7% 0.0% 3.7% 3.7%

Total Equity 49.7% 16.7% 66.5% 49.3% 15.4% 64.8%

Fixed Income Core+5 19.3% 0.5% 19.8% 17.9% 0.5% 18.4%

U.S. Gov't Sector 4.0% 0.0% 4.0% 2.7% 0.0% 2.7% Mortgage Sector 7.2% 0.0% 7.2% 6.9% 0.0% 6.9% Credit Sector 8.1% 0.5% 8.6% 7.9% 0.5% 8.4%

High Yield 2.8% 0.8% 3.6% 3.2% 0.8% 4.1%

Bank Loans 0.0% 1.7% 1.7% 0.0% 1.7% 1.7%

TIPS 4.5% 0.5% 5.0% 2.7% 0.3% 3.0%

Convertibles 1.0% 0.0% 1.0% 0.7% 0.0% 0.7%

Opportunistic 0.0% 2.4% 2.4% 0.0% 2.4% 2.4%

Other Fixed Income 0.0% 0.0% 0.0% 4.9% 0.0% 4.9%

Total Fixed Income 27.6% 5.9% 33.5% 29.5% 5.7% 35.2%

Total Fund 77.3% 22.7% 100.0% 78.8% 21.2% 100.0%

Remaining Capacity 2.3% 3.8%

* Note: Basket amounts are estimates 76

Liquidity Analysis 77

Police Liquidity Profile - Static Analysis 2/24/15

AUM as of January 31, 2015

Liquid Assets Current MV Today 1 Year 2 Years

Domestic Equity $11,336 $11,336 $11,336 $11,336

International Equity 3,044 3,044 3,044 3,044

Emerging Markets 1,730 1,730 1,730 1,730

Hedge Funds 1,191 6 1,063 1,173

REITS 184 184 184 184

Private Equity 2,171 0 0 0

Private Real Estate 1,292 0 0 0

Core + 5 5,957 5,957 5,957 5,957

TIPS 979 979 979 979

Opportunistic Fixed Income 777 583 777 777

Enhanced Yield 1,311 1,311 1,311 1,311

Bank Loans 551 551 551 551

Convertible Bonds 217 217 217 217

ETI 325 66 189 192

Cash 1,266 1,266 1,266 1,266

Total Assets $32,331 $27,229 $28,603 $28,717

Total Illiquid $ $5,101 $3,728 $3,614 Total Illiquid % 15.8% 11.5% 11.2%

Unfunded PE Commitments $1,352 Unfunded RE Commitments 581 Unfunded OFI Commitments 292 Total commitments $ $2,225 Total commitments % 6.9% 78

Police Liquidity Profile - Static Analysis 2/24/15

AUM as of January 31, 2015

Denominator Effect - Decrease AUM by One-Third Total Illiquid $ $5,101 $3,728 $3,614 Total Illiquid % 23.7% 17.3% 16.8% Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids

Liquid Assets Current MV Today 1 Year 2 Years Total Assets $32,331 $27,229 $28,603 $28,717

Private Equity, Real Estate and Opportunistic Fixed Income Stress Case Unfunded PE Commitments Drawn $1,352 $270 $541 Unfunded RE Commitments Drawn 581 116 232 Unfunded OFI Commitments Drawn 292 146 0 Total commitments $ $2,225 $533 $773 Total commitments % 6.9% 1.6% 2.4%

Total Illiquid $ $4,260 $4,387 Total Illiquid % 13.2% 13.6% Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids

Denominator Effect - Decrease AUM by One-Third Total Illiquid $ $5,101 $4,260 $4,387 Total Illiquid % 23.7% 19.8% 20.4% Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids