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IOWA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM
Investment Board Meeting Agenda Thursday, June 18, 2020
Conference Telephone #: 646-558-8656 Meeting ID: 952 1095 1503#
8:30 a.m. – 11:45 a.m.
8:30 a.m. Call to Order
8:30 a.m. Approval of March 27, 2020, Board Meeting Minutes
8:35 a.m. CEO Report – Greg Samorajski
8:45 a.m. CEO Across-the-Board Salary Adjustment Greg Samorajski, IPERS
8:50 a.m. IPERS Investment Staff Reports • Beta Report – Karl Koch• Risk Report – Sriram Lakshminarayanan• Alpha Report – Investment Team• CIO Updates – Karl Koch
9:30 a.m. Private Markets Program Annual Review Pat Reinhardt, IPERS
10:15 a.m. Break
10:25 a.m. Infrastructure Fund Hiring Recommendation Pat Reinhardt, IPERS
10:45 a.m. Securities Lending Review Jina Bresson, State Treasurer’s Office
11:00 a.m. Securities Litigation Report Elizabeth Hennessey, IPERS
11:15 a.m. Fossil Fuel Divestment Karl Koch, IPERS
11:30 a.m. Public Comments
11:40 a.m. Other Business • Confirm Next Board Meeting Dates of September 16–17, 2020• Next BAC Meeting is Monday, August 24, 2020
11:45 a.m. Adjourn
INVESTMENT BOARD MEETING MINUTES IPERS Board Room
7401 Register Drive, Des Moines, Iowa March 27, 2020
The following people participated in the telephonic IPERS Investment Board meeting held on Friday, March 27, 2020.
Members of the Board – Present
Lisa Stange, Chair Marlene Sprouse, Vice Chair David Creighton Treasurer Michael Fitzgerald Justin Kirchhoff Phyllis Peterson Kris Rowley Representative Mary Mascher Senator Pam Jochum Senator Mark Lofgren
Members of the Board – Absent Representative Mary Ann Hanusa
Administration
Donna Mueller, CEO Karl Koch, CIO Sriram Lakshminarayanan, CRO Pat Reinhardt, Senior Investment Officer Keith Scholten, Senior Investment Officer Kevin Terdal, Investment Officer
Melinda McElroy, Executive Assistant David Martin, Chief Benefits Officer Darla Iverson, Chief Financial Officer Rick Hindman, Chief Information Officer Shawna Lode, Director of Communications
Consultants and Presenters Rose Dean, Wilshire Associates Ali Kazemi, Wilshire Associates David Kausch, Gabriel, Roeder, Smith & Company
2
Call to Order
Lisa Stange, chair, called the meeting to order at 8:35 a.m. She began the meeting welcoming Kris Rowley, Dickinson County Treasurer, to the Board.
Approval of Minutes from Previous Meeting
David Creighton made the motion to approve the December 6, 2019, and January 13, 2020, Investment Board meeting minutes. Justin Kirchhoff seconded. The minutes were approved by unanimous voice vote.
IPERS CEO Appointment and Salary Recommendation – Paul Trombino
Paul Trombino, Governor Reynolds’ chief operating officer, announced the Governor’s decision to appoint Gregory Samorajski as IPERS’ next CEO. Mr. Samorajski’s appointment begins May 1, 2020 and requires senate confirmation. Paul recommended the Investment Board approve the salary of $205,150. Lisa Stange made the motion to approve the salary recommendation. Marlene Sprouse seconded. The motion carried by unanimous roll call vote.
Ayes: Lisa Stange, Marlene Sprouse, David Creighton, Treasurer Michael Fitzgerald, Justin Kirchhoff, Phyllis Peterson and Kris Rowley Nays: None Absent: None
MOTION PASSED
Actuarial Audit Report – David Kausch
David Kausch of Gabriel, Roeder, Smith & Company presented their report of an audit of the IPERS’ June 30, 2019, actuarial valuation. The report concluded that the actuarial valuation results are correct within acceptable tolerance and that the actuarial assumptions and methods are reasonable and comply with generally accepted actuarial principles. The report made various recommendations and suggestions relating to data reporting, valuation explanations and potential review of economic assumptions which the Board and IPERS administration will review.
CEO Report – Donna Mueller
Donna Mueller reported that Cavanaugh Macdonald provided their response to the audit report and reviewed IPERS’ response and recommendations. It was recommended to continue to separate the economic and demographic experience studies and upon the completion of the June 30, 2020, valuation IPERS should initiate an economic experience study. She next asked the Investment Board to approve extending the actuarial consulting services contract with Cavanaugh Macdonald Consulting through June 30, 2023. David Creighton made the motion to approve extending the contract with Cavanaugh Macdonald Consulting subject to successful fee negations. Marlene Sprouse seconded. The motion carried by unanimous roll call vote.
3
Ayes: Lisa Stange, Marlene Sprouse, David Creighton, Treasurer Michael Fitzgerald, Justin Kirchhoff, Phyllis Peterson and Kris Rowley Nays: None Absent: None
MOTION PASSED Donna concluded her report by updating the Board on the safety measures IPERS is taking in delivering member services in response to COVID-19.
IPERS Investment Staff Reports
Beta Report
Karl Koch reviewed the beta report, noting the Fund’s estimated market value had decreased about 17% from December 31, 2019, through March 20, 2020, the date of the report. However, he also noted that in the week since the report date most markets had posted large gains due to fiscal and monetary policy responses, so some of those losses had been recovered as of the Board meeting. All asset classes were within policy ranges and staff is taking an incremental approach to rebalancing to policy targets as market conditions stabilize. He explained that a cash reserve has been established within the core-plus portfolio to enable future rebalancing and ensure adequate liquidity for benefit payments and potential increases in capital calls from private equity and private credit.
Alpha Report
The investment staff reviewed the alpha report noting the only new development was a cautionary flag on Western Asset Management due to the recent acquisition of Western’s parent Legg Mason. Staff will monitor to ensure there are no negative impacts on Western’s ability to manage IPERS’ portfolio.
Risk Report
Sriram Lakshminarayanan presented IPERS’ risk monitoring reports. He noted that market and active risk had spiked recently due to the large increase in volatility. Active risk is still within budget.
Investment Consulting Services – Karl Koch
Karl Koch reported the current contract with Wilshire Associates expires September 30, 2020, and an RFP will need to be issued per state of Iowa procurement rules. He asked the Board for input into what they would like the RFP to address. Several Board members expressed concern about conducting a consultant search at a time when staff is dealing with volatile investments and when IPERS is transitioning to a new CEO. Treasurer Michael Fitzgerald made the motion directing staff to request a temporary waiver of the procurement rules to allow a one-year extension of the contract with Wilshire Associates due to extenuating circumstances. David Creighton seconded.
4
Ayes: Lisa Stange, Marlene Sprouse, David Creighton, Treasurer Michael Fitzgerald, Justin Kirchhoff, Phyllis Peterson and Kris Rowley Nays: None Absent: None
MOTION PASSED
Confirm Next Meeting Date
The next regularly scheduled Investment Board meeting is Thursday, June 18, 2020, beginning at 8:30 a.m.
Adjourn
With no further business to come before the Investment Board, the meeting adjourned at 10:14 a.m.
June 9, 2020 MEMORANDUM TO: IPERS Investment Board Members FR: Greg Samorajski, CEO RE: Across-the-Board Salary Adjustment For fiscal year 2021, Governor Reynolds authorized an across-the-board (ATB) salary increase of 2.1% for state of Iowa employees not covered by a collective bargaining agreement. However, for those directors whose salaries are set by a governing board other than the Governor, the salary adjustment must be approved by the appropriate governing body. The salary for IPERS’ chief executive officer is set by the Investment Board within the state pay plan applicable to the CEO classification. See §97B.3(1). Therefore, I request the Investment Board approve application of the Governor approved ATB to IPERS’ CEO position effective July 1, 2020.
Actual Overlay Total Policy Difference
PUBLIC MARKETS
Domestic 7,493,829,655$ (55,664,941)$ 7,438,164,714$ 7,335,556,588$ 102,608,126$
International 5,986,553,562$ (134,611,225)$ 5,851,942,336$ 5,834,863,324$ 17,079,013$
Global Smart Beta 2,151,684,852$ 2,151,684,852$ 2,000,924,353$ 150,760,499$
Total Equities 15,632,068,069$ 15,441,791,902$ 15,171,344,265$ 270,447,637$
Core Plus 8,308,447,152$ 1,069,673,306$ 9,378,120,458$ 9,336,480,942$ 41,639,516$
Public Credit 1,318,123,655$ 1,318,123,655$ 1,332,783,529$ (14,659,874)$
Cash 1,167,634,415$ (879,397,139)$ 288,237,276$ 335,819,472$ (47,582,196)$
PRIVATE MARKETS 8,554,921,694$ 8,554,921,694$ 8,804,766,778$ (249,845,084)$
Private Equity 5,383,387,273$ 5,383,387,273$ 5,541,021,286$ (157,634,012)$
Private Credit 1,057,036,196$ 1,057,036,196$ 1,087,915,164$ (30,878,969)$
Private Real Assets 2,114,498,225$ 2,114,498,225$ 2,175,830,328$ (61,332,103)$
TOTAL FUND 34,981,194,985$ 34,981,194,985$ -$
Actual Overlay Total Policy Difference
PUBLIC MARKETS
Domestic 21.42% -0.16% 21.26% 20.97% 0.29%
International 17.11% -0.38% 16.73% 16.68% 0.05%
Global Smart Beta 6.15% 6.15% 5.72% 0.43%
Total Equities 44.69% 44.14% 43.37% 0.77%
Core Plus 23.75% 3.06% 26.81% 26.69% 0.12%
Public Credit 3.77% 3.77% 3.81% -0.04%
Cash 3.34% -2.51% 0.82% 0.96% -0.14%
PRIVATE MARKETS 24.46% 24.46% 25.17% -0.71%
Private Equity 15.39% 15.39% 15.84% -0.45%
Private Credit 3.02% 3.02% 3.11% -0.09%
Private Real Assets 6.04% 6.04% 6.22% -0.18%
TOTAL FUND 100.00% 100.00% 0.00%
IOWA PUBLIC EMPLOYEES' RETIREMENT SYSTEM PORTFOLIO
PRELIMINARY (Unreconciled) MARKET VALUES AT
6/5/2020
BETA REPORT
PUBLIC PORTFOLIO 75.54% 26,426,273,292$
Manager Name
Manager % of
Asset Class Total Market Value Manager Name
Manager % of
Asset Class Total Market Value
Blackrock R2000 SAE 2.30% $ 172,139,873 Western 18.82% $ 1,563,239,327
Blackrock - U.S. Alpha Tilt 15.70% $ 1,176,436,143 Blackrock 13.80% $ 1,146,871,026
Fisher 0.00% $ 14,376 Principal Global Investors 13.92% $ 1,156,550,762
Janus 5.82% $ 436,502,295 TCW 14.43% $ 1,198,721,273
Domestic Equity Transition 0.00% $ 149,334 Prudential 13.61% $ 1,130,502,841
Russell 2500 Value Transition 0.00% $ - Mackay Shields 13.61% $ 1,130,508,933
DOMESTIC EQUITY - ACTIVE 23.82% $ 1,785,242,020 CORE PLUS - ACTIVE 88.18% $ 7,326,394,163
Mellon - S&P 500 70.70% $ 5,298,110,017 Mellon SLH Agg 11.82% $ 982,052,990
Mellon - Wilshire 4500 0.59% $ 44,455,260 CORE PLUS - PASSIVE 11.82% $ 982,052,990
Rhumbline Advisers 4.88% $ 366,022,359
DOMESTIC EQUITY - PASSIVE 76.18% $ 5,708,587,635 TOTAL CORE PLUS 23.75% 8,308,447,152$
TOTAL DOMESTIC EQUITY 21.42% $ 7,493,829,655 Oaktree Capital Management 0.99% $ 13,073,629
Aegon USA 32.84% $ 432,846,484
Blackrock - Canada 6.51% $ 389,591,209 Prudential EMD 32.55% $ 429,035,345
Passive - Blackrock EAFE 27.88% $ 1,669,224,406 PGIM High Yield 33.62% $ 443,168,197
Mellon Passive Emerging 9.28% $ 555,552,050 TOTAL PUBLIC CREDIT 3.77% $ 1,318,123,655
INTERNATIONAL EQUITY - PASSIVE 43.67% 2,614,367,665$
UBS - US 57.26% $ 1,232,133,796
Blackrock EAFE SAE 22.30% $ 1,335,006,521 UBS - Developed ex US 33.07% $ 711,542,932
Blackrock EM SAE 7.01% $ 419,425,733 UBS - EM 9.66% $ 207,957,926
Blackrock Europe Alpha Tilt 0.18% $ 10,615,812 TOTAL GLOBAL SMART BETA EQUITIES 6.15% $ 2,151,684,852
BMO EAFE 8.21% $ 491,525,411
International Equity Transition 0.02% $ 1,169,439 Cash Account 26.35% $ 307,667,109
Oechsle 0.04% $ 2,426,277 LARS Liquid Assets 7.33% $ 85,625,733
PanAgora Dynamic EAFE 7.93% $ 474,894,064 Parametric - Domestic Equity 5.97% $ 69,714,522
Wellington EM 10.64% $ 637,122,639 Parametric - Int'l Equity 8.66% $ 101,173,840
INTERNATIONAL EQUITY - ACTIVE 56.33% $ 3,372,185,897 Parametric - Fixed Income 50.46% $ 589,195,813
Parametric - Directed Trades 0.00% $ -
TOTAL INTERNATIONAL EQUITY 17.11% $ 5,986,553,562 Parametric - Synthetic Cash 0.00% $ -
Public Real Assets Cash 0.02% $ 257,398
Pending Cash 1.20% $ 14,000,000
CASH ACCOUNT 3.34% 1,167,634,415$
PRIVATE PORTFOLIO 24.46% 8,554,921,694$
Manager Name
Manager % of
Asset Class Total Market Value Manager Name
Manager % of
Asset Class Total Market Value
Legacy Portfolio 30.00% 1,615,199,377$ Clarion Partners 21.42% 452,834,625$
Pathway PE Fund XXV 70.00% 3,768,187,896$ Invesco 21.47% 453,946,462$
PRIVATE EQUITY 15.39% 5,383,387,273$ Deutsche 29.01% 613,323,128$
UBS Realty 16.59% 350,694,109$
Tennenbaum Capital 29.69% 313,879,243$ Forest Invest 8.70% 183,998,456$
Blackstone RE Debt 0.26% 2,725,552$ UBS Farmland Investors 2.82% 59,701,446$
Principal RE Debt 0.15% 1,611,138$ PRIVATE REAL ASSETS 6.04% 2,114,498,225$
Monroe Capital 44.34% 468,669,844$
Principal RE Debt II 2.82% 29,851,161$
PGIM RE Global Debt 11.52% 121,727,256$
KKR Goldfinch 11.22% 118,572,001$
PRIVATE CREDIT 3.02% 1,057,036,196$
RECENT MARKET VALUES
GRAND TOTAL 34,981,194,985$ 6/5/2020 34,981,194,985$
5/29/2020 33,995,828,301$
5/22/2020 33,517,374,602$
PERCENT DOLLARS 5/15/2020 32,921,612,557$
PUBLIC MARKET 75.54% 26,426,273,292$ 5/8/2020 33,282,775,052$
PRIVATE MARKET 24.46% 8,554,921,694$ 5/1/2020 32,909,473,882$
TOTAL 100.00% 34,981,194,985$ 4/24/2020 32,452,222,639$
4/17/2020 32,668,545,519$
4/9/2020 32,278,813,068$
IOWA PUBLIC EMPLOYEES' RETIREMENT SYSTEM PORTFOLIO
PRELIMINARY (Unreconciled) MARKET VALUES AT
6/5/2020
BETA REPORT
PreliminaryIPERS Portfolio Structure and Allocations
Quarter End March 31, 2020$31.6 Billion
Public Markets – 73% of Total Fund
Domestic Equity$6.4 Billion
20.3%
International Equity$5.0 Billion
15.8%
Core-Plus Fixed Income$8.6 Billion
27.2%
Global Smart Beta
$1.6 Billion5.1%
Public Credit $1.2 Billion
3.6%
Cash$328.8 Million
1.0%
Active$1.4 Billion
21.9%
Passive$5.0 Billion
78.1%
Active$2.8 Billion
56.2%
Passive$2.2 Billion
43.8%
Active$6.7 Billion
77.6%
Passive$1.9 Billion
22.4%
UBS(U.S. Equity Smart
Beta)$915.2 million
Aegon(High Yield)
$381.1 million
BNY Mellon(Cash)
$245.1 million
BlackRock(US Tilt)
$945.9 million
BNY Mellon (S&P 500)$4.6 billion
BlackRock(EAFE Tilt)$1.1 billion
BlackRock(Canada)
$322.1 million
BlackRock(Core Plus)$1.0 billion
BNY Mellon (Core)
$531.3 million
UBS(Developed ex U.S.
Smart Beta)$549.1 million
PGIM(High Yield)
$386.0 million
LARS(Cash)
$83.6 million
BlackRock(R2000)
$129.3 million
BNY Mellon (Wilshire 4500)
$96.0 million
BMO(EAFE)
$409.7 million
BNYMellon(Emerging)
$432.6 million
Western Asset(Core Plus)$1.4 billion
Parametric(Synthetic)$1.4 billion
UBS(Emerging Market
Smart Beta)$153.4 million
PGIM(EMD)
$373.3 million
Janus(SMID Growth)$332.6 million
RhumblineAdvisers
(Russell 2500 Value)
$279.6 million
Panagora(EAFE)
$399.1 million
BlackRock (EAFE)
$1.4 billion
Principal Global(Core Plus)$1.1 billion
Parametric(Synthetic)
$69.1 million
BlackRock(Emerging)
$354.3 million
Parametric(Synthetic)
$81.2 million
MacKay Shields(Core Plus)$1.0 billion
Wellington(Emerging)
$521.4 million
PGIM(Core Plus)$1.0 billion
TCW(Core Plus)$1.1 billion
Terminated managers with residual amounts in their accounts are not included.
PreliminaryIPERS Portfolio Structure and Allocations
Quarter End March 31, 2020$31.6 Billion
Private Markets – 27% of Total Fund
Private Equity$5.4 Billion
17.0%
Private Real Assets$2.1 Billion
6.5%
Private Credit$1.0 Billion
3.3%
Pathway Capital(Private Equity)
$5.4 billion
Clarion Partners (RE Equity)
$430.2 million
Blackstone II(RE Debt)
$2.7 million
Invesco(RE Equity)
$455.6 million
Principal Global(RE Debt)
$1.6 million
RREEF(RE Equity)
$613.3 million
Tennenbaum Capital(Corporate Debt)
$292.0 million
UBS Realty(RE Equity)
$325.5 million
Monroe Capital(Corporate Debt)
$479.4 million
Forest Investment(Timber)
$184.0 million
Principal Global II(RE Debt)
$29.9 million
UBS Farmland Investors(Farmland)
$59.7 million
PGIM Real Estate Global Debt(RE Debt)
$123.8 million
KKR Goldfinch(Corporate Debt)
$115.0 million
Active Passive Misfit TotalEquities
Domestic Equities 0.08% 0.03% 0.22% 0.08%International Equities 0.15% 0.06% 0.02% 0.16%
Global Smart Beta Equities - 0.01% 0.04% 0.01%Fixed Income
Core-Plus Fixed Income 0.46% 0.01% 0.02% 0.46%Public Credit 0.10% - 0.00% 0.10%
Cash/LARS 0.11% - - 0.11%Asset Allocation - 0.46% - 0.46%
Total Public Markets 0.63% 0.47% 0.06% 0.88%
Target 1.00%Upper Limit 2.50%
Active Risk –180 Days (May 29, 2020)
External Active Risk –180 Days (May 29, 2020)
• Synthetic overlays have been turned back on
• Active risk is elevated, but stable currently.
• We expect all components of risk to drop in the next few months if the markets remain reasonable
0.15%
0.25%
0.35%
0.45%
0.55%
0.65%
0.75%
0.85%
0.95%
Total Active Risk Active Managers Risk
IPERS Alpha – YTD (May 29, 2020)
-1.60%
-1.40%
-1.20%
-1.00%
-0.80%
-0.60%
-0.40%
-0.20%
0.00%
0.20%
0.40%
0.60%
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Domestic Equity International Equity CorePlus
PublicCredit LARS Overlay
Total
Alpha ReportFor periods ending March 31, 2020
α
IOWA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM
June 18, 2020
IPERS’ Active Manager Alpha Scorecard
2
Net of Fees as of 1Q20 1Q20 1 Year 3 Year 5 Year SI Perf Org People ProcessDomestic Equity
BlackRock – U.S. SAE 0.66% -0.29% 0.31% -0.36% 0.00%BlackRock Russell 2000 SAE -0.69% NA NA NA 2.20%Janus -2.84% -4.71% -0.57% 0.80% 1.51%
International EquityBlackRock – EAFE SAE -1.26% NA NA NA -0.87%BMO EAFE -1.19% NA NA NA -2.31%PanAgora Dynamic EAFE -1.98% NA NA NA -3.93%Wellington EM -1.46% 1.75% 1.03% 1.61% -0.34%BlackRock Emerging Markets SAE -1.21% NA NA NA -0.90%
Core Plus Fixed IncomeWestern -3.76% -2.47% -0.49% 0.18% 0.81%BlackRock -1.85% -1.92% -0.57% -0.31% 0.19%Principal Global Investors -1.36% -0.78% -0.16% -0.12% -0.14%TCW -0.28% -0.03% 0.25% NA 0.16%Prudential -3.65% -3.04% -0.43% NA 0.09%Mackay Shields -3.20% -2.89% -0.73% -0.40% 0.16%
Public CreditPrudential High Yield -2.55% NA NA NA -1.71%Aegon USA -2.15% -1.83% -0.87% -0.29% 0.20%Prudential EMD -5.95% -6.16% -1.68% NA -0.49%
LARSBerenberg Asset Management -16.85% -14.76% NA NA -1.74%Fort, LP -1.35% 7.66% NA NA 4.21%Graham Capital Management, L.P. -5.60% 10.34% NA NA -0.05%IPM Informed Portfolio Management AB -11.17% -13.16% NA NA -3.59%P/E Global LLC 16.91% 22.48% NA NA 7.11%Wadhwani Asset Management LLP -1.24% 12.34% NA NA 3.70%
IPERS’ Active Manager Listing
3
MANAGER INCEPTION DATE MANDATE BENCHMARKDomestic Equity
BlackRock – U.S. SAE September 2000 Enhanced Large Cap Core S&P 500BlackRock Russell 2000 SAE May 2019 Small Cap Russell 2000Janus February 2012 SMID Cap Growth Russell 2500 Growth
International EquityBlackRock – EAFE SAE May 2019 Developed EAFE MSCI EAFE Index (net)BMO EAFE May 2019 Developed EAFE MSCI EAFE Index (net)PanAgora Dynamic EAFE May 2019 Developed EAFE MSCI EAFE Index (net)Wellington EM February 2009 Global Emerging Markets MSCI Emerging Markets (net)BlackRock Emerging Markets SAE May 2019 Global Emerging Markets MSCI Emerging Markets (net)
Core-Plus Fixed IncomeWestern October 1999 Core Plus Bloomberg Barclays U.S. UniversalBlackRock October 1999 Core Plus Bloomberg Barclays U.S. UniversalPrincipal Global Investors May 2005 Core Plus Bloomberg Barclays U.S. UniversalTCW July 2015 Core Plus Bloomberg Barclays U.S. UniversalPrudential July 2015 Core Plus Bloomberg Barclays U.S. UniversalMackay Shields November 2011 Core Plus Bloomberg Barclays U.S. Universal
Public CreditPrudential High Yield June 2019 High Yield Bloomberg US HY 2% Capped IndexAegon USA February 2012 High Yield High Yield Policy IndexPrudential EMD April 2016 Emerging Market Debt JP Morgan EMBI Global
LARSBerenberg Asset Management December 2016 DyMACS Volatility Strategy Absolute ReturnFort, LP December 2016 Global Contrarian Absolute ReturnGraham Capital Management, L.P. December 2016 Tactical Trend Absolute ReturnIPM Informed Portfolio Management AB December 2016 Systematic Macro Strategy Absolute ReturnP/E Global LLC December 2016 FX Strategy Absolute ReturnWadhwani Asset Management LLP March 2017 Keynes Leveraged Quantitative Strategy Absolute Return
Private Markets ProgramAnnual Review
Presented to the IPERS
Investment Board
By Pat Reinhardt, SIO - Alternatives
June 18, 2020
Program Structure (as of 3/31/20)
Private Markets Program (PMP)
AUM = $8,481.5 M
Private Equity
AUM = $5,368.8 M
Target = 11.0%
Actual = 17.0%
Private Credit
AUM = $1,044.3 M
Target = 3.0%
Actual = 3.3%
Private Real Assets
AUM = $2,068.4 M
Target = 7.5%
Actual 6.5%
The 3 portfolios serve complementary roles within the program and at the
total fund level. The role of private equity is to provide excess returns over the
public equity markets; private credit provides excess returns over the public
credit markets, diversification, and income; while private real assets provide
diversification, income, and an inflation hedge.
The private markets program AUM increased by just under 19% over the last
year due in part to the program’s strong appreciation of 14.6%.
2
2020 Investment Plan and Progress to Date
3
At May 19, 2020 • ($ in millions)
Planned
Commitments $972
Target Size by Portfolio Private Equity $700; Private Credit $272; Private Real Assets $0
Actual Commitments to Date and Potential Near-Term Commitments
Portfolio 2020 Investment Plan Commitments to Date Uncommitted Capital
Private Equity $700 $589 $111
Private Credit $272 $272 $0
Private Real Assets1 $0 $0 $0
Total $972 $861 $111
Pathway anticipates fully allocating the remaining private equity CY2020
commitment.
For private credit, the $272 million commitment was utilized to de-lever the Monroe
Capital mandate. This commitment was funded in January.
Outside of legacy unfunded commitments to the farmland mandate and recycling
of real estate distribution proceeds, there were no new commitments made to the
existing private real assets portfolio in CY2020.
1Potential revision to 2020 investment plan would add a $300 million Infrastructure commitment to Private Real Assets.
Updates and Priorities
UPDATES
Private equity actual
allocation versus target
Risk assessments for all three
of the program’s portfolios
Pockets of under-
performance in the Real
Assets portfolio
PRIORITIES
Upon Board approval,
complete infrastructure due-
diligence and contracting to fill the real asset portfolio
allocation gap
4
Private EquityPortfolio Review
Private Equity Portfolio Structure
1Based on the program’s actual market values as of 12/31/19 and cash activity through 3/31/20.
Private Equity
$5,368.8 Million1
Legacy Separate Account Program
Non-Discretionary (1985 – 1992)
Pathway Discretionary (1993 – 2013)
$1,663.1 Million1
PPEF XXV
Fund of Funds (2014 – Present)
$3,705.7 Million1
6
As of March 31, 2020, private equity’s actual allocation was 17.0%, which is up
from one year prior.
The increase is largely attributable to the COVID-19 related market downturn’s
impact on the value of the overall IPERS fund.
Over the 1-year period, PE appreciated 23.8% in the portfolio versus total fund
growth excluding PE of -4.2% through 1Q20.
Valuation declines coupled with the subsequent recovery in public markets in
the IPERS fund should bring IPERS’ private equity exposure to around 14%.
Private Equity Target vs. Actual Allocation
7
IPERS’ private equity portfolio remains on track to achieve the long-term allocation targetof 11% of the total pension fund.
Exposure is projected to decline going forward as adjustments to the program’scommitment pace made in 2018 and 2019 take effect.
For reference, the target was reduced from 13% in 2014, and the range of 8%–13%was removed in 2017.
Desire to maintain commitment levels – especially after market downturns
Several of IPERS’ strongest-performing vintage year investments have followedmarket dislocations (e.g., 1993, 2001, 2009).
Projected Long Term Exposure (At Current Investment Pace)
Pathway Portfolio Performance (Inception 1993)
Manager Evaluation: ↑ Organization ↑ Personnel ↑ Investment Process ↑
Performance*All calculations are based on final partnership valuations through 12/31/2019 and cash activity through 3/31/20.
**Program Objective is Wilshire 5000 + 300 bps.
***For an explanation of the Custom Benchmark see the second bullet in Appendix A.
NOTE: Additional performance summary pages for the private equity program and Pathway are available in Appendix B and Appendix D
8
Total Fund Investments: 424 1-Year Net IRR: 22.6% TVPI: 1.7x
Total Managers: 1001-Year Net Gain: $976 million
(Record 1-Year Gain)DPI: 1.2x
IRR Performance*3-Year 5-Year 10-Year Inception (1Q93)
Pathway Capital Management (Net) 19.9% 16.1% 15.6% 16.3%
Program Objective** 7.7% 9.5% 14.3% 11.7%
Excess Returns 12.2% 6.7% 1.3% 4.6%
Custom Benchmark*** 12.7% 12.3% 15.6% 11.0%
Excess Returns 7.2% 3.8% 0.0% 5.3%
9
Private Equity Co-Investment Program (As of 12/31/19)
Exposure to co-investments has steadily grown since the program’s
inception in 2014 and has performed well generating a net IRR of
21.3%.
10
Private Equity Portfolio Diversification
NOTE: Based on investment market values and unfunded commitments as of December 31, 2019, plus new
commitments through March 31, 2020.
Investment Strategy as a % of Investment Market Value plus Unfunded Commitments
At March 31, 2020
11
Private Equity Portfolio Diversification (Continued)
NOTE: Excludes seed investments, toehold investments,
and other investments for which industry classifications
were not disclosed by the partnerships.
INDUSTRY GEOGRAPHIC REGION
aComprises Africa, Canada, and the Middle East.
As a % of Portfolio Company Market Value—3,616 Investments
At December 31, 2019
STRATEGY
NOTE: Acquisition substrategies are based on the
following ranges of total enterprise values: Mega >$10
billion, Large $1–$10 billion, Medium $200 million–$1
billion, and Small <$200 million.
12
Sector Analysis—IPERS Portfolio vs. Public Markets
The private equity portfolio had the highest exposure to software, which was the
least impacted by the downturn.
Energy was the hardest-hit sector, with a 1Q20 loss of 51%; exposure to energy
was 5.7%, which is slightly above the S&P 500 sector weighting at 4.3%
Private Equity Portfolio Risk Assessment
NOTE: Amounts may not foot due to rounding.
13
IMPACT ON PORTFOLIO COMPANIES
Some managers are reporting challenges; however, few GPs expect permanent impairments.
Impact varies by strategy and sector focus. Funds that possess a large weighting to businesses with high customer interaction appear most impacted.
Many companies took advantage of favorable conditions leading up to the crisis to raise capital and are generally well-positioned in terms of liquidity.
Managers are instructing companies to preserve liquidity and draw on revolvers.
IMPACT ON PORTFOLIO RETURNS
Preliminary indications suggest a first-quarter private equity return of between -7% and -9%.
Quarterly mark-downs from software funds, which the portfolio has meaningful exposure to, have been limited.
Although the portfolio’s energy-focused partnerships have been adversely impacted, they represent a small portion of the overall portfolio (less than 6% of market value).
IMPACT ON PORTOLIO INVESTMENT ACTIVITY
Focus has shifted inward to address the well-being of existing portfolio companies.
Managers expect a slowdown in investment pace. GPs are looking for opportunities but anticipate few transactions over the near term.
Private Equity Outlook
Private CreditPortfolio Review
1Based on the program’s market values as of 3/31/20.
Private Credit
$1,044.3 Million1
Corporate Debt
$886.3 Million1
Commercial Real Estate Debt
$158.0 Million1
Private Credit Portfolio Structure
15
The target allocation of 3.0% has been achieved. This was up from 1.8%
at the same time last year.
The majority of the portfolio is currently invested in corporate debt.
Private Credit Manager Evaluation
Manager/
InvestmentStrategy
Fund
StageOrg People Process Performance
Monroe /
MCPCF ICorporate Debt Investing
BlackRock /
TCP VIII-ACorporate Debt Investing
KKR1 Corporate Debt Investing
Blackstone /
BREDS IICommercial Real
Estate DebtHarvest
Principal /
PREDF ICommercial Real
Estate DebtHarvest
Principal /
PREDF IICommercial Real
Estate DebtHarvest
PGIM1 Commercial Real
Estate DebtInvesting
Monroe, BlackRock, KKR and PGIM are all actively investing. The BREDS II,
PREDF I and PREDF II funds are past their investment periods.
16
1KKR and PGIM are strategic partnerships within the Private Credit portfolio.
Private Credit Performance (as of 3/31/20)
The long-term objective for the private credit portfolio is the S&P / LSTA Leveraged Loan Index + 100 bps.
The private credit program was established by Policy in 3Q16. Historical results shown above are combined performance results of the legacy middle market direct lending and commercial real estate debt fund investments which date back to 2Q13.
17
6.3% 7.0%8.4%
6.6%7.7% 7.1%6.6%
7.6%8.5%
-8.2%
0.2%
2.8%
-10.0%
-5.0%
0.0%
5.0%
10.0%
1 Year 3 Year Since Inception*
Private Real Estate Debt (Net) Private Corporate Debt (Net)
Private Credit Program (Net) S&P / LSTA Leveraged Loan Index + 100 bps
*Since inception for Private Real Estate Debt (Net), Private Credit Program (Net) and S&P/LSTA Leveraged Loan Index + 100 bps is as
of 2Q13. Since inception for Private Corporate Debt (Net) is as of 4Q16.
18
Private Credit Portfolio Diversification
ASSET TYPE SECTOR
As a % of the Corporate Debt Portfolio Market Value—311 LoansAt March 31, 2020
SPONSOR/NON-SPONSOR
Sponsor
82%
Non-Sponsor
18%
Asset Based
3% Second
Lien
10%
First Lien
85%
Unitranche
2%
Consumer
Discretionary
20%
Consumer
Staples
4%
Energy
2%
Financials
14%Healthcare
8%
Industrials
37%
Information
Technology
10%
Materials
1%
Telecommunication
Services
4%
Majority of loans are sponsor based.
First lien asset type positions make up 85% of the Private Credit portfolio.
Corporate Debt SummaryAt March 31, 2020
Private Credit Risk Assessment
19
Portfolio#
Positions
Watch-list
%1
% 1st
Lien
%
Sponsored
Avg.
EBITDA
(mm)
Leverage
at Close
BlackRock 164 11% 81% 56% $52 5.1x
KKR 50 2% 56% 76% $134.6 5.3x
Monroe 97 2% 99% 90% $27 4.4x
The portfolio provides exposure across the direct lending space as measured
by average EBITDA: Monroe (lower middle-market), BlackRock (traditional
middle-market) and KKR (large middle-market).
Mandate watch-lists are manageable and represent a smaller percentage of
the overall corporate debt exposure.
Leverage levels across the portfolio mandates are conservative.
1Weighted percentage of loans on watch-list by 1Q20 MV
BREDS II and PREDF I are not shown in the table. They each have two loans
remaining in their respective funds. The loans are paid current.
The real estate debt loans on watch-list are paid current through June.
There is a healthy level of equity cushion built into the loan structures with
anticipated valuation declines over the next couple of quarters.
Private Credit Risk Assessment (Continued)
20
Portfolio # LoansWatch-list
%1 Debt Yield LTV DSCR
PREDF II 23 13% 7.8% 70.1% 1.85
PGIM
PREDS 36 3% 5.9% 72% 1.37
Sub Debt 2 47% 6.2% 57% to 77% 1.76
Real Estate Debt SummaryAt March 31, 2020
1Weighted percentage of loans on watch-list by 1Q20 MV
21
IMPACT ON PORTFOLIO LOANS
Corporate loans have held up well to date. Managers have been focused on
existing portfolio companies and portfolio liquidity given the increase in draw
requests.
For real estate debt, the impact varies by property type e.g. hotel and retail
exposure have been the most challenging
IMPACT ON PORTFOLIO RETURNS
Further write-downs in a range of 5% to 10% are possible moving forward.
These valuation adjustments may or may not occur based on the on-going
recovery seen to date in the private credit space.
IMPACT ON PORTFOLIO INVESTMENT ACTIVITY
BlackRock, KKR, Monroe and PGIM all have existing capital to invest. They
have advised that investment activity remains slow.
They anticipate investment activity improving over the next quarter or two as
pricing resets and the economy opens back up.
Private Credit Outlook
Private Real AssetsPortfolio Review
Private Real Assets Portfolio Structure
Private Real Assets
$2,068.4 M1
Private Real Estate
$1,824.7 M1
Other Real Assets2
$243.7 M1
1Based on the program’s net asset values as of 3/31/20.2Other real assets currently includes timberland and farmland investments.
23
The private real estate sub-portfolio made up 88% of the private real assets
portfolio which was above the 70% minimum exposure required by Policy,
while the other real assets sub-portfolio remained within the maximum
exposure of 30%.
Private Real Assets Manager Evaluation
Manager / Investment
StructureStrategy Org
Asset
Management
Portfolio
ManagementPerformance
Clarion Partners / Separate
Account
Core Real
Estate
Invesco / Separate AccountCore Real
Estate
Deutsche / Separate
Account
Core Real
Estate
UBS Realty / Separate
Account
Apartment
Only
FIA / Separate AccountTimberland
UBS Farmland / Separate
AccountFarmland
Clarion Partners 10-year rolling return net of fees was 8.7% versus the ODCE
benchmark return of 10.4%. Portfolio exposure to hotels materially impacted
performance in the 1Q20 with the shelter-in-place orders across the country.
FIA and UBS Farmland have had mixed results since inception versus the
portfolio objective and industry benchmarks.
24
Private Real Assets Performance (as of 3/31/19)
The private real assets composite was established in 4Q16. The results presented above incorporate the legacy real estate and other real asset programs that were in place prior to the composite being established.
The private real assets portfolio has exceeded the CPI + 5% objective for the 3-year, 5-year and 10-year time periods as of 1Q 2020.
The underperformance over the last year is attributable to Clarion Partners performance in the real estate sub-portfolio and the other real assets sub-portfolio.
6.0%
7.9%
9.1%9.9%
6.6%7.0% 6.9% 6.8%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 3 Year 5 Year 10 Year
Private Real Assets Program (Net) CPI + 5%
25
NOTE: Performance summary pages for the real estate and other real asset portfolios are available in Appendix D
Private Real Assets Performance (Continued)
Clarion Partners performance has been significantly impacted by COVID-19 economy
Significant write-downs of 20+ percent were taken on both of the hotel assets in the Clarion portfolio versus 4.8% write-downs in the NPI index for hotels.
The Clarion portfolios largest asset, NYC CBD Office, has been hurt as well in this environment given its location and non-investment grade tenancy.
Since Inception, the manager has provided a net return of 6.6% which is slightly above the NCREIF ODCE benchmark return of 6.3%.
Other Real Assets Performance
Timberland and Farmland as asset classes have not achieved a 5% real return.
FIA has performed well relative to the NCREIF Timber Index over the last 5 years.
UBS Farmland has underperformed the CFI over 1 and 3 years. Asset appreciation has not offset the capital improvement projects on several properties although rent bumps have been achieved. The manager continues to outperform since inception.
26
CPI + 5% FIANCREIF –
Timber
UBS
Farmland
NCREIF –
CFI1
1-Year 6.6% 2.8% 1.3% 1.6% 3.8%
3-Year 7.0% 3.8% 2.5% 4.5% 5.5%
5-Year 6.9% 3.3% 2.8% N/A 5.5%
1CFI is custom benchmark of leased properties in the farmland index. 80% leased annual/20% leased permanent.
Private Real Estate Diversification
95%
5%
NOTE: Percentages are based on the net investment value as of 1Q20
Core
Non-Core
Minimum
80%
Max 20%
27
34%
16%19%
27%
4%
18%17%
33%
27%
4%
Office Retail Industrial Apartment Other
NCREIF
ODCE
IPERS
42% 8% 19% 31%43% 12% 24% 22%
West Midwest South East
NCREIF ODCE
IPERS
25% 25%
31%
19%
0%
5%
10%
15%
20%
25%
30%
35%
40%
Clarion INVESCO RREEF UBS Realty
% o
f IP
ER
S' P
riv
ate
RE
Asse
ts
Private Real Estate Leverage (in $M; as of 3/31/20)
All of the managers were within the 40% maximum leverage limit set by Policy.
The average cost of debt as of 3/31/20 was 3.72% which is slightly lower than the 3.95% average cost of debt last year.
Subsequent to quarter end, two loans maturing in 2020 were paid off reducing the portfolio’s LTV to 29%.
The maturity schedule of debt in the program is at manageable levels over the next several years.
% of Debt Maturing by Calendar Year as of 3/31/20
28
Gross Net Portfolio
Property Debt Balance Property Loan to Avg Cost
Value (MTM) Value Value of Debt
Clarion Partners $708,188 $273,147 $435,041 39% 3.88%
INVESCO $651,927 $196,875 $455,052 30% 3.65%
RREEF $851,139 $243,043 $608,096 29% 3.64%
UBS Realty $513,593 $167,973 $345,620 33% 3.65%
IPERS Total $2,724,847 $881,038 $1,843,810 32% 3.72%
Manager Summary
Manager
24%
6% 6%
12%
19%
5%
28%
0%
5%
10%
15%
20%
25%
30%
35%
40%
2020 2021 2022 2023 2024 2025 2026 +
Maturing Debt
Other Real Assets Diversification
29
Timberland: Value By Land
Class
Timberland: Value By
Region
Farmland: Portfolio Diversification Matrix (percent by market value)
1 Annual includes corn, cotton, soybeans, sugar crops and wheat2 Other includes feed grains and hay
Crops Mountain Delta Pacific Northwest Total
Annual1 25.3 15.2 40.5
Vegetables 10.4 10.4
Permanent 10.2 10.2
Other2 38.9 38.9
Total 74.6 15.2 10.2 100.0
Private Real Assets Risk Assessment
30
Real estate portfolio is heavily weighted to neighborhood grocery anchored
retail.
Overweight to property types that have faired better in the downturn have
reduced risk e.g. industrial and apartment
Hotel valuation declines in the index should be more in-line with the valuation
declines that Clarion took in the 1Q. This should improve relative performance
going forward.
The portfolios current underweight to the office property type reduces the
potential negative impact of work from home policies and the potential for
increased capital expenditures due to COVID-19 e.g. Ventilation Systems.
Ultimately, the economy will need to open back up to stabilize all property
types.
As of 1Q20 Apartment Hotel Industrial Office Retail
NPI – 1 Yr.
Return5.1% -0.8% 12.9% 6.2% -1.9%
Potential
Valuation
Changes
-10% to -20% -20% to -35% -5% to -15% -15% to -25% -20% to -30%
Private Real Assets Risk Assessment (Continued)
31
Retail is clearly the hardest hit property type when evaluating rent collections
and percent of tenants making rent relief requests.
Apartments have held up very well through May.
OTHER REAL ASSETS
The two greatest risks to the timberland portfolio are the housing recovery and
on-going trade disputes with China. Housing starts dropped to 891 in April from
a long-term average of 1,429, while trade disputes have materially impacted
lumber prices and reduced demand.
The portfolio’s farmland manager, UBS Farmland Investors, has advised that
there has been minimal impact due to COVID-19. Rents are current with no
rent relief requests.
April Rent
Collections
April % Tenant
Request
May Rent
Collections
May % Tenant
Request
Apartment 97% 6% 95% 3%
Industrial 86% 24% 89% 22%
Office 76% 22% 80% 28%
Retail 72% 56% 61% 60%
32
IMPACT ON PORTFOLIO PROPERTIES
All real estate managers have received rent relief requests. They are working throughthese requests. Typical workouts have been 3-months free rent with 1-year payback.
Impact varies by property type e.g. hotel and retail exposure are the most challengingwithin the real estate portfolio. The majority of our retail exposure is to grocery anchoredretail which has held up better in this environment.
IMPACT ON PORTFOLIO RETURNS
Preliminary indications suggest that first-quarter mark-downs will range between 10% and30%.
Highly dependent on locations, property types and economic recovery.
2Q appraiser focus will be on operating assumptions – credit loss, occupancy, rent growth.There will be limited comparable sales to evaluate.
IMPACT ON PORTFOLIO INVESTMENT ACTIVITY
Real estate investment activity has essentially shut down. Price discovery will take acouple quarters before investment activity improves.
Repricing of the real asset space should make valuations more reasonable from ahistorical perspective.
Depending on the timing of the recovery, there may be some distressed sellers in 2H20.
Private Real Assets Outlook
Private MarketsSummary
Summary
Private Equity Pathway continues to provide a well diversified private equity program which has
generated strong positive results over all time periods measured.
Actual allocations should move closer to target as the total fund market value recovers and private equity valuations adjust.
There are no recommended changes to the current portfolio.
Private Credit The 3% target allocation has been achieved.
All of the private credit mandates have provided solid results and are in-line with expectations.
There are no recommended changes to the current portfolio.
Private Real Assets The actual allocation for the private real assets portfolio continues to be below the
target allocation. If approved at this meeting, the proposed Infrastructure commitment will fill this gap over the next year.
Performance issues around Clarion Partners and the other real assets portfolio have caused short-term underperformance in the real assets portfolio.
Outside of the infrastructure recommendation, there are no other recommended changes to the private real assets portfolio at this time.
34
Appendix A – Pathway Capital Management
35
Mandate – To create and maintain for IPERS a diversified portfolio
of high quality private equity partnerships. Responsibilities include
the screening and selection of partnerships, negotiation of
partnership agreements, the monitoring of partnership investments,
decisions regarding partnership amendments and liquidation of
stock distributions.
Portfolio Objective – Achieve an internal rate of return, net of all
fees, that exceeds the internal rate of return of a custom
benchmark over a rolling 10-year period. (The custom benchmark is
calculated using IPERS’ contribution cash flows and assumes that
contributions invested within the most recent 3 years earned 91-day
T-bill returns, while contributions invested for longer periods earned
Wilshire 5000 Index plus 300 basis points returns.)
Appendix B
IPERS PRIVATE EQUITY PORTFOLIO
Vintage Year Analysis as of Dec. 31, 2019 IPERS' Burgiss Burgiss Burgiss Burgiss Burgiss Burgiss Burgiss
SINCE LOWER TOP TOP TOP
VINTAGE CAPITAL PAID-IN VALUE UNREALIZED GAIN / INCEPTION QUARTILE MEDIAN QUARTILE IPERS' MEDIAN QUARTILE IPERS' MEDIAN QUARTILE
YEAR COMMITTEDa
CAPITAL DISTRIBUTED VALUE (LOSS) IRR IRR IRR IRR TVPI * TVPI * TVPI * DPI ** DPI ** DPI **
1985 11,500,000 11,500,000 31,002,575 0 19,502,575 14.5% 2.78% 8.86% 16.17% 2.70 1.84 2.54 2.70 1.84 2.54
1986 33,513,482 37,756,465 314,074,192 0 276,317,727 26.1% 5.77% 7.99% 13.44% 8.32 1.68 2.11 8.32 1.68 2.11
1987 398,479,847 419,695,102 888,859,820 0 469,164,718 9.59% 3.93% 13.32% 19.50% 2.12 2.10 2.76 2.12 2.10 2.76
1988 18,000,000 17,600,000 70,815,733 0 53,215,733 36.25% 7.21% 12.09% 20.28% 4.02 1.88 2.64 4.02 1.88 2.64
1989 20,000,000 20,000,000 34,905,056 0 14,905,056 8.44% 5.48% 14.71% 27.46% 1.75 2.11 3.30 1.75 2.11 3.30
1990 32,275,000 19,311,250 81,175,891 0 61,864,641 45.06% 10.78% 16.91% 23.03% 4.20 2.16 2.73 4.20 2.16 2.73
1991 NA NA NA NA NA NA 13.11% 22.91% 34.30% NA 2.63 3.42 NA 2.63 3.42
1992 20,000,000 20,000,000 42,495,842 0 22,495,842 13.36% 10.54% 18.28% 27.19% 2.12 1.88 3.18 2.12 1.88 3.18
1993 136,000,000 134,884,892 325,626,272 0 190,741,380 29.35% 11.31% 19.89% 40.12% 2.41 2.03 3.39 2.41 2.03 3.39
1994 59,000,000 62,627,202 151,537,629 0 88,910,427 23.47% 7.05% 21.86% 38.55% 2.42 1.99 3.42 2.42 1.99 3.42
1995 100,861,366 95,837,807 255,694,360 47,182 159,903,735 28.84% 2.93% 13.85% 34.24% 2.67 1.82 2.70 2.67 1.82 2.70
1996 49,000,000 48,907,148 89,401,638 0 40,494,490 13.67% 1.54% 9.79% 31.61% 1.83 1.57 2.34 1.83 1.56 2.34
1997 178,000,000 184,377,042 418,842,636 64,164 234,529,758 33.91% 0.68% 8.65% 24.45% 2.27 1.43 2.16 2.27 1.43 2.16
1998 246,000,000 239,557,428 331,812,057 34,103 92,288,732 6.58% -1.35% 7.64% 15.57% 1.39 1.43 1.84 1.39 1.40 1.84
1999 255,000,000 248,391,568 303,499,745 407,275 55,515,452 4.20% -8.98% 0.09% 9.97% 1.22 1.01 1.57 1.22 1.01 1.55
2000 438,262,562 440,433,306 819,508,024 6,501,037 385,575,755 15.95% -4.82% 4.39% 13.40% 1.88 1.23 1.77 1.86 1.22 1.77
2001 371,106,959 385,614,224 765,570,453 4,546,641 384,502,870 25.00% -0.13% 8.04% 21.47% 2.00 1.51 2.02 1.99 1.41 2.02
2002 40,000,000 40,700,701 99,180,009 0 58,479,308 16.98% 4.44% 13.77% 27.49% 2.44 1.58 2.12 2.44 1.58 2.06
2003 345,781,149 361,374,380 775,594,391 4,344,741 418,564,752 23.28% 3.25% 10.33% 20.63% 2.16 1.53 1.99 2.15 1.48 1.96
2004 354,445,755 352,299,966 653,611,140 13,101,032 314,412,206 16.38% -1.24% 8.29% 15.42% 1.89 1.51 1.91 1.86 1.38 1.84
2005 507,302,066 532,795,896 800,605,077 25,567,538 293,376,719 8.01% 0.31% 6.70% 11.83% 1.55 1.39 1.82 1.50 1.27 1.71
2006 901,431,547 935,633,310 1,415,315,589 94,178,110 573,860,389 8.76% -0.25% 5.38% 11.65% 1.61 1.38 1.76 1.51 1.25 1.61
2007 668,390,321 742,884,726 1,082,498,103 114,195,029 453,808,406 11.27% 2.03% 8.42% 13.38% 1.61 1.45 1.99 1.46 1.29 1.65
2008 610,462,647 605,002,118 883,130,535 160,680,863 438,809,280 12.49% 2.71% 8.86% 15.67% 1.73 1.46 1.82 1.46 1.24 1.58
2009 105,292,500 103,301,895 150,463,081 40,656,554 87,817,740 14.38% 7.00% 13.67% 22.45% 1.85 1.69 2.19 1.46 1.34 1.79
2010 195,176,827 193,220,034 245,296,352 81,977,639 134,053,957 12.62% 5.34% 10.83% 16.63% 1.69 1.49 1.88 1.27 1.16 1.47
2011 400,022,228 428,603,067 530,775,185 260,399,945 362,572,063 15.55% 6.79% 12.56% 20.59% 1.85 1.62 2.08 1.24 1.01 1.40
2012 406,609,792 385,651,705 480,706,688 253,862,084 348,917,067 19.10% 6.82% 11.96% 18.41% 1.90 1.49 1.93 1.25 0.80 1.11
2013 497,128,829 508,414,936 353,916,788 508,238,511 353,740,363 16.30% 7.17% 11.54% 18.55% 1.70 1.40 1.78 0.70 0.58 0.95
2014 787,110,030 750,951,219 502,401,034 859,684,176 611,133,991 20.29% 8.01% 13.52% 20.43% 1.81 1.40 1.76 0.67 0.40 0.73
2015 732,192,100 690,731,446 255,199,102 804,642,232 369,109,888 18.78% 8.06% 13.03% 20.24% 1.53 1.33 1.54 0.37 0.20 0.45
2016 806,215,784 700,930,088 229,245,520 859,893,959 388,209,391 25.67% 7.11% 12.73% 20.77% 1.55 1.23 1.44 0.33 0.09 0.30
2017 553,673,555 390,794,551 37,141,418 453,494,228 99,841,095 16.49% 4.18% 10.38% 20.32% 1.26 1.13 1.26 0.10 0.02 0.18
2018 771,371,042 424,426,742 27,564,379 482,134,741 85,272,378 20.07% -7.85% 4.34% 15.13% 1.20 1.03 1.13 0.06 0.00 0.04
2019 848,851,556 295,689,084 4,675,108 305,868,039 14,854,063 12.27% -23.19% -7.95% 1.94% 1.05 0.95 1.02 0.02 0.00 0.00
Totals: 11,898,456,944 10,829,899,298 13,452,141,422 5,334,519,823 7,956,761,947
KEY: Meets or exceeds Top Quartile:
Between Median and Top Quartile:
Below Median:
NOTES: Amounts may not foot due to rounding. NA = Not applicable.
Performance is based on underlying partnership market values updated through December 31, 2019, which are preliminary and therefore subject to change.aCommitments to non-USD-denominated partnerships are accounted for by multiplying unfunded commitments by the quarter-ending exchange rate, then adding the result to cumulative capital contributions, causing commitments to non-USD-denominated partnerships to fluctuate quarterly.
Benchmarks for vintage years 1985–1994 based on Burgiss Private iQ US all private equity returns, as of December 31, 2019, as produced using Burgiss data.
Benchmarks for vintage years 1995-2019 based on Burgiss Private iQ global all private equity returns, as of December 31, 2019, as produced using Burgiss data.
* TVPI is (Value Distributed + Unrealized Value) divided by Paid-In Capital.
** DPI is Value Distributed divided by Paid-In Capital. `
OTHER NOTES:
Data for vintage years 2016-2019 should be interpreted with caution. It is too early to make meaningful conclusions for such recent investments.
Table does not include any 2020 vintage year funds to which commitments had been made but not funded as of 12/31/19.
Table does not include contributions to or from the Warburg Pincus stock distribution account utilized from 1997 to 2001.
36
Appendix C – Private Real Estate Glossary of Terms
NCREIF – The National Council of Real Estate Investment Fiduciaries is an association ofinstitutional real estate professionals that collect performance data, address industryissues and promote research.
NPI – The NCREIF Property Index is a U.S. unlevered, capitalization weighted, timeweighted return index that reports quarterly and annual returns consisting of income andappreciation components for properties acquired on behalf of tax-exempt institutionsand held in a fiduciary environment.
NFI-ODCE – The NCREIF Fund Index – Open End Diversified Core Equity is a fund levelcapitalization weighted, time-weighted return index and includes property investments atownership share, cash balances and leverage. The ODCE index is net of fees charged byfund managers.
Core Investments – Commercial and residential properties which derive their valueprimarily from current income production, and therefore represent lower-risk profiles thannon-core properties. Core investments are stabilized, substantially leased properties in thefour major property types: office, retail, industrial, and apartments.
Non-Core Investments – These investments represent a higher-risk profile than coreproperties, and consist of properties acquired primarily for high appreciation potential,properties with identifiable and correctable deficiencies such as lease-up, renovation, orproperty conversion or development adjacent to an existing owned property.
37
Appendix DPerformance Summary Pages
Private Markets Executive Summary
Portfolios
(Inception)
1-Year
TWR
Since
Inception
Income
Since
Inception
TWR
Portfolio
Objectives
SI TWR2
Portfolio
Correlation
to Total
Fund SI
Private Equity
(9/30/85)22.7% - 12.6% 14.3% .35
Private Credit
(9/30/16)1 6.6% 9.1% 8.5% 1.3% .18
Private Real Assets
(9/30/16)1 6.0% 7.2% 6.7% 6.9% .20
39
1The private credit and private real assets composites were established by Policy in October 2016. The underlying mandates for these
composites have earlier inception dates.2Portfolio objectives: private equity is Wilshire 5000 + 300 bps, private credit is S&P LSTA Leverage Loan Index + 100 bps, and private real
assets is CPI + 500 bps. The portfolio objectives performance presented is consistent with the individual portfolio inception dates.
IPERS’ Program Performance (Inception 1985)
IRR
10 Year
IRR
Since Inception (1985)
IPERS Private Equity* 15.6% 14.3%
Wilshire 5000 + 300 bps 14.3% 14.4%
* All calculations are based on final partnership valuations through 12/31/2018 and are net of all fees.
The program exceeded the objective of Wilshire 5000 + 300 bps over 10
years and was in line with the objective since inception.
40
Pathway Discretionary Performance (1993 – 2019)
Burgiss Group
Pathway Upper
Pooled
Average Median
Pathway Discretionary IRR 16.3% 17.4% 12.5% 9.2%
DPI1 1.23 1.35 1.00 0.66
TVPI2 1.71 1.71 1.51 1.29
The discretionary program has exceeded the Burgiss Group pooled average
metrics for IRR’s, DPI and TVPI since inception.
1DPI is distributions to paid-in-capital and is calculated as distributions / contributions2TVPI is total value to paid-in-capital and is calculated as (distributions + market value) / contributions
NOTE: A vintage year analysis of the private equity program’s performance relative to the Burgiss Group’s private equity industry metrics is provided in Appendix B.
41
PGIM Global Real Estate Debt (as of 3/31/20)
1 Year
Since Inception
(2Q18)
PGIM Real Estate Global Debt
(Net) 6.3% 6.5%
S&P / LSTA Leveraged Loan
Index + 100 bps -8.2% -2.3%
The fund’s investment objective is to seek to achieve attractive risk-adjusted
returns by investing primarily in private real estate debt.
IPERS committed $250 million to PGIM Global Real Estate Debt in the 2Q18.
Through the 1Q20, $121.6 million has been committed including $75 million to
PGIM’s Real Estate U.S. Debt Fund (PREDS) which invest in senior mortgages
across the U.S. In addition, the mandate has committed to two subordinate
real estate debt opportunities. One in the U.S. and one in Australia.
The mandate is a strategic partnership and has an evergreen investment
structure.
42
Blackstone Real Estate Debt Strategies II (as of 3/31/20)
1 Year 3 Year
Since Inception
(2Q13)
BREDS II (Net) 4.9% 5.7% 7.9%
S&P / LSTA Leveraged
Loan Index + 100 bps -8.2% 0.2% 2.8%
The fund’s investment objective is to seek to achieve attractive risk-adjusted
returns by investing primarily in public and/or private debt and, to a lesser
extent, non-controlling equity and other interests relating to real estate related
investments on a global basis.
IPERS committed $150 million to Blackstone Real Estate Debt Strategies II in the
2Q13. Through the 1Q20, the entire original commitment has been made to
the fund.
The fund is anticipated to wind down its final two investments by early 2021.
The investment period for the fund ended on July 25, 2016.
43
Principal Real Estate Debt Fund (as of 3/31/20)
1 Year 3 Year
Since Inception
(2Q14)
PRED (Net) 5.3% 6.9% 8.2%
S&P / LSTA Leverage
Loan Index + 100 bps -8.2% 0.2% 2.4%
The fund’s purpose is to provide investments in private commercial real estate debt
investments, primarily mezzanine debt, subordinated debt, preferred equity and
first mortgages including bridge loans on improved commercial real estate
properties.
IPERS committed $50 million to Principal Real Estate Debt Fund I in 2Q14. Through
the 1Q20, $47.9 million of capital contributions have been made to the fund.
As of 1Q20, the portfolio held two active loans. It is anticipated that the fund will
wind down prior to the final loan maturity of August 2021.
The investment period for the fund ended on October 30, 2016.
44
Principal Real Estate Debt Fund II (as of 3/31/20)
The fund’s purpose is to provide investments in private commercial real estate debt
investments, primarily mezzanine debt, subordinated debt, preferred equity and
first mortgages including bridge loans on improved commercial real estate
properties.
IPERS committed $50 million to Principal Real Estate Debt Fund II in 3Q17. Through
the 1Q20, $40.2 million of capital contributions have been made to the fund.
As of 1Q20, the portfolio held twenty-three active loans. The loans are well
diversified by investment type, property type and geographically with the last loan
maturing in April 2024.
The investment period ended December 14, 2019.
45
1 Year Since Inception (3Q17)
PRED II (Net) 6.2% 8.4%
S&P / LSTA Leverage
Loan Index + 100 bps -8.2% -0.1%
KKR Corporate Global Debt (as of 3/31/20)
1 Year Since Inception (1Q19)
KKR (Net) 8.0% 8.0%
S&P / LSTA Leverage
Loan Index + 100 bps -8.2% -8.2%
The KKR Corporate Global Debt mandate’s purpose is to provide investors with
current income and long-term appreciation primarily through middle market direct
lending and opportunistic credit investments.
IPERS committed $250 million to the KKR Corporate Global Debt mandate in 1Q19.
Through the 1Q20, $147 million had been funded.
As of 1Q20, the portfolio held 50 active loans with a leverage multiple of 5.3× and
weighted average coupon of 9.3%. There were no loans in default.
The mandate is a strategic partnership and has an evergreen investment structure.
46
Monroe Capital (as of 3/31/20)
1 Year 3 Year
Since Inception
(1Q17)
MCPCF I (Net) 4.9% 7.1% 7.1%
S&P / LSTA
Leverage Loan
Index + 100 bps -8.2% 0.2% 0.6%
The fund’s purpose is to provide investors with current income and long-term
appreciation primarily through senior secured and second-lien investments in
middle market companies located in North America.
IPERS has committed $572 million to the Monroe Capital Private Credit Fund I. The
initial commitment was made in 1Q17. Through the 1Q20, $527.7 million had been
funded.
As of 1Q20, the portfolio held 77 active loans with a leverage multiple of 4.4× and
a weighted average coupon of 8.1%. There were no loans in default.
The investment period ends October 24, 2020.
47
BlackRock (TCP) (as of 3/31/20)
1 Year 3 Year
Since Inception
(4Q16)
TCP Direct
Lending Fund VIII
- A (Net) 8.1% 8.4% 7.7%
S&P / LSTA
Leverage Loan
Index + 100 bps -8.2% 0.2% 1.3%
The fund’s purpose is to provide investments in privately-originated, performing
senior secured debt primarily in North America-based, middle market companies.
IPERS committed $250 million to the Tennenbaum Capital Partners Direct Lending
Fund VIII – A in 4Q16. An additional commitment of $100 million was made in 4Q18.
Through the 1Q20, $249.1 million in equity had been contributed.
As of 1Q20, the portfolio held 164 active loans with a leverage multiple of 5.1× and
a weighted average coupon of 8.6%.
The investment period ends October 31, 2019. A one year extension was exercised
through October 31, 2020.
48
Private Real Estate Performance (as of 3/31/20)
Income generated from the real estate portfolio has exceeded the ODCE benchmark income by over 100 bps in all three time periods measured.
Relative net performance exceeded the NCREIF ODCE benchmark over 1 and 5 years. The slight underperformance over the last 10 years is due to the Clarion Partner underperformance
A consistent overweight to the industrial and apartment property types has driven the positive results over all time periods
* The custom index is CPI + 6% for 2Q04, NCREIF NPI 3Q04 thru 3Q12, and NCREIF ODCE 4Q12 thru present
5.5% 5.9%6.6%
4.2% 4.4%4.9%
6.5%
9.6%10.2%
3.9%
7.5%
10.4%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
1 Year 5 Year 10 Year
IPERS (Income) NCREIF ODCE (Income) IPERS (Net) NCREIF ODCE (Net)
49
Clarion Partners (as of 3/31/20)
Account Information___________________________________________
Net Asset Value (millions) $435.0
___________________________________________
Debt – MTM (millions) $273.1
___________________________________________
Inception Date July 1, 2005
___________________________________________
Leveraged
Income AppreciationTotal
Net
NFI -
ODCE Total
Net
1 Year 5.4% -11.1% -6.8% 3.9%
10 Year 6.4% 3.0% 8.7% 10.4%
Since
Inception6.2% 1.3% 6.6% 6.3%
726.0552.2
435.0
$0
$400
$800
$1,200
Cost Total Value
Historical Portfolio
Contributions Distributions Net Asset Value
Portfolio Gain: $261.2 millionReal Estate
Investments
Percent of
Gross Value
Avg
Occupancy
Office 4 41% 93%
Industrial 4 22% 100%
Retail 3 20% 99%
Hotel 2 17% 35%
Total1 13 100% 98%
Property Information
Performance Summary Portfolio Summary
1Total Occupancy excludes the hotels.50
INVESCO (as of 3/31/20)
Account Information
_________________________________________
Net Asset Value (millions) $455.1
_________________________________________
Debt – MTM (millions) $196.9
_________________________________________
Inception Date February 9, 1996
___________________________________
Leveraged
Income App.Total
Net
NFI - ODCE
Total Net
1 Year5.7% 8.4% 13.8% 3.9%
10 Year 7.1% 6.5% 13.2% 10.4%
Since
Inception8.0% 3.1% 10.1% 8.0%
$820.8$990.3
$455.8
$0
$400
$800
$1,200
$1,600
Cost Total Value
Historical Portfolio
Contributions Distributions Net Asset Value
Portfolio Gain: $625.3 millionReal Estate
Investments
Percent of
Gross Value
Average
Occupancy
Office 2 17% 98%
Industrial 6 44% 97%
Retail 3 20% 96%
Apartment 2 19% 95%
Total 13 100% 97%
Property Information
Performance Summary Portfolio Summary
51
Deutsche Asset Management (as of 3/31/20)
Account Information
_________________________________________
Net Asset Value (millions) $608.1
_________________________________________
Debt – MTM (millions) $243.0
_________________________________________
Inception Date May 19, 1997
_________________________________________
Leveraged
Income App.Total
Net
NFI - ODCE
Total Net
1 Year5.3% 4.0% 8.9% 3.9%
10 Year 6.1% 5.3% 10.9% 10.4%
Since
Inception6.9% 3.7% 9.8% 7.9%
$877.9 $943.7
$613.3
$0
$400
$800
$1,200
$1,600
Cost Total Value
Historical Portfolio
Contributions Distributions Net Asset Value
Portfolio Gain: $679.1 millionReal Estate
Investments
Percent of
Gross Value
Average
Occupancy
Office 2 21% 97%
Industrial 7 31% 97%
Retail 5 23% 94%
Apartment 4 25% 93%
Total 17 100% 96%
Property Information
Performance SummaryPortfolio Summary
52
UBS Realty (as of 3/31/20)
Account Information
__________________________________________
Net Asset Value (millions) $345.6
__________________________________________
Debt – MTM (millions) $168.0
__________________________________________
Inception Date December 1, 1998
____________________________________
Leveraged
Income App.Total
Net
NPI –
Apartments
1 Year5.5% 5.6% 10.8% 5.1%
10 Year 6.0% 7.1% 12.8% 9.6%
Since
Inception6.6% 3.7% 9.7% 8.3%
$435.9$643.3
$345.6
$0
$200
$400
$600
$800
$1,000
$1,200
Cost Total Value
Historical Portfolio
Contributions Distributions Net Asset Value
Portfolio Gain: $553.0 million
Real Estate
Investments
Percent of
Gross Value
Average
Occupancy
Apartments –
Garden
4 55% 97%
Apartments –
Low Rise
1 11% 95%
Apartments –
High Rise
2 34% 94%*
Total 7 100.0% 96%*
Property Information
Performance Summary Portfolio Summary
53* Excluding apartment units under construction
Other Real Assets Performance (as of 3/31/20)
The other real assets composite was established in the 3Q16 as part of the private real assets composite. The initial allocation within the sub-composite were existing timberland and farmland investments.
Neither timberland nor farmland as broad investments measured by the NCREIF indices have kept pace with a 5% real return hurdle over the time periods measured.
2.5%
3.9%3.5%
5.4%
6.6%7.0% 6.9%
6.6%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
1 Year 3 Year 5 Year Since Inception(2Q12)IPERS (Net) CPI + 5%
54
FIA Timberland (as of 3/31/20)
Account Information
_________________________________________
Net Asset Value (millions) $184.0
_________________________________________
Inception Date August 1, 2012
_________________________________________
Income App.Total
Net
CPI +
5%NTI1
1 Year 0.4% 3.1% 2.8% 6.6% 1.3%
5 Year 0.3% 3.7% 3.3% 6.9% 2.8%
Since
Inception0.0% 5.9% 5.2% 6.6% 5.4%
Value By Region
Performance Summary Portfolio Summary
Value By Land Class
39%
49%
12%
Pacific Northwest Southeast Northeast
31%
22%
47%
Land Pre-Merchantable Merchantable
55
1NTI is the NCREIT Timberland Index
UBS Farmland Investors (as of 3/31/20)
Account Information
_________________________________________
Net Asset Value (millions) $59.1
_________________________________________
Inception Date June 1, 2016
_________________________________________
Income App.Total
Net
CPI +
5%CFI1
1 Year 3.5% -1.0% 1.6% 6.6% 3.8%
Since
Inception3.9% 5.8% 9.0% 6.9% 5.3%
Crops Mountain Delta Pacific Northwest Total
Annual1 25.3 15.2 40.5
Vegetables 10.4 10.4
Permanent 10.2 10.2
Other2 38.9 38.9
Total 74.6 15.2 10.2 100.0
Portfolio Diversification Matrix (percent by market value)
Performance Summary Portfolio Summary
56
1CFI is the NCREIF Farmland Leased Iindex (80% annual/20% permanent)
1Annual includes corn, cotton, soybeans, sugar crops and wheat2Other includes feed grains and hay
Hiring Recommendation for Infrastructure Investment Management Services
RFP # I-2020-3
The Evaluation Committee recommends that the Investment Board approve the hiring of Brookfield Super-Core Infrastructure Partners for a global infrastructure mandate, subject to final due diligence and successful contract negotiations. This mandate will receive a commitment of $300 million. IPERS issued an RFP on January 15, 2020, with the purpose of evaluating open-end infrastructure fund investment management services. IPERS received 12 proposals. Of these, 5 proposals did not meet the minimum requirements outlined in the RFP. The Evaluation Committee scored the remaining 7 proposals and interviewed the 5 highest scoring proposals by phone the week of May 4th. The 5 firms interviewed were Axium Infrastructure, Brookfield Asset Management, First Sentier Investors, IFM Investors and JP Morgan Asset Management (Global Transport Income Fund). The Evaluation Committee discussed the initial scoring and findings from the phone interviews. It was determined that Brookfield’s Super-Core Infrastructure Fund should be recommended to the Investment Board for a commitment of $300 million to fill the capacity that is currently available within the real assets portfolio. The Brookfield product provides large cap core infrastructure exposure through cash flow resilient structures and a conservative financing strategy with a focus on utility, energy, power and transportation sectors across developed markets. A brief profile of the Brookfield Super-Core Infrastructure Fund is provided on the following page.
FIRM NAME: Brookfield Asset Management
Corporate Headquarters: Toronto, Canada
Ownership Structure: Public Company (NYSE: BAM)
Firm Wide Assets Under Management: $524 billion as of 12/31/19
Product Name: Super-Core Infrastructure Fund
Product Asset Inception Date: 2018
Product Assets Under Management: $1.9 billion
Product Style Description: Invest in mature, cash generating core infrastructure assets with predominately contracted/regulated revenues across North America, Western Europe and Australia.
Securities Lending Review
Office of the State Treasurer
Third Party Securities Lending
Agent Bank Custodian
Borrower
Security Movements
Securities
Cash Collateral
Investment Earnings
Invest (Investment Guidelines)
Cash Collateral
Non-Cash lending
Agent Bank Custodian
Borrower
Security Movements
SecuritiesNon-Cash Collateral
Cash lending
2
Lend only securities in actively managed
accounts
17 active funds
Average lendable securities: $9.4B
Average loan balance: $864M
Provide incremental income to the portfolio
Maximize investment return on existing securities
Increase earnings without interrupting trade
activities
Split is 90/10 with IPERS/DB
Overview
3
Investment Guidelines Invest according to IPERS’ current low-risk investment
strategy.
Cash collateral is invested in: Government money market funds
Overnight repurchase agreements collateralized with obligations issued
by the United States Treasury or obligations issued by agencies or
government-sponsored entities of the United States government
Non-cash collateral
Treasuries
4
COVID-19 Impact Overall market demand was subdued, but some
pockets of increased demand in industries most affected by COVID-19. Airlines (Deutsche Lufthansa)
Sports (Diamond Sports)
Movie theaters (AMC)
Oil and gas
Some securities lending programs had increased stresses due to commercial paper exposure, but IPERS only uses government funds so IPERS was unaffected.
Currently, some normalization in securities lending.
5
Percent of Lendable Securities on Loan
0.00
2,000,000,000.00
4,000,000,000.00
6,000,000,000.00
8,000,000,000.00
10,000,000,000.00
12,000,000,000.00
14,000,000,000.00
16,000,000,000.00
FY 2013 FY 2014 FY 2015 FY 2016 FY 2017 FY 2018 FY 2019 FY 2020 (YTD)
Market value of lendable securities Market value of securities on loan
9.01%9.52%
4.52%6.91%
5.17%3.03%4.25%4.26%
6
Percent of Lendable Securities on Loan By CategoryJuly 2019 – May 2020 (FY 20)
0
500,000,000
1,000,000,000
1,500,000,000
2,000,000,000
2,500,000,000
3,000,000,000
3,500,000,000
4,000,000,000
4,500,000,000
Fixed Income - Corporate Fixed Income - Government Domestic Equities (includesADR)
International Equities
Lendable Securities Securities on Loan
6.00%15.25%
0.84%
11.04%
7
Monthly Earnings by Asset Class
0
50000
100000
150000
200000
250000
300000
Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20
Corporate Domestic Equity Agency & Government Int'l Equity
8
Earnings by Asset Class July 2019 – May 2020 (FY 20)
292,734
1,014,616
638,866
208,837
0
200,000
400,000
600,000
800,000
1,000,000
1,200,000
Govt & Agency Corporates Domestic Equities International Equities
9
Cash and Non-Cash Earnings
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20
Earnings (cash) Earnings (non-cash)
10
Top Earning SecuritiesJuly 2019 – May 2020
Fund Name Asset Type Client Earnings
CHENIERE ENERGY PARTNERS LP Dom. Equity $96,906
FERRELLGAS 8 5/8 06/15/20 Bond $96,195
LUCKIN COFFEE INC -ADR ADR $93,692
ANTERO RESOURCES 5 03/01/25 Bond $55,022
DIAMOND SPORTS 6 5/8 08/15/27 Bond $49,247
BAOZUN INC-SPN ADR ADR $40,559
CLEVELAND-CLIFFS INC Dom. Equity $40,166
TREASURY TII 1 02/15/49 GOV $37,699
ANTERO MIDSTREAM CORP Dom. Equity $36,403
FERRELLGAS 8 5/8 06/15/20 Bond $34,345
INNOVENT BIOLOGICS INC Int’l Equity $33,451
TELENOR ASA Int’l Equity $28,859
TREASURY B 10/08/20 GOV $28,444
11
Borrower AttributionJuly 2019 – May 2020
Borrower Average On Loan % of Total
Deutsche Bank $167,394,687 11%
Morgan Stanley $110,924,726 9%
Citigroup $109,814,067 9%
Credit Suisse $93,429,965 8%
Merrill Lynch $92,663,448 8%
Goldman Sachs $74,051,179 7%
Barclays Bank $55,434,141 7%
JP Morgan Sec $35,575,364 6%
Wells Fargo $31,678,668 6%
UBS $20,887,594 5%
Remaining Borrowers $71,333,288 25%
Grand Total $863,187,127
12
Earnings by FundJuly 2019 – May 2020
Fund Name Client
Earnings
PGIM High Yield $312,132
TCW Asset Mgmt $245,825
Janus Cap Mgmt $208,974
Aegon $193,851
Harvest Fund
Advisor
$162,570
Western $133,068
Mackay Shields $120,711
Wellington Emerg
Mkt
$105,952
Blackrock $90,227
Pru Fixed $83,752
Fund Name Client
Earnings
Principal $81,221
US Smart Beta $81,013
Rhumbline Advisors $68,045
BMO EAFE $67,526
Fisher Investments $59,519
Developed ex-US
Smart Beta
$58,465
Prudential $47,237
Panagora EAFE $26,288
Emerging Mkt Smart
Beta
$8,676
13
Earnings by Fiscal Year
1,866,158
1,456,197
2,839,959
3,480,4313,552,337
1,420,939
321,703
4,035,807
3,033,1612,947,759
2,444,316
2,155,054
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
BNYM DB
(Jul-May)
14
1 | P a g e
SECURITIES LITIGATION AND MONITORING REPORT
I. STATUS OF CASES THAT IPERS IS SERVING IN AN ACTIVE ROLE
A. Allegheny County Employees’ Retirement System vs. Energy Transfer On January 13, 2020, the Investment Board authorized IPERS to seek an active role
in this litigation. Allegheny County Employee’s Retirement System, the Employees’ Retirement System of the City of Baton Rouge and Parish of East Baton Rouge, the Denver Public Employees Retirement Plan, the IAM National Pension Fund, and the Iowa Public Employees’ Retirement System (collectively, the “Institutional Investor Group) filed a motion seeking the lead plaintiff appointment in this litigation. On February 18, 2020, the motion for lead plaintiff designation was granted.
On February 25, 2020, Defendants filed a motion to transfer this action to the United States District Court for the Northern District of Texas. On April 16, 2020, the Court denied the Defendants’ motion to transfer. The case will move forward and continue to be litigated in the United States District Court for the Eastern District of Pennsylvania.
On March 5, 2020, the Court entered a Scheduling Order, setting May 15, 2020, as the deadline for the filing of an amended complaint. In light of the limitations and restrictions imposed by the COVID-19 pandemic, counsel for the Plaintiffs’ sought a thirty-day extension of the deadline for the filing of the amended complaint. The Defendants’ agreed to the requested extension. The Court approved the extension of the deadline for the filing of the lead Plaintiff’s operative complaint. The complaint is now due on or before June 15, 2020.
On June 4, 2020, Plaintiffs’ counsel emailed a draft complaint to IPERS general counsel for review. B. IPERS vs. BANA
Discovery closed in this case on May 1, 2020. Defendants alleged deficiencies in IPERS previous answers to discovery and sent a request for IPERS to supplement said discovery. The request was received by IPERS on May 20, 2020. IPERS responded to the request with the additional documents on May 21, 2020. Depositions are anticipated but have yet to be scheduled.
C. NovaStar
This case was filed in 2008. It has a long procedural history, including appeals to the Second Circuit. In March 2019, the district court judge granted final approval of a $165 million settlement. There were objectors to the settlement—several entities wanted to pursue their own claims directly but missed the opt out deadline. That appeal is fully briefed and pending before the Second Circuit. IPERS will have no further obligations but the appeal prevents the distribution of settlement proceeds until it has resolved.
2 | P a g e
D. Other Litigation a. PG&E Corporation Bankruptcy Proceeding PG&E Corporation, the
California utility company whose operations were blamed for starting the wildfires in Northern California in 2017, filed bankruptcy. IPERS authorized the law firm of Barrack, Rodos & Bacine (BR&B) to submit a securities claim on the fund’s behalf in this matter. On April 15, 2020, BR&B filed the claim on IPERS behalf in the bankruptcy proceedings.
b. LIBOR Settlement. IPERS received notice about our eligibility to share in
a $68 million dollar settlement fund established pursuant to an out-of-court settlement between UBS AG (“UBS”) and 41 State Attorney Generals to resolve this matter. IPERS submitted claims to receive our share of the settlement fund. IPERS received two checks totaling $9,406.42 as and for settlement.
c. General Motors Term Loan Adversary Proceeding. There remains one
additional payment forthcoming as part of the settlement agreement. The remaining payment is estimated to be about 1% of the total payment IPERS received from the GUC Trust. Timing and the exact amount of that payment is uncertain.
II. FUNDS RECOVERED FROM MONITORED CASES
Company Name Claim Filing
Deadline
Most Recent Recovery Received
Date
Total Recovery
Received To Date
Worldcom, Inc. 08/26/2005 04/29/2020 $4,993,726.93 J.P. Morgan Chase & Co. 12/16/2015 04/23/2020 $1,216,598.64 Wachovia Preferred Securities and Bond/Notes Litigation 12/28/2011 07/16/2019 $23,818.94 Medtronic, Inc. 01/02/2019 04/13/2020 $6,336.49 St. Jude Medical Securities Litigation 12/08/2016 03/26/2020 $18,744.38 Case Unknown/Recoveries Received N/A 03/16/2020 $45,646.03 Allergan, Inc. 08/07/2018 03/10/2020 $703,924.14 Petroleo Brasilerio S.A. Petrobras 06/09/2018 03/03/2020 $2,604,993.05 iDreamSky Technology Limited 03/20/2018 02/28/2020 $36,458.70 Global Crossing Ltd. (2) 09/06/2004 02/25/2020 $148,926.49 Merrill Lynch & Co., Inc. (Bonds or Preferred Offering) 01/04/2010 01/30/2020 $53,592.10 Countrywide Financial Corp. 12/15/2013 8/27/2019 $2,833,858.74 General Motors Company 04/27/2016 01/10/2020 $600.17 Prudential Financial, Inc. 11/02/2016 01/06/2020 $20,901.04 Genworth Financial, Inc. 08/22/2016 11/21/2019 $101,864.99 American International Group, Inc. 09/12/2013 11/21/2019 $301,289.85 Cendant Corporation 10/31/2000 11/07/2019 $1,846,853.69
3 | P a g e
National City Corporation 03/09/2012 10/18/2019 $118,430.68 IndyMac Pass-Through Certificates 01/28/2015 10/17/2019 $269,765.71 SEC v. Dell Inc. 05/25/2013 10/09/2019 $13,439.20 Fitbit, Inc. 08/01/2018 09/16/2019 $217,354.90 Bank of New York Mellon Corporation 12/11/2015 09/11/2019 $7,071.62 State Street Corporation 12/16/2014 08/21/2019 $17,146.01 Electronic Data Systems Corp. 04/19/2006 08/08/2019 $18,529.79 Amgen, Inc. 12/23/2016 07/16/2019 $10,801.17 Anadarko Petroleum Corp. 11/08/2014 07/16/2019 $13,281.02 J.P. Morgan Securities LLC (Bulk Settlement Practice)(SEC Fair Fund) 11/28/2017 04/25/2019 $76,099.08 Wells Fargo Mortgage-Backed Securities 12/07/2011 04/25/2019 $10,043.26 NII Holdings, Inc. & NII Capital Corp. 09/28/2016 04/11/2019 $9,008.72 American International Group (“AIG”) 05/05/2015 04/05/2019 $58,327.63 Merck & Co., Inc. Vytorin/Zetia Securities Litigation 11/18/2013 03/19/2019 $77,910.56 Pfizer, Inc. 01/28/2017 03/13/2019 $30,813.38 Countrywide Financial Corp. 04/26/2011 03/08/2019 $33,817.12
Total: $15,939,974.20 Of the total funds recovered, as set forth above, $4,129,598.57 was received during the period of March 1, 2019 through June 4, 2020.
Fossil Fuel Divestment
• Iowa legislators and IPERS have received emails from citizens requesting that Iowa’s pension funds freeze all investments in fossil fuel companies and divest public funds from all direct and indirect investments in coal, oil and gas producers.
• IPERS has a policy concerning social investing in section XI.A of its Investment Policy and Goal Statement that states:
As fiduciaries, the IPERS Investment Board, staff and investment managers must perform their duties for the exclusive benefit and in the best economic interest of the System’s members and beneficiaries. The System and the Board will not support investment policies or strategies which seek to promote specific social issues or agendas through investment or divestment of IPERS’ assets. To act otherwise could be construed as a violation of fiduciary duty and could endanger the System’s tax-exempt status.
• IPERS’ consistent position has been that divestment proposals represent a matter of social policy and not investment policy. The proper place for these social issues to be publicly debated is in the Iowa Legislature. IPERS will certainly comply with any divestment law passed by the Legislature and approved by the Governor. IPERS currently complies with three state laws that require divestment of companies for various social policy reasons.
• The IPERS Investment Board obviously has the authority to change its policies. IPERS staff and IPERS’ investment consultant Wilshire Associates stand ready to assist in evaluating any potential policy changes at the Board’s request.
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December 3, 2020
FY2020 Investment Performance Review
Asset Allocation
September 16-17, 2020
(Actuarial Valuation Presentation)
June 18, 2020
Investment Board & BAC Mtg
Continuing Education Session
March 27, 2020
Board MeetingsM A R C HF E B R U A R YJ A N U A R Y
A P R I L
Private Markets Portfolio Reviews
Investment Policy and Goal Statement
2 0 2 0CY2019 Investment Performance
M A Y
J U L Y A U G U S T S E P T E M B E R
J U N E
OCTOBER NOVEMBER DECEMBER
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M A Y
J U L Y A U G U S T S E P T E M B E R
J U N E
October
3/23/20 - BAC Meeting
OCTOBER NOVEMBER DECEMBER
A P R I L
April
4/27/20 - BAC Meeting
2 0 2 0
February
1/27/20 - BAC Meeting
1/13/20 - Legislative Session Begins
January
BAC MeetingsM A R C HF E B R U A R YJ A N U A R Y
December
12/3/20 - Investment Board & BAC Mtg
March
8/24/20 - BAC Meeting
(Actuarial Valuation Presentation)
10/26/20 - BAC Meeting
2/24/20 - BAC Meeting
August