New Mexico Educational Retirement Board › pdfs › 3Q2011_privateequity.pdf · • NEPC, LLC uses, as i ts data source, the pl an’s fund manager and custodian bank or fund service

New Mexico Educational Retirement Board

Third Quarter 2011 Private Markets Review

February 23, 2012

Allan Martin, Partner

Kevin Tatlow, Senior Consultant, CAIA

Q3 2011

Table of Contents Page Summary Letter 1 Trailing Period Performance 7 Total Private Markets Portfolio 8 Portfolio by Lifecycle 9 Portfolio by Vintage Year 11 Portfolio by Investment Strategy 13 Venture Economics Data 15 Information Disclosure

• NEPC, LLC uses, as i ts data source, the pl an’s fund manager and custodi an bank or fund service company, and NEPC, LLC rel ies on those sources for all transactions, including capital calls, distributions, income/expense and reported values. W hile NEPC, LLC has exer cised reasonable professional care in preparing this report, we cannot guarantee t he accuracy of all source information contained within.

• The Investment Performance Analysis is provided as a management aid for the client’s internal use only. P ortfolio performance repo rted in the Investment Performance Analysi s does not constitute a recommendation by NEPC, LLC.

• Information in this report on market i ndices and securi ty characteristics is received from sources external to NEPC, LLC. While efforts are made to ensure that this external data is accurate, NEPC, LLC cannot accept responsibility for errors that may occur.

One Main Street | Cambridge, MA 02142 | TEL: 617.374.1300 | www.nepc.com

CAMBRIDGE | ATLANTA | CHARLOTTE | CHICAGO | DETROIT | LAS VEGAS | SAN FRANCISCO

February 23, 2012 Trustees New Mexico Educational Retirement Board 6201 Uptown Blvd. Suite 204 Albuquerque, NM 87110 RE: Private Equity Strategy – 3rd Quarter 2011 Dear Trustees, We are pleased to present the September 30, 2011 Private Equity Report for the New Mexico ERB, (ERB). The report provides a variety of performance analyses for the overall portfolio. The reports include trailing performance, performance by investment stage, performance by strategy, and vintage year performance. The ERB experienced a negative quarter, earning a nominal IRR of (2.81%) and a one year IRR of 8.29%. The annualized IRR of the private equity portfolio since inception was 5.36% at quarter end. Since inception, the Total Value to Paid In multiple (current valuation plus cumulative distributions, divided by total capital calls) was 1.11. The following table presents the status of the ERB private markets portfolio as of September 30, 2011:

Commitment Terminated Amount Amount Reported Call DistributionCommitments Funded Distributed Value Ratio Ratio

$983,305,870 $0 $450,629,893 $75,426,676 $429,865,911 46% 17%

Total Fund Private Reported MarketUnfunded Composite Markets Value Exposure

Commitment as of Target of Total as a %9/30/2011 Fund Total Fund

$532,675,977 $8,682,276,954 10% 4.95% 11.09%

$505,292,587

$962,541,888

Market Exposure (Reported Value +

Unfunded Commitment)

Total Value

(Reported Value + Distributions)

1.11

Internal Rate of Return

IRR, Since Inception(June 2006 funding)

5.36%

Total Value

ToCapital Call Ratio

1

At quarter end, the ERB had commitments totaling $983.31 million to 32 private equity funds. Of the 32 funds, 4 funds are in the fundraising stage, 21 funds are in the investing stage and 7 funds are in the harvesting stage. The following charts illustrate the program’s current life cycle.

The following chart illustrates the commitment history of the private markets program through the quarter end:

Fundrasing, $140,000,000

Investing, $713,166,697

Harvesting, $130,139,173

Gross Committed Capital $983,305,870

Fundrasing, $114,282,808

Investing, $412,438,548

Harvesting, $5,954,621

Capital to be Funded $532,675,977

$0

$50,000,000

$100,000,000

$150,000,000

$200,000,000

$250,000,000

$300,000,000

2006 2007 2008 2009 2010 2011

Commitment History

StageFocus Venture Growth Equity BuyoutsMezzanine Secondaries Distressed Co-Investment

2

The following chart illustrates the cumulative commitment history, cumulative capital calls, cumulative distributions and reported value:

The following chart provides an analysis of the vintage year performance comparing the capital calls to the distributions and reported value.

$0

$200,000,000

$400,000,000

$600,000,000

$800,000,000

$1,000,000,000

$1,200,000,000

Cumulative Commitments, Capital Calls, Distributions and Total Value

Distributions Reported Value Capital Called Total Value Total Commitments

$0

$50,000,000

$100,000,000

$150,000,000

$200,000,000

$250,000,000

$300,000,000

2006 2007 2008 2009 2010 2011

Vintage Year Analysis of Commitments, Value, and Cash Flows Since Inception

Reported Value Distributions Capital Called Total Commitments

3

During the quarter-ended September 30, 2011 the ERB private markets portfolio funded 24 investments and received distributions from 12 funds. The summary of the cash flows is as follows: Amount Funded for the Quarter

Number of Funds Calling Capital

Distributions for the Quarter

Number of Funds Making

Distributions

Net Cash/Stock Flows for the

Quarter

$49,566,898 24 $15,593,184 12 $33,973,714 Since inception, the private markets program has gained $49.79 million in value. The investment strategies adding value are Distressed, $17.32 million; Mezzanine, $6.49 million; Buyouts, $21.44 million; Co-Investment, $1.28 million; and Secondaries, $5.75 million. The investment strategies losing value are Venture, ($1.40) million and Growth Equity, ($1.10) million.

-$5,000,000

$0

$5,000,000

$10,000,000

$15,000,000

$20,000,000

$25,000,000

Value Add (Loss) by Strategy

Venture Growth Equity Buyouts Mezzanine Secondaries Distressed Co-Investment

4

The program compared to typical long-term target allocations among the various private equity strategies is as follows:

Reported Unfunded TotalValue Commitment Exposure

Private Equity 100.0% - 100.0% 44.7% 55.3% 100.0%

Venture 10.0% - 25.0% 1.4% 1.3% 2.8%Growth Equity 20.0% - 30.0% 0.3% 9.0% 9.2%Buyouts 20.0% - 50.0% 20.5% 10.6% 31.1%Mezzanine 15.0% - 30.0% 3.1% 9.4% 12.5%Secondaries 10.0% - 30.0% 3.4% 7.6% 11.0%Distressed 15.0% - 30.0% 12.1% 10.2% 22.3%Energy 5.0% - 10.0% - - - Co-Investment 5.0% - 10.0% 3.8% 7.3% 11.1%Totals 100.0% 44.7% 55.3% 100.0%

Max.Investment

Strategy Target Min.

At the quarter end, the private markets portfolio was diversified by investment strategy. The private markets valuation by strategy follows:

Venture3%Growth Equity

1%

Buyouts46%

Mezzanine7%

Secondaries8%

Distressed27%

Co-Investment8%

Investment Strategy Diversification($429.87 Million Reported Value)

5

Allocations As of 09/30/2011-Lightyear and Edison Venture commitments anticipated to close shortly. Strategic Value Partners commitment is still pending and not listed. Annual Meetings Scheduled by the Private Equity Managers

Comvest Group, March 22, Palm Beach, FL Ares, April 25, Los Angeles, CA

We thank you for the opportunity to work with New Mexico Educational Retirement Board and look forward to continued success in the future. Best regards, Allan Martin K evin Tatlow Partner Senior Consultant, CAIA

6

9/30/2011New Mexico ERB Private Equity Investment VintageCommitment Qtr TD YTD 1 Year 3 Year 5 Year InceptionGroupBy1GroupBy2GroupBy3USD

Executive Summary IRR Performance Report

9/30/2011

Investment

VintageYear Commitment Qtr TD YTD 1 Year 3 Year 5 Year Inception

USDNew Mexico ERB

New Mexico ERBApollo Investment Fund VII, L.P.Apollo Investment Fund VII, L.P. 12.00N/A14.33-18.52 -11.33 1.3540,000,0002008New Mexico ERBNew Mexico ERBAres Special Situations III, LPAres Special Situations III, LP -13.05N/AN/AN/A N/A N/A30,000,0002010New Mexico ERBNew Mexico ERBAres Special Situations, LPAres Special Situations, LP 7.84N/A12.93-13.59 -6.24 6.0530,000,0002008New Mexico ERBNew Mexico ERBBDCM Opportunity Fund III, LPBDCM Opportunity Fund III, LP 7.97N/AN/A10.69 N/A N/A40,000,0002011New Mexico ERBNew Mexico ERBBR Co-Investment (Transfer)BR Co-Investment (Transfer) 6.86N/AN/A0.00 23.15 23.155,139,1732009New Mexico ERBNew Mexico ERBBR/ERB Co-Investment Fund I (BlackRock)BR/ERB Co-Investment Fund I (BlackRock) 0.91N/AN/A-2.63 7.98 6.14100,000,0002009New Mexico ERBNew Mexico ERBBridgepoint Europe IV DBridgepoint Europe IV D -1.40N/AN/A-7.12 7.54 7.8827,253,2552007New Mexico ERBNew Mexico ERBClayton, Dubilier, and Rice Fund VIII, LPClayton, Dubilier, and Rice Fund VIII, LP 12.96N/AN/A-4.36 1.53 10.7640,000,0002007New Mexico ERBNew Mexico ERBComVest Investment Partners III, LPComVest Investment Partners III, LP 11.93N/A14.76-1.91 -6.41 -8.8625,000,0002007New Mexico ERBNew Mexico ERBDRI II, L.P.DRI II, L.P. -2.40N/AN/A-5.40 9.62 -2.7640,000,0002009New Mexico ERBNew Mexico ERBEIG XVEIG XV 18.63N/AN/A29.46 N/A N/A40,000,0002010New Mexico ERBNew Mexico ERBEdison Venture Fund VII, L.P.Edison Venture Fund VII, L.P. N/AN/AN/AN/A N/A N/A40,000,0002011New Mexico ERBNew Mexico ERBFletcher Spaght Ventures IIFletcher Spaght Ventures II -10.93N/A-5.84-1.50 -10.97 -3.5520,000,0002007New Mexico ERBNew Mexico ERBGF Capital Private Equity Fund, LPGF Capital Private Equity Fund, LP 6.51N/A11.14-0.52 2.07 13.2715,000,0002007New Mexico ERBNew Mexico ERBGoode Partners Consumer Fund I, L.P.Goode Partners Consumer Fund I, L.P. 8.17N/A18.17-1.62 11.22 21.3520,000,0002007New Mexico ERBNew Mexico ERBHM Sector Performance Fund, L.P.HM Sector Performance Fund, L.P. -13.25N/A-14.34-1.59 -16.15 -13.2220,000,0002006New Mexico ERBNew Mexico ERBIndustrial Opportunity Partners, L.P.Industrial Opportunity Partners, L.P. 12.45N/A17.269.66 35.10 56.6915,000,0002006New Mexico ERBNew Mexico ERBIndustry Ventures Fund VIIndustry Ventures Fund VI -22.08N/AN/A-13.60 N/A N/A45,000,0002011New Mexico ERBNew Mexico ERBLeeds Equity Partners V, LPLeeds Equity Partners V, LP 9.95N/AN/A-0.25 14.31 3.1020,000,0002007New Mexico ERBNew Mexico ERBLevine Leichtman Deep Value FundLevine Leichtman Deep Value Fund 3.92N/A21.38-0.32 11.17 18.7820,000,0002006New Mexico ERBNew Mexico ERBLevine Leichtman IVLevine Leichtman IV 21.47N/A19.37-0.76 31.74 38.0950,000,0002008New Mexico ERBNew Mexico ERBLexington Capital Partners VI-BLexington Capital Partners VI-B 4.705.025.84-1.58 4.18 15.5820,000,0002006New Mexico ERBNew Mexico ERBLexington Capital Partners VIILexington Capital Partners VII 25.03N/AN/A29.74 13.87 16.8845,000,0002009New Mexico ERBNew Mexico ERBLightyear Capital IIILightyear Capital III N/AN/AN/AN/A N/A N/A40,000,0002011New Mexico ERBNew Mexico ERBLion Capital Fund IILion Capital Fund II -1.14N/A-0.64-0.31 -0.74 -6.5240,913,4432007New Mexico ERBNew Mexico ERBNewstone Capital Partners I, LPNewstone Capital Partners I, LP 7.13N/A6.830.60 5.82 9.0220,000,0002006New Mexico ERBNew Mexico ERBPerseus Partners VII, LPPerseus Partners VII, LP 5.98N/A5.011.79 4.31 2.7315,000,0002007New Mexico ERBNew Mexico ERBPlatinum Equity Partners II, LPPlatinum Equity Partners II, LP 10.09N/A19.044.06 2.37 10.5330,000,0002007New Mexico ERBNew Mexico ERBPsilos Group Partners III LPPsilos Group Partners III LP 1.06N/A7.61-2.79 13.37 17.2410,000,0002006New Mexico ERBNew Mexico ERBTenex Capital PartnersTenex Capital Partners -21.07N/AN/AN/A N/A N/A30,000,0002010New Mexico ERBNew Mexico ERBVSS Structured Capital Partners IIVSS Structured Capital Partners II 10.06N/AN/A1.84 9.03 14.7740,000,0002009New Mexico ERBNew Mexico ERBVicente Capital fka/K H Growth Equity FundVicente Capital fka/K H Growth Equity Fund -15.92N/A-12.03-1.81 -5.66 -3.2510,000,0002007New Mexico ERB

-2.81 3.60 8.29 8.63 5.38983,305,870 5.36Total: New Mexico ERB

New Mexico ERBAll AllTotal

“N/A” will be displayed if the investment has insufficient cash flows for the periodComposite IRRS include all flows of the selected investments regardless of the start date of the investment.

7

Partnership Name CommitmentTotalValue

DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio

Capital ToBe Funded

IRRCumulativeDistributions

TVPIRatio

Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

Apollo Investment Fund VII, L.P. 6,524 2,996,547 21,493,105 0.1540,000,000 19,586,802 49 % 12.00 %1.252008 4,896,32724,489,6521 20,413,198Ares Special Situations III, LP 279,745 0 17,529,453 0.0030,000,000 19,771,283 66 % -13.05 %0.872010 -2,521,57517,529,4532 10,228,717Ares Special Situations, LP 513,990 0 37,767,266 0.0030,000,000 30,000,000 100 % 7.84 %1.242008 7,253,27637,767,2663 0BDCM Opportunity Fund III, LP -1,270 349,005 1,834,838 0.1840,000,000 1,988,281 5 % 7.97 %1.102011 196,8322,183,8434 38,011,719BR Co-Investment (Transfer) 0 0 6,127,016 0.005,139,173 5,139,173 100 % 6.86 %1.192009 987,8436,127,0165 0BR/ERB Co-Investment Fund I (BlackRock) 0 0 30,466,475 0.00100,000,000 30,171,469 30 % 0.91 %1.012009 295,00630,466,4756 69,828,531Bridgepoint Europe IV D 0 0 12,051,926 0.0027,253,255 12,239,783 45 % -1.40 %0.982007 -187,85712,051,9267 15,013,471Clayton, Dubilier, and Rice Fund VIII, LP 6,468 0 29,663,844 0.0040,000,000 25,953,355 65 % 12.96 %1.142007 3,704,02129,663,8448 14,046,645ComVest Investment Partners III, LP 431,428 9,282,906 18,570,155 0.4325,000,000 21,615,079 86 % 11.93 %1.262007 5,806,55427,853,0619 3,384,921DRI II, L.P. 147,896 7,004,694 3,203,474 0.6840,000,000 10,243,393 26 % -2.40 %0.982009 -183,12110,208,16810 29,756,607EIG XV 0 0 3,829,153 0.0040,000,000 3,320,000 8 % 18.63 %1.152010 509,1533,829,15311 36,680,000Edison Venture Fund VII, L.P. 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 0012 40,000,000Fletcher Spaght Ventures II 103,079 1,720,201 5,671,328 0.1920,000,000 8,950,001 45 % -10.93 %0.822007 -1,661,5517,391,52913 11,050,000GF Capital Private Equity Fund, LP 105,889 0 13,687,997 0.0015,000,000 12,020,172 80 % 6.51 %1.132007 1,561,93613,687,99714 2,979,828Goode Partners Consumer Fund I, L.P. 129,530 3,247,802 21,091,015 0.1720,000,000 19,464,031 97 % 8.17 %1.242007 4,745,25724,338,81715 535,969HM Sector Performance Fund, L.P. -127,485 1,785,804 8,962,203 0.1120,000,000 16,471,154 82 % -13.25 %0.662006 -5,595,66210,748,00716 3,528,846Industrial Opportunity Partners, L.P. 114,029 587,257 14,109,799 0.0515,000,000 11,376,383 76 % 12.45 %1.282006 3,206,64414,697,05617 3,623,617Industry Ventures Fund VI 0 0 1,977,183 0.0045,000,000 2,250,000 5 % -22.08 %0.882011 -272,8171,977,18318 42,750,000Leeds Equity Partners V, LP -333,456 0 8,413,933 0.0020,000,000 7,982,530 40 % 9.95 %1.102007 764,8588,413,93319 12,017,470Levine Leichtman Deep Value Fund 2,513,465 8,913,866 16,136,247 0.4520,000,000 20,000,000 100 % 3.92 %1.112006 2,536,64925,050,11320 0Levine Leichtman IV -30,653 2,744,736 25,824,703 0.1350,000,000 20,620,796 41 % 21.47 %1.392008 7,979,29628,569,43921 29,379,204Lexington Capital Partners VI-B 10,079 7,539,883 14,412,014 0.3920,000,000 19,407,708 97 % 4.70 %1.132006 2,534,11021,951,89722 592,292Lexington Capital Partners VII -114,241 2,213,439 16,668,213 0.1445,000,000 15,503,643 34 % 25.03 %1.232009 3,492,25018,881,65223 29,496,357Lightyear Capital III 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 0024 40,000,000Lion Capital Fund II 274,962 1,855,637 30,317,594 0.0640,913,443 33,097,555 81 % -1.14 %0.962007 -1,199,28732,173,23125 7,815,888Newstone Capital Partners I, LP 242,554 13,390,029 10,348,410 0.6920,000,000 19,502,383 98 % 7.13 %1.202006 3,993,50223,738,43926 497,617Perseus Partners VII, LP 114,277 241,066 15,683,236 0.0215,000,000 13,664,134 91 % 5.98 %1.162007 2,145,89115,924,30227 1,335,866Platinum Equity Partners II, LP 377,257 5,123,783 17,602,483 0.2830,000,000 18,039,030 60 % 10.09 %1.232007 4,309,97922,726,26628 11,960,970Psilos Group Partners III LP 26,981 391,862 8,044,547 0.0510,000,000 8,150,000 82 % 1.06 %1.032006 259,4288,436,40929 1,850,000Tenex Capital Partners 49,700 0 3,162,947 0.0030,000,000 3,957,627 13 % -21.07 %0.792010 -844,3803,162,94730 26,042,373VSS Structured Capital Partners II -9,464 6,031,198 12,748,158 0.3640,000,000 16,615,788 42 % 10.06 %1.132009 2,173,03218,779,35631 23,384,212Vicente Capital fka/K H Growth Equity Fund 46,258 6,961 2,467,196 0.0010,000,000 3,528,340 35 % -15.92 %0.692007 -1,100,4412,474,15732 6,471,660

983,305,870 450,629,893 4,877,541532,675,977 75,426,676 5.36 %505,292,587 46 %49,785,152 0.17 1.1132 Total Partnerships 429,865,911

8


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio

Capital ToBe Funded IRR

CumulativeDistributions

TVPIRatio

Lifecycle Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

1 Fundraising

Ares Special Situations III, LP 279,745 0 17,529,453 0.0030,000,000 19,771,283 66 % -13.05 %0.872010 -2,521,57517,529,4531 10,228,717BDCM Opportunity Fund III, LP -1,270 349,005 1,834,838 0.1840,000,000 1,988,281 5 % 7.97 %1.102011 196,8322,183,8432 38,011,719Lightyear Capital III 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 003 40,000,000Tenex Capital Partners 49,700 0 3,162,947 0.0030,000,000 3,957,627 13 % -21.07 %0.792010 -844,3803,162,9474 26,042,373

1 Fundraising Subtotal 140,000,000 25,717,192 328,175114,282,808 349,005 22,527,238 22,876,243 -3,169,124 18 % 0.01 0.88 -27.67 %

2 Investing

Apollo Investment Fund VII, L.P. 6,524 2,996,547 21,493,105 0.1540,000,000 19,586,802 49 % 12.00 %1.252008 4,896,32724,489,6525 20,413,198BR/ERB Co-Investment Fund I (BlackRock) 0 0 30,466,475 0.00100,000,000 30,171,469 30 % 0.91 %1.012009 295,00630,466,4756 69,828,531Bridgepoint Europe IV D 0 0 12,051,926 0.0027,253,255 12,239,783 45 % -1.40 %0.982007 -187,85712,051,9267 15,013,471Clayton, Dubilier, and Rice Fund VIII, LP 6,468 0 29,663,844 0.0040,000,000 25,953,355 65 % 12.96 %1.142007 3,704,02129,663,8448 14,046,645ComVest Investment Partners III, LP 431,428 9,282,906 18,570,155 0.4325,000,000 21,615,079 86 % 11.93 %1.262007 5,806,55427,853,0619 3,384,921DRI II, L.P. 147,896 7,004,694 3,203,474 0.6840,000,000 10,243,393 26 % -2.40 %0.982009 -183,12110,208,16810 29,756,607EIG XV 0 0 3,829,153 0.0040,000,000 3,320,000 8 % 18.63 %1.152010 509,1533,829,15311 36,680,000Edison Venture Fund VII, L.P. 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 0012 40,000,000Fletcher Spaght Ventures II 103,079 1,720,201 5,671,328 0.1920,000,000 8,950,001 45 % -10.93 %0.822007 -1,661,5517,391,52913 11,050,000GF Capital Private Equity Fund, LP 105,889 0 13,687,997 0.0015,000,000 12,020,172 80 % 6.51 %1.132007 1,561,93613,687,99714 2,979,828Goode Partners Consumer Fund I, L.P. 129,530 3,247,802 21,091,015 0.1720,000,000 19,464,031 97 % 8.17 %1.242007 4,745,25724,338,81715 535,969Industrial Opportunity Partners, L.P. 114,029 587,257 14,109,799 0.0515,000,000 11,376,383 76 % 12.45 %1.282006 3,206,64414,697,05616 3,623,617Industry Ventures Fund VI 0 0 1,977,183 0.0045,000,000 2,250,000 5 % -22.08 %0.882011 -272,8171,977,18317 42,750,000Leeds Equity Partners V, LP -333,456 0 8,413,933 0.0020,000,000 7,982,530 40 % 9.95 %1.102007 764,8588,413,93318 12,017,470Levine Leichtman IV -30,653 2,744,736 25,824,703 0.1350,000,000 20,620,796 41 % 21.47 %1.392008 7,979,29628,569,43919 29,379,204Lexington Capital Partners VII -114,241 2,213,439 16,668,213 0.1445,000,000 15,503,643 34 % 25.03 %1.232009 3,492,25018,881,65220 29,496,357Lion Capital Fund II 274,962 1,855,637 30,317,594 0.0640,913,443 33,097,555 81 % -1.14 %0.962007 -1,199,28732,173,23121 7,815,888Platinum Equity Partners II, LP 377,257 5,123,783 17,602,483 0.2830,000,000 18,039,030 60 % 10.09 %1.232007 4,309,97922,726,26622 11,960,970Psilos Group Partners III LP 26,981 391,862 8,044,547 0.0510,000,000 8,150,000 82 % 1.06 %1.032006 259,4288,436,40923 1,850,000VSS Structured Capital Partners II -9,464 6,031,198 12,748,158 0.3640,000,000 16,615,788 42 % 10.06 %1.132009 2,173,03218,779,35624 23,384,212Vicente Capital fka/K H Growth Equity Fund 46,258 6,961 2,467,196 0.0010,000,000 3,528,340 35 % -15.92 %0.692007 -1,100,4412,474,15725 6,471,660

2 Investing Subtotal 713,166,697 300,728,150 1,282,487412,438,548 43,207,023 297,902,281 341,109,303 39,098,666 42 % 0.14 1.13 6.95 %

9


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio



TVPIRatio

Lifecycle Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

3 Harvesting

Ares Special Situations, LP 513,990 0 37,767,266 0.0030,000,000 30,000,000 100 % 7.84 %1.242008 7,253,27637,767,26626 0BR Co-Investment (Transfer) 0 0 6,127,016 0.005,139,173 5,139,173 100 % 6.86 %1.192009 987,8436,127,01627 0HM Sector Performance Fund, L.P. -127,485 1,785,804 8,962,203 0.1120,000,000 16,471,154 82 % -13.25 %0.662006 -5,595,66210,748,00728 3,528,846Levine Leichtman Deep Value Fund 2,513,465 8,913,866 16,136,247 0.4520,000,000 20,000,000 100 % 3.92 %1.112006 2,536,64925,050,11329 0Lexington Capital Partners VI-B 10,079 7,539,883 14,412,014 0.3920,000,000 19,407,708 97 % 4.70 %1.132006 2,534,11021,951,89730 592,292Newstone Capital Partners I, LP 242,554 13,390,029 10,348,410 0.6920,000,000 19,502,383 98 % 7.13 %1.202006 3,993,50223,738,43931 497,617Perseus Partners VII, LP 114,277 241,066 15,683,236 0.0215,000,000 13,664,134 91 % 5.98 %1.162007 2,145,89115,924,30232 1,335,866

3 Harvesting Subtotal 130,139,173 124,184,552 3,266,8795,954,621 31,870,648 109,436,392 141,307,040 13,855,609 95 % 0.26 1.11 3.83 %


10


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio



TVPIRatio

Vintage Year Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

2006HM Sector Performance Fund, L.P. -127,485 1,785,804 8,962,203 0.1120,000,000 16,471,154 82 % -13.25 %0.662006 -5,595,66210,748,0071 3,528,846Industrial Opportunity Partners, L.P. 114,029 587,257 14,109,799 0.0515,000,000 11,376,383 76 % 12.45 %1.282006 3,206,64414,697,0562 3,623,617Levine Leichtman Deep Value Fund 2,513,465 8,913,866 16,136,247 0.4520,000,000 20,000,000 100 % 3.92 %1.112006 2,536,64925,050,1133 0Lexington Capital Partners VI-B 10,079 7,539,883 14,412,014 0.3920,000,000 19,407,708 97 % 4.70 %1.132006 2,534,11021,951,8974 592,292Newstone Capital Partners I, LP 242,554 13,390,029 10,348,410 0.6920,000,000 19,502,383 98 % 7.13 %1.202006 3,993,50223,738,4395 497,617Psilos Group Partners III LP 26,981 391,862 8,044,547 0.0510,000,000 8,150,000 82 % 1.06 %1.032006 259,4288,436,4096 1,850,000

2006 Subtotal 105,000,000 94,907,628 2,779,62310,092,372 32,608,701 72,013,220 104,621,921 6,934,671 90 % 0.34 1.07 2.59 %

2007Bridgepoint Europe IV D 0 0 12,051,926 0.0027,253,255 12,239,783 45 % -1.40 %0.982007 -187,85712,051,9267 15,013,471Clayton, Dubilier, and Rice Fund VIII, LP 6,468 0 29,663,844 0.0040,000,000 25,953,355 65 % 12.96 %1.142007 3,704,02129,663,8448 14,046,645ComVest Investment Partners III, LP 431,428 9,282,906 18,570,155 0.4325,000,000 21,615,079 86 % 11.93 %1.262007 5,806,55427,853,0619 3,384,921Fletcher Spaght Ventures II 103,079 1,720,201 5,671,328 0.1920,000,000 8,950,001 45 % -10.93 %0.822007 -1,661,5517,391,52910 11,050,000GF Capital Private Equity Fund, LP 105,889 0 13,687,997 0.0015,000,000 12,020,172 80 % 6.51 %1.132007 1,561,93613,687,99711 2,979,828Goode Partners Consumer Fund I, L.P. 129,530 3,247,802 21,091,015 0.1720,000,000 19,464,031 97 % 8.17 %1.242007 4,745,25724,338,81712 535,969Leeds Equity Partners V, LP -333,456 0 8,413,933 0.0020,000,000 7,982,530 40 % 9.95 %1.102007 764,8588,413,93313 12,017,470Lion Capital Fund II 274,962 1,855,637 30,317,594 0.0640,913,443 33,097,555 81 % -1.14 %0.962007 -1,199,28732,173,23114 7,815,888Perseus Partners VII, LP 114,277 241,066 15,683,236 0.0215,000,000 13,664,134 91 % 5.98 %1.162007 2,145,89115,924,30215 1,335,866Platinum Equity Partners II, LP 377,257 5,123,783 17,602,483 0.2830,000,000 18,039,030 60 % 10.09 %1.232007 4,309,97922,726,26616 11,960,970Vicente Capital fka/K H Growth Equity Fund 46,258 6,961 2,467,196 0.0010,000,000 3,528,340 35 % -15.92 %0.692007 -1,100,4412,474,15717 6,471,660

2007 Subtotal 263,166,697 176,554,010 1,255,69286,612,687 21,478,355 175,220,707 196,699,062 18,889,360 67 % 0.12 1.11 4.86 %

2008Apollo Investment Fund VII, L.P. 6,524 2,996,547 21,493,105 0.1540,000,000 19,586,802 49 % 12.00 %1.252008 4,896,32724,489,65218 20,413,198Ares Special Situations, LP 513,990 0 37,767,266 0.0030,000,000 30,000,000 100 % 7.84 %1.242008 7,253,27637,767,26619 0Levine Leichtman IV -30,653 2,744,736 25,824,703 0.1350,000,000 20,620,796 41 % 21.47 %1.392008 7,979,29628,569,43920 29,379,204

2008 Subtotal 120,000,000 70,207,598 489,86149,792,402 5,741,283 85,085,074 90,826,357 20,128,899 59 % 0.08 1.28 11.72 %

2009BR Co-Investment (Transfer) 0 0 6,127,016 0.005,139,173 5,139,173 100 % 6.86 %1.192009 987,8436,127,01621 0BR/ERB Co-Investment Fund I (BlackRock) 0 0 30,466,475 0.00100,000,000 30,171,469 30 % 0.91 %1.012009 295,00630,466,47522 69,828,531DRI II, L.P. 147,896 7,004,694 3,203,474 0.6840,000,000 10,243,393 26 % -2.40 %0.982009 -183,12110,208,16823 29,756,607Lexington Capital Partners VII -114,241 2,213,439 16,668,213 0.1445,000,000 15,503,643 34 % 25.03 %1.232009 3,492,25018,881,65224 29,496,357VSS Structured Capital Partners II -9,464 6,031,198 12,748,158 0.3640,000,000 16,615,788 42 % 10.06 %1.132009 2,173,03218,779,35625 23,384,212

2009 Subtotal 230,139,173 77,673,466 24,191152,465,707 15,249,331 69,213,336 84,462,667 6,765,010 34 % 0.20 1.09 7.48 %

11


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio



TVPIRatio

Vintage Year Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

2010Ares Special Situations III, LP 279,745 0 17,529,453 0.0030,000,000 19,771,283 66 % -13.05 %0.872010 -2,521,57517,529,45326 10,228,717EIG XV 0 0 3,829,153 0.0040,000,000 3,320,000 8 % 18.63 %1.152010 509,1533,829,15327 36,680,000Tenex Capital Partners 49,700 0 3,162,947 0.0030,000,000 3,957,627 13 % -21.07 %0.792010 -844,3803,162,94728 26,042,373

2010 Subtotal 100,000,000 27,048,910 329,44572,951,090 0 24,521,553 24,521,553 -2,856,803 27 % 0.00 0.90 -27.25 %

2011BDCM Opportunity Fund III, LP -1,270 349,005 1,834,838 0.1840,000,000 1,988,281 5 % 7.97 %1.102011 196,8322,183,84329 38,011,719Edison Venture Fund VII, L.P. 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 0030 40,000,000Industry Ventures Fund VI 0 0 1,977,183 0.0045,000,000 2,250,000 5 % -22.08 %0.882011 -272,8171,977,18331 42,750,000Lightyear Capital III 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 0032 40,000,000

2011 Subtotal 165,000,000 4,238,281 -1,270160,761,719 349,005 3,812,021 4,161,026 -75,985 3 % 0.08 0.98 -2.31 %


12


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio



TVPIRatio

Investment Strategy Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

100 VentureFletcher Spaght Ventures II 103,079 1,720,201 5,671,328 0.1920,000,000 8,950,001 45 % -10.93 %0.822007 -1,661,5517,391,5291 11,050,000Psilos Group Partners III LP 26,981 391,862 8,044,547 0.0510,000,000 8,150,000 82 % 1.06 %1.032006 259,4288,436,4092 1,850,000

30,000,000 17,100,001 130,06012,900,000 2,112,063 15,827,938 57 %-1,402,123 0.12 -3.54 %100 Venture Subtotal 0.9213,715,875

110 Growth EquityEdison Venture Fund VII, L.P. 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 001 40,000,000Lightyear Capital III 0 0 0 0.0040,000,000 0 0 % N/AN/A2011 002 40,000,000Vicente Capital fka/K H Growth Equity Fund 46,258 6,961 2,467,196 0.0010,000,000 3,528,340 35 % -15.92 %0.692007 -1,100,4412,474,1573 6,471,660

90,000,000 3,528,340 46,25886,471,660 6,961 2,474,157 4 %-1,100,441 0.00 -15.92 %110 Growth Equity Subtotal 0.692,467,196

120 BuyoutsBridgepoint Europe IV D 0 0 12,051,926 0.0027,253,255 12,239,783 45 % -1.40 %0.982007 -187,85712,051,9261 15,013,471Clayton, Dubilier, and Rice Fund VIII, LP 6,468 0 29,663,844 0.0040,000,000 25,953,355 65 % 12.96 %1.142007 3,704,02129,663,8442 14,046,645GF Capital Private Equity Fund, LP 105,889 0 13,687,997 0.0015,000,000 12,020,172 80 % 6.51 %1.132007 1,561,93613,687,9973 2,979,828Goode Partners Consumer Fund I, L.P. 129,530 3,247,802 21,091,015 0.1720,000,000 19,464,031 97 % 8.17 %1.242007 4,745,25724,338,8174 535,969HM Sector Performance Fund, L.P. -127,485 1,785,804 8,962,203 0.1120,000,000 16,471,154 82 % -13.25 %0.662006 -5,595,66210,748,0075 3,528,846Industrial Opportunity Partners, L.P. 114,029 587,257 14,109,799 0.0515,000,000 11,376,383 76 % 12.45 %1.282006 3,206,64414,697,0566 3,623,617Leeds Equity Partners V, LP -333,456 0 8,413,933 0.0020,000,000 7,982,530 40 % 9.95 %1.102007 764,8588,413,9337 12,017,470Levine Leichtman IV -30,653 2,744,736 25,824,703 0.1350,000,000 20,620,796 41 % 21.47 %1.392008 7,979,29628,569,4398 29,379,204Lion Capital Fund II 274,962 1,855,637 30,317,594 0.0640,913,443 33,097,555 81 % -1.14 %0.962007 -1,199,28732,173,2319 7,815,888Perseus Partners VII, LP 114,277 241,066 15,683,236 0.0215,000,000 13,664,134 91 % 5.98 %1.162007 2,145,89115,924,30210 1,335,866Platinum Equity Partners II, LP 377,257 5,123,783 17,602,483 0.2830,000,000 18,039,030 60 % 10.09 %1.232007 4,309,97922,726,26611 11,960,970

293,166,697 190,928,923 630,818102,237,774 15,586,085 212,994,818 65 %21,435,076 0.08 5.00 %120 Buyouts Subtotal 1.11197,408,733

130 MezzanineDRI II, L.P. 147,896 7,004,694 3,203,474 0.6840,000,000 10,243,393 26 % -2.40 %0.982009 -183,12110,208,1681 29,756,607EIG XV 0 0 3,829,153 0.0040,000,000 3,320,000 8 % 18.63 %1.152010 509,1533,829,1532 36,680,000Newstone Capital Partners I, LP 242,554 13,390,029 10,348,410 0.6920,000,000 19,502,383 98 % 7.13 %1.202006 3,993,50223,738,4393 497,617VSS Structured Capital Partners II -9,464 6,031,198 12,748,158 0.3640,000,000 16,615,788 42 % 10.06 %1.132009 2,173,03218,779,3564 23,384,212

140,000,000 49,681,564 380,98690,318,436 26,425,921 56,555,115 35 %6,492,565 0.53 7.47 %130 Mezzanine Subtotal 1.1330,129,195

140 SecondariesIndustry Ventures Fund VI 0 0 1,977,183 0.0045,000,000 2,250,000 5 % -22.08 %0.882011 -272,8171,977,1831 42,750,000Lexington Capital Partners VI-B 10,079 7,539,883 14,412,014 0.3920,000,000 19,407,708 97 % 4.70 %1.132006 2,534,11021,951,8972 592,292Lexington Capital Partners VII -114,241 2,213,439 16,668,213 0.1445,000,000 15,503,643 34 % 25.03 %1.232009 3,492,25018,881,6523 29,496,357

110,000,000 37,161,351 -104,16272,838,649 9,753,322 42,810,732 34 %5,753,543 0.26 8.08 %140 Secondaries Subtotal 1.1633,057,410

13


DPIRatioValuation

Paid InCapital

AdditionalFees

CallRatio



TVPIRatio

Investment Strategy Performance Analysis

9/30/2011

VintageYear

NetBenefit

New Mexico ERB

150 DistressedApollo Investment Fund VII, L.P. 6,524 2,996,547 21,493,105 0.1540,000,000 19,586,802 49 % 12.00 %1.252008 4,896,32724,489,6521 20,413,198Ares Special Situations III, LP 279,745 0 17,529,453 0.0030,000,000 19,771,283 66 % -13.05 %0.872010 -2,521,57517,529,4532 10,228,717Ares Special Situations, LP 513,990 0 37,767,266 0.0030,000,000 30,000,000 100 % 7.84 %1.242008 7,253,27637,767,2663 0BDCM Opportunity Fund III, LP -1,270 349,005 1,834,838 0.1840,000,000 1,988,281 5 % 7.97 %1.102011 196,8322,183,8434 38,011,719ComVest Investment Partners III, LP 431,428 9,282,906 18,570,155 0.4325,000,000 21,615,079 86 % 11.93 %1.262007 5,806,55427,853,0615 3,384,921Levine Leichtman Deep Value Fund 2,513,465 8,913,866 16,136,247 0.4520,000,000 20,000,000 100 % 3.92 %1.112006 2,536,64925,050,1136 0Tenex Capital Partners 49,700 0 3,162,947 0.0030,000,000 3,957,627 13 % -21.07 %0.792010 -844,3803,162,9477 26,042,373

215,000,000 116,919,073 3,793,58198,080,927 21,542,325 138,036,336 54 %17,323,682 0.18 6.95 %150 Distressed Subtotal 1.14116,494,011

200 Co-InvestmentBR Co-Investment (Transfer) 0 0 6,127,016 0.005,139,173 5,139,173 100 % 6.86 %1.192009 987,8436,127,0161 0BR/ERB Co-Investment Fund I (BlackRock) 0 0 30,466,475 0.00100,000,000 30,171,469 30 % 0.91 %1.012009 295,00630,466,4752 69,828,531

105,139,173 35,310,642 069,828,531 0 36,593,491 34 %1,282,849 0.00 2.76 %200 Co-Investment Subtotal 1.0436,593,491


14

Commitment Paid In CapitalCapital To Be

Funded Call Ratio DPI Ratio TVPI Ratio IRR2006 Vintage Total 105,000,000 94,907,628 10,092,372 90% 0.34 1.07 2.6%2006 Venture Economics All PE

1st Quartile 0.20 1.22 6.7% Median 0.07 1.04 1.1% Pooled Average 0.20 1.00 0.0%3rd Quartile 0.00 0.85 -4.8%

S&P 500 (2006 - present) -1.2%

2007 Vintage Total 263,166,697 176,554,010 86,612,687 67% 0.12 1.11 4.9%2007 Venture Economic All PE

1st Quartile 0.16 1.23 8.8% Median 0.01 0.99 -0.8% Pooled Average 0.23 1.16 6.4%3rd Quartile 0.00 0.82 -7.0%

S&P 500 (2007 - present) -5.2%

2008 Vintage Total 120,000,000 70,207,598 49,792,402 59% 0.08 1.28 11.7%2008 Venture Economics All PE


S&P 500 (2008 - present) 1.2%

2009 Vintage Total 230,139,173 77,673,466 152,465,707 34% 0.20 1.09 7.5%2009 Venture Economics All PE

1st Quartile 0.03 1.21 16.7% Median 0.00 1.05 5.3% Pooled Average 0.02 1.14 12.1%3rd Quartile 0.00 0.93 -3.4%

S&P 500 (2009 - present) 10.9%

2010 Vintage Total 100,000,000 27,048,910 72,951,090 27% 0.00 0.90 -27.3%2010 Venture Economics All PE


S&P 500 (2010 - present) -15.0%

2011 Vintage Total 165,000,000 4,238,281 160,761,719 3% 0.08 0.98 -2.3%2011 Venture Economics All PE

1st Quartile 0.00 0.97 -11.85 Median 0.00 0.93 -23.78 Pooled Average 0.00 0.93 -29.693rd Quartile 0.00 0.92 -33.31

S&P 500 (2011 - present) -8.68

*Thomson One numbers are as of 9/30/11

New Mexico ERBVintage Year Performance Benchmarking

9/30/2011*

15

Documents

New Mexico Educational Retirement Board › pdfs › 3Q2011_privateequity.pdf · • NEPC, LLC uses, as i ts data source, the pl an’s fund manager and custodian bank or fund service