New Jersey State Investment Council Agenda
Date: Wednesday, May 27, 2020 10:00 a.m. Regular Meeting, Open to Public
Location: *Due to public health considerations related to COVID-19, this meeting will be held solely via telephone.
AGENDA FOR REGULAR MEETING
Roll Call and Notice of Meeting
1. Approval of Minutes for Regular Meeting held March 25, 2020
2. Report from the State Treasurer
3. Director's Report/Update a. Monthly Reporting Package
4. Verbal Report of the Audit Committee
5. Adoption of Amendments to N.J.A.C. 17:16-69 (Common Pension Funds), 71 (Real Assets) and 90 (Private Equity)
6. Investments a. Stellex Capital Partners II, L.P. – up to $125 million b. Silver Lake Fund VI, L.P. – up to $100 million
7. Opportunity for Public Comment
Please note: This is a proposed agenda for this meeting, to the extent known, and the New Jersey State Investment Council may consider and take action on such other business as may come before it at this meeting. In addition, at the New Jersey State Investment Council’s discretion, items listed above in the agenda may not be acted upon.
ADJOURNMENT Agenda Item 1 New Jersey State Investment Council March 25, 2020 Regular Meeting Minutes of the Regular Meeting Due to public health considerations related to COVID-19, this meeting was held solely via telephone on March 25, 2020.
Council Members in Attendance: Deepak Raj, Chair Adam Liebtag, Vice-Chair Theodore Aronson Wasseem Boraie Thomas Bruno Michael Cleary Vaughn Crowe Michael Greaney James Hanson Timothy McGuckin Samir Pandiri Eric Richard Jerome St. John Edward Yarusinsky
Roll Call and Meeting Notice The Regular Meeting was called to order by Deepak Raj, Council Chair, at 10:17 a.m. Ernestine Jones- Booker, Council Secretary, performed roll call and reported that a quorum was present. Ms. Jones-Booker announced that notice of the Regular Meeting scheduled for March 25, 2020 was posted on the website of the Division of Investment (Division); mailed to the Times of Trenton, the Star Ledger, the Bergen Record, and the Courier Post; and e-mailed to the Secretary of State on January 10, 2020. A copy of the notice was posted at the Division and is on file.
Minutes of the Annual and Regular Meetings held January 29, 2020 Theodore Aronson made a motion to approve the minutes of the annual and regular meetings held on January 30, 2019, with Adam Liebtag, Council Vice Chair, seconding the motion. All Council Members present voted in favor, with the exception of Michael Greaney, Eric Richard, and Jerome St. John who abstained since they were not present during the meeting.
Treasurer’s Report Assistant Treasurer Dini Ajmani reported on Fiscal Year 2020 tax revenues and the long-term impact of COVID-19 closures on the Fiscal Year 2021 budget. Ms. Ajmani also discussed the status of contributions to the Pension Fund.
Director’s Report Division Director Corey Amon updated the Council on the Division’s emergency contingency plan for remote access and the status of the Division’s executive search for senior investment professionals. Mr.
1 | Page Agenda Item 1 New Jersey State Investment Council March 25, 2020 Regular Meeting Amon summarized the Director’s Report, reporting on pension fund performance, providing an update on capital markets, and describing asset class allocations. In response to a question from Mr. Raj, Mr. Amon discussed the liquidity of the Pension Fund.
Risk Mitigation Portfolio Restructuring Update Jessie Choi of the Division updated the Council on the restructuring of the Risk Mitigation portfolio, including redemptions intended to reduce the portfolio’s allocation to approach the Council’s target allocation. Daniel Stern of Cliffwater summarized the performance of the risk mitigation portfolio in 2019 and early 2020.
Pacing and Cash Flow Analysis Michelle Davidson of TorreyCove presented a pacing and cash flow analysis for the Private Equity, Real Assets and Private Credit portfolios. In response to questions from Council members, Ms. Davidson discussed potential effects of a disruption in distributions and the long-term risk of suspending or reducing new commitments. Mr. Liebtag expressed his concern about paying fees on unfunded commitments in an environment where funds have difficulty employing capital.
Sean Barber of Hamilton Lane presented a pacing and cash flow analysis for the Real Estate portfolio. Mr. Barber, at the request of Council members, discussed the impact of current market disruptions on near- term distributions and cash flows. James Hanson emphasized the importance of monitoring portfolio leverage exposure.
Vaughn Crowe departed the meeting at this time.
Proposed Amendment to State Investment Council Bylaws Mr. Raj introduced proposed amendments to the State Investment Council bylaws reflecting recent statutory changes with respect to Council membership. Mr. Liebtag made a motion to approve the proposed amendments, which motion was seconded by Mr. Aronson. On a roll call vote, all Council members present voted in favor.
Private Equity Limitation Mr. Raj noted that the Council had previously approved a proposal to amend the Council’s regulations to increase the limit on private equity investments from 12 to 15 percent of the Pension Fund’s assets. He proposed two resolutions to allow the Division to continue to invest in private equity investments in accordance with the Council’s asset allocation policy pending final adoption of this proposal. First, Mr. Raj read a resolution into the record (attached as Exhibit A) approving the Division’s authority to purchase private equity investments so long as the aggregate value of the investments do not exceed fifteen percent of the Pension Fund’s assets. Michael Cleary made a motion to approve the resolution, and the motion was seconded by Mr. Greaney. On a roll call vote, all Council members present voted in favor of the motion. Mr. Raj then read a resolution into the record (attached as Exhibit B) granting the Division a six-month grace period to reduce the level of private equity investments below the maximum levels set forth in N.J.C. 17:16-90.4(a). Thomas Bruno made a motion to approve the resolution, which motion was
2 | Page Agenda Item 1 New Jersey State Investment Council March 25, 2020 Regular Meeting seconded by Wasseem Boraie. On a roll call vote, all Council members present voted in favor of the motion.
At this time, Mr. Crowe returned to the meeting and Mr. Greaney departed the meeting.
Investment CVC Capital Partners VIII Jared Speicher and Robert Colton of the Division of Investment, along with Ms. Davidson of TorreyCove, presented an investment of up to €100 million in CVC Capital Partners VIII, a private equity fund that will pursue buyouts of medium to large sized businesses across Europe and North America. Mr. Colton described the manager’s track record and investment platforms, and summarized the fund’s key investment terms. In response to a question from Mr. Raj, Mr. Speicher and Ms. Davidson discussed various funds focusing on European investment opportunities. Mr. Raj reported that the IPC reviewed the investment and recommended presentation to the Council.
Public Comment Tina Weishaus, Daniel Cummings and Pranita Bijlani of Divest New Jersey spoke regarding fossil fuel divestment.
Adjournment Mr. Aronson made a motion to adjourn the meeting, with Mr. Bruno seconding the motion. All Council Members present voted in favor. The meeting was adjourned at 12:27 p.m.
3 | Page Exhibit A
Resolution Approving Division of Investment Authority to Purchase Private Equity Investments Pursuant to N.J.A.C. 17:16-90.2
WHEREAS, as currently in effect, N.J.A.C. 17:16-90.4(a)(1) provides that at the time of purchase of a private equity investment, the aggregate market value of private equity investments under Subchapter 90 (Private Equity) shall not exceed 12 percent of the combined assets of all of the Pension and Annuity Funds (the “Pension Fund”);
WHEREAS, due to the recent downturn in the public equity markets, the aggregate value of the Pension Fund’s private equity investments currently exceeds 12 percent of the Pension Fund’s assets (12.78% as of March 20, 2020);
WHEREAS, N.J.A.C. 17:16-90.2(c) provides that, notwithstanding the restrictions contained in the subchapter, the Council may approve the purchase of private equity on a case-by-case basis;
WHEREAS, the Council, at its November meeting, approved a proposed amendment to N.J.A.C. 17:16-90.4(a)(1) which would increase the limitation on private equity investments from 12% to 15% of Pension Fund assets (the “Amendment”). The Amendment was published in the NJ Register on January 6, 2020, and the comment period is currently scheduled to end on April 6, 2020;
WHEREAS, in order to continue making private equity investments that are in excess of the existing 12 percent limitation but in conformance with the proposed 15 percent limitation, the Division is asking that the Council approve the Division making investments in private equity pursuant to N.J.A.C. 17:16-90.2(c);
BE IT RESOLVED THAT:
Pursuant to N.J.A.C. 17:16-90.2(c), the Council hereby approves the purchase of private equity by the Division so long as the aggregate value of the Pension Fund’s private equity investments do not exceed 15 percent of the Pension Fund’s assets.
This resolution shall take effect immediately and shall continue in effect until the earlier of (1) the date on which the proposed Amendment becomes effective, or (2) the date on which the Council determines not to proceed with the proposed Amendment.
DATED: March 25, 2020
Exhibit B
Resolution Granting Division of Investment Six-Month Grace Period Pursuant to N.J.A.C. 17:16-90.4(b)
WHEREAS, as currently in effect, N.J.A.C. 17:16-90.4(a)(1) provides that at the time of purchase of a private equity investment, the aggregate market value of private equity investments under Subchapter 90 (Private Equity) shall not exceed 12 percent of the combined assets of all of the Pension and Annuity Funds (the “Pension Fund”);
WHEREAS, due to the recent downturn in the public equity markets, the aggregate value of the Pension Fund’s private equity investments has exceeded 12 percent of the Pension Fund’s assets on most days beginning with March 12, 2020 (the percentage was 12.78% as of March 20, 2020);
WHEREAS, N.J.A.C. 17:16-90.4(b) provides that if the limitation is exceeded, the Council shall be notified at its next regularly scheduled meeting and that the Council may grant the Division a six-month period of grace to reduce the level of participation below the maximum levels;
WHEREAS, given the current volatility of the global public markets and taking into account the pending proposed amendment to increase the limitation on private equity investments from 12% to 15% of Pension and Annuity Fund assets, the Division has requested that the Council grant the Division a six-month period of grace in accordance with N.J.A.C. 17:16-90.4(b).
BE IT RESOLVED THAT:
Pursuant to N.J.A.C. 17:16-90.4(b), the Council hereby grants the Division a six- month period of grace, ending on September 25, 2020, to reduce the level of private equity investments below the maximum levels set forth in N.J.A.C. 17:16- 90.4(a).
This resolution shall take effect immediately and shall continue in effect until the later of (1) September 25, 2020, and (2) such later date as extended by the Council pursuant to N.J.A.C. 17:16-90.4(b).
DATED: March 25, 2020
Agenda Item 3
NJ DIVISION OF INVESTMENT
Director’s Report
State Investment Council May 27, 2020
“The mission of the New Jersey Division of Investment is to achieve the best possible return at an acceptable level of risk using the highest fiduciary standards.” 2
Pension Fund Net Returns(1) for Periods Ending April 30, 2020
10.00
8.00 7.63 7.09 7.04 6.14 5.67 6.00 4.96 4.96 4.89 4.98
4.00
2.03 2.00 * 0.72 0.05 - FYTD CYTD 1 Year 3 Year 5 Year 10 Year 20 Year(0.02) 25 Year
TotalNet Return (%) (1.00) (0.78) (2.00) (1.18) (2.47) (2.34) (3.19) (3.03) (4.00)
(4.71) (6.00)
(7.05) (8.00) Total Fund Benchmark* Difference
(1) Returns are preliminary, unaudited, net of all fees, and exclude Police and Fire Mortgage Program. Certain asset class returns, including private equity, real assets, real estate, and private credit do not include up-to-date valuations and benchmark returns for these asset classes are calculated on a lagged basis. This results in performance comparisons that may be less meaningful. * Benchmark return not available for 25-Year period 3
Capital Markets Update
Fiscal YTD Calendar YTD Fiscal YTD 2/19/20 3/23/20 Fiscal YTD thru 4/30/20 thru 4/30/20 thru 2/19/20Calendarthru Year 3/23/20 2014 U.S.thru 5/21/20 Treasury Yieldsthru 5/21/20
Global Equity Index
MSCI ALL Country World Index -5.17 -12.94 11.90 -33.64 29.14 -4.10
US Equity Indices
Russell 3000 -1.15 -10.43 15.99 -34.96 33.48 0.70 Russell 1000 -0.13 -9.68 16.50 -34.58 33.40 1.68 Russell 2000 -15.35 -21.09 8.96 -40.67 34.77 -12.87 Russell Growth 9.37 -2.25 21.94 -31.89 37.12 13.88 Russell Value -12.01 -19.11 9.86 -38.48 28.86 -12.90
Non-US Equity Indices
MSCI EAFE -12.08 -17.84 6.16 -32.68 23.23 -11.93 MSCI Emerging Markets -10.69 -16.60 6.10 -31.17 23.06 -10.13
Fixed Income & Credit Indices
Bloomberg Barclays U.S. Aggregate 7.56 4.98 4.50 -0.94 4.09 7.76 Bloomberg Barclays U.S. Treasury 10.62 8.89 3.92 5.40 0.70 10.29 Bloomberg Barclays U.S. Credit 5.40 1.29 6.82 -11.12 11.92 6.25 Bloomberg Barclays U.S. Credit (A or better) 7.45 4.08 5.80 -7.08 9.69 7.83 Bloomberg Barclays U.S. Credit (BBB) 3.02 -1.89 8.00 -15.79 14.86 4.46 Bloomberg Barclays U.S. High Yield -5.12 -8.75 5.27 -20.76 16.49 -2.83 S&P/LSTA Leveraged Loan Index -6.64 -9.13 3.46 -20.62 15.74 -4.96 Wells Fargo BDC Index -29.68 -34.53 10.04 -56.97 58.58 -24.91
Real Estate Index
Bloomberg U.S. REIT Index -11.09 -17.18 13.43 -41.21 27.31 -15.09
Real Assets & Commodities Indices
Bloomberg Commodities Index -23.55 -24.71 -3.87 -19.02 1.62 -20.89 Bloomberg Energy Subindex -52.31 -52.79 -10.39 -42.92 2.32 -47.66 Alerian MLP Index -41.64 -35.95 -14.64 -59.37 79.78 -37.65
Source: Bloomberg 3 4
Asset Allocation and Net Returns by Asset Class (April 30, 2020)
ASSET ALLOCATION PERFORMANCE (for periods ending April 30, 2020)(1) As of April 30, 2020 FYTD Calendar YTD Trailing Twelve Months Trailing Three Years
Asse t Cla ss Mkt Value Actual (%) Target (%) Difference NJ Bench NJ Bench NJ Bench NJ Bench
GLOBAL GROWTH US Equity 20,571 27.88% 28.00% -0.12% -1.67% -0.79% -10.37% -10.42% -2.07% -0.68% 6.80% 8.17% Non-US Dev Market Eq 7,985 10.82% 12.50% -1.68% -11.37% -12.23% -17.38% -17.82% -10.58% -11.41% 0.16% -0.52% Emerging Market Eq 4,501 6.10% 6.50% -0.40% -12.53% -10.41% -18.43% -16.42% -13.42% -11.70% -0.83% 0.71% Private Equity 8,811 11.94% 12.00% -0.06% 2.34% 9.93% 2.74% 5.43% 8.98% 15.41% 12.35% 15.85% Equity-Oriented HFs 52 0.07% 0.00% 0.07% -4.98% -14.58% 3.32% -18.97% -3.68% -16.13% -0.94% -4.13% TOTAL GLOBAL GROWTH 41,920 56.82% 59.00% -2.18% -4.18% -1.47% -10.45% -8.87% -3.33% -0.67% 5.44% 7.16%
REAL RETURN Real Assets 1,883 2.55% 2.50% 0.05% -10.57% -3.88% -9.00% -1.33% -10.11% -1.94% -0.21% 1.67% Real Estate 5,095 6.91% 7.50% -0.59% 1.56% 3.15% -2.57% 1.27% 5.21% 4.39% 9.21% 6.13% TOTAL REAL RETURN 6,978 9.46% 10.00% -0.54% -2.09% 1.24% -4.39% 0.62% 0.44% 2.70% 6.22% 4.93%
INCOME Investment Grade Credit 6,760 9.16% 10.00% -0.84% 7.89% 7.45% 4.65% 4.08% 11.96% 11.37% 5.85% 5.70% High Yield 984 1.33% 2.00% -0.67% -6.33% -5.09% -10.00% -8.73% -5.39% -4.08% 1.18% 1.87% Private Credit 5,361 7.27% 6.00% 1.27% -10.37% -6.36% -11.05% -10.63% -7.80% -6.00% 2.17% 1.77% TOTAL INCOME 13,105 17.76% 18.00% -0.24% -1.48% 0.93% -3.46% -2.27% 1.52% 3.43% 3.67% 4.08%
DEFENSIVE Cash Equivalents 5,751 7.79% 5.00% 2.79% 1.91% 1.61% 0.59% 0.58% 2.48% 2.07% 2.33% 1.81% U.S. Government 3,126 4.24% 5.00% -0.76% 10.82% 10.62% 9.08% 8.89% 14.24% 14.27% 5.54% 5.80% Risk Mitigation Strategies 2,427 3.29% 3.00% 0.29% 0.51% 4.20% -1.10% 1.58% 3.16% 5.19% 3.29% 4.90% TOTAL DEFENSIVE 11,304 15.32% 13.00% 2.32% 4.18% 5.39% 2.70% 3.97% 6.01% 6.91% 3.43% 3.43%
OTHER OPPORTUNISTIC PE 459 0.62% 3.28% 9.93% 2.50% 5.43% -2.47% 15.41% 6.58% 15.85% OTHER 11 0.02% TOTAL FUND (2) 73,777 100.00% -2.47% 0.72% -7.05% -4.71% -1.00% 2.03% 4.96% 6.14%
(1) Returns are preliminary, unaudited, and net of all fees (2) Total Pension Fund excludes Police and Fire Mortgage Program Notes: Sum of components may not equal totals due to rounding. Certain asset class returns, including private equity, real assets, real estate, and private credit do not include up-to-date valuations and benchmark returns for these asset classes are presented on a lagged basis. This results in performance comparisons that may be less meaningful. 5
Pension Fund Update: Change in Sector Allocation from March 1, 2020 – April 30, 2020
Global Growth Real Return Income Defensive
Market dislocations, along with State and local municipality appropriations, were the key drivers of changes in sector allocations.
Source: State Street 6 6 Private Credit Portfolio Review
• Private Credit portfolio positioning • Well diversified by sub-strategy, sector, borrower, collateral type, and geography • The General Partners have track records investing (and protecting capital) across market cycles • Long-term, patient capital without risk of forced selling • Emphasis on opportunistic credit managers with the flexibility to be a liquidity provider • Generally positioned defensively heading into COVID-19 • Investing higher in the capital structure • Focusing on lower loan-to-values (“LTV”) • Shortening duration • Being prudent with the application of leverage • Avoiding excessive EBITDA adjustments • Predominantly invested in a legacy portfolio with limited ability to divest • The most recent commitment to Private Credit was made in November 2018 • Over 97% of the portfolio’s NAV was committed in 2017 or prior • 55% of the capital in the portfolio is currently locked up with no provisions for the Division to elect to exit • of the remaining 45% of the portfolio, approximately half is already in the process of being divested (this process was effectuated prior to COVID-19) • The outlook for Private Credit appears favorable • Low global public fixed income yields suggest private credit will offer a more attractive risk-return profile • Going forward, stronger loan docs, better lender protections, and wider credit spreads are expected to persist • Continued opportunities will be provided by evolving banking regulations • Next steps for Private Credit portfolio • Rebalance Private Credit portfolio to bring allocation in line with target • As capacity becomes available, further diversify the Private Credit portfolio • Key structural advantages of Private Credit should be exploited for the benefit of the Pension • Illiquidity premium • Complexity premium • Speed/certainty premium • Superior credit docs from bespoke negotiations 7 7 Real Assets Portfolio Review • Real Assets portfolio status • Legacy positons from the original portfolio construction results in an energy concentration • Real Assets grew out of an energy and direct commodities initiative from the 2006 Alternative Investment Program • The Division eliminated the commodities exposure, which was largely comprised of public investments, in 2016 • The current portfolio contains master limited partnerships (MLPs) of energy companies which the Division has been in the process of unwinding • The last dedicated private energy investment was made in 2015
• Large Separate Accounts and fund commitments in the middle of the past decade resulted in vintage year concentration • 72% of Real Assets’ current NAV was committed in 2012 (42%) and 2015 (30%) • The Division benefits from discounted fee structures and governance on the SMAs • The Division is diversifying the portfolio away from energy • With annual investment pacing of $200-$300 million, the process is a multi-year effort • In 2015, the Division established a new relationship with a diversified value-add real assets manager • In 2017, the Division made its first commitment to a diversified infrastructure manager • In 2019, the Division made is first investment with an agriculture (farmland) manager • In conjunction with the diversification of Real Assets, the Division has modified its benchmark index over time • Real Assets lacks a uniformly recognized index as the sector continues to develop • The original benchmark was the Bloomberg Commodities Index to reflect the commodities focus of the portfolio • The current Cambridge Associates customized benchmark reflects a more diversified long-term target allocation • The outlook for Real Assets appears favorable • Hard assets with long-term contracted cash flows provides implicit inflation protection • Real Assets can generate strong current income to support pension benefits • The sector is less correlated with fixed income and equities • Next steps for the Real Assets portfolio • Continue to diversify Real Assets away from a concentration in conventional energy with target sectors that include: • Diversified Infrastructure • Renewable Energy • Communications • Agriculture & Agribusiness • Diversify geographically outside North America Agenda Item 3a
NEW JERSEY DIVISION OF INVESTMENT
INVESTMENT REPORTING PACKAGE ______
Period Ending April 30, 2020
"The mission of the New Jersey Division of Investment is to achieve the best possible return at an acceptable level of risk using the highest fiduciary standards"
1 of 24 Limited Access 05/22/2020 09:05:52 AM NJ Division of Investment Actual Allocation vs Target Allocation As of April 30, 2020
Actual Allocation % Target % Difference % Allocation (in millions $) U.S. Equity 27.40 28.00 (0.60) 20,571.22 Non U.S. Developed Mkt Equity 10.64 12.50 (1.86) 7,985.29 Emerging Market Equity 5.99 6.50 (0.51) 4,501.20 Equity Oriented Hedge Funds 0.07 0.00 0.07 51.80 Private Equity 11.73 12.00 (0.27) 8,810.62 Global Growth 55.83 59.00 (3.17) 41,920.14 Real Estate 6.79 7.50 (0.71) 5,094.73 Real Assets 2.51 2.50 0.01 1,883.47 Real Return 9.29 10.00 (0.71) 6,978.20 High Yield 1.31 2.00 (0.69) 984.10 Private Credit 7.14 6.00 1.14 5,360.72 Investment Grade Credit 9.00 10.00 (1.00) 6,759.75 Income 17.45 18.00 (0.55) 13,104.57 Cash Equivalants 1 7.66 5.00 2.66 5,750.87 U.S. Treasuries 4.16 5.00 (0.84) 3,125.71 Risk Mitigation Strategies 3.23 3.00 0.23 2,427.40 Defensive 15.06 13.00 2.06 11,303.98 Opportunistic Private Equity 0.61 0.00 0.61 459.57 Other 0.01 0.00 0.01 11.17 Police & Fire Retire Sys Mort Program 1.74 0.00 1.74 1,304.95 Total Pension Fund 100.00 100.00 0.00 75,082.62
Current Asset Allocation Target Asset Allocation Police + Fire Mtg Program Income Income 1.74% 17.45% 18.00%
Opp Priv Equity 0.61% Real Real Return Other Return 9.29% 0.01% 10.00%
Global Global Growth Growth 55.84% 59.00% Defensive Defensive 15.06% 13.00%
2 of 24 Limited Access 05/22/2020 09:05:52 AM Sum of component allocation may not equal total due to rounding 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. NJ Division of Investment Performance vs Policy Benchmark Periods Ending April 30, 2020 Total Pension Fund Returns are Net of All Fees
9.00
7.50
6.00
4.50
3.00
1.50
0.00
-1.50
-3.00
-4.50
-6.00
-7.50 1 Month YTD FYTD 1 Year 3 Year 5 Year 10 Year 20 year 25 year
Total Pension Fund Policy Index
1 Month YTD FYTD 1 Year 3 Year 5 Year 10 Year 20 year 25 year Total Pension Fund 1 4.47 -7.05 -2.47 -1.00 4.96 4.89 7.09 4.96 7.63 Policy Index 2 4.99 -4.71 0.72 2.03 6.14 5.67 7.04 4.98
3 of 24 Limited Access 05/22/2020 09:05:52 AM 1 Returns Exclude Police & Fire Mortgage Program 2 Benchmark return not available for 25-year period. NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks Periods Ending April 30, 2020 Returns are Net of All Fees
Annualized 1 Month YTD FYTD 1 Year 3 Year 5 Year U.S. Equity 13.44 (10.37) (1.67) (2.07) 6.80 7.15 Custom US Policy Bench 13.32 (10.42) (0.79) (0.68) 8.17 8.63 Non U.S. Developed Mkt Equity 7.37 (17.38) (11.37) (10.58) 0.16 0.19 Custom EAFE + Canada Benchmark 1 6.94 (17.82) (12.23) (11.41) (0.52) (0.26) Emerging Market Equity 8.30 (18.43) (12.53) (13.42) (0.83) (0.55) Custom EM Benchmark 1 9.21 (16.42) (10.41) (11.70) 0.71 0.08 Equity Oriented Hedge Funds (0.57) 3.32 (4.98) (3.68) (0.94) (0.69) 50 HFRI EH 50 HFRI ED ACTIVIST (1Month Lag) (15.35) (18.97) (14.58) (16.13) (4.13) (0.98) Private Equity 1.15 2.74 2.34 8.98 12.35 11.94 Custom Cambridge Blend 0.00 5.43 9.93 15.41 15.85 12.52 Global Growth 8.92 (10.45) (4.18) (3.33) 5.44 5.43 Global Growth Benchmark 8.84 (8.87) (1.47) (0.67) 7.16 6.64 Real Estate 1.15 (2.57) 1.56 5.21 9.21 9.76 Real Estate Index 2 0.00 1.27 3.15 4.39 6.13 7.98 Real Assets (0.33) (9.00) (10.57) (10.11) (0.21) 0.86 Custom Commodities and Real Asset Benchmark 0.00 (1.33) (3.88) (1.94) 1.67 (0.02) Real Return 0.74 (4.39) (2.09) 0.44 6.22 6.95 Real Return Benchmark 0.00 0.62 1.24 2.70 4.93 5.37 High Yield 4.16 (10.00) (6.33) (5.39) 1.18 3.42 Custom High Yield Bench 4.53 (8.73) (5.09) (4.08) 1.87 3.44 Private Credit (9.86) (11.05) (10.37) (7.80) 2.17 4.83 BBG Barclays US Corp HY 1M lag +100bps (11.38) (10.63) (6.36) (6.00) 1.77 3.80 Investment Grade Credit 4.14 4.65 7.89 11.96 5.85 4.56 Custom Investment Grade Credit Benchmark 3.55 4.08 7.45 11.37 5.70 4.38 Income (2.05) (3.46) (1.48) 1.52 3.67 4.14 Income Benchmark (1.42) (2.27) 0.93 3.43 4.08 4.03 Cash Equivalants 3 0.10 0.59 1.91 2.48 2.33 1.81 ICE BofA US 3-Month Treasury Bill 0.01 0.58 1.61 2.07 1.81 1.19
4 of 24 Limited Access 05/22/2020 09:05:52 AM 1 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 4 Returns Exclude Police & Fire Mortgage Program NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks Periods Ending April 30, 2020 Returns are Net of All Fees
Annualized 1 Month YTD FYTD 1 Year 3 Year 5 Year U.S. Treasuries 0.39 9.08 10.82 14.24 5.54 3.42 Custom Government Benchmark 0.64 8.89 10.62 14.27 5.80 3.71 Risk Mitigation Strategies (1.97) (1.10) 0.51 3.16 3.29 1.86 T-Bill + 300 BP 0.25 1.58 4.20 5.19 4.90 4.27 Defensive (0.30) 2.70 4.18 6.01 3.43 2.22 Liquidity Benchmark 0.31 3.97 5.39 6.91 3.43 2.23 Opportunistic Private Equity (1.60) 2.50 3.28 (2.47) 6.58 6.75 Custom Cambridge Blend 0.00 5.43 9.93 15.41 15.85 12.52 Total Pension Fund 4 4.47 (7.05) (2.47) (1.00) 4.96 4.89 Policy Index 4.99 (4.71) 0.72 2.03 6.14 5.67
5 of 24 Limited Access 05/22/2020 09:05:52 AM 1 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 4 Returns Exclude Police & Fire Mortgage Program NJ Division of Investment Domestic Equity As of April 30, 2020
Top Holdings*
% of Security Name Portfolio APPLE INC 4.70
MICROSOFT CORP 4.60
AMAZON.COM INC 3.68
ALPHABET INC CL C 2.89
FACEBOOK INC CLASS A 1.74
JOHNSON + JOHNSON 1.41
VISA INC CLASS A SHARES 1.10
JPMORGAN CHASE + CO 1.08
PROCTER + GAMBLE CO/THE 1.05
UNITEDHEALTH GROUP INC 0.98
Select Portfolio Sector Weightings
30.00
27.00 24.99 24.94 24.00
21.00
18.00
15.45 15.15 15.00
12.00 11.02 10.69 10.93 11.00 9.96 10.17 9.00 8.52 8.58 6.69 7.08 6.00 3.70 3.38 3.17 3.32 2.95 3.00 2.85
0.00 INFORMATION HEALTH CARE CONSUMER FINANCIALS COMMUNICATION INDUSTRIALS CONSUMER REAL ESTATE UTILITIES ENERGY TECHNOLOGY DISCRETIONARY SERVICES STAPLES
Domestic Equity Portfolio S&P Composite 1500
6 of 24 *Holdings include accruals Limited Access 05/22/2020 09:05:52 AM NJ Division of Investment International Equity As of April 30, 2020
Top Holdings*
% of Security Name Portfolio ALIBABA GROUP HOLDING SP ADR 2.24
TENCENT HOLDINGS LTD 2.20
ISHARES MSCI TAIWAN ETF 2.14
ISHARES MSCI INDIA ETF 1.88
TAIWAN SEMICONDUCTOR SP ADR 1.48
SAMSUNG ELECTRONICS CO LTD 1.45
NESTLE SA REG 1.42
ROCHE HOLDING AG GENUSSCHEIN 1.10
NOVARTIS AG REG 0.83
PING AN INSURANCE GROUP CO H 0.69
Select Portfolio Sector Weightings
22.50
20.00 18.89 17.75 17.50
15.00
12.50 11.88 11.93 10.96 10.79 10.58 10.52 10.39 9.63 10.00 9.23 9.22
7.84 7.53 7.50 7.38 6.47 6.17 4.97 5.00 4.06
2.50
0.00 0.00 FINANCIALS CONSUMER INFORMATION INDUSTRIALS CONSUMER HEALTH CARE COMMUNICATION COMMINGLED MATERIALS ENERGY DISCRETIONARY TECHNOLOGY STAPLES SERVICES FUND
International Equity Portfolio Custom ACWI ex US Benchmark
7 of 24 *Holdings include accruals Limited Access 05/22/2020 09:05:52 AM NJ Division of Investment Fixed Income Composite As of April 30, 2020
Top Holdings*
% of Security Name Coupon % Maturity Date Portfolio US TREASURY N/B 2.88 08/15/2028 2.14
US TREASURY N/B 1.88 05/31/2022 1.89
US TREASURY N/B 2.00 11/15/2021 1.83
US TREASURY N/B 1.50 08/15/2022 1.42
US TREASURY N/B 2.50 05/15/2046 1.42
US TREASURY N/B 2.13 03/31/2024 1.37
US TREASURY N/B 1.50 09/15/2022 1.33
US TREASURY N/B 1.50 08/15/2026 1.32
US TREASURY N/B 1.63 02/15/2026 1.31
US TREASURY N/B 1.75 07/31/2024 1.22
---High Grade Portfolio Sector Weights---
Others 9.66% ELECTRIC/GAS 8.22%
OTHER YANKEE 12.29%
FINANCE 33.07%
INDUSTRIAL 36.77%
ELECTRIC/GAS FINANCE INDUSTRIAL OTHER YANKEE Others
8 of 24 *Holdings include accruals Limited Access 05/22/2020 09:05:52 AM New Jersey Division of Investment International Equity Exposure by Country 04/30/2020 Custom Net Foreign Custom Net Foreign $ Mkt Value % of Int'l Int'l Currency $ Mkt Value % of Int'l Int'l Currency in millions Equity Port. Index Hedge Exposure in millions Equity Port Index Hedge Exposure Developed Markets: Emerging Markets: Developed - Euro EM - Global 4.2 0.0% 0.0% 4.2 Austria 6.7 0.1% 0.1% 6.7 EM - Europe/Middle East/Africa Belgium 66.1 0.5% 0.5% 66.1 Belarus 8.3 0.1% 0.0% 8.3 Finland 69.1 0.6% 0.6% 69.1 Czech Republic 14.0 0.1% 0.0% 14.0 France 690.7 5.6% 6.0% 690.7 Egypt 7.8 0.1% 0.0% 7.8 Germany 546.7 4.4% 4.4% 546.7 Greece 8.0 0.1% 0.1% 8.0 Ireland 47.3 0.4% 0.4% 47.3 Hungary 23.2 0.2% 0.1% 23.2 Italy 164.8 1.3% 1.2% 164.8 Poland 35.0 0.3% 0.3% 35.0 Netherlands 299.4 2.4% 2.5% 299.4 Qatar 29.6 0.2% 0.3% 29.6 Portugal 15.9 0.1% 0.1% 15.9 Russia 167.3 1.4% 1.1% 167.3 Spain 165.3 1.3% 1.4% 165.3 Saudi Arabia 58.3 0.5% 1.0% 58.3 Euro Currency 0.0 South Africa 173.0 1.4% 1.4% 173.0 Developed - Non-Euro Turkey 39.6 0.3% 0.2% 39.6 Australia 473.4 3.8% 3.8% 473.4 United Arab Emirates 31.8 0.3% 0.2% 31.8 Canada 705.1 5.7% 5.9% 705.1 EM - Latam Denmark 165.5 1.3% 1.3% 165.5 Argentina 31.6 0.3% 0.0% 31.6 Hong Kong 304.4 2.5% 2.3% 304.4 Brazil 234.2 1.9% 1.7% 234.2 Israel 55.4 0.4% 0.4% 55.4 Chile 28.1 0.2% 0.2% 28.1 Japan 1,895.4 15.4% 15.2% 1,895.4 Colombia 6.0 0.0% 0.1% 6.0 New Zealand 20.5 0.2% 0.2% 20.5 Mexico 103.1 0.8% 0.7% 103.1 Norway 35.7 0.3% 0.3% 35.7 Peru 21.5 0.2% 0.1% 21.5 Singapore 91.5 0.7% 0.7% 91.5 EM - Asia ex Japan Sweden 218.1 1.8% 1.6% 218.1 China 1,642.8 13.3% 14.3% 1,642.8 Switzerland 732.0 5.9% 6.1% 732.0 India 386.6 3.1% 3.0% 386.6 United Kingdom 1,110.7 9.0% 8.7% 1,110.7 Indonesia 90.6 0.7% 0.6% 90.6 Korea 578.0 4.7% 4.4% 578.0 Malaysia 67.0 0.5% 0.7% 67.0 Pakistan 1.9 0.0% 0.0% 1.9 Philippines 26.2 0.2% 0.3% 26.2 Taiwan 547.1 4.4% 4.7% 547.1 Thailand 95.0 0.8% 0.9% 95.0
Page 9 of 24 New Jersey Division of Investment Cash Management Fund PARTICIPATION 04/30/20 VALUE PERCENTAGE STATE NON-STATE AVG.DAYS STATE $ 17,267.9 85.27% 4/30/2020 0.50% 0.44% 43 NON-STATE $ 2,982.7 14.73% 1 Month 0.79% 0.73% TOTAL $ 20,250.6 100.00% Fiscal YTD 1.83% 1.77% 1 Year 1.93% 1.87%
Percentage 30-Apr-20 1.40% 1.20% 13.55% 5.22% 0.37% US TREASURY BILLS US TREASURY BILLS 52.85% $10,692,023,331.95 CERT. OF DEPOSIT CERT. OF DEPOSIT 25.41% 5,140,767,199.33 COMMERICAL PAPER COMMERICAL PAPER 13.55% 2,740,603,740.67 US TREASURY NOTES US TREASURY NOTES 5.22% 1,056,900,707.54 52.85% 25.41% CORPORATE BONDS CORPORATE BONDS 1.40% 282,585,809.65 STATE STREET STIF STATE STREET STIF 1.20% 242,340,690.86 GOV'T AGENCY 0.37% 74,943,189.75 GOV'T AGENCY TOTAL 100.00% $ 20,230,164,669.75
Page 10 of 24 State Investment Council Regulation Violations and Other Reportable Matters April 30, 2020
Newly Reported Violations Regulation Date of Violation Description of Violation Date Corrected Violated There are no reportable violations
Status of Outstanding Violations Previously Reported Regulation Date of Violation Description of Violation Date Corrected Violated There are no reportable matters
Other Reportable Matters Description There are no other reportable matters
Page 11 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020
Alternative Investments as of April 30, 2020 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Private Equity Co-Investments 2,125,000,000 1,654,302,849 590,590,544 1,661,188,550 1,134,180,464 2,795,369,014 1.69 BX NJ Co-Invest (PE) L.P. Apr-12 Dec-19 50,000,000 50,064,253 0 73,565,715 0 73,565,715 1.47 NB/NJ Custom Investment Fund II Apr-12 Dec-19 200,000,000 196,235,600 3,764,400 126,857,476 324,570,487 451,427,964 2.30 NB/NJ Custom Investment Fund III, LP Apr-18 Dec-19 200,000,000 154,845,544 45,154,456 163,634,887 0 163,634,887 1.06 NJ Roark Co-Invest Fund III LLC Jan-14 Dec-19 75,000,000 15,102,418 59,897,582 14,579,398 7,405,451 21,984,850 1.46 SONJ Private Opportunities Fund II, L.P. Nov-07 Sep-19 1,300,000,000 1,090,869,426 328,959,714 1,205,807,934 691,688,072 1,897,496,007 1.74 SONJ Private Opportunities Fund, L.P. Sep-06 Dec-19 100,000,000 96,781,088 3,218,912 1,274,065 110,516,453 111,790,518 1.16 Vista Co-Invest Fund 2017-3, L.P. Nov-17 Dec-19 200,000,000 50,404,520 149,595,480 75,469,075 0 75,469,075 1.50
Distressed Debt 1,877,807,307 1,700,440,778 450,638,049 1,019,217,335 1,165,560,828 2,184,778,164 1.28 BSP Special Situations Fund L.P. Jan-17 Dec-19 150,000,000 129,962,000 40,251,490 122,540,991 20,213,490 142,754,481 1.10 Catalyst Fund V, L.P. Nov-15 Feb-20 100,000,000 72,500,000 39,819,872 43,766,299 20,738,136 64,504,435 0.89 Centerbridge Capital Partners II, L.P. May-11 Dec-19 100,000,000 147,311,226 8,518,828 25,979,733 107,807,067 133,786,800 0.91 Centerbridge Capital Partners, L.P. Jun-06 Dec-19 80,000,000 126,272,285 5,194,774 8,937,805 217,493,015 226,430,820 1.79 Chatham Asset Private Debt and Strategic Capital Fund Nov-17 Mar-20 200,000,000 200,000,000 0 223,400,016 4,000,000 227,400,016 1.14 GOF II Feeder B, L.P. Oct-17 Dec-19 100,000,000 42,500,000 57,500,000 42,987,900 0 42,987,900 0.00 Golden Tree NJ Distressed Fund 2015 300,000,000 233,500,000 128,500,000 250,173,328 66,600,000 316,773,328 1.36 GoldenTree NJ Distressed Fund 2015 GP LLC Feb-16 Dec-19 200,000,000 205,500,000 56,500,000 222,173,328 66,600,000 288,773,328 1.41 GoldenTree NJ Distressed Fund 2015 GP LLC - Second Vintage Jan-20 Dec-19 100,000,000 28,000,000 72,000,000 28,000,000 0 28,000,000 1.00 HIG Bayside Debt & LBO II May-08 Dec-19 100,000,000 101,200,001 17,404,876 22,128,478 154,857,798 176,986,276 1.75 KPS Special Situations Fund III, LP May-07 Dec-19 25,000,000 24,943,668 11,618,374 138,752 51,027,271 51,166,023 2.05 KPS Special Situations Fund IV, LP Apr-13 Dec-19 200,000,000 172,905,312 34,330,140 163,644,343 43,949,263 207,593,606 1.20 MatlinPatterson Global Opps. Ptnrs. III Jun-07 Dec-19 100,000,000 105,422,748 2,292,407 22,350,250 115,331,722 137,681,972 1.31 MHR Institutional Partners III, L.P. May-07 Feb-20 75,000,000 79,564,286 26,089,693 23,327,983 82,385,384 105,713,367 1.33 MHR Institutional Partners IV, L.P. Jul-14 Feb-20 100,000,000 67,500,000 45,363,926 55,356,669 13,225,391 68,582,060 1.02 TPG Financial Partners, L.P. May-08 Dec-19 47,807,307 35,285,615 104,477 181,611 36,347,230 36,528,841 1.04 TPG Opportunities Partners II, L.P. Mar-12 Dec-19 100,000,000 69,794,467 30,205,533 9,130,908 113,016,644 122,147,552 1.75 WLR Recovery Fund IV, LP Oct-07 Sep-19 100,000,000 91,779,170 3,443,659 5,172,268 118,568,418 123,740,686 1.35
Domestic Midmarket Buyout 4,708,660,000 4,121,629,778 1,197,160,762 2,379,002,360 3,923,920,297 6,302,922,656 1.53 American Industrial Partners Capital Fund V Dec-11 Dec-19 50,000,000 61,966,755 506,158 64,446,131 34,528,311 98,974,442 1.60 American Industrial Partners Capital Fund VI, L.P. Sep-15 Dec-19 75,000,000 76,886,504 15,470,520 78,353,282 17,357,023 95,710,305 1.24 Court Square Capital Partners II, L.P. May-07 Dec-19 100,000,000 91,826,567 9,734,672 8,725,094 164,638,789 173,363,883 1.89 Excellere Capital Fund III, L.P. Jul-15 Dec-19 40,000,000 25,155,543 16,884,053 25,441,658 4,122,076 29,563,735 1.18 InterMedia Partners VII, L.P. Dec-05 Dec-19 75,000,000 96,473,202 969,625 0 92,415,909 92,415,909 0.96 JLL Partners Fund VI, LP Jun-08 Dec-19 150,000,000 195,024,471 24,312,752 51,794,371 308,827,499 360,621,870 1.85 JLL Partners VII, LP Mar-16 Dec-19 150,000,000 131,114,055 22,558,303 175,003,576 3,672,358 178,675,934 1.36
Page 12 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple JLL Partners Fund VIII, L.P. Feb-19 Dec-19 200,000,000 0 200,000,000 0 0 0 0.00 Lindsay Goldberg III, L.P. Jul-08 Dec-19 200,000,000 194,067,846 10,745,140 1,770,459 269,408,750 271,179,209 1.40 Lindsay, Goldberg & Bessemer II, L.P. Jul-06 Dec-19 100,000,000 94,569,317 5,430,683 0 126,602,739 126,602,739 1.34 Marlin Equity Partners IV Jun-13 Dec-19 75,000,000 74,618,102 384,692 56,060,973 38,414,004 94,474,977 1.27 New Mountain Partners III, L.P. May-07 Dec-19 100,000,000 110,046,444 6,858,837 78,089,760 144,146,303 222,236,063 2.02 Oak Hill Capital Partners II, L.P. Jul-05 Dec-19 75,000,000 83,673,791 180,434 1,385,055 131,627,188 133,012,243 1.59 Oak Hill Capital Partners III, L.P. Oct-07 Dec-19 250,000,000 313,526,894 5,710,923 41,525,217 440,725,659 482,250,876 1.54 Onex Partners II, LP Aug-06 Dec-19 100,000,000 88,793,250 11,206,750 4,840,607 162,303,120 167,143,727 1.88 Onex Partners III, LP Dec-08 Dec-19 100,000,000 110,006,784 8,872,935 37,214,311 145,752,677 182,966,988 1.66 Onex Partners IV, LP May-14 Dec-19 166,490,000 160,449,736 11,247,388 112,652,428 75,598,429 188,250,857 1.17 Onex Partners V-B, L.P. Oct-17 Dec-19 100,000,000 22,698,845 77,301,155 22,724,517 0 22,724,517 1.00 Quadrangle Capital Partners II Aug-05 Dec-19 50,000,000 47,195,373 614,231 3,407,281 64,823,592 68,230,874 1.45 Roark Capital Partners III L.P. Sep-12 Dec-19 100,000,000 99,182,587 15,702,208 138,634,333 54,258,181 192,892,514 1.94 Sterling Capital Partners IV, L.P. Apr-12 Dec-19 100,000,000 105,863,205 133,484 43,974,267 40,885,146 84,859,413 0.80 Sycamore Partners III, L.P. Jan-18 Dec-19 150,000,000 21,954,598 128,045,402 14,402,524 0 14,402,524 0.66 Tenex Capital Partners II, LP Mar-16 Dec-19 78,170,000 71,167,090 11,906,127 83,557,352 6,711,232 90,268,583 1.27 Tenex Capital Partners, L.P. Jan-11 Dec-19 50,000,000 66,904,852 4,014,897 14,146,053 78,037,540 92,183,593 1.38 Tenex Capital Partners LP - Secondary Feb-13 Dec-19 20,000,000 24,457,885 1,605,958 5,650,250 29,766,355 35,416,605 1.45 The Resolute Fund II, L.P. Dec-07 Dec-19 100,000,000 104,216,793 6,756,906 37,139,473 116,030,313 153,169,786 1.47 The Rise Fund (A), L.P. Nov-17 Dec-19 75,000,000 51,369,422 24,296,009 57,427,239 1,026,809 58,454,048 1.14 The Rise Fund II, L.P. Mar-19 Mar-20 105,000,000 0 105,000,000 0 0 0 0.00 TPG Growth IV, L.P Mar-19 149,000,000 91,553,016 58,124,421 89,953,507 1,269,487 91,222,994 1.00 TPG Growth II, L.P. Jun-12 Dec-19 100,000,000 103,626,688 3,813,202 61,707,488 134,646,999 196,354,487 1.89 TSG 7 A L.P. Nov-15 Dec-19 80,000,000 60,544,079 19,455,921 74,633,715 841,098 75,474,813 1.25 TSG 7 B L.P. Nov-15 Dec-19 20,000,000 12,331,332 7,668,668 8,937,895 1,440,598 10,378,493 0.84 TSG8, L.P. Dec-18 Dec-19 100,000,000 14,737,363 85,262,637 11,869,251 0 11,869,251 0.81 Vista Equity Partners Fund III, L.P. Jul-07 Dec-19 100,000,000 106,611,303 7,951,025 9,456,375 254,306,780 263,763,155 2.47 Vista Equity Partners Fund IV, L.P. Oct-11 Dec-19 200,000,000 213,598,966 33,049,177 136,998,846 272,651,267 409,650,113 1.92 Vista Equity Partners Fund V, L.P. Mar-14 Dec-19 200,000,000 254,697,699 46,397,211 210,195,228 250,332,126 460,527,354 1.81 Vista Equity Partners Fund VI, L.P. Nov-16 Dec-19 200,000,000 221,408,313 27,876,869 260,641,110 49,419,923 310,061,033 1.40 Vista Foundation Fund II, L.P. Nov-13 Dec-19 75,000,000 77,269,427 38,330,682 83,281,505 54,558,776 137,840,281 1.78 Vista Foundation Fund III, L.P. Nov-16 Dec-19 100,000,000 82,523,269 17,476,731 93,489,870 14,825,086 108,314,956 1.31 Vista Foundation Fund IV, L.P. Feb-20 Dec-19 100,000,000 0 100,000,000 0 0 0 N/A Welsh, Carson, Anderson & Stowe XI, L.P. Oct-08 Dec-19 100,000,000 100,000,000 0 33,448,841 130,320,188 163,769,029 1.64
Emerging Managers 400,000,000 440,325,305 22,032,885 153,598,458 702,669,630 856,268,088 1.94 Fairview Capstone Partners II, LP Sep-08 Dec-19 100,000,000 106,626,890 3,138,213 62,827,926 143,077,163 205,905,089 1.93 Page 13 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Fairview Capstone Partners, LP May-07 Dec-19 100,000,000 91,010,329 8,989,671 41,213,751 237,771,588 278,985,339 3.07 Grosvenor/NJDI Emerging Opp 200,000,000 242,688,086 9,905,001 49,556,781 321,820,879 371,377,661 1.53 Grosvenor/NJDI Emerging Opp (2007) Apr-07 Dec-19 100,000,000 122,442,974 2,916,257 27,950,189 150,326,735 178,276,923 1.46 Grosvenor/NJDI Emerging Opp (2008) Jun-08 Dec-19 100,000,000 120,245,112 6,988,744 21,606,593 171,494,145 193,100,737 1.61
International 2,823,799,181 2,297,618,527 700,716,357 1,253,811,607 2,001,279,778 3,255,091,386 1.42 AIMS/NJ Euro Small and Mid Fund I, L.P. Feb-06 Dec-19 200,000,000 192,516,447 17,833,242 13,482,051 218,820,664 232,302,715 1.21 AIMS/NJ Euro Small and Mid Fund II, L.P. Jul-07 Dec-19 199,301,127 192,539,634 28,094,827 50,978,485 200,228,243 251,206,728 1.30 Anacap Financial Partners II May-08 Dec-19 127,016,533 190,083,018 5,284,876 43,856,734 181,132,534 224,989,269 1.18 AnaCap Financial Partners III, L.P. Jul-14 Dec-19 139,402,756 79,817,459 72,263,328 83,322,534 12,714,114 96,036,648 1.20 AnaCap Financial Prtns GP Nov-09 Sep-19 9,868,438 9,868,438 0 11,277,159 1,570,670 12,847,829 1.30 ARDIAN Buyout Fund VII A S.L.P Mar-20 Dec-19 136,210,328 39,562,685 96,647,643 40,264,837 0 40,264,837 1.02 MBK Partners Fund IV, L.P. Dec-16 Dec-19 85,000,000 61,209,872 23,790,128 64,609,637 16,772,886 81,382,523 1.33 MBK Partners Fund V, L.P. Jan-20 Dec-19 100,000,000 0 100,000,000 0 0 0 N/A New Jersey Asia Investors II, L.P. Jul-11 Sep-19 200,000,000 233,960,325 1,520,639 142,308,476 221,546,863 363,855,339 1.56 New Jersey Asia Investors III, L.P. Aug-16 Sep-19 300,000,000 157,865,373 144,359,125 160,832,021 12,166,121 172,998,142 1.10 New Jersey Asia Investors, L.P. Jan-08 Sep-19 100,000,000 99,472,080 13,182,928 50,082,997 238,102,303 288,185,300 2.90 NJHL European BO Investment II Series B Apr-07 Sep-19 200,000,000 152,407,452 11,773,453 5,393,513 221,961,363 227,354,876 1.49 NJHL European Buyout Investment Series A Feb-06 Sep-19 200,000,000 198,509,924 10,572,116 14,112,712 278,441,682 292,554,394 1.47 NJHL European Buyout Investment Series C Mar-08 Sep-19 200,000,000 212,772,199 11,041,392 63,287,607 221,909,287 285,196,894 1.34 RRJ Capital Master Fund III, L.P. Sep-15 Dec-19 150,000,000 126,015,481 34,629,800 55,838,395 108,016,278 163,854,673 1.30 Siguler Guff NJ Developing Mkt Fund, LP Dec-13 Sep-19 300,000,000 265,479,140 34,520,860 356,598,801 56,530,220 413,129,021 1.56 Warburg Pincus China, L.P. Dec-16 Dec-19 87,000,000 82,389,000 8,352,000 94,892,418 11,366,550 106,258,968 1.29 Warburg Pincus China-Southeast Asia II, L.P. Jun-19 Dec-19 90,000,000 3,150,000 86,850,000 2,673,229 0 2,673,229 0.85
Large Buyout 2,839,242,219 2,881,366,741 376,919,478 1,285,091,191 3,111,892,101 4,396,983,292 1.53 Apollo Investment Fund VI, L.P. Nov-05 Dec-19 50,000,000 132,027,729 2,090,014 898,432 171,500,614 172,399,046 1.31 Blackstone Capital Partners V, L.P. Oct-05 Mar-20 100,000,000 98,938,543 4,837,844 4,550,454 160,983,698 165,534,152 1.67 Blackstone Capital Partners VI, L.P. Mar-12 Mar-20 50,000,000 47,865,978 6,696,278 27,849,657 46,546,620 74,396,277 1.55 Blackstone Capital Partners VII, L.P. May-15 Mar-20 50,000,000 36,707,227 15,674,382 39,566,899 4,069,631 43,636,530 1.19 Carlyle Partners VI, L.P. Nov-13 Dec-19 300,000,000 310,661,840 20,042,812 273,850,121 146,855,236 420,705,357 1.35 CVC Capital Partners VI, LP Jul-13 Dec-19 85,338,518 92,526,342 13,922,282 88,030,466 47,980,083 136,010,549 1.47 CVC Capital Partners VII (A), LP May-17 Dec-19 110,653,701 55,802,784 54,707,618 57,888,639 692,490 58,581,128 1.05 Hellman & Friedman Capital Partners VI Apr-07 Dec-19 100,000,000 96,642,374 3,192,478 5,110,596 175,305,016 180,415,611 1.87 Hellman & Friedman Capital Partners VIII, L.P. Nov-14 Dec-19 100,000,000 100,449,490 4,933,466 110,521,106 9,417,810 119,938,916 1.19 Silver Lake Partners III, LP Jan-07 Dec-19 100,000,000 104,962,373 10,559,311 20,279,043 188,855,424 209,134,467 1.99 Silver Lake Partners IV Mar-13 Dec-19 200,000,000 227,239,656 6,751,814 254,395,350 168,651,066 423,046,416 1.86 TPG Partners V, L.P. Sep-06 Dec-19 187,500,000 256,833,971 3,651,967 6,724,098 314,409,091 321,133,188 1.25 TPG Partners VI, L.P. May-08 Dec-19 180,000,000 297,853,606 5,567,196 40,598,424 359,183,286 399,781,710 1.34 Vista Equity Partners Fund VII, L.P. Aug-18 Dec-19 300,000,000 75,721,826 224,292,016 73,048,023 230,992 73,279,015 0.97 Warburg Pincus Private Equity IX, LP Aug-05 Dec-19 200,000,000 200,000,000 0 9,227,932 338,391,541 347,619,473 1.74 Warburg Pincus Private Equity VIII Jun-06 Dec-19 25,750,000 26,883,000 0 93,123 60,011,831 60,104,953 2.24 Warburg Pincus Private Equity X, LP Oct-07 Dec-19 400,000,000 400,000,000 0 84,450,417 593,394,753 677,845,170 1.69 Warburg Pincus Private Equity XI, LP May-12 Dec-19 300,000,000 320,250,000 0 188,008,412 325,412,921 513,421,333 1.60 Page 14 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Mezzanine Debt 485,000,000 524,169,088 52,627,093 54,680,924 687,858,618 742,539,542 1.42 Audax Mezzanine Fund II, L.P. Nov-06 Sep-19 50,000,000 56,053,460 0 0 70,378,283 70,378,283 1.26 Blackstone Mezzanine Partners II, LP Apr-06 Dec-19 45,000,000 40,017,311 1,228,411 485,316 58,196,264 58,681,580 1.47 Gleacher Mezzanine Fund II, LP Nov-06 Dec-19 40,000,000 36,823,869 3,251,243 300,836 48,781,342 49,082,178 1.33 GSO Capital Opportunities Fund II, LP Nov-12 Dec-19 150,000,000 151,220,634 37,772,946 40,924,968 166,745,491 207,670,459 1.37 1,469,212 GSO Capital Opportunities Fund, L.P. Jul-08 Dec-19 100,000,000 120,315,926 6,184,029 203,214,793 204,684,005 1.70 Newstone Capital Partners II, L.P. May-11 Dec-19 100,000,000 119,737,888 4,190,464 11,500,592 140,542,446 152,043,038 1.27
Secondaries 179,545,778 171,247,194 12,397,159 11,009,397 231,221,230 242,230,627 1.41 3,541,843 Lexington Capital Partners VI-B Jun-06 Dec-19 50,000,000 50,705,969 817,355 70,309,615 73,851,459 1.46 Partners Group Secondary 2006 LP Sep-06 Dec-19 54,115,562 53,008,507 3,280,402 683,096 64,455,798 65,138,894 1.23 Partners Group Secondary 2008, L.P. Sep-08 Dec-19 75,430,216 67,532,719 8,299,401 6,784,458 96,455,817 103,240,275 1.53
Small/Midsize Buyout 650,000,000 737,754,793 46,367,728 171,531,506 1,081,123,880 1,252,655,386 1.70 Grosvenor/NJDI Investment Fund 650,000,000 737,754,793 46,367,728 171,531,506 1,081,123,880 1,252,655,386 1.70 Grosvenor/NJDI Investment Fund 2005 Nov-05 Dec-19 200,000,000 225,817,328 9,806,550 28,811,452 349,109,505 377,920,958 1.67 Grosvenor/NJDI Investment Fund 2006 Sep-06 Dec-19 250,000,000 290,541,393 10,133,086 67,676,729 456,782,038 524,458,767 1.81 Grosvenor/NJDI Investment Fund 2008 Jun-08 Dec-19 200,000,000 221,396,071 26,428,092 75,043,325 275,232,337 350,275,662 1.58
Special Situations 184,000,000 926,274,524 82,157,666 548,914,208 646,694,088 1,195,608,296 1.29 Blackstone TOP Fund - A (PE) L.P. Jan-12 Dec-19 184,000,000 926,274,524 82,157,666 548,914,208 646,694,088 1,195,608,296 1.29
Venture Capital 364,400,000 333,569,166 82,205,836 272,572,874 331,700,409 604,273,283 1.81 Khosla Ventures IV, L.P. Jan-12 Dec-19 25,000,000 24,525,000 475,000 36,156,422 36,132,236 72,288,658 2.95 NB Crossroads Fund XVIII Nov-06 Sep-19 50,000,000 42,000,000 59,375,002 13,078,081 62,700,562 75,778,643 1.80 NB/NJ Custom Investment Fund Aug-07 Dec-19 100,000,000 91,596,190 8,403,810 14,788,113 160,159,408 174,947,521 1.91 Peg Pooled Venture Capital VC Institutional III Jul-06 Dec-19 49,400,000 49,229,993 170,007 28,055,895 59,616,790 87,672,684 1.78 TCV VIII, L.P. Jan-14 Dec-19 100,000,000 87,175,021 12,824,979 141,638,418 13,091,413 154,729,831 1.77 Tenaya Capital VI, L.P. Jul-12 Dec-19 40,000,000 39,042,961 957,039 38,855,946 0 38,855,946 1.00
Private Equity Subtotal 16,637,454,486 15,788,698,742 3,613,813,555 8,810,618,411 15,018,101,325 23,828,719,736 1.51
Debt 1,807,439,826 1,686,685,912 300,322,260 667,976,818 1,622,804,718 2,290,781,536 1.36 Blackstone Residential Fund - A L.P Apr-16 Dec-19 250,000,000 268,571,767 0 291,938,854 37,994,383 329,933,236 1.23 Blackstone RE Debt Strategies III, L.P. Jun-16 Dec-19 100,000,000 105,855,764 38,181,132 62,175,931 56,698,707 118,874,638 1.12 CT High Grade Partners II, LLC May-08 Dec-19 664,065,200 572,861,303 108,661,385 117,896,994 716,677,808 834,574,802 1.46 Lone Star Fund VII (U.S.) LP May-11 Dec-19 300,000,000 283,944,335 18,490,651 2,284,153 493,143,169 495,427,322 1.74 M&G Real Estate Debt Fund II, LP Jul-13 Dec-19 109,082,764 96,402,201 18,774,134 27,305,373 79,852,343 107,157,716 1.11 Page 15 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple M&G Real Estate Debt Fund III, LP Jul-13 Dec-19 184,291,862 193,902,776 22,154,589 59,701,862 141,311,247 201,013,109 1.04 Sculptor RE Credit Parallel Fund B, LP May-16 Dec-19 100,000,000 58,283,372 68,380,742 36,947,325 26,642,022 63,589,347 1.09 True North Real Estate Fund III, LP Sep-14 Dec-19 100,000,000 106,864,395 25,679,626 69,726,328 70,485,039 140,211,367 1.31
Equity 5,642,305,501 5,039,017,242 1,601,819,115 3,509,029,478 4,098,076,485 7,607,105,963 1.51 Aermont Capital Real Estate Fund IV Oct-18 Dec-19 109,956,049 19,012,190 90,943,859 18,938,722 0 18,938,722 1.00 Blackstone Property Global - NJ Oct-15 Dec-19 150,000,000 142,435,598 7,564,402 164,428,149 23,802,836 188,230,985 1.32 64,419,000 Blackstone Property Partners L.P. Jun-15 Dec-19 50,000,000 50,000,000 0 7,833,019 72,252,019 1.45 Blackstone Real Estate Partners Asia LP Jun-13 Dec-19 500,000,000 482,743,377 163,927,141 349,193,578 404,471,873 753,665,452 1.56 Blackstone Real Estate V Feb-06 Dec-19 75,000,000 78,353,336 3,130,539 3,313,684 158,063,006 161,376,689 2.06 Blackstone Real Estate VI Feb-07 Dec-19 100,000,000 99,401,438 4,907,906 6,327,854 217,228,412 223,556,266 2.25 Blackstone Real Estate Partners VI, Sec Nov-11 Dec-19 43,624,688 40,000,081 2,141,059 2,711,937 91,682,180 94,394,117 2.36 Blackstone Real Estate VII Dec-11 Dec-19 300,000,000 349,648,023 37,725,013 147,229,454 479,049,968 626,279,422 1.79 102,580,009 Blackstone Real Estate VIII Jan-15 Dec-19 100,000,000 103,051,613 17,125,514 41,179,880 143,759,888 1.40 Blackstone TOP Fund - A (RE) L.P. Jan-15 Dec-19 75,000,000 52,222,626 31,901,790 55,441,559 13,145,264 68,586,823 1.31 Carlyle Realty Partners V LP Feb-07 Dec-19 100,000,000 122,742,600 22,102,319 17,094,075 164,736,877 181,830,952 1.48 Exeter Core Industrial Club Fund II, L.P. Aug-16 Dec-19 100,000,000 96,100,000 3,900,000 104,292,525 15,110,526 119,403,051 1.24 Exeter Industrial Core Fund III, LP Jun-19 Dec-19 100,000,000 11,500,000 88,500,000 11,236,972 0 11,236,972 0.00 Focus Senior Housing Fund I LP Apr-17 Dec-19 50,000,000 18,974,869 31,025,131 19,135,719 988,371 20,124,090 1.06 Hammes Partners II, L.P. Mar-14 Dec-19 100,000,000 105,764,757 5,809,475 28,130,422 137,594,274 165,724,697 1.57 Hammes Partners III, L.P. Aug-17 Dec-19 50,000,000 9,945,379 40,054,621 8,438,520 748,327 9,186,847 0.92 Heitman America Real Estate Trust, L.P. Jan-07 Mar-20 100,000,000 100,000,000 0 140,346,214 59,835,813 200,182,027 2.00 KSL Capital Partners IV-A, L.P. Jul-15 Dec-19 100,000,000 90,733,849 17,291,795 92,694,635 14,972,525 107,667,160 1.19 KSL Capital Partners V, L.P. Feb-19 Dec-19 100,000,000 19,691,945 80,308,055 18,039,988 0 18,039,988 0.00 Lone Star Real Estate Fund II (U.S.) LP May-11 Dec-19 100,000,000 88,609,832 11,390,168 3,304,183 133,749,849 137,054,032 1.55 Meyer Bergman Euro Retail Partners II-TE Jul-14 Dec-19 58,996,430 60,487,688 470,713 39,519,521 9,769,504 49,289,026 0.81 NJDOI Core Plus Real Estate L.P. May-08 Sep-19 81,500,000 71,000,808 19,369,839 9,730,983 111,811,667 121,542,650 1.71 NJDOI Opp Real Estate L.P. May-08 Sep-19 25,000,000 17,383,733 7,616,267 3,068,048 27,550,348 30,618,396 1.76 Northwood Real Estate Co-Invest Dec-12 Dec-19 75,000,000 59,647,771 52,521,720 49,735,276 37,169,491 86,904,767 1.46 Northwood RE Partners L.P., (Series III) Dec-12 Dec-19 75,000,000 90,466,321 37,606,933 96,547,604 53,250,944 149,798,548 1.66 Northwood RE Partners L.P., (Series IV) Nov-13 Dec-19 200,000,000 243,750,249 142,735,242 176,910,986 186,485,491 363,396,477 1.49 *Sculptor NJ RE Opportunities, LP Mar-13 Mar-20 200,000,000 284,538,294 88,937,752 152,641,631 184,387,719 337,029,350 1.18 Sculptor RE Parallel Fund III E, LP Aug-14 Dec-19 100,000,000 72,551,481 43,080,288 39,001,243 63,417,840 102,419,083 1.41 Perella Weinberg Real Estate Fund II LP Jul-13 Dec-19 88,761,195 71,208,874 17,552,321 72,951,539 34,129,175 107,080,714 1.50 Perella Weinberg Real Estate Fund III LP Nov-15 Dec-19 101,137,790 68,639,152 32,498,638 93,172,836 27,580,628 120,753,464 1.76 Prime Property Fund Aug-07 Mar-20 130,000,000 150,000,000 0 129,247,166 89,359,866 218,607,032 1.46 PRISA II Jun-07 Mar-20 60,000,000 100,000,000 0 73,342,550 62,761,743 136,104,293 1.36
Page 16 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple PRISA Real Estate Separate Account Dec-06 Mar-20 265,000,000 300,000,000 0 248,047,267 174,607,588 422,654,855 1.41 Prologis European Logistics Fund Sep-13 Dec-19 183,329,350 183,329,350 0 250,932,746 79,195,196 330,127,942 1.80 RE Capital Asia Partners III, L.P. Aug-12 Dec-19 80,000,000 68,823,498 16,906,279 11,593,376 72,629,051 84,222,427 1.22 RE Capital Asia Partners IV, L.P. Dec-14 Dec-19 100,000,000 85,485,250 15,330,256 77,456,641 28,489,790 105,946,430 1.24 TGM Apartment Partners Aug-15 Dec-19 300,000,000 165,250,899 134,749,101 206,863,389 17,406,055 224,269,444 1.36 TPG Real Estate Partners II, L.P. Sep-15 Dec-19 125,000,000 106,998,242 32,164,010 75,965,573 80,703,899 156,669,472 1.46 TPG Real Estate Partners III, L.P. May-18 Dec-19 100,000,000 12,736,954 87,263,046 10,295,369 0 10,295,369 0.00 TPG/NJ (RE) Partnership, LP Feb-13 Dec-19 225,000,000 167,768,845 84,900,972 150,152,835 161,822,223 311,975,058 1.86 Tucker Development/Acquisition Fund Oct-07 Sep-19 50,000,000 50,000,000 0 26,396,150 0 26,396,150 0.53 Warburg Pincus Real Estate Fund I Sep-06 Dec-19 100,000,000 95,839,535 0 1,480,669 152,731,827 154,212,496 1.61 Westbrook Real Estate Fund VIII Feb-08 Dec-19 100,000,000 110,980,414 0 19,009,831 137,912,513 156,922,344 1.41 Westbrook VII Jan-07 Dec-19 40,000,000 40,000,000 0 10,686,998 42,230,307 52,917,305 1.32 Wheelock SREF NJ CO-Invest Feeder, LP Nov-12 Dec-19 50,000,000 26,305 49,973,695 0 0 0 0.00 Wheelock Street Real Estate Fund, L.P. Dec-11 Dec-19 100,000,000 96,274,787 18,620,096 9,527,493 169,606,679 179,134,172 1.86 Wheelock Street Real Estate Fund II, L.P. Apr-14 Dec-19 125,000,000 104,773,449 36,252,773 39,229,986 124,490,486 163,720,472 1.56 78,224,573 Wheelock Street Real Estate Fund V, L.P Aug-16 Dec-19 100,000,000 80,123,832 23,520,386 4,383,455 82,608,028 1.03
Real Estate Subtotal 7,449,745,327 6,725,703,154 1,902,141,374 4,177,006,296 5,720,881,203 9,897,887,499 1.47
877,350,394 Absolute Return 1,020,000,000 1,038,980,038 31,019,962 325,000,002 1,202,350,396 1.16 Iguazu Partners, L.P. Dec-13 Mar-20 150,000,000 125,000,000 25,000,000 167,572,375 0 167,572,375 1.34 MKP Opportunity Partners, L.P. Sep-12 Mar-20 360,000,000 360,000,000 0 149,711,180 275,000,000 424,711,180 1.18 Woodley Park NJ, L.P. (FAIR Program) Oct-17 Feb-20 510,000,000 553,980,038 6,019,962 560,066,839 50,000,002 610,066,841 1.10
Credit 850,000,000 850,000,000 0 502,100,623 488,738,196 990,838,819 1.17 Chatham Fund, LP Dec-14 Mar-20 300,000,000 300,000,000 0 296,575,480 176,000,000 472,575,480 1.58 GSO Special Situations Fund, L.P. Feb-12 Feb-20 100,000,000 100,000,000 0 23,835,664 89,202,011 113,037,675 1.13 Regiment Capital Ltd. Fund Dec-11 Mar-20 150,000,000 150,000,000 0 226,171 135,536,185 135,762,356 0.91 Solus Opportunities Fund 3, LP Apr-14 Mar-20 300,000,000 300,000,000 0 181,463,308 88,000,000 269,463,308 0.90
Distressed 350,000,000 350,000,000 0 31,344,227 539,296,497 570,640,724 1.63 Centerbridge Credit Partners Oct-07 Mar-20 200,000,000 200,000,000 0 22,817,903 298,614,580 321,432,483 1.61 King Street Capital Feb-07 Mar-20 150,000,000 150,000,000 0 8,526,324 240,681,917 249,208,241 1.66
Equity Long/ Short 150,000,000 100,000,000 50,000,000 1 121,484,592 121,484,593 1.21 Visium Balanced Offshore Fund, Ltd Aug-12 Jun-19 150,000,000 100,000,000 50,000,000 1 121,484,592 121,484,593 1.21
Page 17 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Event Driven 275,000,000 275,000,000 0 176,136,950 233,519,348 409,656,298 1.49 Davidson Kempner Institutional Partners, L.P Dec-06 Mar-20 150,000,000 150,000,000 0 176,136,950 100,000,000 276,136,950 1.84 Starboard Leaders Fund LP Mar-14 Mar-20 125,000,000 125,000,000 0 0 133,519,348 133,519,348 1.07
Fund of Funds 2,200,000,000 2,178,229,017 101,270,983 559,019,160 2,422,369,126 2,981,388,286 1.37 AIMS/NJ Multi-Strategy Portfolio, LLC Aug-06 Mar-20 550,000,000 550,000,000 0 331,729,876 491,698,563 823,428,439 1.50 Arden Garden State NJ Fund LP. Jun-06 Mar-20 500,000,000 500,000,000 0 1,105,467 557,864,147 558,969,614 1.12 Protege Partners, LP Jun-07 Sep-19 150,000,000 150,000,000 0 0 188,825,905 188,825,905 1.26 224,987,872 Woodley Park NJ, L.P. Aug-06 Feb-20 800,000,000 778,229,017 101,270,983 990,040,711 1,215,028,584 1.56 1,195,944 Reservoir Strategic Partners Fund, LP Jul-11 Mar-20 200,000,000 200,000,000 0 193,939,800 195,135,744 0.98
Global Macro 550,000,000 550,000,000 0 241,719,586 374,999,976 616,719,562 1.12 Lynx Common (Bermuda) Ltd. Mar-11 Mar-20 200,000,000 200,000,000 0 89,764,050 125,000,000 214,764,050 1.07 Winton Futures Fund Jan-11 Mar-20 350,000,000 350,000,000 0 151,955,536 249,999,976 401,955,512 1.15
Multi-Strategy 1,100,000,000 1,150,000,000 100,000,000 638,228,843 843,451,001 1,481,679,845 1.29 AG Garden Partners, LP Mar-06 Mar-20 0 150,000,000 0 438,714 160,621,000 161,059,714 1.07 Elliott Associates, L.P. Apr-12 Mar-20 200,000,000 200,000,000 0 225,276,989 72,591,328 297,868,317 1.49 Farallon Capital Inst. Partners, L.P. Jun-07 Mar-20 150,000,000 150,000,000 0 2,013,917 170,006,880 172,020,797 1.15 Laurion Capital Ltd. Jul-15 Mar-20 100,000,000 100,000,000 0 146,811,100 0 146,811,100 1.47 Sculptor Domestic Partners II, LP Jun-06 Mar-20 150,000,000 150,000,000 0 47,171 280,021,793 280,068,965 1.87 SONJ FAIR, L.P. Aug-17 Mar-20 500,000,000 400,000,000 100,000,000 263,640,952 160,210,000 423,850,952 1.06
Hedge Fund Subtotal 6,495,000,000 6,492,209,056 282,290,944 3,025,899,784 5,348,858,739 8,374,758,523 1
Aether Real Assets III Surplus, LP Nov-13 Sep-19 100,000,000 102,063,859 4,708,932 100,519,775 18,188,106 118,707,881 1.16 Aether Real Assets III, LP Nov-13 Sep-19 30,000,000 28,839,831 3,874,782 25,334,612 4,753,603 30,088,215 1.04 Aether Real Assets SONJ Fund, L.P. Mar-18 Sep-19 135,000,000 50,989,988 87,149,712 44,216,463 3,139,700 47,356,163 0.93 Blackstone Energy Partners, L.P. Mar-12 Mar-20 150,000,000 181,631,201 14,184,874 51,264,848 193,097,723 244,362,571 1.35 Blackstone Energy Partners II, L.P. May-15 Mar-20 80,000,000 77,274,574 4,911,738 49,479,255 4,726,498 54,205,752 0.70 Blackstone TOP Fund - A, L.P. Jul-12 Dec-19 699,836,310 1,018,752,616 120,141,967 424,100,970 768,124,585 1,192,225,554 1.17 Brookfield Capital Partners IV, L.P. May-16 Dec-19 150,000,000 130,838,119 33,522,294 129,732,710 188,262,577 317,995,287 2.43 Brookfield Capital Partners V L.P. Apr-19 Dec-19 100,000,000 31,175,826 68,824,174 28,187,498 0 28,187,498 0.90 BX NJ Co-Invest, L.P. Aug-12 Dec-19 21,163,690 70,999,338 102,642,408 123,104,689 49,777,761 172,882,450 2.43 GSO Energy Partners - A, L.P. Mar-12 Dec-19 650,000,000 746,025,511 257,868,967 297,114,703 430,372,699 727,487,402 0.98 Hitecvision VII, L.P. Apr-14 Dec-19 100,000,000 75,434,361 35,721,323 77,093,348 30,017,836 107,111,184 1.42 Homestead Capital USA Farmland Fund III, L.P Apr-19 Dec-19 100,000,000 16,886,153 83,126,925 15,520,175 43,827 15,564,002 0.92 NJ/HV Resource Opportunities, L.P. Jun-15 Dec-19 150,000,000 137,960,684 50,541,279 189,768,931 43,404,705 233,173,635 1.69 *Sculptor NJ Real Asset Opportunities, LP Mar-13 Mar-20 200,000,000 203,661,894 1,460,515 15,817,140 199,898,552 215,715,693 1.06 Page 18 of 24 New Jersey Division of Investment Alternative Investments 04/30/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Sheridan Production Partners I Aug-07 Sep-19 50,000,000 60,525,000 0 0 43,625,000 43,625,000 0.72 Stonepeak Infrastructure Fund III LP Nov-17 Dec-19 125,000,000 71,258,203 63,806,982 73,635,700 10,079,509 83,715,209 1.17 Tenaska Power Fund II, L.P. Sep-08 Dec-19 100,000,000 90,668,066 13,235,666 2,872,062 82,826,844 85,698,906 0.95 Warburg Pincus Energy, L.P. May-14 Dec-19 100,000,000 89,700,000 10,300,000 81,793,915 16,189,410 97,983,326 1.09
Real Assets Subtotal 3,041,000,000 3,184,685,224 956,022,539 1,729,556,795 2,086,528,934 3,816,085,729 1.20
Grand Total 33,623,199,813 32,191,296,175 6,754,268,413 17,743,081,286 28,174,370,200 45,917,451,486 1.43
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Private Equity and Real Estate represent most recently reported quarterly values from the General Partners, adjusted with cash flows through the end of current reported month-end. Hedge Funds reflect the most recent market values available and Commodity reported values are as of the current month end. 3. Total Distributed includes recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 19 of 24 New Jersey Division of Investment Global Diversified Credit 4/30/20 Global Diversified Credit as-of April 30, 2020 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Total Last Valuation Amount Unfunded Current Market Value 2 3 Inception Date Date Commitment Contributed1 Commitment Value Total Distributed Total Value Multiple Anacap Credit Opportunities II, LP Dec-11 Dec-19 77,777,848 106,587,297 16,135,431 1,686,336 123,695,059 125,381,396 1.18 Blueprint Cap I, LP May-18 Dec-19 300,000,000 115,360,460 227,897,746 73,409,130 46,881,125 120,290,255 1.04 Cerberus NJ Credit Opportunities Fund, L.P. Apr-12 Feb-20 300,000,000 441,666,667 30,472,637 444,440,433 209,752,398 654,192,831 1.48 Crayhill NJ Fund, LP May-17 Dec-19 150,000,000 77,232,539 166,398,734 0 94,536,269 94,536,269 1.22 Golden Tree Opportunities LP-Class D Sep-07 Mar-20 250,000,000 249,500,000 500,000 417,776,234 4,676,086 422,452,320 1.69 GSO Credit Partners - A, L.P. Mar-12 Mar-20 600,000,000 475,000,000 125,000,000 183,094,693 406,433,067 589,527,760 1.24 Knight TAO, L.P. Oct-14 Dec-19 700,000,000 600,887,467 240,960,129 578,639,183 184,989,286 763,628,469 1.27 Knight/TPG NPL - C, L.P. Mar-12 Dec-19 70,382,674 78,464,841 5,183,070 8,950,810 108,682,610 117,633,420 1.50 Knight/TPG NPL - R, L.P. Mar-12 Dec-19 59,054,236 55,554,236 3,574,522 638,438 83,020,344 83,658,782 1.51 NJ/TCW Direct Lending LLC Feb-16 Dec-19 150,000,000 154,539,000 21,349,267 100,387,010 68,409,000 168,796,010 1.09 Owl Rock Capital Holdings LLC Sep-16 Dec-19 0 0 0 61,250,000 9,407,953 70,657,953 N/A Owl Rock Capital Technology Finance Corp. Nov-18 Dec-19 100,000,000 38,457,034 61,542,966 37,855,797 1,161,182 39,016,978 1.01 Owl Rock Capital Technology Holdings LLC Nov-18 Mar-20 0 0 0 12,533,302 98,066 12,631,368 N/A *Sculptor SC, LP Apr-10 Mar-20 250,000,000 716,788,041 159,349,947 782,811,613 699,337,826 1,482,149,440 2.07 *Sculptor SC II, LP Mar-13 Mar-20 650,000,000 1,452,366,822 84,328,340 1,287,644,181 226,280,879 1,513,925,060 1.04 *Sculptor NJ Private Opportunities, LP Mar-13 Mar-20 500,000,000 1,179,795,115 189,584,626 277,128,664 926,303,673 1,203,432,337 1.02 TCW Direct Lending LLC Mar-15 Dec-19 150,000,000 119,520,900 37,994,113 55,320,793 89,349,104 144,669,897 1.21 TPG Opportunities Partners III (A), LP Apr-14 Dec-19 100,000,000 53,357,879 47,671,315 45,689,529 31,482,563 77,172,092 1.45
Total 4,407,214,758 5,915,078,298 1,417,942,842 4,369,256,145 3,314,496,491 7,683,752,636 1.30
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Values represent most recently reported values from the General Partners, adjusted wo cash flows through the end of current reported month-end. 3. Total distributed include recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 20 of 24 New Jersey Division of Investment Opportunistic Investments Opportunistic Investments as of April 30, 2020 4/30/20 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Last Valuation Amount Unfunded Current Market Total Total Value 2 3 Inception Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Dyal NJ Investors, L.P. Oct-12 Dec-19 200,000,000 201,494,153 44,012,684 99,345,900 113,096,300 212,442,201 1.05 Dyal II NJ Investors, L.P. Jul-14 Sep-19 250,000,000 209,941,923 63,710,580 169,204,189 50,817,395 220,021,584 1.05 Dyal III NJ Investors, L.P. Aug-17 Dec-19 100,000,000 24,769,252 75,250,000 36,477,057 1,280,704 37,757,761 1.52 Dyal III US Investors LP Dec-15 Dec-19 200,000,000 103,401,882 129,187,493 154,541,063 45,205,115 199,746,177 1.93
Total 750,000,000 539,607,210 312,160,757 459,568,209 210,399,514 669,967,723 1.24
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Values represent most recently reported values from the General Partners, adjusted with cash flows through the end of current reported month-end. 3. Total distributed include recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 21 of 24 New Jersey Division of Investment
Transfers between Common and Pension Funds April, 2020
Contributions to Common Funds from Pension Funds for the Month
From Contribution To Date Withdrawal Amount Pension Fund(s) Amount Common Fund(s)
Not Applicable
$ - $ -
Withdrawals from Common Funds to Pension Funds for the Month
From Contribution To Date Withdrawal Amount Common Fund(s) Amount Pension Fund(s)
4/7/2020 $ 78,000,000.00 L $ 60,668,400.00 TPA 16,395,600.00 PERS 936,000.00 P&F $ 78,000,000.00 $ 78,000,000.00
4/29/2020 $ 75,000,000.00 D $ 75,000,000.00 TPA $ 75,000,000.00 $ 75,000,000.00
Transfers between Common and Pension Funds, Summarized
April, 2020 Fiscal Year to Date 2020
Net Amount Net Amount Pension Fund Into (Out of) Pension Fund Into (Out of) Pension Funds Pension Funds
JRS $ - JRS $ 11,730,000.00 P&F $ 936,000.00 P&F $ 1,280,566,000.00 PERS $ 16,395,600.00 PERS $ 1,778,007,600.00 SPRS $ - SPRS $ 66,480,000.00 TPA $ 135,668,400.00 TPA $ 1,926,216,400.00 $ 153,000,000.00 $ 5,063,000,000.00
Page 22 of 24 The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by the New Jersey Division of Investment. The MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial products or indices. Neither MSCI nor any other third party involved in or related to compiling computing or creating the MSCI data (the “MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
23 of 24 Limited Access 05/22/2020 09:05:52 AM
This report was prepared for you by State Street Bank and Trust Company (or its affiliates, “State Street”) utilizing scenarios, assumptions and reporting formats as mutually agreed between you and State Street. While reasonable efforts have been made to ensure the accuracy of the information contained in this report, there is no guarantee, representation or warranty, express or implied, as to its accuracy or completeness. This information is provided “as- is” and State Street disclaims any and all liability and makes no guarantee, representation, or warranty with respect to your use of or reliance upon this information in making any decisions or taking (or not taking) any actions. State Street does not verify the accuracy or completeness of any data, including data provided by State Street for other purposes, or data provided by you or third parties. You should independently review the report (including, without limitation, the assumptions, market data, securities prices, securities valuations, tests and calculations used in the report), and determine that the report is suitable for your purposes.
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Copyright © 2020 State Street Corporation, All rights reserved. Agenda Item 3a
NEW JERSEY DIVISION OF INVESTMENT
INVESTMENT REPORTING PACKAGE ______
Period Ending March 31, 2020
"The mission of the New Jersey Division of Investment is to achieve the best possible return at an acceptable level of risk using the highest fiduciary standards"
1 of 24 Limited Access 04/22/2020 03:58:10 PM NJ Division of Investment Actual Allocation vs Target Allocation As of March 31, 2020
Actual Allocation % Target % Difference % Allocation (in millions $) U.S. Equity 25.48 28.00 (2.52) 18,171.18 Non U.S. Developed Mkt Equity 10.46 12.50 (2.04) 7,461.86 Emerging Market Equity 5.83 6.50 (0.67) 4,156.05 Equity Oriented Hedge Funds 0.07 0.00 0.07 52.56 Private Equity 12.06 12.00 0.06 8,596.20 Global Growth 53.91 59.00 (5.09) 38,437.85 Real Estate 7.05 7.50 (0.45) 5,028.70 Real Assets 2.64 2.50 0.14 1,882.31 Real Return 9.69 10.00 (0.31) 6,911.02 High Yield 1.32 2.00 (0.68) 942.61 Private Credit 7.78 6.00 1.78 5,545.26 Investment Grade Credit 9.57 10.00 (0.43) 6,822.85 Income 18.67 18.00 0.67 13,310.72 Cash Equivalants 1 7.33 5.00 2.33 5,223.12 U.S. Treasuries 4.37 5.00 (0.63) 3,114.96 Risk Mitigation Strategies 3.34 3.00 0.34 2,378.44 Defensive 15.03 13.00 2.03 10,716.52 Opportunistic Private Equity 0.64 0.00 0.64 455.11 Other 0.25 0.00 0.25 178.43 Police & Fire Retire Sys Mort Program 1.82 0.00 1.82 1,294.30 Total Pension Fund 100.00 100.00 0.00 71,303.96
Current Asset Allocation Target Asset Allocation Police + Fire Mtg Program Income Income 1.82% 18.67% 18.00% Opp Priv Equity 0.64% Real Real Other Return Return 0.25% 9.69% 10.00% Global Global Growth Growth 53.90% 59.00% Defensive Defensive 13.00% 15.03%
2 of 24 Limited Access 04/22/2020 03:58:10 PM Sum of component allocation may not equal total due to rounding 1 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. NJ Division of Investment Performance vs Policy Benchmark Periods Ending March 31, 2020 Total Pension Fund Returns are Net of All Fees
9.00
7.50
6.00
4.50
3.00
1.50
0.00
-1.50
-3.00
-4.50
-6.00
-7.50
-9.00
-10.50
-12.00 1 Month YTD FYTD 1 Year 3 Year 5 Year 10 Year 20 year 25 year
Total Pension Fund Policy Index
1 Month YTD FYTD 1 Year 3 Year 5 Year 10 Year 20 year 25 year Total Pension Fund 1 -7.51 -11.03 -6.65 -3.37 3.78 4.28 6.86 4.62 7.57 Policy Index 2 -6.48 -9.80 -4.65 -1.59 4.55 4.79 6.62 4.57
3 of 24 Limited Access 04/22/2020 03:58:10 PM 1 Returns Exclude Police & Fire Mortgage Program 2 Benchmark return not available for 25-year period. NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks Periods Ending March 31, 2020 Returns are Net of All Fees
Annualized 1 Month YTD FYTD 1 Year 3 Year 5 Year U.S. Equity (13.87) (20.99) (13.32) (9.87) 2.69 4.68 Custom US Policy Bench (13.76) (20.94) (12.45) (8.81) 4.11 6.08 Non U.S. Developed Mkt Equity (14.00) (23.05) (17.45) (14.36) (1.45) (0.45) Custom EAFE + Canada Benchmark 1 (14.06) (23.15) (17.93) (14.89) (2.03) (0.76) Emerging Market Equity (16.19) (24.68) (19.24) (18.20) (2.70) (0.92) Custom EM Benchmark 1 (15.35) (23.47) (17.96) (17.41) (1.49) (0.24) Equity Oriented Hedge Funds 1.54 3.91 (4.44) (2.71) (0.44) (0.40) 50 HFRI EH 50 HFRI ED ACTIVIST (1Month Lag) (5.82) (4.34) 0.84 (0.88) 1.48 2.41 Private Equity 1.26 1.57 1.18 7.50 12.09 12.30 Custom Cambridge Blend 0.00 0.00 4.26 9.47 13.83 11.34 Global Growth (11.21) (17.79) (12.02) (8.50) 2.89 4.11 Global Growth Benchmark (10.71) (17.19) (10.47) (7.13) 4.22 5.04 Real Estate (3.26) (3.67) 0.41 4.62 9.21 9.86 Real Estate Index 2 1.27 1.27 3.15 4.39 6.13 7.98 Real Assets (6.15) (8.70) (10.27) (11.15) 0.52 0.85 Custom Commodities and Real Asset Benchmark 0.00 0.00 (2.58) (0.62) 2.13 0.62 Real Return (4.07) (5.10) (2.81) (0.44) 6.45 6.97 Real Return Benchmark 0.95 0.95 1.57 3.04 5.05 5.60 High Yield (12.17) (13.60) (10.08) (7.88) 0.17 2.84 Custom High Yield Bench (11.46) (12.68) (9.21) (6.94) 0.77 2.78 Private Credit (2.22) (1.32) (0.56) 3.23 6.06 7.21 Custom Private Credit Index (1.33) 0.84 5.66 7.15 5.90 6.24 Investment Grade Credit (3.66) 0.49 3.60 7.59 4.73 3.68 Custom Investment Grade Credit Benchmark (3.46) 0.51 3.77 7.74 4.79 3.53 Income (3.80) (1.44) 0.57 4.14 4.66 4.61 Income Benchmark (3.62) (0.87) 2.38 6.10 4.98 4.39 Cash Equivalants 3 0.11 0.48 1.80 2.62 2.33 1.82 ICE BofA US 3-Month Treasury Bill 0.29 0.57 1.61 2.25 1.83 1.19
4 of 24 Limited Access 04/22/2020 03:58:10 PM 1 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 4 Returns Exclude Police & Fire Mortgage Program NJ Division of Investment Pension Fund Asset Class Returns vs Benchmarks Periods Ending March 31, 2020 Returns are Net of All Fees
Annualized 1 Month YTD FYTD 1 Year 3 Year 5 Year U.S. Treasuries 3.17 8.66 10.39 13.48 5.73 3.45 Custom Government Benchmark 2.89 8.20 9.92 13.23 5.82 3.59 Risk Mitigation Strategies (1.50) 0.88 2.53 6.66 3.96 2.47 T-Bill + 300 BP 0.55 1.32 3.93 5.38 4.92 4.26 Defensive 0.71 3.01 4.50 6.94 3.54 2.33 Liquidity Benchmark 1.37 3.65 5.06 6.61 3.43 2.17 Opportunistic Private Equity (0.00) 4.16 4.96 (1.04) 7.15 7.09 Custom Cambridge Blend 0.00 0.00 4.26 9.47 13.83 11.34 Total Pension Fund 4 (7.51) (11.03) (6.65) (3.37) 3.78 4.28 Policy Index (6.48) (9.80) (4.65) (1.59) 4.55 4.79
5 of 24 Limited Access 04/22/2020 03:58:10 PM 1 Custom index calculated by MSCI based on screening criteria defined by New Jersey Division of Investment. Please see disclosure on page 22. 2 Real Return and Real Estate Benchmarks are only reported on a quarterly basis, non quarter-end months are reported as 0% 3 The cash aggregate comprises the two Common Pension Fund cash accounts, in addition to the seven plan cash accounts. 4 Returns Exclude Police & Fire Mortgage Program NJ Division of Investment Domestic Equity As of March 31, 2020
Top Holdings*
% of Security Name Portfolio APPLE INC 4.60
MICROSOFT CORP 4.58
AMAZON.COM INC 3.28
ALPHABET INC CL C 2.82
FACEBOOK INC CLASS A 1.61
JOHNSON + JOHNSON 1.39
JPMORGAN CHASE + CO 1.15
VISA INC CLASS A SHARES 1.12
PROCTER + GAMBLE CO/THE 1.10
INTEL CORP 0.95
Select Portfolio Sector Weightings
30.00
27.00 24.84 24.76 24.00
21.00
18.00
15.43 15.16 15.00
12.00 11.26 11.34 10.20 9.96 9.89 10.08 9.00 8.80 8.87 7.10 7.48 6.00 3.86 3.50 3.48 3.64 3.00 2.67 2.68
0.00 INFORMATION HEALTH CARE FINANCIALS CONSUMER COMMUNICATION INDUSTRIALS CONSUMER REAL ESTATE UTILITIES MATERIALS TECHNOLOGY DISCRETIONARY SERVICES STAPLES
Domestic Equity Portfolio S&P Composite 1500
6 of 24 *Holdings include accruals Limited Access 04/22/2020 03:58:10 PM NJ Division of Investment International Equity As of March 31, 2020
Top Holdings*
% of Security Name Portfolio ALIBABA GROUP HOLDING SP ADR 2.31
TENCENT HOLDINGS LTD 2.15
ISHARES MSCI TAIWAN ETF 2.05
ISHARES MSCI INDIA ETF 1.80
SAMSUNG ELECTRONICS CO LTD 1.50
NESTLE SA REG 1.48
TAIWAN SEMICONDUCTOR SP ADR 1.44
ROCHE HOLDING AG GENUSSCHEIN 1.11
NOVARTIS AG REG 0.87
PING AN INSURANCE GROUP CO H 0.70
Select Portfolio Sector Weightings
22.50
20.00 19.38 18.28 17.50
15.00
12.50 11.68 11.80 10.74 10.30 10.55 10.60 10.62 10.00 9.66 9.44 9.10
7.85 7.58 7.50 7.02 6.31 5.81 5.00 5.00 4.15
2.50
0.00 0.00 FINANCIALS CONSUMER INFORMATION INDUSTRIALS CONSUMER HEALTH CARE COMMUNICATION COMMINGLED MATERIALS ENERGY DISCRETIONARY TECHNOLOGY STAPLES SERVICES FUND
International Equity Portfolio Custom ACWI ex US Benchmark
7 of 24 *Holdings include accruals Limited Access 04/22/2020 03:58:10 PM NJ Division of Investment Fixed Income Composite As of March 31, 2020
Top Holdings*
% of Security Name Coupon % Maturity Date Portfolio US TREASURY N/B 2.88 08/15/2028 2.14
US TREASURY N/B 1.88 05/31/2022 1.90
US TREASURY N/B 2.00 11/15/2021 1.84
US TREASURY N/B 1.50 08/15/2022 1.43
US TREASURY N/B 2.50 05/15/2046 1.41
US TREASURY N/B 2.13 03/31/2024 1.37
US TREASURY N/B 1.50 09/15/2022 1.34
US TREASURY N/B 1.50 08/15/2026 1.33
US TREASURY N/B 1.63 02/15/2026 1.32
US TREASURY N/B 1.75 07/31/2024 1.23
---High Grade Portfolio Sector Weights---
Others 9.53% ELECTRIC/GAS 7.93%
OTHER YANKEE 12.18%
FINANCE 34.68%
INDUSTRIAL 35.69%
ELECTRIC/GAS FINANCE INDUSTRIAL OTHER YANKEE Others
8 of 24 *Holdings include accruals Limited Access 04/22/2020 03:58:10 PM New Jersey Division of Investment International Equity Exposure by Country 03/31/2020 Custom Net Foreign Custom Net Foreign $ Mkt Value % of Int'l Int'l Currency $ Mkt Value % of Int'l Int'l Currency in millions Equity Port. Index Hedge Exposure in millions Equity Port Index Hedge Exposure Developed Markets: Emerging Markets: Developed - Euro EM - Global 2.9 0.0% 0.0% 2.9 Austria 5.9 0.1% 0.1% 5.9 EM - Europe/Middle East/Africa Belgium 62.2 0.5% 0.5% 62.2 Belarus 7.0 0.1% 0.0% 7.0 Finland 63.1 0.6% 0.6% 63.1 Czech Republic 11.0 0.1% 0.0% 11.0 France 661.6 5.8% 6.1% 661.6 Egypt 7.5 0.1% 0.0% 7.5 Germany 503.4 4.4% 4.3% 503.4 Greece 7.9 0.1% 0.1% 7.9 Ireland 43.3 0.4% 0.4% 43.3 Hungary 22.3 0.2% 0.1% 22.3 Italy 158.7 1.4% 1.3% 158.7 Poland 35.0 0.3% 0.3% 35.0 Netherlands 277.5 2.4% 2.5% 277.5 Qatar 27.9 0.2% 0.4% 27.9 Portugal 15.3 0.1% 0.1% 15.3 Russia 151.3 1.3% 1.1% 151.3 Spain 162.9 1.4% 1.5% 162.9 Saudi Arabia 52.3 0.5% 1.0% 52.3 Euro Currency 0.0 South Africa 158.4 1.4% 1.4% 158.4 Developed - Non-Euro Turkey 35.6 0.3% 0.2% 35.6 Australia 409.9 3.6% 3.5% 409.9 United Arab Emirates 30.3 0.3% 0.2% 30.3 Canada 626.6 5.5% 5.6% 626.6 EM - Latam Denmark 152.6 1.3% 1.3% 152.6 Argentina 26.2 0.2% 0.0% 26.2 Hong Kong 278.4 2.4% 2.2% 278.4 Brazil 222.0 1.9% 1.8% 222.0 Israel 49.8 0.4% 0.4% 49.8 Chile 24.0 0.2% 0.2% 24.0 Japan 1,803.9 15.8% 15.4% 1,803.9 Colombia 5.6 0.0% 0.1% 5.6 New Zealand 18.8 0.2% 0.2% 18.8 Mexico 98.8 0.9% 0.7% 98.8 Norway 32.8 0.3% 0.3% 32.8 Peru 20.5 0.2% 0.1% 20.5 Singapore 82.7 0.7% 0.7% 82.7 EM - Asia ex Japan Sweden 198.7 1.7% 1.6% 198.7 China 1,543.2 13.5% 14.7% 1,543.2 Switzerland 704.6 6.2% 6.2% 704.6 India 329.5 2.9% 2.8% 329.5 United Kingdom 1,043.5 9.1% 8.8% 1,043.5 Indonesia 82.6 0.7% 0.6% 82.6 Korea 526.2 4.6% 4.4% 526.2 Malaysia 63.6 0.6% 0.7% 63.6 Pakistan 1.9 0.0% 0.0% 1.9 Philippines 24.0 0.2% 0.3% 24.0 Taiwan 488.2 4.3% 4.5% 488.2 Thailand 82.9 0.7% 0.8% 82.9
Page 9 of 24 New Jersey Division of Investment Cash Management Fund PARTICIPATION 03/31/20 VALUE PERCENTAGE STATE NON-STATE AVG.DAYS STATE $ 12,903.5 80.51% 3/31/2020 1.10% 1.04% 55 NON-STATE $ 3,123.4 19.49% 1 Month 1.46% 1.40% TOTAL $ 16,026.9 100.00% Fiscal YTD 1.95% 1.88% 1 Year 2.07% 2.01%
Percentage 31-Mar-20 1.67% 1.72% 7.72% 1.53% CERTIFICATE OF DEPOSIT CERTIFICATE OF DEPOSIT 33.79% $5,510,345,951.23 US TREASURY BILLS 21.23% US TREASURY BILLS 32.33% 5,271,454,447.01 33.79% COMMERICAL PAPER COMMERICAL PAPER 21.23% 3,462,248,930.97 US TREASURY NOTES US TREASURY NOTES 7.72% 1,258,980,140.88 CORPORATE BONDS CORPORATE BONDS 1.72% 280,791,543.27 STATE STREET STIF STATE STREET STIF 1.67% 272,911,237.30 32.33% GOV'T AGENCY 1.53% 249,884,129.00 GOV'T AGENCY TOTAL 100.00% $ 16,306,616,379.66
Page 10 of 24 State Investment Council Regulation Violations and Other Reportable Matters March 31, 2020
Newly Reported Violations Regulation Date of Violation Description of Violation Date Corrected Violated There are no reportable matters
Status of Outstanding Violations Previously Reported Regulation Date of Violation Description of Violation Date Corrected Violated 3/12/2020 N.J.A.C. 17:16- N.J.A.C. 17:16-90.4(a)1 provides that the market value of The State Investment 90.4(a)1 private equity shall not exceed 12% of Pension & Annuity Council approved a Fund assets. Given market events, the limitation was resolution at its March exceeded on most days during the month of March 25, 2020 meeting to beginning with March 12, 2020. grant the Division a six-month period of grace to reduce the level of participation below the maximum level in accordance with N.J.A.C. 17:16- 90.4(b).
Other Reportable Matters Description There are no other reportable matters.
Page 11 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020
Alternative Investments as of March 31, 2020 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Co-Investments 2,125,000,000 1,631,330,308 613,049,515 1,604,311,771 1,130,674,391 2,734,986,161 1.68 BX NJ Co-Invest (PE) L.P. Apr-12 Sep-19 50,000,000 50,064,253 0 53,684,649 0 53,684,649 1.07 NB/NJ Custom Investment Fund II Apr-12 Sep-19 200,000,000 196,235,600 3,764,400 113,995,000 324,570,487 438,565,487 2.23 NB/NJ Custom Investment Fund III, LP Apr-18 Sep-19 200,000,000 147,419,801 52,580,199 151,769,717 0 151,769,717 1.03 NJ Roark Co-Invest Fund III LLC Jan-14 Sep-19 75,000,000 15,102,418 59,897,582 14,352,137 7,405,451 21,757,588 1.44 SONJ Private Opportunities Fund II, L.P. Nov-07 Sep-19 1,300,000,000 1,075,322,628 343,992,942 1,193,767,128 688,181,999 1,881,949,127 1.75 SONJ Private Opportunities Fund, L.P. Sep-06 Dec-19 100,000,000 96,781,088 3,218,912 1,274,065 110,516,453 111,790,518 1.16 Vista Co-Invest Fund 2017-3, L.P. Nov-17 Dec-19 200,000,000 50,404,520 149,595,480 75,469,075 0 75,469,075 1.50
Distressed Debt 1,877,807,307 1,632,488,715 509,380,943 974,724,170 1,150,950,993 2,125,675,163 1.30 BSP Special Situations Fund L.P. Jan-17 Dec-19 150,000,000 129,962,000 40,251,490 122,540,991 20,213,490 142,754,481 1.10 Catalyst Fund V, L.P. Nov-15 Feb-20 100,000,000 72,500,000 31,900,034 55,599,877 8,904,577 64,504,453 0.89 Centerbridge Capital Partners II, L.P. May-11 Dec-19 100,000,000 147,311,226 8,518,828 25,979,733 107,807,067 133,786,800 0.91 Centerbridge Capital Partners, L.P. Jun-06 Dec-19 80,000,000 126,418,586 5,048,473 10,571,051 216,006,070 226,577,121 1.79 Chatham Asset Private Debt and Strategic Capital Fund Nov-17 Feb-20 200,000,000 200,000,000 0 228,888,016 4,000,000 232,888,016 1.16 GOF II Feeder B, L.P. Oct-17 Dec-19 100,000,000 30,000,000 70,000,000 30,487,920 0 30,487,920 0.00 Golden Tree NJ Distressed Fund 2015 300,000,000 194,750,000 167,250,000 211,423,325 66,600,000 278,023,325 1.43 GoldenTree NJ Distressed Fund 2015 GP LLC Feb-16 Dec-19 200,000,000 175,500,000 86,500,000 192,173,325 66,600,000 258,773,325 1.47 GoldenTree NJ Distressed Fund 2015 GP LLC - Second Vintage Jan-20 Dec-19 100,000,000 19,250,000 80,750,000 19,250,000 0 19,250,000 1.00 HIG Bayside Debt & LBO II May-08 Sep-19 100,000,000 101,200,001 17,404,876 22,148,021 154,857,798 177,005,819 1.75 KPS Special Situations Fund III, LP May-07 Dec-19 25,000,000 24,943,668 11,618,374 138,752 51,027,271 51,166,023 2.05 KPS Special Situations Fund IV, LP Apr-13 Dec-19 200,000,000 156,056,948 51,178,505 146,795,939 43,949,263 190,745,202 1.22 MatlinPatterson Global Opps. Ptnrs. III Jun-07 Sep-19 100,000,000 105,422,748 2,292,407 25,691,770 115,331,722 141,023,492 1.34 MHR Institutional Partners III, L.P. May-07 Feb-20 75,000,000 79,564,286 26,089,693 23,327,983 82,385,384 105,713,367 1.33 MHR Institutional Partners IV, L.P. Jul-14 Feb-20 100,000,000 67,500,000 44,074,595 56,646,004 11,936,060 68,582,064 1.02 TPG Financial Partners, L.P. May-08 Dec-19 47,807,307 35,285,615 104,477 181,611 36,347,230 36,528,841 1.04 TPG Opportunities Partners II, L.P. Mar-12 Dec-19 100,000,000 69,794,467 30,205,533 9,130,908 113,016,644 122,147,552 1.75 WLR Recovery Fund IV, LP Oct-07 Sep-19 100,000,000 91,779,170 3,443,659 5,172,268 118,568,418 123,740,686 1.35
Domestic Midmarket Buyout 4,708,660,000 4,105,977,933 1,212,176,027 2,362,910,033 3,918,681,335 6,281,591,368 1.53 American Industrial Partners Capital Fund V Dec-11 Sep-19 50,000,000 61,966,755 506,158 65,664,299 34,528,311 100,192,610 1.62 American Industrial Partners Capital Fund VI, L.P. Sep-15 Sep-19 75,000,000 76,886,504 15,470,520 74,523,670 17,357,023 91,880,693 1.20 Court Square Capital Partners II, L.P. May-07 Dec-19 100,000,000 91,826,567 9,734,672 8,725,094 164,638,789 173,363,883 1.89 Excellere Capital Fund III, L.P. Jul-15 Dec-19 40,000,000 25,155,543 16,884,053 25,441,658 4,122,076 29,563,735 1.18 InterMedia Partners VII, L.P. Dec-05 Sep-19 75,000,000 96,473,202 969,625 0 92,415,909 92,415,909 0.96 JLL Partners Fund VI, LP Jun-08 Dec-19 150,000,000 194,833,302 24,503,921 51,603,171 308,827,499 360,430,670 1.85 JLL Partners VII, LP Mar-16 Dec-19 150,000,000 130,932,413 22,739,945 174,821,973 3,672,358 178,494,331 1.36 JLL Partners Fund VIII, L.P. Feb-19 Dec-19 200,000,000 0 200,000,000 0 0 0 0.00
Page 12 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Lindsay Goldberg III, L.P. Jul-08 Sep-19 200,000,000 194,067,846 10,745,140 1,650,687 269,408,750 271,059,437 1.40 Lindsay, Goldberg & Bessemer II, L.P. Jul-06 Dec-19 100,000,000 94,569,317 5,430,683 0 126,602,739 126,602,739 1.34 Marlin Equity Partners IV Jun-13 Dec-19 75,000,000 74,597,054 405,740 57,410,591 37,043,322 94,453,913 1.27 New Mountain Partners III, L.P. May-07 Dec-19 100,000,000 110,046,444 6,858,837 78,089,760 144,146,303 222,236,063 2.02 Oak Hill Capital Partners II, L.P. Jul-05 Dec-19 75,000,000 83,673,791 180,434 1,385,055 131,627,188 133,012,243 1.59 Oak Hill Capital Partners III, L.P. Oct-07 Dec-19 250,000,000 313,526,894 5,710,923 41,525,217 440,725,659 482,250,876 1.54 Onex Partners II, LP Aug-06 Dec-19 100,000,000 88,793,250 11,206,750 4,840,607 162,303,120 167,143,727 1.88 Onex Partners III, LP Dec-08 Dec-19 100,000,000 110,006,784 8,872,935 37,214,311 145,752,677 182,966,988 1.66 Onex Partners IV, LP May-14 Dec-19 166,490,000 160,449,736 11,247,388 113,018,858 75,232,003 188,250,861 1.17 Onex Partners V-B, L.P. Oct-17 Dec-19 100,000,000 22,698,845 77,301,155 22,724,517 0 22,724,517 1.00 Quadrangle Capital Partners II Aug-05 Dec-19 50,000,000 47,195,373 614,231 3,407,281 64,823,592 68,230,874 1.45 Roark Capital Partners III L.P. Sep-12 Dec-19 100,000,000 99,182,587 15,702,208 138,634,333 54,258,181 192,892,514 1.94 Sterling Capital Partners IV, L.P. Apr-12 Dec-19 100,000,000 105,863,205 133,484 43,974,267 40,885,146 84,859,413 0.80 Sycamore Partners III, L.P. Jan-18 Dec-19 150,000,000 21,954,598 128,045,402 14,402,524 0 14,402,524 0.66 Tenex Capital Partners II, LP Mar-16 Sep-19 78,170,000 70,230,315 12,842,902 78,818,359 6,673,626 85,491,985 1.22 Tenex Capital Partners, L.P. Jan-11 Sep-19 50,000,000 66,766,969 4,152,779 14,311,781 77,978,802 92,290,584 1.38 Tenex Capital Partners LP - Secondary Feb-13 Dec-19 20,000,000 24,402,732 1,661,111 5,618,593 29,742,860 35,361,453 1.45 The Resolute Fund II, L.P. Dec-07 Dec-19 100,000,000 102,405,771 8,567,928 35,328,479 116,030,313 151,358,792 1.48 The Rise Fund (A), L.P. Nov-17 Dec-19 75,000,000 50,243,500 25,421,931 56,301,301 1,026,809 57,328,110 1.14 The Rise Fund II, L.P. Mar-19 Sep-19 105,000,000 0 105,000,000 0 0 0 0.00 TPG Growth IV, L.P Mar-19 149,000,000 82,779,229 66,898,208 81,179,720 1,269,487 82,449,207 1.00 TPG [STAR], LP Mar-07 Dec-19 100,000,000 112,061,536 8,001 17,845,225 129,900,016 147,745,241 1.32 TPG Growth III(A), L.P. Jan-15 Dec-19 150,000,000 146,548,085 25,568,188 130,616,945 74,379,494 204,996,439 1.40 TSG 7 A L.P. Nov-15 Dec-19 80,000,000 60,029,504 19,970,496 74,152,705 807,538 74,960,243 1.25 TSG 7 B L.P. Nov-15 Sep-19 20,000,000 12,185,038 7,814,962 9,438,301 1,440,598 10,878,899 0.89 TSG8, L.P. Dec-18 Dec-19 100,000,000 14,252,709 85,747,291 11,384,594 0 11,384,594 0.80 Vista Equity Partners Fund III, L.P. Jul-07 Dec-19 100,000,000 106,611,303 7,951,025 9,456,375 254,306,780 263,763,155 2.47 Vista Equity Partners Fund IV, L.P. Oct-11 Dec-19 200,000,000 213,598,966 33,049,177 136,998,846 272,651,267 409,650,113 1.92 Vista Equity Partners Fund V, L.P. Mar-14 Dec-19 200,000,000 254,697,699 46,397,211 210,195,228 250,332,126 460,527,354 1.81 Vista Equity Partners Fund VI, L.P. Nov-16 Dec-19 200,000,000 221,408,313 27,876,869 260,641,110 49,419,923 310,061,033 1.40 Vista Foundation Fund II, L.P. Nov-13 Dec-19 75,000,000 77,269,427 38,330,682 83,281,505 54,558,776 137,840,281 1.78 Vista Foundation Fund III, L.P. Nov-16 Dec-19 100,000,000 82,523,269 17,476,731 93,489,870 14,825,086 108,314,956 1.31 Vista Foundation Fund IV, L.P. Feb-20 Dec-19 100,000,000 0 100,000,000 0 0 0 N/A Welsh, Carson, Anderson & Stowe XI, L.P. Oct-08 Dec-19 100,000,000 100,000,000 0 33,448,841 130,320,188 163,769,029 1.64
Emerging Managers 400,000,000 440,325,305 22,032,885 142,945,210 702,669,630 845,614,840 1.92 Fairview Capstone Partners II, LP Sep-08 Sep-19 100,000,000 106,626,890 3,138,213 53,472,119 143,077,163 196,549,282 1.84 Fairview Capstone Partners, LP May-07 Sep-19 100,000,000 91,010,329 8,989,671 39,916,310 237,771,588 277,687,898 3.05 Grosvenor/NJDI Emerging Opp 200,000,000 242,688,086 9,905,001 49,556,781 321,820,879 371,377,661 1.53 Page 13 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Grosvenor/NJDI Emerging Opp (2007) Apr-07 Dec-19 100,000,000 122,442,974 2,916,257 27,950,189 150,326,735 178,276,923 1.46 Grosvenor/NJDI Emerging Opp (2008) Jun-08 Dec-19 100,000,000 120,245,112 6,988,744 21,606,593 171,494,145 193,100,737 1.61
International 2,824,305,570 2,281,089,759 717,751,513 1,234,452,524 1,998,465,279 3,232,917,803 1.42 AIMS/NJ Euro Small and Mid Fund I, L.P. Feb-06 Sep-19 200,000,000 192,516,447 17,833,242 13,158,802 218,820,664 231,979,466 1.20 AIMS/NJ Euro Small and Mid Fund II, L.P. Jul-07 Sep-19 199,351,158 192,539,634 28,144,858 50,966,604 200,228,243 251,194,847 1.30 Anacap Financial Partners II May-08 Dec-19 127,027,380 189,937,942 5,440,799 43,816,289 181,104,839 224,921,128 1.18 AnaCap Financial Partners III, L.P. Jul-14 Dec-19 139,535,090 78,931,537 73,281,585 82,581,355 12,714,114 95,295,469 1.21 AnaCap Financial Prtns GP Nov-09 Sep-19 9,868,438 9,868,438 0 11,297,242 1,570,670 12,867,912 1.30 ARDIAN Buyout Fund VII A S.L.P Mar-20 Dec-19 136,523,505 30,294,442 106,229,063 30,927,231 0 30,927,231 1.02 MBK Partners Fund IV, L.P. Dec-16 Sep-19 85,000,000 61,209,872 23,790,128 59,463,797 16,449,743 75,913,540 1.24 MBK Partners Fund V, L.P. Jan-20 Dec-19 100,000,000 0 100,000,000 0 0 0 N/A New Jersey Asia Investors II, L.P. Jul-11 Sep-19 200,000,000 233,960,325 1,520,639 142,308,476 221,546,863 363,855,339 1.56 New Jersey Asia Investors III, L.P. Aug-16 Sep-19 300,000,000 154,852,513 147,371,985 157,843,465 12,141,813 169,985,278 1.10 New Jersey Asia Investors, L.P. Jan-08 Sep-19 100,000,000 99,472,080 13,182,928 50,082,997 238,102,303 288,185,300 2.90 NJHL European BO Investment II Series B Apr-07 Sep-19 200,000,000 152,407,452 11,773,453 5,393,513 221,961,363 227,354,876 1.49 NJHL European Buyout Investment Series A Feb-06 Sep-19 200,000,000 198,509,924 10,572,116 16,039,967 276,514,414 292,554,381 1.47 NJHL European Buyout Investment Series C Mar-08 Sep-19 200,000,000 212,772,199 11,041,392 63,287,607 221,909,287 285,196,894 1.34 RRJ Capital Master Fund III, L.P. Sep-15 Dec-19 150,000,000 122,798,814 37,846,467 53,120,730 107,504,193 160,624,923 1.31 Siguler Guff NJ Developing Mkt Fund, LP Dec-13 Sep-19 300,000,000 265,479,140 34,520,860 356,598,801 56,530,220 413,129,021 1.56 Warburg Pincus China, L.P. Dec-16 Dec-19 87,000,000 82,389,000 8,352,000 94,892,418 11,366,550 106,258,968 1.29 Warburg Pincus China-Southeast Asia II, L.P. Jun-19 Dec-19 90,000,000 3,150,000 86,850,000 2,673,229 0 2,673,229 0.85
Large Buyout 2,839,364,435 2,881,196,428 377,212,007 1,321,376,814 3,089,519,575 4,410,896,390 1.53 Apollo Investment Fund VI, L.P. Nov-05 Dec-19 50,000,000 132,027,729 2,090,014 898,432 171,500,614 172,399,046 1.31 Blackstone Capital Partners V, L.P. Oct-05 Dec-19 100,000,000 98,938,543 4,837,844 4,537,032 160,983,698 165,520,730 1.67 Blackstone Capital Partners VI, L.P. Mar-12 Dec-19 50,000,000 47,865,978 6,696,278 36,639,587 46,546,620 83,186,206 1.74 Blackstone Capital Partners VII, L.P. May-15 Dec-19 50,000,000 36,707,227 15,674,382 44,016,151 4,069,631 48,085,783 1.31 Carlyle Partners VI, L.P. Nov-13 Dec-19 300,000,000 310,661,840 20,042,812 283,908,580 136,796,710 420,705,290 1.35 CVC Capital Partners VI, LP Jul-13 Dec-19 85,363,311 92,526,342 13,947,075 88,187,234 47,980,083 136,167,317 1.47 CVC Capital Partners VII (A), LP May-17 Dec-19 110,751,124 55,802,784 54,805,041 57,991,729 692,490 58,684,218 1.05 Hellman & Friedman Capital Partners VI Apr-07 Dec-19 100,000,000 96,642,374 3,192,478 5,110,596 175,305,016 180,415,611 1.87 Hellman & Friedman Capital Partners VIII, L.P. Nov-14 Dec-19 100,000,000 100,279,177 5,103,779 110,350,776 9,417,810 119,768,586 1.19 Silver Lake Partners III, LP Jan-07 Dec-19 100,000,000 104,962,373 10,559,311 20,279,043 188,855,424 209,134,467 1.99 Silver Lake Partners IV Mar-13 Dec-19 200,000,000 227,239,656 6,751,814 254,395,350 168,651,066 423,046,416 1.86 TPG Partners V, L.P. Sep-06 Dec-19 187,500,000 256,833,971 3,651,967 6,724,098 314,409,091 321,133,188 1.25 TPG Partners VI, L.P. May-08 Dec-19 180,000,000 297,853,606 5,567,196 40,598,424 359,183,286 399,781,710 1.34 Vista Equity Partners Fund VII, L.P. Aug-18 Sep-19 300,000,000 75,721,826 224,292,016 73,645,908 230,992 73,876,900 0.98 Warburg Pincus Private Equity IX, LP Aug-05 Dec-19 200,000,000 200,000,000 0 9,227,932 338,391,541 347,619,473 1.74 Warburg Pincus Private Equity VIII Jun-06 Dec-19 25,750,000 26,883,000 0 93,123 60,011,831 60,104,953 2.24 Warburg Pincus Private Equity X, LP Oct-07 Dec-19 400,000,000 400,000,000 0 96,764,409 581,080,753 677,845,162 1.69 Warburg Pincus Private Equity XI, LP May-12 Dec-19 300,000,000 320,250,000 0 188,008,412 325,412,921 513,421,333 1.60
Mezzanine Debt 485,000,000 524,169,088 52,627,093 60,779,528 681,788,633 742,568,161 1.42 Page 14 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Audax Mezzanine Fund II, L.P. Nov-06 Sep-19 50,000,000 56,053,460 0 0 70,378,283 70,378,283 1.26 Blackstone Mezzanine Partners II, LP Apr-06 Dec-19 45,000,000 40,017,311 1,228,411 485,316 58,196,264 58,681,580 1.47 Gleacher Mezzanine Fund II, LP Nov-06 Sep-19 40,000,000 36,823,869 3,251,243 329,475 48,781,342 49,110,816 1.33 46,758,046 GSO Capital Opportunities Fund II, LP Nov-12 Dec-19 150,000,000 151,220,634 37,772,946 160,912,398 207,670,444 1.37 GSO Capital Opportunities Fund, L.P. Jul-08 Dec-19 100,000,000 120,315,926 6,184,029 1,469,212 203,214,793 204,684,005 1.70 Newstone Capital Partners II, L.P. May-11 Dec-19 100,000,000 119,737,888 4,190,464 11,737,479 140,305,554 152,043,033 1.27
Secondaries 179,566,400 171,247,194 12,417,780 11,143,143 231,100,785 242,243,928 1.41 Lexington Capital Partners VI-B Jun-06 Dec-19 50,000,000 50,705,969 817,355 3,662,291 70,189,170 73,851,461 1.46 Partners Group Secondary 2006 LP Sep-06 Dec-19 54,121,404 53,008,507 3,286,244 684,312 64,455,798 65,140,110 1.23 Partners Group Secondary 2008, L.P. Sep-08 Dec-19 75,444,996 67,532,719 8,314,181 6,796,540 96,455,817 103,252,357 1.53
Small/Midsize Buyout 650,000,000 737,754,793 46,367,728 171,531,506 1,081,123,880 1,252,655,386 1.70 Grosvenor/NJDI Investment Fund 650,000,000 737,754,793 46,367,728 171,531,506 1,081,123,880 1,252,655,386 1.70 Grosvenor/NJDI Investment Fund 2005 Nov-05 Dec-19 200,000,000 225,817,328 9,806,550 28,811,452 349,109,505 377,920,958 1.67 Grosvenor/NJDI Investment Fund 2006 Sep-06 Dec-19 250,000,000 290,541,393 10,133,086 67,676,729 456,782,038 524,458,767 1.81 Grosvenor/NJDI Investment Fund 2008 Jun-08 Dec-19 200,000,000 221,396,071 26,428,092 75,043,325 275,232,337 350,275,662 1.58
Special Situations 184,000,000 876,390,105 125,839,411 491,796,615 640,482,490 1,132,279,105 1.29 Blackstone TOP Fund - A (PE) L.P. Jan-12 Sep-19 184,000,000 876,390,105 125,839,411 491,796,615 640,482,490 1,132,279,105 1.29
Venture Capital 364,400,000 331,205,515 84,569,487 270,410,044 331,700,409 602,110,454 1.82 Khosla Ventures IV, L.P. Jan-12 Dec-19 25,000,000 24,525,000 475,000 36,156,422 36,132,236 72,288,658 2.95 NB Crossroads Fund XVIII Nov-06 Sep-19 50,000,000 42,000,000 59,375,002 13,078,081 62,700,562 75,778,643 1.80 NB/NJ Custom Investment Fund Aug-07 Sep-19 100,000,000 91,596,190 8,403,810 14,988,937 160,159,408 175,148,345 1.91 Peg Pooled Venture Capital VC Institutional III Jul-06 Dec-19 49,400,000 49,229,993 170,007 28,055,895 59,616,790 87,672,684 1.78 TCV VIII, L.P. Jan-14 Dec-19 100,000,000 84,811,370 15,188,630 139,274,764 13,091,413 152,366,177 1.80 Tenaya Capital VI, L.P. Jul-12 Dec-19 40,000,000 39,042,961 957,039 38,855,946 0 38,855,946 1.00
Private Equity Subtotal 16,638,103,711 15,613,175,142 3,773,424,389 8,646,381,359 14,957,157,401 23,603,538,760 1.51
Debt 1,806,745,417 1,655,391,095 312,350,901 642,197,791 1,615,812,627 2,258,010,418 1.36 Blackstone Residential Fund - A L.P Apr-16 Dec-19 250,000,000 250,000,000 0 273,367,000 37,994,383 311,361,383 1.25 Blackstone RE Debt Strategies III, L.P. Jun-16 Dec-19 100,000,000 97,351,241 46,685,655 57,378,018 52,992,096 110,370,114 1.13 CT High Grade Partners II, LLC May-08 Dec-19 664,065,200 572,861,303 108,661,385 121,182,442 713,392,328 834,574,770 1.46 Lone Star Fund VII (U.S.) LP May-11 Dec-19 300,000,000 283,944,335 18,490,651 2,284,153 493,143,169 495,427,322 1.74 M&G Real Estate Debt Fund II, LP Jul-13 Dec-19 108,764,236 96,402,201 18,455,607 26,842,103 79,852,343 106,694,447 1.11 M&G Real Estate Debt Fund III, LP Jul-13 Dec-19 183,915,981 193,902,776 21,778,708 58,688,946 141,311,247 200,000,193 1.03 Page 15 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Sculptor RE Credit Parallel Fund B, LP May-16 Dec-19 100,000,000 54,064,845 72,599,269 32,728,802 26,642,022 59,370,824 1.10 True North Real Estate Fund III, LP Sep-14 Dec-19 100,000,000 106,864,395 25,679,626 69,726,328 70,485,039 140,211,367 1.31
Equity 5,642,557,421 5,023,731,180 1,648,633,645 3,532,897,872 4,070,788,906 7,603,686,778 1.51 Aermont Capital Real Estate Fund IV Oct-18 Dec-19 110,118,001 19,012,190 91,105,811 18,972,449 0 18,972,449 1.00 164,428,149 Blackstone Property Global - NJ Oct-15 Dec-19 150,000,000 142,435,598 7,564,402 23,802,836 188,230,985 1.32 Blackstone Property Partners L.P. Jun-15 Sep-19 50,000,000 50,000,000 0 62,985,600 7,833,019 70,818,619 1.42 Blackstone Real Estate Partners Asia LP Jun-13 Dec-19 500,000,000 482,743,377 163,927,141 349,193,578 404,471,873 753,665,452 1.56 Blackstone Real Estate V Feb-06 Dec-19 75,000,000 78,353,336 3,130,539 3,313,684 158,063,006 161,376,689 2.06 Blackstone Real Estate VI Feb-07 Dec-19 100,000,000 99,401,438 4,907,906 6,327,854 217,228,412 223,556,266 2.25 Blackstone Real Estate Partners VI, Sec Nov-11 Dec-19 43,624,688 40,000,081 2,141,059 2,711,937 91,682,180 94,394,117 2.34 Blackstone Real Estate VII Dec-11 Dec-19 300,000,000 346,075,433 41,297,603 143,656,930 479,049,968 622,706,897 1.80 Blackstone Real Estate VIII Jan-15 Dec-19 100,000,000 100,474,998 19,702,128 100,003,360 41,179,880 141,183,239 1.41 Blackstone TOP Fund - A (RE) L.P. Jan-15 Sep-19 75,000,000 50,116,948 34,007,468 53,881,892 13,145,264 67,027,155 1.34 Carlyle Realty Partners V LP Feb-07 Dec-19 100,000,000 122,742,600 22,102,319 17,094,075 164,736,877 181,830,952 1.48 Exeter Core Industrial Club Fund II, L.P. Aug-16 Dec-19 100,000,000 96,100,000 3,900,000 104,292,525 15,110,526 119,403,051 1.24 Exeter Industrial Core Fund III, LP Jun-19 Dec-19 100,000,000 11,500,000 88,500,000 11,236,972 0 11,236,972 0.00 Focus Senior Housing Fund I LP Apr-17 Dec-19 50,000,000 18,974,869 31,025,131 19,135,719 988,371 20,124,090 1.06 Hammes Partners II, L.P. Mar-14 Dec-19 100,000,000 105,764,757 5,809,475 28,130,422 137,594,274 165,724,697 1.57 Hammes Partners III, L.P. Aug-17 Dec-19 50,000,000 9,945,379 40,054,621 8,438,520 748,327 9,186,847 0.92 Heitman America Real Estate Trust, L.P. Jan-07 Dec-19 100,000,000 100,000,000 0 144,336,352 58,512,878 202,849,230 2.03 KSL Capital Partners IV-A, L.P. Jul-15 Sep-19 100,000,000 90,733,849 17,291,795 91,242,354 14,972,525 106,214,879 1.17 KSL Capital Partners V, L.P. Feb-19 Sep-19 100,000,000 19,691,945 80,308,055 18,498,889 0 18,498,889 0.00 Lone Star Real Estate Fund II (U.S.) LP May-11 Dec-19 100,000,000 88,609,832 11,390,168 3,304,183 133,749,849 137,054,032 1.55 Meyer Bergman Euro Retail Partners II-TE Jul-14 Dec-19 58,997,268 60,487,688 471,551 46,196,445 9,769,504 55,965,949 0.93 NJDOI Core Plus Real Estate L.P. May-08 Sep-19 81,500,000 71,000,808 19,369,839 9,730,983 111,811,667 121,542,650 1.71 NJDOI Opp Real Estate L.P. May-08 Sep-19 25,000,000 17,383,733 7,616,267 3,068,048 27,550,348 30,618,396 1.76 Northwood Real Estate Co-Invest Dec-12 Dec-19 75,000,000 59,607,690 52,561,801 49,695,187 37,169,491 86,864,678 1.46 Northwood RE Partners L.P., (Series III) Dec-12 Dec-19 75,000,000 89,556,781 36,209,118 97,945,428 50,943,589 148,889,017 1.66 Northwood RE Partners L.P., (Series IV) Nov-13 Dec-19 200,000,000 238,264,581 144,647,591 174,998,648 182,912,172 357,910,820 1.50 *Sculptor NJ RE Opportunities, LP Mar-13 Feb-20 200,000,000 284,538,294 126,094,974 171,346,268 175,813,879 347,160,148 1.22 Sculptor RE Parallel Fund III E, LP Aug-14 Sep-19 100,000,000 72,551,481 43,080,288 38,253,482 63,417,840 101,671,322 1.40 Perella Weinberg Real Estate Fund II LP Jul-13 Dec-19 88,792,452 71,208,874 17,583,578 73,081,454 34,129,175 107,210,629 1.51 Perella Weinberg Real Estate Fund III LP Nov-15 Dec-19 101,195,663 68,639,152 32,556,511 93,338,762 27,580,628 120,919,390 1.76 Prime Property Fund Aug-07 Dec-19 130,000,000 150,000,000 0 128,461,696 89,359,866 217,821,562 1.45 PRISA II Jun-07 Dec-19 60,000,000 100,000,000 0 72,581,645 62,761,743 135,343,387 1.35 PRISA Real Estate Separate Account Dec-06 Dec-19 265,000,000 300,000,000 0 244,450,926 174,607,588 419,058,514 1.40
Page 16 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Prologis European Logistics Fund Sep-13 Dec-19 183,329,350 183,329,350 0 254,320,122 76,260,005 330,580,127 1.80 RE Capital Asia Partners III, L.P. Aug-12 Dec-19 80,000,000 68,823,498 16,906,279 11,593,376 72,629,051 84,222,427 1.22 RE Capital Asia Partners IV, L.P. Dec-14 Dec-19 100,000,000 85,485,250 15,330,256 77,456,641 28,489,790 105,946,430 1.24 TGM Apartment Partners Aug-15 Dec-19 300,000,000 165,250,899 134,749,101 206,863,389 17,406,055 224,269,444 1.36 82,271,345 TPG Real Estate Partners II, L.P. Sep-15 Dec-19 125,000,000 106,402,352 32,759,900 73,802,275 156,073,620 1.47 TPG Real Estate Partners III, L.P. May-18 Dec-19 100,000,000 12,736,954 87,263,046 10,295,369 0 10,295,369 0.00 TPG/NJ (RE) Partnership, LP Feb-13 Dec-19 225,000,000 167,768,845 84,900,972 150,152,835 161,822,223 311,975,058 1.86 26,396,150 Tucker Development/Acquisition Fund Oct-07 Sep-19 50,000,000 50,000,000 0 0 26,396,150 0.53 1,480,669 Warburg Pincus Real Estate Fund I Sep-06 Dec-19 100,000,000 95,839,535 0 152,731,827 154,212,496 1.61 Westbrook Real Estate Fund VIII Feb-08 Sep-19 100,000,000 110,980,414 0 19,729,399 137,912,513 157,641,912 1.42 Westbrook VII Jan-07 Sep-19 40,000,000 40,000,000 0 11,197,413 42,230,307 53,427,720 1.34 Wheelock SREF NJ CO-Invest Feeder, LP Nov-12 Sep-19 50,000,000 26,305 49,973,695 0 0 0 0.00 Wheelock Street Real Estate Fund, L.P. Dec-11 Sep-19 100,000,000 96,274,787 18,620,096 11,710,370 167,933,364 179,643,734 1.87 Wheelock Street Real Estate Fund II, L.P. Apr-14 Sep-19 125,000,000 104,773,449 36,252,773 38,451,953 124,490,486 162,942,439 1.56 Wheelock Street Real Estate Fund V, L.P Aug-16 Sep-19 100,000,000 80,123,832 23,520,386 76,644,428 4,383,455 81,027,883 1.01
Real Estate Subtotal 7,449,302,839 6,679,122,274 1, 960,984,546 4, 175,095,663 5, 686,601,533 9,861,697,196 1.48
Absolute Return 1,020,000,000 1,038,980,038 31,019,962 893,312,254 325,000,002 1,218,312,256 1.17 Iguazu Partners, L.P. Dec-13 Feb-20 150,000,000 125,000,000 25,000,000 180,178,875 0 180,178,875 1.44 MKP Opportunity Partners, L.P. Sep-12 Feb-20 360,000,000 360,000,000 0 153,689,265 275,000,000 428,689,265 1.19 Woodley Park NJ, L.P. (FAIR Program) Oct-17 Feb-20 510,000,000 553,980,038 6,019,962 559,444,114 50,000,002 609,444,116 1.10
Credit 850,000,000 850,000,000 0 571,047,263 488,738,196 1,059,785,459 1.25 Chatham Fund, LP Dec-14 Feb-20 300,000,000 300,000,000 0 308,736,238 176,000,000 484,736,238 1.62 GSO Special Situations Fund, L.P. Feb-12 Feb-20 100,000,000 100,000,000 0 23,835,664 89,202,011 113,037,675 1.13 Regiment Capital Ltd. Fund Dec-11 Jan-20 150,000,000 150,000,000 0 234,849 135,536,185 135,771,034 0.91 Solus Opportunities Fund 3, LP Apr-14 Feb-20 300,000,000 300,000,000 0 238,240,512 88,000,000 326,240,512 1.09
Distressed 350,000,000 450,000,000 0 37,149,855 642,205,431 679,355,286 1.51 Centerbridge Credit Partners Oct-07 Feb-20 200,000,000 200,000,000 0 28,061,056 298,504,372 326,565,428 1.63 King Street Capital Feb-07 Feb-20 150,000,000 150,000,000 0 9,088,799 240,243,863 249,332,662 1.66 Marathon Special Opp Fund, LTD Jul-08 #N/A 0 100,000,000 0 0 103,457,196 103,457,196 1.03
1 Equity Long/ Short 150,000,000 100,000,000 50,000,000 121,484,592 121,484,593 1.21 Page 17 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A
Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Visium Balanced Offshore Fund, Ltd Aug-12 Jun-19 150,000,000 100,000,000 50,000,000 1 121,484,592 121,484,593 1.21
Event Driven 275,000,000 275,000,000 0 193,405,720 233,056,115 426,461,835 1.55 Davidson Kempner Institutional Partners, L.P Dec-06 Feb-20 150,000,000 150,000,000 0 192,942,800 100,000,000 292,942,800 1.95 Starboard Leaders Fund LP Mar-14 Feb-20 125,000,000 125,000,000 0 462,920 133,056,115 133,519,035 1.07
Fund of Funds 2,200,000,000 2,178,229,017 101,270,983 559,089,930 2,421,880,144 2,980,970,074 1.37 AIMS/NJ Multi-Strategy Portfolio, LLC Aug-06 Feb-20 550,000,000 550,000,000 0 330,608,240 491,698,563 822,306,803 1.50 Arden Garden State NJ Fund LP. Jun-06 Feb-20 500,000,000 500,000,000 0 1,635,190 557,375,164 559,010,354 1.12 Protege Partners, LP Jun-07 Sep-19 150,000,000 150,000,000 0 0 188,825,905 188,825,905 1.26 Woodley Park NJ, L.P. Aug-06 Feb-20 800,000,000 778,229,017 101,270,983 225,208,076 990,040,711 1,215,248,788 1.56 Reservoir Strategic Partners Fund, LP Jul-11 Feb-20 200,000,000 200,000,000 0 1,638,423 193,939,800 195,578,224 0.98
256,523,339 Global Macro 550,000,000 550,000,000 0 374,999,976 631,523,315 1.15 Lynx Common (Bermuda) Ltd. Mar-11 Feb-20 200,000,000 200,000,000 0 92,496,600 125,000,000 217,496,600 1.09 Winton Futures Fund Jan-11 Feb-20 350,000,000 350,000,000 0 164,026,739 249,999,976 414,026,715 1.18
Multi-Strategy 1,100,000,000 1,150,000,000 100,000,000 641,112,395 843,445,055 1,484,557,451 1.29 AG Garden Partners, LP Mar-06 Feb-20 0 150,000,000 0 508,528 160,621,000 161,129,528 1.07 Elliott Associates, L.P. Apr-12 Dec-19 200,000,000 200,000,000 0 222,749,833 72,591,328 295,341,161 1.48 Farallon Capital Inst. Partners, L.P. Jun-07 Feb-20 150,000,000 150,000,000 0 2,325,088 170,006,880 172,331,968 1.15 Laurion Capital Ltd. Jul-15 Feb-20 100,000,000 100,000,000 0 135,171,500 0 135,171,500 1.35 Sculptor Domestic Partners II, LP Jun-06 Feb-20 150,000,000 150,000,000 0 106,960 280,015,847 280,122,807 1.87 SONJ FAIR, L.P. Aug-17 Feb-20 500,000,000 400,000,000 100,000,000 280,250,486 160,210,000 440,460,486 1.10
Hedge Fund Subtotal 6,495,000,000 6,592,209,056 282,290,944 3,151,640,758 5,450,809,511 8,602,450,269 1.30
Aether Real Assets III Surplus, LP Nov-13 Sep-19 100,000,000 101,208,739 5,548,227 99,680,530 18,172,281 117,852,811 1.16 Aether Real Assets III, LP Nov-13 Sep-19 30,000,000 28,367,926 4,234,694 24,974,721 4,641,610 29,616,331 1.04 Aether Real Assets SONJ Fund, L.P. Mar-18 Sep-19 135,000,000 47,144,786 90,970,281 40,395,916 3,115,067 43,510,983 0.92 Blackstone Energy Partners, L.P. Mar-12 Dec-19 150,000,000 181,631,201 14,184,874 85,527,949 193,097,723 278,625,672 1.53 Blackstone Energy Partners II, L.P. May-15 Dec-19 80,000,000 77,274,574 4,911,738 86,336,447 4,726,498 91,062,945 1.18 Blackstone TOP Fund - A, L.P. Jul-12 Sep-19 699,836,310 1,014,529,267 108,858,124 420,379,868 752,617,392 1,172,997,260 1.16 Brookfield Capital Partners IV, L.P. May-16 Dec-19 150,000,000 130,838,119 33,522,294 129,732,710 188,262,577 317,995,287 2.43 Brookfield Capital Partners V L.P. Apr-19 Dec-19 100,000,000 31,175,826 68,824,174 28,187,498 0 28,187,498 0.90 BX NJ Co-Invest, L.P. Aug-12 Sep-19 21,163,690 68,162,751 105,478,996 119,934,710 49,777,761 169,712,471 2.49 GSO Energy Partners - A, L.P. Mar-12 Dec-19 650,000,000 746,025,511 257,868,967 299,533,529 427,953,820 727,487,349 0.98 Hitecvision VII, L.P. Apr-14 Dec-19 100,000,000 75,434,361 35,721,323 77,093,348 30,017,836 107,111,184 1.42 Homestead Capital USA Farmland Fund III, L.P Apr-19 Dec-19 100,000,000 4,075,093 95,937,985 2,709,116 43,827 2,752,943 0.68 NJ/HV Resource Opportunities, L.P. Jun-15 Sep-19 150,000,000 137,960,684 50,541,279 183,196,112 43,404,705 226,600,817 1.64 *Sculptor NJ Real Asset Opportunities, LP Mar-13 Feb-20 200,000,000 203,661,894 2,143,066 20,413,238 199,898,552 220,311,790 1.08 Page 18 of 24 New Jersey Division of Investment Alternative Investments 03/31/2020 A B C =(B+C) =(B+C)/A Last Inception Valuation Amount Unfunded Current Market Total Total Value
Date Date Commitment Contributed1 Commitment Value2 Distributed3 Total Value Multiple Sheridan Production Partners I Aug-07 Sep-19 50,000,000 60,525,000 0 0 43,625,000 43,625,000 0.72 Stonepeak Infrastructure Fund III LP Nov-17 Dec-19 125,000,000 71,258,203 63,806,982 73,635,700 10,079,509 83,715,209 1.17 Tenaska Power Fund II, L.P. Sep-08 Sep-19 100,000,000 90,668,066 13,235,666 2,873,449 82,826,844 85,700,293 0.95 Warburg Pincus Energy, L.P. May-14 Dec-19 100,000,000 83,100,000 16,900,000 75,193,873 16,189,410 91,383,284 1.10
Real Assets Subtotal 3,041,000,000 3,153,042,001 972,688,670 1,769,798,716 2,068,450,412 3,838,249,128 1.22
Grand Total 33,623,406,550 32,037,548,473 6,989,388,550 17,742,916,496 28,163,018,857 45,905,935,353 1.43
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Private Equity and Real Estate represent most recently reported quarterly values from the General Partners, adjusted with cash flows through the end of current reported month-end. Hedge Funds reflect the most recent market values available and Commodity reported values are as of the current month end. 3. Total Distributed includes recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 19 of 24 New Jersey Division of Investment Global Diversified Credit 3/31/20 Global Diversified Credit as-of March 31, 2020 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Total Last Valuation Amount Unfunded Current Market Value 2 3 Inception Date Date Commitment Contributed1 Commitment Value Total Distributed Total Value Multiple Anacap Credit Opportunities II, LP Dec-11 Dec-19 77,504,090 106,587,297 15,861,672 1,657,725 123,695,059 125,352,785 1.18 Blueprint Cap I, LP May-18 Dec-19 300,000,000 115,360,460 227,897,746 73,930,723 46,361,977 120,292,700 1.04 Cerberus NJ Credit Opportunities Fund, L.P. Apr-12 Feb-20 300,000,000 441,666,667 30,472,637 444,440,433 209,752,398 654,192,831 1.48 Crayhill NJ Fund, LP May-17 Dec-19 150,000,000 77,232,539 164,277,643 0 92,415,178 92,415,178 1.20 Golden Tree Opportunities LP-Class D Sep-07 Feb-20 250,000,000 249,500,000 500,000 571,947,631 4,676,086 576,623,717 2.31 GSO Credit Partners - A, L.P. Mar-12 Jan-20 600,000,000 475,000,000 125,000,000 240,682,757 406,433,067 647,115,824 1.36 Knight TAO, L.P. Oct-14 Dec-19 700,000,000 539,663,432 302,184,164 517,415,023 184,989,286 702,404,309 1.30 Knight/TPG NPL - C, L.P. Mar-12 Dec-19 70,382,674 78,464,841 5,183,070 8,950,810 108,682,610 117,633,420 1.50 Knight/TPG NPL - R, L.P. Mar-12 Dec-19 59,054,236 55,554,236 3,574,522 638,438 83,020,344 83,658,782 1.51 NJ/TCW Direct Lending LLC Feb-16 Dec-19 150,000,000 154,539,000 21,349,267 101,621,780 67,174,190 168,795,970 1.09 Owl Rock Capital Holdings LLC Sep-16 Dec-19 0 0 0 61,250,000 9,407,953 70,657,953 N/A Owl Rock Capital Technology Finance Corp. Nov-18 Dec-19 100,000,000 33,416,220 66,583,780 32,814,962 1,161,182 33,976,144 1.02 Owl Rock Capital Technology Holdings LLC Nov-18 Dec-19 0 0 0 12,533,302 98,066 12,631,368 N/A *Sculptor SC, LP Apr-10 Feb-20 250,000,000 462,567,424 230,365,360 583,584,981 699,337,826 1,282,922,808 2.77 *Sculptor SC II, LP Mar-13 Feb-20 650,000,000 1,352,366,822 166,829,112 1,405,294,470 226,280,879 1,631,575,349 1.21 *Sculptor NJ Private Opportunities, LP Mar-13 Feb-20 500,000,000 1,173,277,855 274,561,031 367,026,081 908,742,333 1,275,768,413 1.09 TCW Direct Lending LLC Mar-15 Dec-19 150,000,000 119,520,900 37,994,113 55,320,793 89,349,104 144,669,897 1.21 TPG Opportunities Partners III (A), LP Apr-14 Dec-19 100,000,000 53,357,879 47,671,315 53,070,882 24,101,207 77,172,089 1.45
Total 4,406,941,000 5,488,075,572 1,720,305,431 4,532,180,792 3,285,678,745 7,817,859,537 1.42
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Values represent most recently reported values from the General Partners, adjusted wo cash flows through the end of current reported month-end. 3. Total distributed include recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 20 of 24 New Jersey Division of Investment Opportunistic Investments Opportunistic Investments as of March 31, 2020 3/31/20 Presents underlying fund level information including the Portfolio's original commitments, funded amounts to date, remaining commitments and the distributions to date.
A B C =(B+C) =(B+C)/A
Last Valuation Amount Unfunded Current Market Total Total Value 2 3 Inception Date Date Commitment Contributed1 Commitment Value Distributed Total Value Multiple Dyal NJ Investors, L.P. Oct-12 Sep-19 200,000,000 201,494,153 44,012,684 111,515,999 113,096,300 224,612,299 1.11 Dyal II NJ Investors, L.P. Jul-14 Sep-19 250,000,000 205,721,923 67,930,580 164,984,069 50,817,395 215,801,463 1.05 Dyal III NJ Investors, L.P. Aug-17 Sep-19 100,000,000 24,769,252 75,250,000 31,608,821 1,280,704 32,889,525 1.33 Dyal III US Investors LP Dec-15 Dec-19 200,000,000 95,706,027 136,883,348 147,004,513 45,205,115 192,209,627 2.01
Total 750,000,000 527,691,355 324,076,612 455,113,401 210,399,514 665,512,914 1.26
1. Amount Contributed does not include adjustment for portion of total distributions that are recallable. Contributions does include return of unused funded capital. 2. Values represent most recently reported values from the General Partners, adjusted with cash flows through the end of current reported month-end. 3. Total distributed include recallable portion of proceeds. 4. *Please note select Sculptor funds are on a one month lag, the commitment will be reflected on the following report.
Page 21 of 24 New Jersey Division of Investment
Transfers between Common and Pension Funds March, 2020
Contributions to Common Funds from Pension Funds for the Month
Withdrawal From To Date Contribution Amount Amount Pension Fund(s) Common Fund(s)
Not Applicable
$ - $ -
Withdrawals from Common Funds to Pension Funds for the Month
Withdrawal From To Date Contribution Amount Amount Common Fund(s) Pension Fund(s)
3/6/2020 $ 76,000,000.00 L $ 59,112,800.00 TPA 15,975,200.00 PERS 912,000.00 P&F $ 76,000,000.00 $ 76,000,000.00
Transfers between Common and Pension Funds, Summarized
March, 2020 Fiscal Year to Date 2020
Net Amount Net Amount Pension Fund Into (Out of) Pension Fund Into (Out of) Pension Funds Pension Funds
JRS $ - JRS $ 11,730,000.00 P&F $ 912,000.00 P&F $ 1,279,630,000.00 PERS $ 15,975,200.00 PERS $ 1,761,612,000.00 SPRS $ - SPRS $ 66,480,000.00 TPA $ 59,112,800.00 TPA $ 1,790,548,000.00 $ 76,000,000.00 $ 4,910,000,000.00
The FY20 3rd Quarter Appropriation Payment was distributed on 3/31/2020 for $684,157,500.
3rd Quarter Appropriation Fiscal Year to Date JRS: $ 9,152,500.00 JRS: $ 27,457,500.00 P&F: 92,032,250.00 P&F: $ 276,096,750.00 PERS: 194,236,000.00 PERS: $ 582,708,000.00 SPRS: 28,980,000.00 SPRS: $ 86,940,000.00 TPA: 359,756,750.00 TPA: $ 1,079,270,250.00 $ 684,157,500.00 $ 2,052,472,500.00
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Copyright © 2020 State Street Corporation, All rights reserved. Agenda Item 5
PHILIP D. MURPHY DEPARTMENT OF THE TREASURY ELIZABETH MAHER MUOIO Governor DIVISION OF INVESTMENT State Treasurer P.O. BOX 290 SHEILA Y. OLIVER TRENTON, NJ 08625-0290 COREY AMON Lt. Governor Telephone (609) 292-5106 Director Facsimile (609) 984-4425
May 22, 2020
MEMORANDUM TO: State Investment Council
FROM: Corey Amon Director
SUBJECT: Adoption of Amendments to N.J.A.C. 17:16-69 (Common Pension Funds), 71 (Real Assets) and 90 (Private Equity)
At its November 20, 2019 meeting, the State Investment Council (“Council”) approved proposed amendments to the Council Regulations to (a) provide clarification that the five percent limitation on commitments or investments to any one partnership or investment shall be applied to the pension and annuity funds under the supervision of the Council, (b) increase the limitation of real estate investments from nine to 10 percent of the Pension and Annuity Fund assets and (c) increase the limitation of private equity investments and private equity buy out investments from 12 to 15 percent of the Pension and Annuity Fund assets. We received no comments on the proposed amendments as filed with the Office of Administrative Law (OAL) and published in the New Jersey Register.
We have prepared the resolution to adopt the amendments for approval by the Council (Exhibit A). We will submit the notice of adoption (Exhibit B) to OAL for publication in the New Jersey Register and the amendments will become effective upon publication.
New Jersey Is an Equal Opportunity Employer • Printed on Recycled and Recyclable Paper Exhibit A
Resolution Adopting Amendments to N.J.A.C. 17:16-69 (Common Pension Funds), 71 (Real Assets) and 90 (Private Equity)
BE IT RESOLVED THAT:
The State Investment Council (the “Council”) hereby adopts amendments to N.J.A.C. 17:16-69 (Common Pension Funds), 71 (Real Assets) and 90 (Private Equity) as attached hereto.
The Council hereby authorizes the Director of the Division of Investment to submit the attached notice of adoption to the Office of Administrative Law for publication, and hereby delegates to staff of the Council and the Division of Investment the authority to make revisions to the notice of adoption as required and as shall be made upon the advice of the Attorney General.
This resolution shall take effect immediately.
DATED: May 27, 2020
Exhibit B Page 1 of 3
TREASURY - GENERAL
STATE INVESTMENT COUNCIL
Common Pension Funds, Real Assets, Private Equity
Limitations
Adopted Amendments: N.J.A.C. 17:16-69.9, 71.4, and 90.4
Proposed: January 6, 2020 at 52 N.J.R. 17.
Adopted: May 27, 2020 by the State Investment Council, Corey Amon, Director,
Division of Investment.
Filed: , 2020 as R. 2020 d. ___, without change.
Authority: N.J.S.A. 52:18A-91 and P.L. 2018, c. 55.
Effective Date:
Expiration Date: February 3, 2021
Summary of Public Comment and Agency Response:
No comments were received.
Federal Standards Statement
A Federal standards analysis is not required because the investment policy rules of the State Investment Council are not subject to any Federal requirements or standards.
Full text of the adoption follows: Exhibit B Page 2 of 3 PROPOSALS TREASURY—GENERAL
TREASURY—GENERALLAW AND PUBLIC SAFETY and the opportunity for increased risk-adjusted returns of the State- administered funds. N.J.A.C. 17:16-90 establishes that the Director may invest and reinvest (a) the moneys of any eligible fund in private equity, subject to the limitations STATE INVESTMENT COUNCIL expressed in the subchapter. N.J.A.C. 17:16-90.4(a)1 provides that the Pension and Annuity Funds’ proportionate interest in the aggregate Common Pension Funds, Real Assets, Private market value of private equity investments shall not exceed 12 percent of Equity the combined assets of all of the Pension and Annuity Funds. N.J.A.C. Limitations 17:16-90.4(a)2 provides that no more than 12 percent of the combined Proposed Amendments: N.J.A.C. 17:16-69.9, 71.4, assets of all of the Pension and Annuity Funds may be invested in buyout investments. The proposed amendments to N.J.A.C. 17:16-90.4(a)1 and 2 and 90.4 increase the limits for private equity and buyout investments from 12 Authorized By: State Investment Council, Corey Amon, Director, percent to 15 percent to provide for continued investment diversification Division of Investment. and the opportunity for increased risk-adjusted returns of the State- Authority: N.J.S.A. 52:18A-91 and P.L. 2018, c. 55. administered funds. Calendar Reference: See Summary below for explanation of As the Council has provided a 60-day comment period on this notice exception to calendar requirement. of proposal, this notice is excepted from the rulemaking calendar Proposal Number: PRN 2020-001. requirement pursuant to N.J.A.C. 1:30-3.3(a)5. Submit comments by March 6, 2020, to: Social Impact Corey Amon The proposed amendment to N.J.A.C. 17:16-69 is necessary to Administrative Practice Officer implement P.L. 2018, c. 55 and clarifies that the limitation on the amount Division of Investment that can be committed to any one partnership or investment applies to the PO Box 290 funds under the supervision of the Council. The proposed amendments to Trenton, New Jersey 08625-0290 N.J.A.C. 17:16-71 and 90 will provide the opportunity for continued Email: [email protected] investment diversification and increased overall risk-adjusted returns for The agency proposal follows: the State-administered funds under the supervision of the Council. The rules, as proposed for amendment, will continue to provide a regulatory Summary framework for the investment of State-administered funds under the N.J.A.C. 17:16 provides the regulatory framework that governs the supervision of the Council, thereby benefitting the funds’ beneficiaries methods, practices, or procedures for investment, reinvestment, purchase, and the State’s taxpayers. sale, or exchange transactions followed by the Director of the Division of Investment (Division) for the funds under the supervision of the State Economic Impact Investment Council (Council). The Council is proposing amendments to The proposed amendment to N.J.A.C. 17:16-69 is necessary to its rules to increase the percentage of pension and annuity fund assets that implement P.L. 2018, c. 55 and clarifies that the limitation on the amount may be invested in private equity and real estate investments to allow that can be committed to any one partnership or investment applies to the greater flexibility in asset allocation and to continue to implement P.L. funds under the supervision of the Council. The proposed amendments to 2018, c. 55, which transferred authority to direct investment policy related N.J.A.C. 17:16-71 and 90 will provide the opportunity for continued to the assets of the Police and Firemen’s Retirement System (PFRS) from investment diversification and increased overall risk-adjusted returns for the Council to the PFRS Board of Trustees. the State-administered funds under the supervision of the Council. The N.J.A.C. 17:16-69 sets forth the rules governing participation, Council rules, as proposed for amendment, will continue to provide a permissible investments, valuation of investments and units, and regulatory framework for the investment of State-administered funds liquidation procedures for Common Pension Funds A, B, D, E, and L. under the supervision of the Council and will, in turn, be followed by the N.J.A.C. 17:16-69.9(b) provides that not more than five percent of the Director of the Division of Investment. The rules are beneficial to the market value of the assets invested through direct investments, separate long-term economic security of the funds’ beneficiaries and are expected accounts, funds-of-funds, commingled funds, co-investments, and joint to lessen the long-term economic burden of State employee pension plans ventures, pursuant to N.J.A.C. 17:16-23.2(a)2, 71.2(a)1, 90.2(a)1, and on the State’s taxpayers. 100.2(a)1, plus outstanding commitments, may be committed to any one Federal Standards Statement partnership or investment, without the prior written approval of the A Federal standards analysis is not required because the proposed Council. P.L. 2018, c. 55 transferred the authority to direct the investment amendments to the investment policy rules of the State Investment policy of PFRS from the Council to the PFRS Board of Trustees. Council are not subject to any Federal laws or standards. Investments in private assets are made through a common trust fund, Common Pension Fund E, and PFRS will continue to have an ownership Jobs Impact interest in Common Pension Fund E. N.J.A.C. 17:16-3.1(c) establishes The proposed amendments will have no impact on the generation or that, beginning with the transition date, PFRS is no longer included in the loss of jobs in New Jersey. definition of Pension and Annuity Funds, as the term is used in the Agriculture Industry Impact chapter, so that only the pension and annuity funds under the supervision The proposed amendments will have no impact on the agriculture of the Council, and not PFRS, are included for purposes of determining industry. compliance with the Council’s investment limitations. The proposed amendment to N.J.A.C. 17:16-69.9(b) clarifies that the investment Regulatory Flexibility Statement limitation shall be applied to the Pension and Annuity Funds’ A regulatory flexibility analysis is not required since the proposed proportionate interest in the investments. amendments regulate only the Director of the Division of Investment and N.J.A.C. 17:16-71 establishes that the Director may invest and reinvest will have no effect on small businesses, as the term is defined in the the moneys of any eligible fund in real assets, subject to the limitations Regulatory Flexibility Act, N.J.S.A. 52:14B-16 et seq. expressed in the subchapter. N.J.A.C. 17:16-71.4(a)1 provides that the Housing Affordability Impact Analysis Pension and Annuity Funds’ proportionate interest in the aggregate The proposed amendments will have no impact on the affordability of market value of the investments in real estate under the subchapter shall housing in the State of New Jersey and the proposed amendments are not exceed nine percent of the combined assets of all of the Pension and unlikely to evoke a change in the average costs associated with housing Annuity Funds. The proposed amendment increases the limit from nine because the proposed amendment to N.J.A.C. 17:16-69 is necessary to percent to 10 percent to provide for continued investment diversification implement P.L. 2018, c. 55, and the proposed amendments to N.J.A.C.
NEW JERSEY REGISTER, MONDAY, JANUARY 6, 2020 (CITE 52 N.J.R. 17) Exhibit B Page 3 of 3 TREASURY—GENERAL PROPOSALS
17:16-71 and 90 will provide the opportunity for continued investment (c)-(f) (No change.) diversification and increased overall risk-adjusted returns for the State- administered funds under the supervision of the Council. SUBCHAPTER 71. REAL ASSETS Smart Growth Development Impact Analysis 17:16-71.4 Limitations The proposed amendments are unlikely to evoke a change in housing (a) At the time of initial purchase, the following conditions shall be production within Planning Areas 1 or 2, or within designated centers, met: under the State Development and Redevelopment Plan in New Jersey 1. The Pension and Annuity Funds’ proportionate interest in the because the proposed amendment to N.J.A.C. 17:16-69 is necessary to aggregate market value of the investment in real estate under this implement P.L. 2018, c. 55, and the proposed amendments to N.J.A.C. subchapter shall not exceed [nine] 10 percent of the combined assets of 17:16-71 and 90 will provide the opportunity for continued investment all of the Pension and Annuity Funds; diversification and increased overall risk-adjusted returns for the State- 2.-9. (No change.) administered funds under the supervision of the Council. (b) (No change.) Racial and Ethnic Community Criminal Justice and Public Safety Impact SUBCHAPTER 90. PRIVATE EQUITY The Division has evaluated the proposed amendments and determined 17:16-90.4 Limitations that they will not have an impact on pretrial detention, sentencing, (a) At the time of initial purchase, the following conditions shall be probation, or parole policies concerning adults and juveniles in the State. met: Accordingly, no further analysis is required. 1. The Pension and Annuity Funds’ proportionate interest in the Full text of the proposal follows (additions indicated in boldface thus; aggregate market value of private equity investments under this deletions indicated in brackets [thus]): subchapter shall not exceed [12] 15 percent of the combined assets of all of the Pension and Annuity Funds; SUBCHAPTER 69. COMMON PENSION FUNDS 2. No more than [12] 15 percent of the combined assets of all of the Pension and Annuity Funds may be invested in buyout investments, and 17:16-69.9 Limitations no more than seven percent of the combined assets of all of the Pension (a) (No change.) and Annuity Funds may be invested in buyout investments outside of the (b) Not more than five percent of the market value of the assets United States. This limitation shall be applied to the Pension and Annuity invested through direct investments, separate accounts, funds-of-funds, Funds’ proportionate interest in the investments. This limitation shall not commingled funds, co-investments, and joint ventures pursuant to apply to direct investments in common and preferred stock, exchange- N.J.A.C. 17:16-23.2(a)2, 71.2(a)1, 90.2(a)1, and 100.2(a)1, plus traded funds, and convertible debt issues; outstanding commitments, may be committed to any one partnership or 3.-7. (No change.) investment, without the prior written approval of the Council. This (b) (No change.) limitation shall be applied to the Pension and Annuity Funds’ ______proportionate interest in the investments.
(CITE 52 N.J.R. 18) NEW JERSEY REGISTER, MONDAY, JANUARY 6, 2020 Agenda Item 6a
PHILIP D. MURPHY DEPARTMENT OF THE TREASURY ELIZABETH MAHER MUOIO Governor DIVISION OF INVESTMENT State Treasurer P.O. BOX 290 SHEILA Y. OLIVER TRENTON, NJ 08625-0290 COREY AMON Lt. Governor Telephone (609) 292-5106 Director Facsimile (609) 984-4425
May 22, 2020
MEMORANDUM TO: The State Investment Council
FROM: Corey Amon Director
SUBJECT: Proposed Investment in Stellex Capital Partners II LP
The Division of Investment (the “Division”) is proposing an investment of up to $125 million in Stellex Capital Partners II LP (the “Fund”). This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9.
The Division is recommending this investment based on the following factors:
Attractive middle-market (revenues $100 million to $500 million) turnaround exposure: Stellex Capital Management (“Stellex” or the “Firm”) employs a turnaround strategy in which it targets distressed and mismanaged middle-market businesses in the manufacturing and industrial sectors to deliver operational improvements. Turnaround strategies are geared for downside protection, providing the opportunity to outperform in down market cycles and to generate buyout- like returns in strong markets. The Fund provides differentiated middle-market exposure, consistent with the pacing plan and identified needs in the portfolio.
Consistent and attractive performance and track record: Stellex Fund I is a top quartile performer for its vintage on a net IRR (32.1%) and net TVPI (1.59x) basis. The founding partners of Stellex, Ray Whiteman and Mike Stewart, have been investing in similar businesses together since 2004. They have a strong track record from their time at Carlyle Strategic Partners, where they built a team from scratch and operated a series of three funds over the course of ten years.
Founders’ expertise and strong operating network: Both Mr. Whiteman and Mr. Stewart have invested in private equity for over 20 years. Over that time, they have built a strong pool of operating executives and industry insiders that the Firm refers to as its operating network. Stellex draws upon these relationships for sourcing deals, and deploys members of its operating network to portfolio companies in management roles to help execute its strategy.
New Jersey Is an Equal Opportunity Employer • Printed on Recycled and Recyclable Paper Proposed Investment in Stellex Capital Partners II LP Page 2 of 2
A report of the Investment Policy Committee (“IPC”) summarizing the details of the proposed investment is attached.
Division Staff and its private equity consultant, Aksia TorreyCove Partners, undertook extensive due diligence on the proposed investment in accordance with the Division’s Alternative Investment Due Diligence Procedures.
As part of its due diligence process, staff determined that the Fund has engaged a third-party solicitor (“placement agent”) in the fundraising of the Fund but no placement agent was engaged or paid in connection with the Pension Fund’s potential investment.
Staff will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents governing the investment. A preliminary Disclosure Report of Political Contributions has been obtained in accordance with the Council’s policy concerning political contributions (N.J.A.C. 17:16-4) and no political contributions have been disclosed. An updated Disclosure Report will be obtained at the time of closing.
Note that the investment is authorized pursuant to Articles 69 and 90 of the Council’s regulations. Stellex Capital Partners II LP is considered a private equity buyout investment, as defined under N.J.A.C. 17:16-90.1. Pursuant to N.J.A.C. 17:16-90.4(a)1, the aggregate market value of private equity investments shall not exceed 12% of the combined assets of all of the Pension and Annuity Funds. As of May 21, 2020, the aggregate market value of private equity investments is 11.67% of the combined assets of all the Pension and Annuity Funds excluding the Police and Fire Mortgage assets.
A formal written due diligence report for the proposed investment was sent to each member of the IPC prior to its May 13, 2020 meeting. In addition to this formal written due diligence report, all other information obtained by the Division on the investment was made available to the IPC.
We look forward to discussing the proposed investment at the Council’s May 27, 2020 meeting.
Attachment
Private Equity INVESTMENT POLICY COMMITTEE REPORT TO THE STATE INVESTMENT COUNCIL
Fund Name: Stellex Capital Partners II LP May 22, 2020 Contact Info: Raymond Whiteman, 900 Third Avenue, 14th Floor, New York, NY 10022 Fund Details: Firm AUM: $870 million Key Investment Professionals: Strategy: Private Equity Buyout Ray Whiteman (Founding Partner) Prior to establishing Stellex in 2014, Mr. Whiteman was a Partner at The Carlyle Group and a Managing Director and Co- Head of Carlyle Strategic Partners. Mr. Whiteman was also a Vice President and Group Head in the Leveraged Finance Department of Credit Lyonnais and Year Founded: 2014 held several positions at both Citicorp and The Chase Manhattan Bank, N.A. Headquarters: New York City, NY Mike Stewart (Founding Partner) Prior to establishing Stellex in 2014, Mr. Stewart was a Partner at The Carlyle Group and a Managing Director and Co- GP Commitment: Lesser of 2% or $25 million Head of Carlyle Strategic Partners. Mr. Stewart was also one of the original principals of Sunrise Capital Partners, L.P. and worked at Houlihan Lokey in the Financial Restructuring Group.
Investment Summary Existing and Prior Funds Stellex Capital Partners II, L.P. will pursue middle-market turnaround investments in the manufacturing and industrial sectors. Funds Vintage Year Strategy Returns as of 9/30/2019 The Fund will target 15-20 investments in companies with enterprise values of less than $500 million. Approximately 85% of Fund I 2015 Buyout 32.1% Net IRR; 1.59x TVPI; 0.15x DPI the portfolio will be focused on North America with the remainder allocated to Western Europe. The Fund will identify underperforming or mismanaged lower and middle-market businesses, targeting opportunities for restructurings, corporate carve-outs, debt-for-control, and buyout transactions.
*Source of returns- Aksia TorreyCove
IRR = Internal Rate of Return; TVPI= Total Value to Paid-In; DPI= Distributions to Paid-In Vehicle Information: Inception: 2020 Auditor: PwC LLP Fund Size: $1.25 billion; $1.75 billion (hard cap) Legal Counsel: Kirkland & Ellis LLP Management Fee: 1.75% on committed capital during the investment period 1.75% on invested capital thereafter Carry: 20% Hurdle Rate: 8% Additional Expenses: 100% Management Fee Offset
NJ AIP Program Recommended Allocation ($mil): up to $125 million LP Advisory Board Membership: TBD % of Fund: 10%; 7.14% (hard cap) Consultant Recommendation: YES Placement Agent: NO Compliance w/ Division Placement Agent Policy: N/A Compliance w/ SIC Political Contribution Reg: YES
*This review memorandum was prepared in accordance with the State Investment Council rules governing the Alternatives Investment Program and the policies and procedures related thereto. Agenda Item 6b
PHILIP D. MURPHY DEPARTMENT OF THE TREASURY ELIZABETH MAHER MUOIO Governor DIVISION OF INVESTMENT State Treasurer P.O. BOX 290 SHEILA Y. OLIVER TRENTON, NJ 08625-0290 COREY AMON Lt. Governor Telephone (609) 292-5106 Director Facsimile (609) 984-4425
May 22, 2020
MEMORANDUM TO: The State Investment Council
FROM: Corey Amon Director
SUBJECT: Proposed Investment in Silver Lake Partners VI, L.P.
The Division of Investment (the “Division”) is proposing an investment of up to $100 million in Silver Lake Partners VI, L.P. (the “Fund”). This memorandum is presented to the State Investment Council (the “Council”) pursuant to N.J.A.C. 17:16-69.9.
The Division is recommending this investment based on the following factors:
Strong investment track record through volatile market cycles. Silver Lake Partners (“Silver Lake” or the “Firm”) has consistently delivered top quartile returns even during economic downturns. The Firm has generated a 19.2% net IRR and a 1.8x net TVPI to date across five funds.
Technology domain expertise and global relationship network. The Firm has deep and extensive relationship networks and specialized knowledge investing in the technology sector. Silver Lake sources deals directly through industry relationships it has formed in the more than 20 years the Firm has been in operation.
Thematic approach with a focus on market leaders and growth. The Firm focuses on leading, franchise-quality companies with inherent competitive advantages. Investing in high-growth businesses, Silver Lake seeks mispriced companies with strong top-line growth rates.
A report of the Investment Policy Committee (“IPC”) summarizing the details of the proposed investment is attached.
Division Staff and its private equity consultant, Aksia TorreyCove Partners, undertook extensive due diligence on the proposed investment in accordance with the Division’s Alternative Investment Due Diligence Procedures.
As part of its due diligence process, staff determined that the Fund has engaged a third-party solicitor (“placement agent”) in the fundraising of the Fund but no placement agent was engaged or paid in connection with the Pension Fund’s potential investment.
New Jersey Is an Equal Opportunity Employer • Printed on Recycled and Recyclable Paper Proposed Investment in Silver Lake Partners VI, L.P. Page 2 of 2
Staff will work with representatives of the Division of Law and outside counsel to review and negotiate specific terms of the legal documents governing the investment. A preliminary Disclosure Report of Political Contributions has been obtained in accordance with the Council’s policy concerning political contributions (N.J.A.C. 17:16-4) and no political contributions have been disclosed. An updated Disclosure Report will be obtained at the time of closing.
Note that the investment is authorized pursuant to Articles 69 and 90 of the Council’s regulations. Silver Lake Partners VI, L.P. is considered a private equity buyout investment, as defined under N.J.A.C. 17:16-90.1. Pursuant to N.J.A.C. 17:16-90.4(a)1, the aggregate market value of private equity investments shall not exceed 12% of the combined assets of all of the Pension and Annuity Funds. As of May 21, 2020 the aggregate market value of private equity investments is 11.67% of the combined assets of all the Pension and Annuity Funds excluding the Police and Fire Mortgage assets.
A formal written due diligence report for the proposed investment was sent to each member of the IPC prior to its meeting on May 13, 2020. In addition to this formal written due diligence report, all other information obtained by the Division on the investment was made available to the IPC.
We look forward to discussing the proposed investment at the Council’s May 27, 2020 meeting.
Attachment
Private Equity INVESTMENT POLICY COMMITTEE REPORT TO THE STATE INVESTMENT COUNCIL
Fund Name: Silver Lake Partners VI, L.P. May 22, 2020 Contact Info: Susannah Carrier, 55 HUDSON YARDS, 550 West 34th Street, 40th Floor, New York, NY 10001 Fund Details: Firm AUM ($bil.): $40 billion Key Investment Professionals: Strategy: Private Equity Buyout Egon Durban (Co-CEO) Joined Silver Lake as a founding principal in 1999, He currently works in the Menlo Park office, having previously worked in the New York as well as London office, which he launched and managed. Prior to Silver Lake, Mr. Durban worked in Morgan Stanley's Investment Banking Division. Year Founded: 1999 Greg Mondre (Co-CEO) Mr. Mondre joined Silver Lake in 1999 and works in the New York office. Prior to joining Silver Lake, he worked at Texas Pacific Headquarters: New York, NY; Menlo Park, CA Group and Goldman Sachs. Kenneth Hao (Chairman) Mr. Hao joined Silver Lake in 2000 and works in the Menlo Park office. He previously worked in the New York office as well as the GP Commitment: Lesser of 3% or $500 million Hong Kong office, which he launched and managed. Prior to joining Silver Lake, Mr. Hao was a Managing Director at Hambrecht & Quist. Joe Onsoss (Managing Partner and Managing Director) Mr. Osnoss joined Silver Lake in 2002, having previously worked in investment banking at Goldman Sachs.
Investment Summary Existing and Prior Funds Silver Lake Partners VI, L.P. will pursue large-scale investments in companies within the technology, technology- Funds Vintage Year Strategy Returns as of 12/31/2019 enabled and related growth industries. The Fund will target 15-25 investments, with initial equity investments between SLP I 1999 Buyout 24.6% Net IRR; 2.20x Net TVPI; 2.20x DPI $400 million and $1.25 billion. The Fund will target opportunities for buyout transactions, structured minority SLP II 2004 Buyout 11.0% Net IRR; 1.83x Net TVPI; 1.82x DPI investments, and acquisition finance and debt investments. SLP III 2007 Buyout 18.6% Net IRR; 2.06x Net TVPI; 1.88x DPI SLP IV 2013 Buyout 25.6% Net IRR; 1.80x Net TVPI; 0.72x DPI SLP V 2018 Buyout 14.6% Net IRR; 1.16x Net TVPI; 0.04x DPI
*Source of returns- Aksia TorreyCove IRR = Internal Rate of Return; TVPI= Total Value to Paid-In; DPI= Distributions to Paid-In Vehicle Information: Inception: 2020 Auditor: PwC LLP Fund Size: $18 billion Legal Counsel: Simpson Thacher & Bartlett LLP Management Fee: 1.5% on committed capital during investment period; 1% on invested capital after investment period
Carry: 20% Hurdle Rate: 8% Additional Expenses: 100% Management Fee Offset
NJ AIP Program Recommended Allocation ($mil): up to $100 million LP Advisory Board Membership: TBD % of Fund: 0.56% Consultant Recommendation: YES Placement Agent: NO Compliance w/ Division Placement Agent Policy: N/A Compliance w/ SIC Political Contribution Reg: YES
*This review memorandum was prepared in accordance with the State Investment Council rules governing the Alternatives Investment Program and the policies and procedures related thereto.