Board Regular MeetingScheduleVenue

Description

Organizer

Thursday, November 12, 2020, 9:00 AMVirtual Meeting held in compliance with Open Meetings Act as amended by SB661 - Zoom videoconference meeting - Public Access Link: https://www.facebook.com/OkTRS/live/This meeting will be held with the following trustees attending remotely via Zoom videoconference for all agenda items including executive sessions: Chairman Vernon Florence; Vice Chair Roger Gaddis; Judie Harris; Tim Allen; Randy McDaniel; Bill Bentley; Rod Boles; Lisa Henderson; Michael Kellogg; Brandy Manek; Stephen Harpe; Brandon Meyer; Chris Rector; Mathangi Shankar; Joy Hofmeister; Stephen Streeter; Drew Williamson; Dr. Greg Winters; Marcie Mack. Also, TRS Staff Tom Spencer; Sarah Green; Phyllis Bennett; Kim Bold; Joe Cappello; Dixie Moody; Sam Moore; John Santos; Kirk Stebbins. Also, Jack Evatt; Doug Anderson; Peter Brown; Michael Bacine and Matt Castaldo. Materials will be available Nov. 12 athttps://www.ok.gov/TRS/About_Us/Board_Information/Meeting_ Materials.html. Please note: if audio connection is lost, the meeting will be stopped and reconvened in 15 minutes. If the attempt to reconvene fails, the meeting will reconvene when possible.Phyllis Bennett

Agenda

1. Roll Call for Quorum

2. Discussion and Possible Action on Approval of Minutes from October 21,2020, Board Regular Meeting

Bd-2 2020-Oct.21-Bd.Reg.Mtg-Mins-final.docx 1

3. Discussion and Possible Action on Investment Committee Report

3.1. Discussion and Possible Action to Issue a Request for Proposal for anInvestment Consultant

Bd-3.1 Investment Consultant RFP Legal (final).pdf 11

3.2. Discussion and Possible Action on Amendments to Investment PolicyStatement Regarding Allocation Boundaries of Private Market Investments

Bd-3.2 TRS IPS 11-12-2020.pdf 26

3.3. Discussion and Possible Action on Commitment to Franklin Park PrivateEquity Fund, and/or Franklin Park Co-Investment Fund V Subject toSuccessful Fund Document Negotiationa. Presentation by Michael Bacine of Franklin Park Regarding PrivateEquity and Co-Investment Fund Vb. Discussion and Recommendation of Commitment of Approximately $100Million to OTRS/FP Private Equity Fund

Bd-3.3a FranklinPark_Presentation_20201030.pdf 27

3.4. Discussion and Possible Action on Investment Consultant QuarterlyPerformance Report for Period Ending Sept. 30, 2020

Bd-3.4 2020-09-30.TRSO.QtrlyBdRpt.pdf 57

3.5. Discussion and Possible Action on Investment Department Report

Bd-3.5 CIO Rpt Nov Mtg.pdf 243

4. Discussion and Possible Action to Renew CY 2021 Tax GuarantorAgreement with KPMG (Taiwan)

5. Discussion and Possible Action on Committee Reports:

5.1. Governance Committee:Discussion and Possible Action on Board Policy Reviews, IncludingPossible Amendments:a. Chapter 8 - Strategic Planning Policy

b. Chapter 11 - Securities Litigation Policy

Bd-5.1 Ch. 8 and Ch. 11 Updates.docx 247

5.2. Audit Committee

6. Discussion and Possible Action on Recommendation to Adopt Drafts ofProposed Permanent Administrative Rules for the Purpose of Submission tothe Governor and for Public Comment: 715:1-1-4 [REVOKED]; 715:1-1-8[AMENDED]; 715:1-1-15 [AMENDED]; 715:10-1-4 [AMENDED]; 715: 10-9-1[AMENDED]; 715:10-11-1 [AMENDED]; 715:10-19-1 [REVOKED]; 715:10-19-2 [REVOKED]; 715:10-19-3 [REVOKED]; 715:10-19-4 [REVOKED];715:10-19-5 [REVOKED]; 715:10-19-7 [REVOKED]; 715:10-19-8[REVOKED]; 715:10-19-9 [REVOKED]; 715:10-19-11 [REVOKED]; 715:10-19-12 [REVOKED]; 715:10-19-13 [REVOKED]

Bd-6 Permanent Rules Ch. 1 RIS.docx 252 Bd-6 Permanent Rules Ch. 10 RIS.docx 256

7. Discussion and Possible Action on Possible Adoption of Board Self-Assessment Policy

Bd-7 SelfAssessMemo-11.06.20.pdf 275

8. Discussion and Possible Action on Agency Reports:

8.1. Client Services

Bd-8.1 Oct.2020.ClientServiceBdRpt.pdf 281

8.2. Human Resources

Bd-8.2 HR Status Report 2020-11-12.pdf 283

8.3. Finance

Bd-8.3 Finance Reports.pdf 284

2500 N. Lincoln Blvd., 5th Floor, Oklahoma City, OK

8.4. Deputy Director of Operations

Bd-8.4 DepDirRpt-Nov2020.docx 289

8.5. General Counsel

Bd-8.5 GC Report Nov.docx 290

8.6. Executive Director

Bd-8.6 ExDirRpt-10-21-20.to.11-10-20.pdf 291

9. Questions and Comments from Trustees

10. New Business(Any matter not known about or which could not have been reasonablyforeseen prior to the time of posting. 25 O.S. 2011, Section 311.)

11. Adjournment

Next meetings:January 26, 2021, 2 p.m. - Investment Committee MeetingJanuary 27, 2021, 9 a.m. - Board Regular Meeting

1

MEETING MINUTES

OCTOBER 21, 2020

BOARD OF TRUSTEES REGULAR MEETING

TEACHERS’ RETIREMENT SYSTEM OF OKLAHOMA

A regular meeting of the Board of Trustees of the Teachers’ Retirement System of Oklahoma was called to

order by Vernon Florence, Chairman, at 9:00 a.m. October 21, 2020. This meeting was a Zoom videoconference

meeting, held in compliance with the Open Meetings Act as amended by SB661. Public Access Link:

https://www.facebook.com/OkTRS/Live/. The meeting notice and agenda were posted in accordance with 25

O.S. Section 311(A)(9).

TRUSTEES PRESENT:

Vernon Florence, Chairman

Roger Gaddis, Vice-Chairman

Tim Allen

Bill Bentley

Rod Boles

Brandon Meyer*

Chris Rector*

Mathangi Shankar

Stephen Streeter

Drew Williamson*

Greg Winters

TRUSTEES ABSENT:

Judie Harris, Secretary

Lisa Henderson

Mike Kellogg

Brandy Manek

TRS STAFF PRESENT:

Tom Spencer, Executive Director

Sarah Green, General Counsel

John Santos, Deputy Director of Operations

Dixie Moody, Director of Client Services

Kirk Stebbins, Chief Investment Officer

Sam Moore, Director of Finance/CFO

Kim Bold, Director of Human Resources

Joe Cappello, Sr. Investment Officer

Phyllis Bennett, Executive Assistant

OTHERS PRESENT:

Doug Anderson, AndCo Consulting

Peter Brown, AndCo Consulting

Jack Evatt, AndCo Consulting

Blaze Cass, Meketa Investment Group

Andrew Jenkins, Meketa Investment Group

Mark Randall, Gabriel Roeder Smith

Brad Stewart, Gabriel Roeder Smith

Kristen Rebenitsch, Eide Bailly

Vanessa Dutton, Eide Bailly

Hilaire Johnson, Stinnett & Associates

Kevin Wright, Stinnett & Associates

* Denotes late arrival or early departure

ITEM 1 - ROLL CALL FOR QUORUM: Chairman Florence asked the recording secretary to call roll to

determine if a quorum was present. Trustees responding as present were Mr. Bentley, Mr. Florence, Mr. Gaddis,

Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Rector, Mr. Streeter and Dr. Winters. A quorum was present.

Mr. Meyer arrived at 9:08 a.m.

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ITEM 2 – DISCUSSION AND ACTION ON APPROVAL OF MINUTES FROM THE AUGUST 26,

2020, BOARD REGULAR MEETING:

A motion made by Dr. Winters with a second made by Mr. Boles to approve the minutes of the August 26,

2020, Board Regular Meeting as presented carried by a unanimous roll call vote. Trustees responding were Mr.

Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter and Dr.

Winters.

ITEM 3 – DISCUSSION AND POSSIBLE ACTION ON INVESTMENT COMMITTEE REPORT:

Investment Committee Chairman Roger Gaddis presented items discussed in yesterday’s meeting.

3.1 – DISCUSSION AND POSSIBLE ACTION TO APPROVE FY 2020 FINANCIAL STATEMENT ON

HARVEY PARKWAY: TRS Executive Director Tom Spencer reviewed the FY 2020 Income Statement and

Balance Sheet for the Harvey Parkway Building. The building is less than 50% occupied and TRS still made

just over $1M on the investment. Due to the low occupancy, maintenance staff is needed only half time but can

be available quickly if needed. In December, TRS will start paying $240K a year for rent at Harvey Parkway.

Total liabilities and fund balance are just over $14M.

A motion out of the Investment Committee to approve the FY 2020 Harvey Parkway Financial Statement as

presented carried by a unanimous roll call vote. Trustees responding were Mr. Florence, Mr. Gaddis, Mr.

Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter and Dr. Winters.

3.2 – DISCUSSION AND POSSIBLE ACTION TO APPROVE AMENDMENT TO INVESTMENT

MANAGER AGREEMENT FOR WELLINGTON INTERNATIONAL SMALL CAP: Mr. Gaddis said

the proposed amendments includes a fee reduction from 50 basis points to a locked-in 40 basis points saving

TRS $250K per year.

A motion out of the Investment Committee to approve the proposed amendments to the investment manager

agreement with Wellington International Small Cap as presented passed by a unanimous voice vote. Trustees

responding were Mr. Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr.

Streeter and Dr. Winters.

3.3 – PRESENTATION BY MEKETA INVESTMENT GROUP REGARDING PRIVATE MARKET

SERVICES AND REPORTING: TRS Chief Investment Officer Kirk Stebbins introduced Meketa

representatives Blaze Cass and Andrew Jenkins. Mr. Stebbins reminded Trustees of the in-depth work Meketa

does in keeping track of TRS’ investments in private market accounts. Mr. Cass reviewed Meketa’s FY 2020

performance report of those accounts pointing out the total alternatives account had a Net IRR of 11.6%. Over

the past 12 months distributions totaled $475.8M while capital calls totaled $332.5M. Mr. Jenkins reviewed

Meketa’s multilayered process for all capital call distributions and cash flow. Mr. Cass explained their

processes related to fee validation and reviewed some inconsistences they had found and resolved. He also

reviewed Meketa’s pacing study result.

Drew Williamson arrived at 9:30 a.m.

3.4 – DISCUSSION OF PACING AND POTENTIAL FRANKLIN PARK PRIVATE CAPITAL

COMMITMENT: TRS General Counsel Sarah Green reviewed TRS’ policies on target asset allocations,

rebalancing for Private Equity, and the process to rebalance when an allocation moves outside minimum or

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maximum boundaries. Private Equity’s target allocation is 6.5%, the high rebalance point is 7.5%, and the

maximum allocation is 8.5%. TRS is currently at 9.7%. The policy recognizes a full rebalancing of each asset

class may not be possible. She explained that Private Equity is an illiquid class in which money cannot be added

to or taken from in a single day, it happens over time. The pacing analysis showed that by investing $260M per

year for the foreseeable future, TRS will be back within policy in approximately two to three years.

TRS Senior Investment Officer Joe Cappello presented details of TRS’ ongoing negotiations with Franklin Park

related to a potential $260M commitment to maintain a 6.5% Private Equity allocation. TRS will maintain the

$2.5M capped management fee and have an uncapped commitment amount per year. Franklin Park will have

discretion to invest in the Franklin Park Venture Fund, Franklin Park International Fund and Franklin Park Co-

Investment Fund. Mr. Cappello explained Franklin Park’s Co-Investment Fund. He said in the November

meetings, he will review Franklin Park’s co-investment track record with other clients; TRS Investment

Consultant AndCo Consulting Group will present on their completed due diligence of the co-investment fund;

Ms. Green will review TRS’ final legal language and fee structure; and a recommendation may be made to

commit $260M to Franklin Park.

Mr. Williamson asked about possible conflict of interest in allowing Franklin Park full discretion. Ms. Green

said TRS’ Investment Policy essentially gives investment managers full discretion. The co-investment fund is

new and so they are continuing to conduct due diligence on this fund to fully understand how it will be

structured and what discretion Franklin Park will have. Mr. Cappello said the main reason to give Franklin Park

full discretion is that TRS’ Investment Department and Board are not structured to approve co-investments on a

deal-by-deal basis the way they are structured to approve other transactions. He pointed out that another layer of

complexity is added if a single investor in a co-investment fund requires Board approval for each deal. He said

this would be 10 co-investments per year that typically require short notice and quite a bit of due diligence

which Franklin Park has demonstrated they can do by their successful discretionary investing track record with

other funds of TRS’ size and complexity.

3.5 – DISCUSSION AND POSSIBLE ACTION ON OPEN-END, NON-CORE REAL ESTATE

REQUEST FOR PROPOSAL: TRS Consultant to the Board Peter Brown of AndCo Consulting Group,

reviewed RFPs involving real estate investments and explained AndCo’s decision last November to launch a

non-core, open-end real estate RFP. Ultimately, the coronavirus pandemic put the process on hold. Based on

surveys of the respondents in September, and the pandemic’s impact on that sector, AndCo decided to close the

RFP and discontinue the commitment to that sector.

A motion out of the Investment Committee to close the open-end, non-core real estate request for proposal

without selecting any of the respondents carried by a unanimous voice vote. Trustees responding were Mr.

Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter and Dr.

Winters.

3.6 – DISCUSSION AND POSSIBLE ACTION REGARDING PACING ANALYSIS AND POTENTIAL

COMMITMENT TO STARWOOD DISTRESSED OPPORTUNITY FUND XII: Ms. Green said TRS

needs to make an allocation to real estate and when it was decided to not make a commitment to open-end

funds, they looked at TRS’ current closed-end funds. TRS’ consultant recommended a commitment to Starwood

XII, a follow-on fund to Starwood X and XI. Ms. Green explained the Investment Policy Statement allows TRS

to make a commitment or additional allocation to subsequent or follow-on funds of a manager providing that

the investment thesis and strategy of the subsequent or follow-on fund is substantially similar to the fund that

was originally allocated on a competitive bid basis. She reviewed details of the Starwood TRS would not need

to issue an RFP to make a commitment to Starwood XII as a follow-on fund.

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Mr. Brown reviewed results of AndCo’s updated real estate commitment model, and terms, timing and other

details of Starwood Distress Opportunity Fun XII. He gave an overview of Starwood Capital Group and

explained that a commitment of $150M or higher results in a fee of 1% rather than 1.25% for a lower

commitment, and Starwood would get 20% of the profits after an 8% preferred return. For investment partners

who complete commitment documents by October 31, Starwood will give a 5-month management fee waiver,

saving $162K on a $150M commitment. Mr. Brown said it is a joint recommendation from TRS staff and

AndCo to commit $150M to Starwood Distressed Opportunity Fund XII.

A motion out of the Investment Committee to recommend approval to commit $150M in Calendar Year 2020 to

Starwood Distressed Opportunity Fund XII carried by a unanimous roll call vote. Trustees responding were Mr.

Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter, Mr.

Williamson and Dr. Winters.

3.7 – DISCUSSION AND POSSIBLE ACTION ON INVESTMENT CONSULTANT MONTHLY

SEPTEMBER 2020 PERFORMANCE REPORT: Investment Consultant to the Board Doug Anderson of

AndCo Consulting Group reviewed his market summary showing U.S. International Equities declining in

September. The value of TRS’ total fund declined by $330M to $17.67B. The total fund posted a loss of -.9%,

exceeding its benchmark by 1.3%. As of this date, returns have been positive, and the total fund is above $18B.

The total fund’s rolling three-year annualized return is 5.9%, trailing the benchmark by 1.4%. Mr. Anderson

said AndCo is watching four managers: EDHEC, for its acquisition by Singapore Exchange; and Hotchkis &

Wiley Mid Cap Value, Wellington International Small Cap, and Shapiro Capital, for performance. He reviewed

their activities with TRS and reiterated AndCo’s recommendations to close the open-end, non-core real estate

RFP and to allocate to Starwood Fund XII. He also reviewed asset allocation and performance by segments for

the total fund. No action was taken.

3.8 – DISCUSSION AND POSSIBLE ACTION ON INVESTMENT DEPARTMENT REPORT: TRS

Chief Investment Officer Kirk Stebbins gave a brief review his report on asset allocation vs policy target and

recent performance. No action was taken.

A break was taken from 10:27 to 10:38 a.m.

ITEM 4 – DISCUSSION ON PROCESS FOR A REQUEST FOR PROPOSAL FOR INVESTMENT

CONSULTANT: Ms. Green reminded Trustees that they are fiduciaries for TRS, and she reviewed the contract

and key functions of an Investment Consultant. She also explained details related to the Board approving RFPs

issued for investment consultants and proposed timeframe for the RFP.

Mr. Stebbins shared information about the investment consultant industry from research done by Greenwich

Associates. One slide showed specific U.S. investment consultants’ number of clients, broken down into fund

size. Data about public pension funds valued at more than $5B include 90% use investment consultants; the

average fees paid to their most important consultant is $517K; and the funds average 1.4 investment

consultants. He also shared reasons a fund will change its investment consultant.

Mr. Cappello went over several sections of the RFP and said it is being reviewed today to allow time for

feedback before seeking approval to issue it in November’s meeting. Chairman Florence reminded Trustees that

this is a very important contract and a lot of work goes into it. He asked Trustees to read the proposal and ask

questions or give comment if they have any. No action was taken.

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ITEM 5 – DISCUSSION AND POSSIBLE ACTION ON FY 2020 ACTUARIAL REPORT: TRS

Executive Director Tom Spencer introduced Mark Randall and Brad Stewart of GRS (Gabriel Roeder Smith),

TRS’ actuarial services provider. Mr. Randall explained the information used to prepare the report and the

purpose of the report and reviewed comparisons between the FY 2020 and FY 2019 reports. He said the

Board’s approval to decrease the investment return from 7.5% to 7% helped increase the unfunded actuarial

accrued liability by about $2B, from $6.5M in 2019 to $8.6M in 2020; and dropped the funded ratio from 72%

to 67%, and the funding period increased from 14 year to 21 years. The increase in liabilities was also due in

part to the passage of HB 3350, the ad hoc COLA bill that increased the unfunded liability to the system by

around $425M, and HB 2741, which decreases the percentage of certain State revenue contributed to the system

from FY 2021 through FY 2027. Other figures Mr. Randall shared were that membership pay had a 4.6%

increase; the average age of an active member is 46.1 year; there are 91,471 active members and 64,778

annuitants. He noted the plan is paying out more in benefits than it is getting in contributions. Also the market

value of assets went down, but it is not a cause for alarm because TRS is a pre-funded plan which is a pension

trust that invests assets to pay out retiree benefits.

A motion made Dr. Winters with a second made by Mr. Allen to approve the FY 2020 Actuarial Valuation

Report as presented carried by a unanimous roll vote. Trustees responding were Mr. Florence, Mr. Gaddis, Mr.

Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter, Mr. Williamson and Dr. Winters.

Mr. Meyer left at 11:43 a.m. and returned at 11:55 a.m.

ITEM 6 – DISCUSSION AND POSSIBLE ACTION TO APPROVE THE AUDITED FINANCIAL

STATEMENT FOR FY 2020: Mr. Spencer introduced Vanessa Dutton and Kristen Rebenitsch of Eide Bailly,

TRS’ financial audit services provider. On the independent auditor’s report, Ms. Rebenitsch reported a clean,

unmodified opinion, which means the financial statements appear to be free of material misstatement based

upon their audit procedures. Also, there were no internal control findings over financial reporting and

compliance. On the Statement of Fiduciary Net Position, the combined total assets decreased approximately

$900M primarily due to the decrease in long-term and short-term investments as well as amortization on capital

assets. The combined total liabilities decreased approximately $700M, primarily due to decreases in payables

related to timing differences year over year. Overall, the net position decreased $200M for the year ended June

30, 2020. On the Statement of Changes, Total Additions decreased approximately $600M due to a decrease in

investment income. Total deductions remain consistent with the prior year which brings the net change in net

position to a $200M decrease compared to a $480M increase in the prior year.

Ms. Dutton reviewed their required communication which states they followed all ethics requirements regarding

independence. She said there were no new accounting policies this year but there were new estimates related to

alternative investments and OPEB pension liabilities. There were no difficulties or disagreements with

management. There were no new uncorrected misstatements, but there was one recurring uncorrected

misstatement related to contributions received after June 30, that may relate to FY 2020. As it represents less

than 1% of contributions it is not material to posting on the financial statement, but large enough to bring to the

attention of the Board. She said the audit process was done remotely this year and went very smoothly.

A motion made by Dr. Winters with a second made by Mr. Boles to approve the audited financial statements as

presented carried by a unanimous roll call vote. Trustees responding were Mr. Florence, Mr. Gaddis, Mr. Boles,

Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter, Mr. Williamson and Dr. Winters.

A break was taken from 12:11 to 12:36 p.m.

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Mr. Williamson left at 12:11 p.m.

ITEM 7 - DISCUSSION AND POSSIBLE ACTION ON COMMITTEE REPORTS:

7.1– GOVERNANCE COMMITTEE: There was no report.

7.2 – AUDIT COMMITTEE:

DISCUSSION AND POSSIBLE ACTION ON STINNETT & ASSOCIATES PRESENTATION:

A. Internal Audit Plan Update: Hilaire Johnson of Stinnett & Associates reported the audits in progress:

Disaster Recovery Plan Development (FY20); Internal Audit Administration; Semi-Annual Prior Audit

Recommendation Status Update; Cybersecurity (FY21); and Retirement Benefit Payment Process

(FY21). The Retirement Account Events Review (FY20) has been completed. Audits yet to be started in

2021 are the Risk Assessment and 3-Year Audit Plan Development, and ALICE ITGC. Mr. Spencer

gave an update on OMES’ participation in the Cybersecurity audit.

B. Retirement Events Audit Report: Ms. Johnson said this project was done remotely during the pandemic

and TRS staff did a great job adapting. This audit was to test processes of survivor benefits, withdrawals

and service transfers. She reviewed their observations, recommendations and responses from

management, most of which have been completed.

Dr. Winters said he is satisfied with the audits and the work Stinnett and TRS staff did on them.

A motion made by Dr. Winters with a second made by Mr. Boles to approve the internal audit report as

presented passed by a unanimous roll call vote. Trustees responding were Mr. Florence, Mr. Gaddis, Mr. Boles,

Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter and Dr. Winters.

ITEM 8 - DISCUSSION AND POSSIBLE ACTION ON ELIGIBILITY OF AND NOTIFICATION TO

A QUALIFYING STATEWIDE ORGANIZATION REPRESENTING RETIRED EDUCATORS

REGARDING APPOINTMENT OF NON-VOTING TRUSTEE PURSUANT TO 70 O.S. SECTION 17-

106(2)(N) AND OAC 715:1-1-19: Chairman Florence explained TRS’ Board includes a non-voting board

member that represents Oklahoma’s retired educators, and two such organizations alternate appointing a

representative. Ms. Green confirmed that the Oklahoma Retired Educators Association is eligible, and they have

designated Steve Massey to TRS’ Board for Calendar Year 2021.

A motion made by Mr. Allen with a second made by Mr. Rector to notify OREA that they are eligible to

appoint a non-voting member to TRS’ Board for CY 2021 carried by a unanimous roll call vote. Trustees

responding were Mr. Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr.

Streeter and Dr. Winters.

ITEM 9 - DISCUSSION AND POSSIBLE ACTION ON CHANGING DATES OF NOVEMBER

BOARD MEETINGS: Chairman Florence explained that the pandemic resulted in passage of SB 661 which

allowed state agencies to hold virtual Board meetings until November 15. As the pandemic is ongoing, it was

suggested the Board meet earlier in November to allow it to meet virtually rather than holding an in-person

meeting. Ms. Green reviewed details of SB 661 and the requirements of a virtual meeting without provisions of

SB 661. Dr. Winters asked if staff will be able to meet the tight deadlines to meet earlier. Mr. Spencer said non-

investment items will not be a problem and Mr. Stebbins said he would discuss investment performance reports

with TRS’ investment consultants.

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A motion made by Mr. Meyer with a second made Mr. Streeter to move the November Investment Committee

meeting to November 10, and the regular Board meeting to November 12 carried by a unanimous roll call vote.

Trustees responding were Mr. Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr.

Rector, Mr. Streeter and Dr. Winters.

ITEM 10 – DISCUSSION AND POSSIBLE ACTION ON PROPOSED 2021 BOARD MEETING

SCHEDULE: Chairman Florence shared the proposed Board meeting schedule for 2021 and explained that it is

routine for the Board to review the next year’s meeting schedule in October and submit an approved schedule to

the Secretary of State by December 15.

A motion made by Mr. Gaddis with a second made by Mr. Meyer to adopt the proposed CY 2021 Board

meeting schedule as presented carried by a unanimous roll call vote. Trustees responding were Mr. Florence,

Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Rector, Mr. Streeter and Dr. Winters.

Mr. Rector left at 1:25 p.m.

ITEM 11 – DISCUSSION AND POSSIBLE ACTION ON ADOPTION OF REVISED STRATEGIC

PLAN: Mr. Spencer shared TRS’ amended Strategic Plan and said it has only a few changes from the plan

reviewed at the Board retreat last October. He explained that OMES changed the format to make it more

germane to the budget process. He said the Vision, Mission and Values statement and Strategic Goals did not

change, and he reviewed the Major Initiatives and Reform efforts for FY 21 and FY 22; the FY20-FY21

Accomplishments and Challenges; and Key Performance Metrics.

A motion made by Dr. Winters with a second made by Mr. Streeter to accept the amended Strategic Plan as

presented carried by a unanimous roll call vote. Trustees responding were Mr. Florence, Mr. Gaddis, Mr.

Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Streeter and Dr. Winters.

ITEM 12 – DISCUSSION AND POSSIBLE ACTION TO EXTEND THE TERMINATION DATE OF

THE 403(B) PLAN: Mr. Spencer reminded the Trustees that on May 20, 2020, they adopted a resolution to

terminate the 403(b) plan on December 31, 2020. Since May, Mr. Spencer and Ms. Green worked with Voya

and TRS’ tax counsel to prepare the appropriate documents. Recently, Voya requested the documents get digital

signatures, and that the termination date be on a Friday after the upcoming holidays. After discussion with TRS

about potential delays in obtaining digital signatures from more than 400 employers, Voya agreed to using

fillable forms and employers can decide to sign them digitally or manually. Mr. Spencer requested the

termination date be changed to January 29, 2021.

A motion made by Mr. Gaddis with a second made by Mr. Meyer to amend the resolution of the 403(b)

termination to reflect a termination date of January 29, 2021, carried by a unanimous roll call vote. Trustees

responding were Mr. Florence, Mr. Gaddis, Mr. Boles, Ms. Shankar, Mr. Allen, Mr. Meyer, Mr. Streeter and

Dr. Winters.

ITEM 13 - DISCUSSION AND POSSIBLE ACTION ON AGENCY REPORTS:

13.1 – TRS Client Services Director Dixie Moody presented her reports for August and September. In August,

Client Services received and completed around 450 estimate requests, which is down a little from 2019 when

staff was preparing projections for fall retirement seminars. The Information Center received almost 8,000

incoming calls, due to questions about their options for the upcoming school year. Of those calls, 71% were

answered by an Information Center agent within 25 seconds; 26% opted to go through menu options; and 3%

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abandoned their call after waiting approximately 16 seconds. Client Services received and responded to 333

emails, and 584 members logged on to the Member Portal for the first time. There were 184 retirements

effective September 1, 2020, which was up from 161 for September 1, 2019. Of those retirements, 5 were

disability retirements, all of which were approved by TRS’ Medical Board.

In September, Client Services received and completed almost 500 estimate requests, which is an increase of

around 100 from 2019. The Information Center received over 6,748 incoming calls, 77% of those were

answered by an Information Center agent within 25 seconds; 20% opted to go through menu options; and 3%

abandoned their call after waiting approximately 16 seconds. Client Services received and responded to 466

emails, and 379 members logged on to the Member Portal for the first time. There were 187 retirements

effective October 1, 2020, which is up from 121 for October 1, 2019. Of those retirements, 1 was a disability

retirement that was approved by TRS’ Medical Board.

13.2 – TRS Human Resources Director Kim Bold presented a report for August and September. Several

changes resulted from two recent retirements. A vacancy in the information center was filled by a new hire. The

position of the employer reporting manager who retired September 1 was filled by the Business Analyst who

worked in that area. An employee responsible for withdrawals was promoted to an audits and estimates

position. A Data Management Analyst was promoted to the withdrawals position. The vacant Business Analyst

position was filled by a new hire. HR is in the process of recruiting for the vacant Data Management Analyst

position and filling the new Legislative and Policy Director position.

13.3 – Finance: TRS CFO Sam Moore said there were no delinquent employer reports at the end of August. He

reported that the Balance Sheet for September 30 is up $868M from June. 30. On the Statement of Revenues,

Expenditures and Changes for the 3 months ended September 30, Disbursements from Retirement Benefits are

up 5%, probably a reflection of the COLA that was granted. On the Comparison of Actual Expenditures for FY

2019 and FY 2020, Travel is down 96.5% and Postage is up 842.6% due to sending benefit change letters

regarding the COLA. The Comparison of FY 2020 Budget Actual Expenses through September has had little

activity so far. He also presented Claims for Authorized Expenditures for August and September 2020.

13.4 – TRS Deputy Director of Operations John Santos reviewed issues he worked on the past month.

1. At the request of OMES in September, we converted the reporting template for the strategic plan to a

new format and aligned it with the budget. It was submitted by the October 1 deadline.

2. As outlined in the internal audit earlier, we are working on changes in some business processes.

Processes are always being reviewed to find opportunities to automate where it makes sense, especially

in ALICE.

3. As Mr. Spencer mentioned, we are working to redevelop TRS’ website with Adobe, the state’s new

platform provider, and Ghost, TRS’ marketing firm.

4. We have been working with OMES and various contractors to be prepare to move all of TRS’ IT

equipment, telephones, printers, etc. to the new building.

5. Network interruptions internally and with VPN have caused TRS to lose connectivity and affected call

response times. It is a statewide issue OMES is working to remedy by changing vendors.

13.5 – TRS General Counsel Ms. Green updated the Board on projects she has been working on.

1. All rents at Harvey Parkway are current and there are prospective tenants for 2nd and 6th floors.

2. Proposed Emergency Rules were approved by the governor October 15. Permanent Rules from this time

last year became effective September 11 and the Permanent Rulemaking process starts over again at the

November meeting.

3. Miscellaneous:

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a. We are still awaiting an opinion from the Attorney General on the Federal/External Grant

Matching issue. The attorney that was working on this is no longer at the AG’s office and a new

attorney has been assigned.

b. Staff training on Powers of Attorney and forms amendments was done in September.

c. Pertaining to the Epic Charter Schools Audit, Ms. Green reviewed details of issues related to

Epic’s enrollment of mandatory personnel; admission of Epic Blended Learning into TRS; and

contributions on full salaries of member

13.6 – TRS Executive Director Tom Spencer shared his activities from August 24 through October 20, 2020.

1. Office Building: The pandemic has slowed down progress on readying Harvey Parkway for our move.

2. Ms. Bold reviewed personnel changes earlier in this meeting. Mr. Spencer said he is impressed with the

caliber of two outside staff that were hired.

3. Legislation: At an October 28 interim study, “Market Analysis for Future COLAs”, it looks as if several

people will come from other states to talk about what they are doing. Mr. Spencer said COLAs are fine

if they are funded, but actuarial standards need to be followed.

4. 403(b) Winddown: Details were talked about earlier in this meeting.

5. Internal Audit: Ms. Johnson presented the internal audit report earlier in this meeting. One pending issue

that is ongoing is penetration testing on the MyConsulting platform. It has taken a long time for OMES

to give the access.

6. IT:

a. OMES is working with Adobe for a new platform for the State. TRS is one of the first group of

agencies to be moved to the more modern, stable platform. Our site should be updated in November.

b. Cybersecurity was talked about earlier in this meeting.

c. TRS got support from OMES Director Steven Harpe to replace our pension administration software.

7. Actuarial Valuation: A lot of meetings and draft reviews went into finalizing the report presented today.

8. Budget Requests/Strategic Plan: Mr. Santos did a fantastic job helping on the Budget Request document

and updates and conversions of the Strategic Plan.

9. Open Records Request: Mr. Spencer thanked Trustees for their responses to help him timely fill an

extensive open records request. He added that the information provided shows how we defend the fund

and dedicated revenue, which along with our good investment program has resulted in TRS going from

being 39% funded to over 70% funded.

ITEM 14 – QUESTIONS AND COMMENTS FROM TRUSTEES: Mr. Meyer complimented staff for their

work preparing for this long meeting and said Chairman Florence did a good job of running it. Chairman

Florence thanked Trustees for their patience and time.

ITEM 15 – NEW BUSINESS: There was no new business.

ITEM 16 – ADJOURNMENT: Chairman Florence adjourned the meeting at 1:59 p.m.

By:

_________________________________________

Vernon Florence, Chairman

ATTEST:

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By:

__________________________________________

Roger Gaddis, Vice-Chairman

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TOM SPENCER J. KEVIN STITTEXECUTIVE DIRECTOR GOVERNOR

STATE OF OKLAHOMA TEACHERS’ RETIREMENT SYSTEM OF OKLAHOMA

TRS Request for Proposal # 715-2019-1002

REQUEST FOR PROPOSAL

RFP #: 715-20-1001 RFP Date: November 23, 2020

Type of Services Requested: General Investment Consulting

TRS reserves the right to reject any or all proposals submitted. There is no express or implied obligation for TRS to reimburse Vendors for any expenses incurred in preparing proposals in response to this RFP. Proposals submitted in response to the RFP become the property of TRS and are subject to public inspection. TRS reserves the right to modify the RFP contents and requirements at any time prior to the submission deadline. If it becomes necessary to revise the RFP at any time prior to the proposal deadline, TRS will post revisions to the TRS website at www.ok.gov/TRS/. This RFP shall not be altered in any way. This RFP is comprised of 15 total pages, as follows:

Proposal Cover Sheet Bidder’s Certification (Non-collusion) Anti-BDS Israel Certification A. General Provisions……………………………………………………………………………………………….5 B. TRS Background Information…………………………………………………………………………………..9 C. Prohibited Communications with TRS………………………………………………………………………..10 D. Specifications, Qualification, and Timeline………………………………………………………………….10 E. Evaluation Criteria………………………………………………………………………………………………..12 F. Questionnaire……………………………………………………………………………………………………...12G. Price and Cost……………………………………………………………………………………………………..15 H. Checklist……………………………………………………………………………………………………………15

This RFP can be found on the TRS website at www.ok.gov/trs. If you are unable to download this document from the website, you can also obtain an electronic copy of this RFP through e-mail. Send your request to Jessica.Malloy@trs.ok.gov. Include the name of the RFP and the proposal number in your request. All responses to this RFP must be submitted in accordance with the instructions contained in the RFP.

Brief Description of Services Requested: The Teachers’ Retirement System of Oklahoma (TRS) is seeking proposals from qualified firms to provide general investment consultant services. The general investment consultant will advise the System on investment manager selection and oversight, asset-liability and asset allocation modeling, provide portfolio and investment manager reporting with in-person performance reporting to the Board of Trustees, and investment policy statement monitoring. The general investment consultant contract will last five (5) years with annual renewals.

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PROPOSAL COVER SHEET

RFP #: 715-20-1001

RESPONSE DUE DATE: January 12, 2021 TIME: 4:00pm CST/CDT

RETURN SEALED BID TO:

TEACHERS’ RETIREMENT SYSTEM OF OKLAHOMA RFP # 715-20-1001

ATTN: JESSICA MALLOY 301 NW 63rd Street, 5TH FLOOR

OKLAHOMA CTY, OK 73116

BIDDER IDENTIFICATION:

Name of Firm:

FEI/SSN:

Address:

City/State/Zip Code:

Email:

Telephone Number:

Firm Website:

________________________________________________ ____________________________________________ Authorized Signature Date

________________________________________________ ____________________________________________ Printed Name Title

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BIDDER’S CERTIFICATION (Non-Collusion Certification)

Agency Name: Teachers’ Retirement System of Oklahoma Agency Number: 715

RFP #: 715-20-1001

A. I certify that:1. I am the duly authorized agent of __________________________________, the Bidder submitting this proposalwhich is attached to this statement for the purpose of certifying the facts pertaining to the existence of collusion amongvendors and between bidders and state officials or employees, as well as facts pertaining to the giving or offering of thingsof value to government personnel in return for special consideration in the letting of any contract pursuant to the proposalto which this statement is attached;2. I am fully aware of the facts and circumstances surrounding the making and submitting of this proposal and hasbeen personally and directly involved in the proceedings leading to the submission of such proposals; and

3. Neither the Bidder nor anyone subject to the Bidder’s direction or control has been a party:

a) to any collusion among Bidders in restraint of freedom of competition by agreement to propose a fixed priceor to refrain from submitting a proposal;b) to any collusion with any state official or employee as to quantity, quality or price in the prospective contract,or as to any other term of such prospective contract;c) in any discussions between Bidders and any state official concerning exchange of money or any other thing ofvalue for special consideration in the award of this prospective contract; nord) to any collusion with any state agency or political subdivision official or employee as to create a sole-sourceacquisition in contradiction to Section 85.45j of Title 74 of the Oklahoma Statutes.

B. I certify, if awarded the contract, whether competitively bid or not, neither the Bidder nor anyone subject to the Bidder’sdirection or control has paid, given, donated or agreed to pay, give or donate to any officer or employee of the State ofOklahoma, any money or other thing of value, either directly or indirectly, in procuring this prospective contract.

The Bidder’s Certification must be made out in the name of the bidder and must be properly executed by an authorized person, with full knowledge and acceptance of all its provisions.

Vendor Authorized Signature Certified This Date

Printed Name Title

Phone Number Email

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Anti-BDS Israel Certification

CERTIFICATION OF COMPANY

NOT CURRENTLY ENGAGED IN A BOYCOTT OF ISRAEL

In accordance with HB 3967, 2020 Legislative Session, and 74 O.S. Section 582, effective November 1, 2020, the State of Oklahoma shall not enter into a contract with any Company to acquire or dispose of good or services in excess of one-hundred thousand dollars ($100,000.00), unless such Company submits a written certification that such Individual or Company is not currently engaged in a Boycott of Israel.

"Company" means an organization, association, corporation, partnership, venture or other entity, its subsidiary or affiliate, that exists for profitmaking purposes or to otherwise secure economic advantage;

"Boycott" means engaging in a refusal to deal, terminating business activities or performing other actions that are intended to limit commercial relations with persons or entities doing business in Israel or in territories controlled by Israel, if those actions are taken either:

a. in compliance with or adherence to calls for a boycott of Israel other than those boycotts to which 50 U.S.C.,Section 4607(c) applies, or

b. in a manner that discriminates on the basis of nationality, national origin or religion, and that is not based on avalid business reason;

As a Contractor entering into a contract with the State of Oklahoma, it is hereby certified that the Company listed below is not currently engaged in a boycott of Israel.

Signature, Title of Contractor Certified This Date

Printed Name Name of Company

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GENERAL PROVISIONS

A.1. DefinitionsAs used herein, the following terms shall have the following meaning unless the context clearly indicates otherwise:

A.1.1. "Acquisition” means items, products, materials, supplies, services, and equipment an entity acquires by purchase, lease purchase, lease with option to purchase, or rental;

A.1.2. “Addendum” means a written restatement of or modification to a Contract Document executed by the Vendor and State.

A.1.3. ”Bid” means an offer in the form of a bid, proposal, or quote a bidder submits in response to a solicitation;

A.1.4. "Bidder" means an individual or business entity that submits a bid in response to a solicitation;

A.1.5. "Solicitation" means a request or invitation by the Teachers’ Retirement System (TRS) for a Vendor to submit a priced offer to sell acquisitions to the state. A solicitation may be an invitation to bid, request for proposal, or a request for quotation; and

A.1.6. ”Supplier” or “vendor” means an individual or business entity that sells or desires to sell acquisitions to state agencies.

A.2. Solicitation Questions and AnswersA.2.1 In an effort to clarify any issues in this solicitation, TRS will respond only to questions that are presented

through email. Questions should be submitted to Jessica Malloy at Jessica.Malloy@trs.ok.gov by the deadline outlined in this solicitation. All questions and answers will be consolidated into a single Q&A document. The Q&A document will be posted on the TRS website by the deadline outlined in this solicitation. This will be the only distribution method for the Q&A document.

A.2.2 The selection of investment consultants for the state retirement systems is specifically exempt from thecompetitive bidding procedures established by Oklahoma Statutes (see 74 Oklahoma Statutes §85.7).

A.2.3. TRS prohibits the payment of a finder’s fee in any form. The Vendor must certify that no finder’s fee orfinder’s commission has been paid or shall be paid to any individual or organization from the establishment of this investment consulting relationship with TRS.

A.3. Bid SubmissionA.3.1. Submitted bids shall be in strict conformity with the instructions to bidders and shall be submitted with

a completed Responding Bidder Information, Bidder’s Certification, and any other forms required by the solicitation.

A.3.2. Bids shall be submitted to TRS in a single envelope, package, or container and shall be sealed, unless otherwise detailed in the solicitation. The name and address of the bidder shall be inserted in the upper left corner of the single envelope, package, or container. THE SOLICITATION NUMBER MUST ALSO APPEAR ON THE FACE OF THE SINGLE ENVELOPE, PACKAGE, OR CONTAINER.

A.3.3. All bids shall be legible and completed in ink or with electronic printer or other similar office equipment. The Bidder shall submit one (1) original hard copy proposal and one (1) electronic version of the complete response on a USB drive in PDF or similar format. The container for the USB drive must be clearly marked with the Bidder’s name and RFP number. Bids will NOT be accepted via email.

A.3.4. All bids shall be final as of the date of the Solicitation Response Due Date and shall remain valid for 120 days from the Solicitation Response Due Date.

A.3.5. All costs of preparation and presentation associated with responding to this RFP will be the responsibility of the Vendor. Vendors may be asked to make a presentation before the Board if selected as a finalist. None of the costs associated with this presentation will be reimbursed by TRS.

A.3.6. By responding to this RFP, Vendors: 1. Acknowledge and agree to be a fiduciary to the plan pursuant to Section 17-106.2 of Title 70 of

the Oklahoma Statutes.

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2. Agree that any resulting investment consulting contract and services will be subject to andinterpreted by Oklahoma law.3. Agree that this RFP and the Vendor’s response will be incorporated by reference to any resultinginvestment consulting agreement.4. Answer, to the best of its abilities, all questions in this RFP in a succinct manner and in theorder presented. Do not add appendices to the end of this document unless specifically asked todo so. Please assume the term “current” herein refers to June 30, 2014 unless otherwise noted.5. Fully disclose any proposed subcontracting of any of the required services.

A.4. Bid ChangeA.4.1. If the bidder needs to change a bid prior to the solicitation response due date, a new bid shall be

submitted to the procuring agency with the following statement "This bid supersedes the bid previously submitted" in a single envelope, package, or container and shall be sealed and delivered pursuant to A.3.2 above.

A.5. Certification Regarding Debarment, Suspension, and Other Responsibility MattersBy submitting a response to this solicitation:

A.5.1. The prospective primary participant and any subcontractor certifies to the best of their knowledge and belief, that they and their principals or participants:

A.5.1.1. Are not presently debarred, suspended, proposed for debarment, declared ineligible, orvoluntarily excluded by any Federal, State or local department or agency;

A.5.1.2. Have not within a three-year period preceding this proposal been convicted of or pled guilty orhad a civil judgment rendered against them for commission of fraud or a criminal offense in connection with obtaining, attempting to obtain, or performing a public (Federal, State or local) contract; or for violation of Federal or State antitrust statutes or commission of embezzlement, theft, forgery, bribery, falsification or destruction of records, making false statements, or receiving stolen property;

A.5.1.3. Are not presently indicted for or otherwise criminally or civilly charged by a governmental entity(Federal, State, or local) with commission of any of the offenses enumerated in paragraph A.5.1.2. of this certification; and

A.5.1.4. Have not within a three-year period preceding this application/proposal had one or more public(Federal, State, or local) contracts terminated for cause or default.

A.5.2. Where the prospective primary participant is unable to certify to any of the statements in this certification, such prospective participant shall attach an explanation to its solicitation response.

A.6. Bid OpeningSealed bids shall be opened by the Business Manager with one witness present at the offices of the Teachers’Retirement System, 301 NW 63rd Street, 5th Floor, Oklahoma City, OK, 73116, as reasonably practical after the timeand date specified in the solicitation as the Response Due Date and Time.

A.7. Open Bid / Open RecordPursuant to the Oklahoma Public Open Records Act, a public bid opening does not make the bid(s) immediately accessible to the public. The procurement or contracting agency shall keep the bid(s) confidential, and provide prompt and reasonable access to the records only after a contract is awarded or the solicitation is cancelled. This practice protects the integrity of the competitive bid process and prevents excessive disruption to the procurement process. The interest of achieving the best value for the State of Oklahoma outweighs the interest of vendors immediately knowing the contents of competitor’s bids. [51 O.S. § 24A.5(6)]

A.8. Late BidsBids received by the procuring agency after the response due date shall be deemed non-responsive and shall NOT be considered for any resultant award.

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A.9. Legal ContractA.9.1. Submitted bids are rendered as a legal offer and any bid, when accepted by the procuring agency, shall

constitute a contract.

A.9.2. The Contract resulting from this solicitation may consist of the following documents in the following order of precedence: The Contract, any Addendum to the Contract; Purchase order, as amended by Change Order (if applicable); Solicitation, as amended (if applicable); and Successful bid (including required certifications), to the extent the bid does not conflict with the requirements of the solicitation or applicable law.

A.10. PricingA.10.1. Bids shall remain firm for a minimum of one-hundred twenty (120) days from the solicitation response

due date.

A.10.2. In accordance with 74 O.S. §85.40, ALL travel expenses to be incurred by the vendor in performance of the Contract shall be included in the total bid price/contract amount.

A.10.3. State agencies are exempt from sales taxes and federal excise taxes. Purchases made by vendors on behalf of a state agency are not exempt from sales or federal taxes unless otherwise provided by law and may not be passed along to the state agency as part of the bid.

A.11. NegotiationsA.11.1. In accordance with Title 74 §85.5, TRS reserves the right to negotiate with one, selected, all or none of

the vendors responding to this solicitation to obtain the best value for the agency. Negotiations could entail discussions on products, services, pricing, contract terminology or any other issue that may mitigate the State’s risks. Firms that contend that they lack flexibility because of their corporate policy on a particular negotiation item shall face a significant disadvantage and may not be considered. If such negotiations are conducted, the following conditions shall apply:

A.11.2. Terms, conditions, prices, methodology, or other features of the bidders offer may be subject to negotiations and subsequent revision. As part of the negotiations, the bidder may be required to submit supporting financial, pricing, and other data in order to allow a detailed evaluation of the feasibility, reasonableness, and acceptability of the offer.

A.11.3. The requirements of the Request for Proposal shall not be negotiable and shall remain unchanged unless TRS determines that a change in such requirements is in the best interest of the State Of Oklahoma.

A.12. Rejection of BidTRS reserves the right to reject any bids that do not comply with the requirements and specifications of the solicitation. A bid may be rejected when the bidder imposes terms or conditions that would modify requirements of the solicitation or limit the bidder's liability to the State. Other possible reasons for rejection of bids are listed in OAC 260:115-7-32.

A.13. Award of ContractA.13.1. TRS may award the Contract to more than one bidder by awarding the Contract(s) by item or groups of

items, or may award the Contract on an ALL OR NONE basis, whichever is deemed by TRS to be in the best interest of the State of Oklahoma.

A.13.2. In order to receive an award or payments from TRS, vendors must be registered. The vendorregistration process can be completed electronically through the OMES website at the following link: https://www.ok.gov/dcs/vendors/index.php .

A.13.3. The contract term will begin July 1 through the end of the current fiscal year and may be subject toannual renewal.

A.14. Contract ModificationA.14.1. The Contract may be modified only through a written Addendum, signed by the Executive Director of

TRS and the vendor.

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A.15. Delivery, Inspection and AcceptanceA.15.1. Vendor(s) awarded the Contract shall be required to deliver products and services as bid on or before

the required date. Deviations, substitutions or changes in products and services shall not be made unless expressly authorized in writing by the procuring agency.

A.16. Invoicing and PaymentA.16.1. Upon submission of an accurate and proper invoice, the invoice shall be paid in arrears after products

have been delivered or services provided and in accordance with applicable law. Invoices shall contain the purchase order number, a description of the products delivered or services provided, and the dates of such delivery or provision of services. An invoice is considered proper if sent to the proper recipient and goods or services have been received.

A.16.2. Pursuant to 74 O.S. §85.44(B), invoices will be paid in arrears after products have been delivered orservices provided. Payment terms will be net 45. Interest on late payments made by the State of Oklahoma is governed by 62 O.S. § 34.72.

A.16.3. Additional terms which provide discounts for earlier payment may be evaluated when making anaward. Any such additional terms shall be no less than ten (10) days increasing in five (5) day increments up to thirty (30) days. The date from which the discount time is calculated shall be the date of a proper invoice.

A.16.4. State agency acquisitions are exempt from sales taxes and federal excise taxes. Bidders shall notinclude these taxes in price quotes.

A.17. Audit and Records ClauseA.17.1. As used in this clause, “records" includes books, documents, accounting procedures and practices, and

other data, regardless of type and regardless of whether such items are in written form, in the form of computer data, or in any other form. In accepting any Contract with the State, the successful bidder(s) agree any pertinent State or Federal agency will have the right to examine and audit all records relevant to execution and performance of the resultant Contract.

A.17.2. The successful vendor(s) awarded the Contract(s) is required to retain records relative to the Contractfor the duration of the Contract and for a period of seven (7) years following completion and/or termination of the Contract. If an audit, litigation, or other action involving such records is started before the end of the seven (7) year period, the records are required to be maintained for two (2) years from the date that all issues arising out of the action are resolved, or until the end of the seven (7) year retention period, whichever is later.

A.18. Choice of Law / Choice of VenueAny claims, disputes, or litigation relating to the solicitation, or the execution, interpretation, performance, or enforcement of the Contract shall be governed by the laws of the State of Oklahoma. Venue for any action, claim, dispute or litigation relating in any way to the Contract shall be in Oklahoma County, Oklahoma.

A.19. Termination for CauseA.19.1. The vendor may terminate the Contract for default or other just cause with a 90-day written request and

upon written approval from the procuring agency. TRS may terminate the Contract for default or any other just cause upon a 30-day written notification to the vendor.

A.19.2. TRS may terminate the Contract immediately, without a 30-day written notice to the vendor, whenviolations are found to be an impediment to the function of the agency and detrimental to its cause, when conditions preclude the 30-day notice, or when TRS determines that an administrative error occurred prior to Contract performance.

A.19.3. If the Contract is terminated, TRS shall be liable only for payment for products and/or services deliveredand accepted.

A.20. Termination for ConvenienceA.20.1. TRS may terminate the Contract, in whole or in part, for convenience if it determines that termination is

in the State's best interest. TRS shall terminate the contract by delivering to the vendor a Notice of

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Termination for Convenience specifying the terms and effective date of Contract termination. The Contract termination date shall be a minimum of 60 days from the date the Notice of Termination for Convenience is issued by TRS.

A.20.2. If the Contract is terminated, TRS shall be liable only for products and/or services delivered andaccepted, and for costs and expenses (exclusive of profit) reasonably incurred prior to the date upon which the Notice of Termination for Convenience was received by the vendor.

A.21. InsuranceThe successful vendor(s) awarded the Contract shall obtain and retain insurance, including workers' compensation, automobile insurance, medical malpractice, and general liability, as applicable, or as required by State or Federal law, prior to commencement of any work in connection with the Contract. The vendor awarded the Contract shall timely renew the policies to be carried pursuant to this section throughout the term of the Contract and shall provide the procuring agency with evidence of such insurance and renewals.

A.22. Employment RelationshipThe Contract does not create an employment relationship. Individuals performing services required by this Contract are not employees of the State of Oklahoma or TRS. The vendor's employees shall not be considered employees of the State of Oklahoma nor TRS for any purpose, and accordingly shall not be eligible for rights or benefits accruing to state employees.

A.23. Compliance with Applicable LawsThe products and services supplied under the Contract shall comply with all applicable Federal, State, and local laws, and the vendor shall maintain all applicable licenses and permit requirements.

B. TRS BACKGROUND INFORMATION

B.1. Legal Authorization.The Teachers’ Retirement System of Oklahoma (TRS) was created by an act of the Oklahoma Legislature in 1943after citizens amended the state constitution allowing the creation of a public retirement program for educators.TRS is established as set forth in 70 O.S. § 17-101 et seq. and placed under the management of the Board ofTrustees for the purpose of providing retirement allowances and other benefits for teachers of the State ofOklahoma. The Board of Trustees of the Teachers’ Retirement System of Oklahoma (TRS) is charged with theinvestment of approximately $18.0 billion in retirement funds for public education employees. The Board ofTrustees and TRS staff oversee the administration of the System to ensure adequate funds are maintained to meetthe financial obligations of the entire membership. In directing investments of TRS funds, the Board seeks tomaximize gains, minimize losses, and protect the fund. TRS has a budgeted staff of 40 employees. The ExecutiveDirector is the chief administrative officer of the agency.

B.2. Board Composition.TRS is administered by a Board of Trustees composed of 14 voting members including the State Superintendentof Public Instruction or designee, the Director of the State Office of Career and Technology Education or designee,the Director of the Office of Management and Enterprise Services (OMES) or designee, the State Treasurer ordesignee, and members appointed by the Governor, the Speaker of the House of Representatives, the PresidentPro Tempore of the State Senate, and 1 non-voting member appointed by a retired educators association.

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B.3. Allocation of AssetsThe target asset allocation mix for TRS as of June 30, 2020, is as follows:

B.4. Investment Services ProvidersB.4.1. All assets are managed by external investment managers. A complete list of our external investment

managers can be found on our website: https://www.ok.gov/TRS/documents/TRS_Investment_Managers_&_Benchmarks-Dec2019.pdf

B.5. Investment GuidelinesB.5.1. The current Investment Policy Statement can be found on our website:

https://www.ok.gov/TRS/documents/TRSOK-InvestPolicyStatement-Current.pdf

C. COMMUNICATION WITH TRS

C.1 Communications Prohibited.In an effort to clarify any issues in this RFP, TRS will respond only to questions that are presented as describedin paragraph A.2 above. Telephone questions will not be accepted. TRS policy prohibits direct contact betweenprospective service providers and TRS Board members, consultants, or staff during this RFP process. This doesnot include communication with TRS’ incumbent service provider for normal business not related to this selectionprocess. From the date of release of this RFP until a Vendor is selected and a contract is executed and approved,all contacts and communications regarding this RFP are restricted to the Q&A provisions in paragraph D ofSection A.2. Exceptions include communications with TRS staff identified in this section and designatedparticipants in attendance only during negotiations, presentations, and contract award and execution. Violationof these conditions may result in rejection of a Vendor’s proposal.

D. SOLICITATION SPECIFICATIONS, MINIMUM QUALIFICATIONS, AND TIMELINE

D.1. Services Requested. The Teachers’ Retirement System of Oklahoma is issuing this request for proposalsto identify a qualified firm to provide general investment consultant services to TRS. Requested services include:

D.1.1. Investment Manager Selection and Oversight – Investment Consultant will: D.1.1.1. perform on-going monitoring of the System’s investment managers and general partners, staying

abreast of developments at each investment manager or general partner organization, D.1.1.2. promptly notify TRS staff of any material changes to the investment manager or general partner’s

executive team, organization, portfolio process etc., D.1.1.3. report any such material changes to the Board at scheduled meetings,D.1.1.4. provide recommendations concerning investment manager termination/retention,D.1.1.5. assist TRS with manager search, due diligence process recommendation and manager selection. to

include public market investment managers and private real estate funds, D.1.1.6. perform an annual review of investment management fees including peer comparisons and

recommendations for reducing above median fees.

D.1.2. Asset-Liability and Asset Allocation - Investment Consultant will:

Asset Class Target

Domestic Equity 43.5%

International Equity 19.0%

Fixed Income 22.0%

Private Capital 6.5%

Core Real Estate 4.5%

Non-Core Real Estate 4.5%

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D.1.2.1. work closely with TRS staff and actuary to provide the Board of Trustee’s with a periodic (once every4 to 5 years) asset-liability study and strategic asset allocation recommendation based upon an analysis of actuarial risks,

D.1.2.2. make recommendations on capital market assumptions, asset class structure, and research new orcomplementary strategies for the TRS portfolio.

D.1.3. Reporting & Board Meetings - Investment Consultant will: D.1.3.1. prepare monthly and quarterly performance reports from data provided by Northern Trust, our master

custodian. These reports will be presented in-person to our Board of Trustees and Investment Committee,

D.1.3.2. provide the Board of Trustees with an analysis of the performance of each composite and manageraccount versus performance goals set forth in the TRS Investment Policy – goals which are both absolute and relative to the investment manager’s benchmark and peer group,

D.1.3.3. provide the Board of Trustees an analysis of performance attribution, style, risk and other relevantmetrics for composites and accounts,

D.1.3.4. provide special reports as needed to cover manager search, asset allocation review, or other ad-hocassignments.

D.1.4. Investment Policy Statement Monitoring - Investment Consultant will: D.1.4.1. assist TRS staff with monitoring all external investment managers’ compliance with our Investment

Policy Statement. This will include sending and collecting annual questionnaires, D.1.4.2. assist TRS staff in updating the language and standards within the Investment Policy Statement.

D.1.5. Other Services – Investment Consultant will: D.1.5.1. assist TRS staff in completing periodic open-record and third-party data requests,D.1.5.2. assist TRS staff in coordination of Trustee education on investment related topics,D.1.5.3. assist TRS staff in other reasonable ad hoc assignments.

D.2. Minimum Qualifications.D.2.1. Investment consulting must represent your firm’s primary focus and line of business. D.2.2. The investment consulting firm must be a registered investment advisor under the SEC. D.2.3. The proposed investment consultant must be acting as a full-service consultant to at least 5 (five) US

based public pension plans having at least $10 billion in assets each, as of June 30, 2020. D.2.4. The lead senior investment professional in charge of the proposed consulting services must have at

least 10 (ten) years of institutional experience within the industry – asset management or investment consulting as of June 30, 2020. Advanced certificates, such as the CFA or CAIA are preferred.

D.2.5. The investment consulting firm must agree to be bound by the terms of the Investment Policy Statement for TRS referred to in Section III.F of this RFP and must agree to act as a fiduciary to the plan.

D.2.6. Incumbent consultants will qualify to respond to this RFP even if the above criteria are not met in full. D.2.7. If hired, the consulting firm must agree to disclose all conflicts of interest, all sources of revenue

related to its relationship with the System, and all affiliations on an annual basis.

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D.3. Solicitation Deadline and Timeline. The deadline for receipt of completed proposals is 4:00 p.m.Central Time, on January 12, 2021. Proposals submitted to an incorrect address or location, or received afterthis date will be rejected and will not be considered. TRS will not grant requests for extension of thesubmission date. A complete timeline for this solicitation is as follows:

Event Date & Time

Issuance of Solicitation (RFP) November 23, 2020

Questions Due to TRS December 4, 2020

Q&A Posted to TRS website December 11, 2020

Response to Solicitation (RFP) Due January 12, 2021 by 4:00pm CST

Finalists Selection February 24, 2021

Finalists Presentation April 27-28, 2021

Tentative Contract Start Date July 1, 2021

E. EVALUATION CRITERIA

E.1. This RFP will be evaluated in accordance with standards set by the Board of Trustees as follows:E.1.1. Bidder’s ability to perform Services Requested, E.1.2. Bidder’s experience and record of successful past performance with pension plans of similar scope

and complexity, E.1.3. Bidder’s use of proven development methodology, and innovative use of current technologies that

lead to quality results, E.1.4. Bidder’s response to Minimum Qualifications, E.1.5. Fee Proposal, E.1.6. Interview of Bidder and Overall Presentation Skills, E.1.7. References of Bidder.

F. QUESTIONNAIREF.1. Firm Overview

F.1.1. List your firm’s name, address, website, and year founded, as well as the names, titles, telephone numbers, and email addresses for the individuals responsible for new business contacts and this RFP response.

F.1.2. Provide a brief history and background of your firm. F.1.3. Describe the services your firm provides and discuss all sources of revenue (organized by line of

business and as a proportion of total firm revenue). F.1.4. Describe the firm’s ownership structure. Discuss the financial condition of your firm based on the most

recent financial statements and annual report if an annual report is published. F.1.5. Provide an organizational chart for your firm and specifically for your investment consulting and

research divisions. F.1.6. Has your firm undergone any restructuring or had any major organizational changes during the past five

years? Do you anticipate any ownership or organizational changes during the next two years? If so, explain.

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F.1.7. Describe your succession plans for the management of the firm and the continuity of leadership within the investment consulting team.

F.1.8. Describe the compensation and incentive structure for the consulting professionals and/or the professional staff.

F.1.9. Detail the team members who would be responsible for the TRS consulting relationship. Please include a brief biography of each professional including their geographic location, education, advanced certifications, and work history.

F.1.10. Discuss the team members’ (listed above) current account responsibilities, specifically the number of accounts managed, their geographic location, and the dollar value of assets under management. How are new accounts assigned to each consultant at the firm?

F.1.11. Has the firm experienced turnover at the senior management level in the last three years? If so, describe the situation including reason for departures/additions.

F.1.12. Please provide a detailed description of your organization’s Code of Ethics. Does your firm comply with the CFA Institute’s Code of Ethics and Standards of Professional Conduct?

F.1.13. Do you outsource or subcontract any parts of your investment consulting business? If so, please describe which functions are outsourced and the reason for doing so.

F.1.14. What is the single most important distinctive competitive advantage your firm provides to benefit our fund?

F.2. Asset/Liability and Asset AllocationF.2.1. Describe your firm’s approach to determining and recommending a strategic asset allocation for a

defined benefit fund of our size and complexity. How do you determine the right level of investment risk for defined benefit plans to take?

F.2.2. Explain your firm’s capabilities to perform asset-liability modeling. If your firm has actuaries on staff, please detail their credentials and backgrounds.

F.2.3. Over the last three years, how many asset-liability studies has your firm completed? Please provide an example or template, if possible.

F.2.4. What is your firm’s approach to setting capital market expectations? Please detail any third-party research you plan to utilize.

F.2.5. Describe your firm’s methodology and experience in the development of models to forecast liquidity needs and cash-flows for public plan clients.

F.2.6. Explain how fund-level risk is measured and monitored. F.2.7. Explain your firm’s philosophy regarding asset-class rebalancing.

F.3. Investment Manager Research and MonitoringF.3.1. Please note: In the vast majority of circumstances, Teachers’ Retirement System of Oklahoma will

require a public Request for Proposal (RFP) for the selection of new investment managers and strategies.

F.3.2. Describe your firm’s investment manager research process. Describe the research team responsible for the selection of new investment managers and the monitoring of current investment managers. How is your research staff organized? How often does your firm typically meet with or hold conference calls with clients’ investment managers?

F.3.3. Describe your firm’s RFP creation and manager evaluation and recommendation process. Please include your firm’s competitive advantage in identifying superior managers relative to peers.

F.3.4. Do you track your firm’s or individual consultant’s manager selection results? If not, please describe the process by which your consultant’s recommendations are reviewed and monitored.

F.3.5. Describe the types of analytics you can provide at the individual security, portfolio, asset class, and total fund levels.

F.3.6. Explain how investment manager risk is measured and monitored. F.3.7. Explain your firm’s position on the use of active versus passive management in each of the major asset

classes for a fund of our size and complexity. F.3.8. Describe the circumstances under which you would recommend the termination or replacement of an

investment manager. F.3.9. What role does your firm play in helping clients transition assets from one portfolio to another? F.3.10. Describe your approach to monitoring, controlling and reducing investment management expenses. Do

you have an advantage in negotiating competitive fees for your clients? What resources do you use to assess competitiveness of investment manager fees?

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F.4. Technology and ReportingF.4.1. What systems and tools do you provide that are available for clients? F.4.2. Describe your firm’s experience and capability for reporting investment performance. What performance

metrics can your firm provide for clients? How does the firm ensure accuracy in performance reporting? F.4.3. Does the firm maintain in-house peer fund universes or is the data derived from a third party? If data is

derived outside the firm, describe the service. Is this data available to your clients? F.4.4. How do you assist your clients in monitoring investment manager compliance with a client’s Investment

Policy Statement? F.4.5. What is the typical turn-around time for client reporting, expressed in days after period end? F.4.6. What reporting systems does your firm use? What are the customization capabilities of your reporting

system(s)? F.4.7. What is your firm’s experience working with Northern Trust to produce client reports and analytics? F.4.8. Please describe your firm’s disaster recovery / emergency management plan. How has your firm

prepared for remote work? How has your firm maintained your standard of service during the COVID-19 disruptions?

F.4.9. Describe your firm’s approach to cyber-security. Has your firm experienced any material cyber security breaches in the last 5 years?

F.5. OtherF.5.1. Describe the process and timeline by which a new client would transition to your services. (Non-

Incumbents only) F.5.2. Does your firm carry errors and omissions insurance? If so, what is the level of coverage? F.5.3. Does your firm carry fiduciary liability insurance? Is so, what is the level of coverage? F.5.4. Does your firm sell any client data? If so, please describe this revenue stream in detail. F.5.5. Does your firm provide any discretionary investment management services? If so, please describe

those services and an overview of your client base. F.5.6. Does your firm provide any services to investment management firms for a fee? If so, please describe

those services in detail.

F.6. RegulatoryF.6.1. Has your firm been involved in any investigation, examination, complaint, disciplinary action or other

proceeding relating to or affecting the firm or its employees’ ability to perform its duties under any investment advisory engagement during the previous five (5) years? If so, describe.

F.6.2. Have any persons in your firm involved in providing investment advisory services been convicted of a felony, found liable in a civil or administrative proceeding, pleaded no contest, or agreed to any consent decree with respect to any matter involving a breach of trust, breach of fiduciary duty, fraud, securities law violations or bankruptcy law violations during the previous five (5) years? If so, please describe.

F.6.3. Does your firm have any conflicts of interests with regards to any Board Member, TRS staff member, custodian, consultant, or investment manager related to the Teachers’ Retirement System of Oklahoma?

F.6.4. Has anyone in the firm provided any gifts or other remuneration, or paid any expenses for travel, hotel, meals, or entertainment for or on behalf of any current Teachers’ Retirement System of Oklahoma Board Member or individual currently employed by Teachers’ Retirement System of Oklahoma during the 12 months prior to the submission date?

F.6.5. Is your firm an SEC registered advisor or is it exempt from registration? If applicable, submit a copy of your most recent Form ADV, Parts I and II for the firm, as well as all Investment Adviser Representative Report Summary for any advisors in your firm that will be performing any work on this account if the contract is awarded.

F.7. Additional Required SubmissionsF.7.1. Provide an example of a monthly or quarterly performance report that you would present to a fund of

similar size and complexity. Include both public and private market reporting. F.7.2. Provide screenshots and an overview of any online platform you offer general investment consulting

clients. This can include data repositories, analytics platforms, reporting packages, performance dashboards, peer universes, etc.

F.7.3. Provide a representative client list to the furthest extent allowable under your firm’s current guidelines.

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F.7.4. Complete the attached Excel document titled, “General Investment Consultant Questionnaire Table”.

F.8. ReferencesF.8.1. Provide three references for your firm from funds representing a similar size and complexity to

Teachers’ Retirement System of Oklahoma. F.8.2. Provide the fund name, contact name, and phone number of a past consulting client that terminated

your firm during the last three years, the reason for termination and the dollars advised at the termination date.

F.9. Optional AdditionsF.9.1. Is there anything else that we should know about your firm that you believe is necessary for us to fully

understand your responses or capabilities?

G. PRICE AND COSTG.1. The fee proposal set forth in the response to the RFP will be a factor in determining the successful

Vendor. Please note that the scope of services has changed materially since the last general consultant search and previously paid general consulting fees may not accurately represent the current scope of work required. For instance, the System no longer administers a 403(b) plan. We recommend independently calculating your firm’s required annual fee without relying on previously paid fees by our plan.

G.2. The proposal should include the fee for the initial 1-year contract period of July 1, 2021 through June30, 2022, as well as annual fee amounts for each of the next 4 years starting on the contract anniversary date of July 1st. This fee should be inclusive of the complete range of investment consulting services. TRS will not reimburse vendor for travel or other out-of-pocket expenses.

G.3. The fixed fee amount per year need not be the same amount per year. As long as the fee for eachyear is fixed, and the total of the fees over the possible contract term are fixed, it will be an acceptable fee proposal.

G.4. You may make the following assumptions in your fee proposal:G.4.1. The primary consultant is required as part of the contract to attend eight (8) regularly scheduled

Board meetings per year, and eight (8) investment committee meetings per year which are currently held the afternoon before the Board meetings. This will generally require one (1) overnight hotel stay per meeting. These meetings are held in Oklahoma City and the dates and times can be found here: https://www.ok.gov/TRS/About_Us/Board_Information/Meeting_Times.html

G.4.2. Twelve monthly performance reports and four quarterly performance reports are required each year using rates of return calculated by Northern Trust for all investment manager accounts.

G.4.3. One (1) Asset-Liability Study incorporating the liability data from Gabriel, Roeder, Smith & Company (GRS), our current actuary, conducted once every five (5) years.

G.4.4. Investment Manager Search – Estimated at once per year, on average. G.4.5. All other anticipated projects as covered in the Scope of Assignment in Section IV.

H. CHECKLISTH.1. Proposal Cover SheetH.2. Bidder’s Certification (Non-Collusion Certification)H.3. Anti-BDS Israel CertificationH.4. Bidder’s Answers to Questionnaire (including Form ADV, Parts I and II, Investment Adviser Representative

Report Summary, Additional Required Submissions, References, and Optional Additions) H.5. Detailed fee proposalH.6. Proof of insurance, references, other documentation, as requestedH.7. Complete Bidder’s Response in requested format(s) listed in A.3

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Investment Policy Statement adopted November 12, 2020

APPENDIX C - REBALANCING POLICY

In the event the Plan’s market values change to the extent that asset class percentage allocations fall below defined minimum percentage allocations or exceed defined maximum percentage allocations, staff shall prepare a plan to rebalance the portfolio according to the guidelines shown below:

Minimum Low

Rebalance Point

Target High

Rebalance Point

Maximum

U.S. Equity 36.5% 40.0% 43.5% 47.0% 50.5%

International Equity 14.0% 16.5% 19.0% 21.5% 24.0%

Fixed Income 17.0% 19.5% 22.0% 24.5% 27.0%

Real Estate* 6.5% 7.8% 9.0% 10.3% 11.5%

Private Equity* 4.5% 5.5% 6.5% 7.5% 8.5% *Private capital investment valuations, by their nature, lag traditional public market investment valuations by several months. In addition, the offering documents of private capital investments define the required timing of contributions, reinvestment provisions and distributions resulting in constraints on liquidity. As a result, the current allocation to private capital investments may fall outside the allowable ranges for these investments for periods of time. Annual commitment levels to private capital investments will be determined through a multi-year investment pacing analysis and planning horizon, including fore-casted future cash flows with a goal of achieving and maintaining target allocations over time.

When allocations move outside minimum or maximum boundaries, they will be rebalanced half of the way back to the target percentage. Due to the asymmetrical nature of maximum and minimum boundaries, a full rebalancing of each asset class may not be possible. In such cases, rebalancing asset classes up from their minimums shall take priority. Cash held in short-term investments with the Custodian shall be considered as domestic fixed income for rebalancing purposes. In highly stressed market environments where volatility and transaction costs are elevated, a rebalancing plan designed to reduce tracking error and transaction costs may be developed and substituted for the normal rebalancing approach defined by the boundaries above.

In rebalancing the portfolio, staff shall consider asset class liquidity in determining the timeframe over which the rebalancing should take place in an attempt to reduce transaction costs. Securities may be transferred in lieu of cash, if feasible, to achieve lower transaction costs. Staff and the investment consultant may consult with those managing the affected investment accounts to determine the appropriate incremental amounts to be transferred as well as the appropriate duration of the rebalancing. The primary goal of rebalancing will be to control risk by correcting variances from minimum and maximum asset class allocations: minimizing transaction costs and diversifying across time will be secondary goals. In the event that Plan asset market values change to correct variances from minimum and maximum asset class allocations, rebalancing programs may be halted prior to the anticipated date of completion.

Upon the development of a rebalancing plan consistent with these guidelines, staff will advise the Plan's Custodian of the upcoming changes and direct affected investment managers to implement the required purchases and sales in a manner that leaves the resulting portfolios in concert with their current strategies.

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Teachers’ Retirement System of Oklahoma

November 10, 2020

Page 27 of 292

Disclaimer

2TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

This Presentation (this “Presentation”) has been prepared by Franklin

Park Associates, LLC (“Franklin Park”) solely for informational purposes

for the exclusive use of the party to whom Franklin Park delivers this

Presentation (the “Recipient”). This Presentation is not to be construed

as a solicitation, invitation or an offer by Franklin Park or any of its

members, officers, employees or agents to buy or sell any securities or

related financial instruments. This Presentation is furnished on a

confidential and limited basis for the sole and exclusive purpose of

providing general and background information concerning Franklin

Park Co-Investment Fund V, L.P. (the ‘Fund”) as well as Franklin Park

and its activities. This Presentation is not an offer or sale of, or a

solicitation to any person to buy, any security or investment product or

investment advice. Any such offer, sale or solicitation of interests in

the Fund will be made only pursuant to the Fund’s definitive

documents, and will be subject to the terms and conditions contained

in such documents. This Presentation is qualified in its entirety by

reference to the Fund’s definitive documents.

The information in this Presentation has been obtained from Franklin

Park’s proprietary research and other publicly available sources and

has not been independently verified by Franklin Park or any of its

members, officers, employees, agents, representatives or advisers or

any other person. Any valuations, projections, estimates, forecasts,

targets, prospects, returns and/or opinions contained herein involve

elements of subjective judgment and analysis. Any opinions expressed

in this material are subject to change without notice. This Presentation

may contain forward-looking statements. Any estimates or projections

as to events that may occur in the future are based upon the

reasonable expectation of Franklin Park. No obligation is undertaken

by Franklin Park or any other person to provide the Recipient with

additional information or to update, revise or reaffirm the information

contained in this Presentation or to correct any inaccuracies therein

which may become apparent.

Past or projected performance information contained in this

Presentation is not necessarily indicative of future results. There can be

no assurance that the Fund will ultimately achieve comparable

performance results.

This Presentation is not intended to be relied upon as legal, tax,

accounting or investment advice or a recommendation and is not, and

should not be assumed to be, complete. The Recipient agrees that

Franklin Park and its affiliates, members, partners, stockholders,

managers, directors, officers, employees and agents shall have no

liability for any misstatement or omission of fact or any opinion

expressed herein. The contents herein are not to be construed as legal,

business or tax advice, and the Recipient should consult its own

attorney, business advisor and tax advisor as to legal, business and tax

advice. Recipient is expected to rely on its own due diligence if it

wishes to proceed further.

The Recipient further agrees that it will (i) not copy, reproduce or

distribute the Presentation, in whole or in part, to any person or party

without the prior written consent of Franklin Park, (ii) keep

permanently confidential all information contained herein not already

public and (iii) use the Presentation solely for the purpose set forth in

the first paragraph above.

By accepting this Presentation the Recipient agrees to be bound by

the foregoing obligations and limitations.

Page 28 of 292

Table of Contents

I TRSO PRIVATE CAPITAL PORTFOLIO

II PROSPECTIVE INVESTMENT ACTIVITY

III MARKET UPDATE

IV APPENDIX

3TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 29 of 292

TRSO Private Capital Portfolio

Page 30 of 292

1,490.0 1,244.0

764.9

1,371.9

Committed Contributed Total Value

TVPI: 1.7xNet IRR: 16.2%

97.5 100.7 129.0

11.3

Committed Contributed Total Value

TVPI: 1.4xNet IRR: 9.5%

OTRS Legacy Portfolio

Inception 2008

Total Commitments $97.5 million

Number of Funds 8

% Contributed/Committed 103%

Unfunded (% likely to be called) $14.2m (0-10%)

% Distributed/Contributed 128%

TRSO PRIVATE CAPITAL PORTFOLIO

TRSO Portfolio OverviewThe portfolio includes the OTRS Legacy Portfolio and the OTRS/FP Portfolio

remaining value

distributions

remaining value

distributions

Notes:(1) Data as of June 30, 2020(2) Performance information is net of portfolio funds’ management fees, expenses and carried interest as well as Franklin Park’s fees(3) The OTRS Legacy Portfolio was originally formed in 2008 but was transferred to a new vehicle in 2010 when Franklin Park was hired(4) TVPI = total value to paid-in multiple, or remaining value plus distributions divided by contributed capital; TVPI multiple is net of all fees, expenses and carried interest

OTRS/FP Portfolio

Inception 2010

Total Commitments $1,490.0 million

Number of Funds 53

% Contributed/Committed 83%

Unfunded (% likely to be called) $277.2m (60-80%)

% Distributed/Contributed 61%

5TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 31 of 292

TRSO PRIVATE CAPITAL PORTFOLIO

OTRS/FP Portfolio Performance SummaryOTRS/FP Portfolio has produced cumulative gains of $893 million since inception

Notes:(1) Data as of June 30, 2020(2) Performance data is net of portfolio funds’ management fees, expenses and carried interest as well as Franklin Park’s fees(3) Cumulative gains represent total distributions plus remaining value less total contributions

6TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

$0 $0 $0 $27 $83 $132$252

$386

$581

$855 $893

0.70x 0.70x

0.93x

1.12x1.22x 1.23x

1.34x1.40x

1.52x

1.71x 1.72x

0.50x

0.80x

1.10x

1.40x

1.70x

-

100

200

300

400

500

600

700

800

900

1,000

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2Q20

Cumulative Gains ($M) Since Inception Total Value to Paid In Capital (TVPI)

Page 32 of 292

16.2%

7.3%

OTRS/FP Portfolio Russell 2000TR Index PME

Benchmark

Since Inception Return

+400 bps

+490 bpsFP outperformance

16.8%

5.0%

OTRS/FP Portfolio Russell 2000TR Index PME

Benchmark

5-Year Return

+400 bps

+780 bpsFP outperformance

18.4%

2.4%

OTRS/FP Portfolio Russell 2000TR Index PME

Benchmark

3-Year Return

+400 bps

+1200 bpsFP outperformance

TRSO PRIVATE CAPITAL PORTFOLIO

OTRS/FP Portfolio BenchmarkingPerformance has exceeded TRSO’s benchmark in the 3-Year, 5-Year and Since Inception periods

Notes:(1) Data as of June 30, 2020(2) Performance data is net of portfolio funds’ management fees, expenses and carried interest as well as Franklin Park’s fees(3) The public market equivalent (PME) represents the performance of a public market index expressed in terms of an IRR, using the same cash flows and timing as the investor’s

investment activity in private equity; the PME serves as a proxy for the return OTRS could have achieved by investing in the public market. The PME return assumes cash flows are invested at the end of each day

7TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 33 of 292

Prospective Investment Activity

Page 34 of 292

Investment Activity: 2021 and beyondContinue building exposure to private market investments for TRSO

Partnership Commitments• Focus on inefficient market segments• Concentrate commitments with top performing managers• Gain venture capital and international exposure through FP vehicles

Co-Investments (via Franklin Park Co-Investment Fund V, L.P.)• Exposure to direct investments alongside PE sponsors• Improve returns by investing in deals led by top performing managers• Reduce costs by investing with lower fees and carried interest

9TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

PROSPECTIVE INVESTMENT ACTIVITY

Page 35 of 292

PROSPECTIVE INVESTMENT ACTIVITY

Partnership Commitments: Investment CriteriaCharacteristics of top private market managers

Attractive Strategy• Market inefficiency• Value-add

Sustainable Competitive Advantages• Deal sourcing advantages• Domain expertise

Exceptional & Driven Team• Proven skill• Motivated & economically aligned

10TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 36 of 292

PROSPECTIVE INVESTMENT ACTIVITY

Partnership Commitments: Due Diligence Activity (3Q20 LTM)Broad market coverage with highly selective decision making

911Opportunities Reviewed

384Manager Meetings

136Investment Analysis

31Site Visits

29Fund Approvals

11TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 37 of 292

12

PROSPECTIVE INVESTMENT ACTIVITY

Co-Investments: Strategy OverviewFocus on corporate finance equity transactions in the middle market

StrategyDirect co-investments alongside private fund sponsors

Transaction TypesBuyouts, build-ups, growth equity, structured equity, financial restructurings, operational turnarounds

Transaction SizePrimarily middle market companies/transactions

Geographic FocusPrimarily U.S., with up to 20% outside of North America

Portfolio Composition30-50 deals during the investment period

The Fund terms are subject to change. Refer to the Fund’s governing documents for a complete listing of terms. TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 38 of 292

13

Co-Investments: Selection CriteriaRigorous criteria to find compelling investment opportunities

PROSPECTIVE INVESTMENT ACTIVITY

Sponsor Relationship

Sponsor’s Sweet Spot

Favorable Transaction Characteristics

“Top-tier” sponsors Fully vetted by Franklin Park

Fits the sponsor’s core strategy Expertise from relevant prior deals Led by a partner with demonstrated success “Investment edge” – advantaged sourcing,

structuring or value creation position

Economically aligned with sponsor No fee & no carry

15% single investmentlimit

Risk management guidelines

20% limit outsideNorth America

30% single sponsorlimit

The Fund terms are subject to change. Refer to the Fund’s governing documents for a complete listing of terms. TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 39 of 292

Co-Investments: Sourcing AdvantageLeveraging our unique position to source deal flow from “top-tier” sponsors

> 60 co-investmentssourced/year

Proactive Approach

Extensive Sponsor Network

Active Investor

• Longestablishedsponsorrelationships

• Proprietarydatabase with5,800+managers

• Monitor 500+sponsors

• Commitmentsto 100+sponsors

• Active across allregions, strategiesand sectors

• Advisory committeemember andsignificant LP in 100+funds

• Clients deploy morethan $1.2 billion intodirect funds annually

• 200+ sponsormeetings annually

• Quarterly callswith 50+ coresponsors

14

PROSPECTIVE INVESTMENT ACTIVITY

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 40 of 292

Co-Investments: Select Sponsor RelationshipsRelationships with “top-tier” sponsors in the middle market

Sponsors presented are for illustrative purposes only and should not be considered representative sponsor relationships available to the Fund or in which the Fund will invest. The sponsors have been selected at the sole discretion of Franklin Park and are not intended to represent a complete list of sponsors with which Franklin Park has existing relationships. 15

PROSPECTIVE INVESTMENT ACTIVITY

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 41 of 292

Sourcing Due Diligence Structuring Monitoring

16

Co-Investments: Investment ProcessConsistent application of our investment process

Call on ourselect sponsorrelationships

Evaluate dealrelative tosponsor’ssweet spot

Negotiate co-investmentdocuments

Performfinancialreviews andvaluations

Leveraging Franklin Park’s privileged sponsor relationship network

AccessOversubscribed dealsfrom “top-tier”sponsors

Due diligenceSponsor deal fit & industryreference network

NegotiatingNo fee, no carry &economically aligned

PROSPECTIVE INVESTMENT ACTIVITY

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 42 of 292

Co-Investments: Franklin Park’s Track RecordSince 2012, Franklin Park has invested $306.8m in 37 deals which have generated a net IRR of 18.3%

PROSPECTIVE INVESTMENT ACTIVITY

Data is as of March 31, 2020. Past results are not necessarily indicative of future performance. Wherever there is potential for profit, there is also potential for loss. See additional important information in the Footnotes section in the Appendix. 17

20.6%

18.3%

8.5%

FP Gross IRR FP Net IRR S&P 500 PME

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 43 of 292

Market Update

Page 44 of 292

MARKET UPDATE

Market Activity

• Investment and fundraising activity have slowed, and the return to normalmarket conditions will be dictated by the contagion curve and ultimatelycontainment of the virus

Valuations

• Most fund managers expect write downs in their portfolios in the first half of2020 due to demand dislocation and declines in comparable public companyvaluations

New Opportunities

• Valuation resets have historically created attractive new investmentopportunities for private equity investors

19TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

Overall Market ObservationsThe COVID-19 pandemic has had an impact on private markets

Page 45 of 292

Source: Thomson One

MARKET UPDATE

$105B

$77B

$43B

$58B

1,043

1,139

1,087

6730.0

20.0

40.0

60.0

80.0

100.0

65000%

75000%

85000%

95000%

105000%

115000%

3Q19 4Q19 1Q20 2Q20

Capital Raised By Buyout Funds# of Buyout Investments

20TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

Market ActivityInvestment and fundraising activity has slowed in the first half of 2020

Page 46 of 292

MARKET UPDATE

$139.47

$116.33

$99.953,230.78

2,584.59

3,100.29

4Q19 1Q20 2Q20

S&P 500 Earnings/ShareS&P 500 Closing

Source: S&P; earnings/share for 2Q20 is estimated21TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

ValuationsEarnings have been declining while public valuations have bounced back

Page 47 of 292

7% 7%

11%12%

16% 15%17%

15%14%

16%15% 15%

13%11%12%

15%

18%

23%22% 22%

20% 19%

24%23%

27%28%

0%

5%

10%

15%

20%

25%

30%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

U.S. Private Equity Median Net IRR U.S. Private Equity Top Quartile Net IRR

The financial crisis and subsequent recession that occurred in 2008 most impacted funds formed in 2005-2007 that were fully invested prior to the recession

Funds formed in 2008-2010 invested after the correction and generated higher returns

2015-2017 vintages are most vulnerable to a recession today

Source: Cambridge Associates, data compiled through September 30, 2019

MARKET UPDATE

22TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020

New OpportunitiesPrivate equity vintage year returns are cyclical and often most attractive following market dislocations

Page 48 of 292

Appendix

Page 49 of 292

24

APPENDIX

Founded in 2003, Franklin Park is a provider of advisory and investment management services for institutional investors in the private markets. Our primary purpose is to uncover and access best-in-class fund managers for our client portfolios. We seek managers and sponsors capable of generating high absolute and excess returns over the long term. At Franklin Park, we are proactive in our research and travel the world seeking funds and co-investment transactions in which to invest.

Franklin Park

Private Markets ExpertisePrivate equity, private debt, real assets & venture capital funds and co-investments

$15.4 Billion1

Assets under management and advisement

36 FundsCommingled & separate account funds

17 YearsFirm history and proven record

24 Institutional ClientsPublic and private pensions, endowments, foundations, health systems and labor unions

3 OfficesGlobal presence

27 ProfessionalsStable and seasoned team

1 As of March 31, 2020.TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 50 of 292

INVESTMENT TEAM SENIOR OPERATIONS TEAM

Team OverviewSenior team averages 19 years of private equity experience and 18 years working together

Bradley Atkins, CFACEO

APPENDIX

+ 11associates& adminsupport

Economically-aligned

• 100% employee-owned &independent

• Broad equityownership

Experienced & stable leadership team

• 6 founders haveworked togetherfor over twodecades

• Senior teamtogether onaverage for 18years

• No seniordepartures since2008

Michael BacineManaging Director

James McGovern, CFAManaging Director

Katherine Carlson, CFAManaging Director

Narayan Chowdhury, CFAManaging Director

Raymond Jackson, CFAManaging Director

Laure Brasch, CPAManaging Director

Karl Hartmann, Esq.COO, CCO

John MahonyManaging Director

Neil MoweryManaging Director

Kristine O’Connor, CPACFO

Melanie Fraind, CFAAssociate

Dan O’Donnell, CFAAssociate

Matt Castaldo, CFAAssociate

Ryan MannAssociate

Shane Kokitus, CFAAssociate

Anna

25TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 51 of 292

26

APPENDIX

BiographiesSenior team

At Franklin Park, Brad is actively involved with clients on portfolio planning, construction and management matters. He also is responsible for leading the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. Prior to Franklin Park, Brad worked with Hamilton Lane and Fleet Bank.

Brad is a CFA Charterholder and a member of the CFA Institute. He received an M.B.A. in Accounting and a B.A. in Finance from American University.

At Franklin Park, Michael is actively involved with clients on portfolio planning, construction and management matters. He is also responsible for leading the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. Prior to Franklin Park, Michael worked with Hamilton Lane and Kades Financial, an investment advisory firm.

Michael received a B.S. in Finance and International Business from Pennsylvania State University.

At Franklin Park, Laure leads the post-investment monitoring efforts, which includes fund manager oversight, investment compliance and performance reporting. She also leads the firm’s operational due diligence efforts, providing pre-investment assessments of the back office infrastructure of prospective fund managers. Laure interacts with clients on a variety of portfolio matters. In addition, she assists with the firm’s regulatory compliance functions. Prior to joining Franklin Park in 2006, Laure worked with SEI Investments and Kreischer, Miller & Co., a public accounting firm.

Laure is a Certified Public Accountant. She received a B.B.A. in Accounting from Temple University.

At Franklin Park, Kate is responsible for the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. Kate also interacts with clients on investment and monitoring matters. Prior to joining Franklin Park in 2007, Kate was with GMAC Mortgage and Standard and Poor’s.

Kate is a CFA Charterholder and a member of the CFA Institute. She received a B.S. in Finance from Villanova University.

Bradley T. Atkins, CEO Michael D. Bacine, Managing Director

Laure A. Brasch, CPA, Managing Director Kate M. Carlson, CFA, Managing Director

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 52 of 292

27

APPENDIX

BiographiesSenior team

At Franklin Park, Narayan is responsible for the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. He is also involved in the development and implementation of Franklin Park’s technology platform, and regularly interacts with clients on investment and portfolio matters. Prior to Franklin Park, Narayan worked with Hamilton Lane and Public Financial Management.

Narayan is a CFA Charterholder and a member of the CFA Institute. He received a B.A. in Mathematics and Economics from Bucknell University.

At Franklin Park, Karl leads the firm’s legal and compliance functions which includes all partnership agreement negotiations. He actively advises clients on legal matters with respect to private equity investments. Karl also oversees the operations of the firm. Prior to Franklin Park, Karl worked with Hamilton Lane and practiced law with Harris Kessler & Goldstein in Chicago.

Karl received a J.D. from Loyola University of Chicago and a B.A. from the University of Notre Dame. He is a member of the State Bar of Illinois.

At Franklin Park, Ray is responsible for the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. Ray also interacts with clients on investment and monitoring matters. Prior to joining Franklin Park in 2005, Ray worked with Chartwell Investment Partners, Cigna Corporation and SEI Investments.

Ray is a CFA Charterholder and a member of the CFA Institute. Ray received a B.A. in Finance from Morehouse College.

At Franklin Park, John is involved with the post-investment monitoring and reporting efforts, which include daily accounting, compliance, fund manager oversight and performance reporting. John is also actively involved with operational due diligence efforts such as providing pre-investment assessments of the back-office infrastructure of prospective fund managers. John oversees Franklin Park’s European office. Prior to joining Franklin Park in 2009,

John worked with Goldman Sachs, SEI Investments and JP Morgan. John received a B.A. in Banking and Finance from University College Dublin, Ireland.

R. Narayan Chowdhury, CFA, Managing Director Karl J. Hartmann, Esq., COO & Chief Compliance Officer

Raymond T. Jackson, CFA, Managing Director John P. Mahony, Managing Director

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 53 of 292

28

APPENDIX

BiographiesSenior team

At Franklin Park, Jim is actively involved with clients on portfolio planning, construction and management matters. He is also responsible for leading the analysis and evaluation of private equity investment opportunities, monitoring clients’ portfolios and conducting industry research. Prior to Franklin Park, Jim worked with Hamilton Lane and Ernst & Young LLP.

Jim is a CFA Charterholder and a member of the CFA Institute. He received a B.S. in Finance from Boston College.

At Franklin Park, Neil is responsible for the analysis and evaluation of private equity investment opportunities, monitoring client portfolios, and conducting industry research. He leads the design and development of analytical models and tools used to assess investments activities and portfolios. He is also actively engaged in operational due diligence on prospective fund managers and oversees the firm‘s Asia office. Prior to Franklin Park, Neil worked with Hamilton Lane.

Neil received a B.S. in Business Administration, with a major in Finance and a minor in Management, from Bloomsburg University.

At Franklin Park, Kristine leads the accounting and reporting functions. She is also actively involved in the firm’s compliance efforts. Prior to joining Franklin Park in 2008, Kristine worked with the United States Securities and Exchange Commission, Massachusetts Pension Reserves Investment Management Board and PricewaterhouseCoopers.

Kristine is a Certified Public Accountant and a Chartered Alternative Investment Analyst. She received a B.S. in Accounting and Theology from Boston College.

James B. McGovern, CFA, Managing Director Neil K. Mowery, Managing Director

Kristine A. O’Connor, CPA, Chief Financial Officer

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 54 of 292

29

APPENDIX

Footnotes

Track Record: Based in Bala Cynwyd, Pennsylvania, Franklin Park was formed in April 2003. Franklin Park is an independent, registered investment adviser with the U.S. Securities and Exchange Commission. Franklin Park assists its clients in building and managing customized investment portfolios of private market investments.

P.17The returns are presented for discretionary co-investment vehicles investing in portfolios of primarily U.S. corporate finance equity investments alongside privateequity fund sponsors as of March 31, 2020.

Gross IRR is calculated based upon the vehicles’ investment activity and the unrealized values of the co-investments as of March 31, 2020, and is presented exclusive of Franklin Park’s advisory fee, vehicle expenses and carried interest charges. Net IRR is calculated on the investor’s actual cash flows and capital account balances as of March 31, 2020 and is presented net of Franklin Park’s advisory fee, fund expenses and carried interest charges.

One discretionary vehicle included in the presented information, ATRS/FP Private Equity Fund, L.P., invests in various private equity strategies including, private equity funds, co-investments and appraisal rights of private companies. The Net IRR calculation includes the returns for a portfolio of thirteen private equity fund investments and interests in the appraisal rights of two private companies. The Net IRR calculation excludes certain advisory fees paid by the limited partner of ATRS/FP Private Equity Fund, L.P. under a separate investment advisory agreement.

IRR is the discount rate that results in a net present value of zero of a series of cash flows, and considers both cash flow timing and amount.

PME (public market equivalent) represents the performance of the applicable public index expressed in terms of an IRR, using the same cash flows and timing as the FP Net IRR investment activity. The PME serves as a proxy for the return the investor could have achieved by investing in the public market. The PME return assumes cash flows are invested at the end of each day. The S&P 500 PME uses the S&P 500 Total Return (SPTR) index.

Past results are not necessarily indicative of future performance. There can be no assurance that private funds recommended by Franklin Park will realize the rates of return indicated in this presentation. Wherever there is potential for profit, there is also potential for loss. Additional information is available upon request

Potential Future Returns: There can be no assurance that investments with an unrealized value will be realized at the valuations shown, as actual realized returns will depend on, among other factors, future operating results, the value of the assets and market conditions at the time of disposition, any related transaction costs, and the timing and manner of sale, all of which may differ from the assumptions on which the valuations contained herein are based. Accordingly, the actual realized return of these unrealized investments may differ materially from the returns indicated herein.

No Investment Advice: References to the sponsors or co-investments in this Presentation should not be considered a recommendation or solicitation for the sponsors or co-investments mentioned, nor should individual sponsor or co-investment performance be considered representative of portfolio investments held, or to be held, by the Fund.

Risk of Loss; Past Performance is Not a Guarantee: Prospective investors must be aware that investments in private equity funds such as the Fund are speculative and involve a substantial risk of loss. No assurance can be given that the Fund will achieve its investment objectives or avoid substantial losses. Information about other investments made by Franklin Park, including the past performance of other Franklin Park vehicles and investments, is provided solely to illustrate Franklin Park’s investment experience, and processes and strategies used by Franklin Park in the past with respect to other Franklin Park vehicles and investments. The performance information relating to Franklin Park’s previous investments is not intended to be indicative of the Fund’s future results. Past performance is not necessarily indicative, or a guarantee, of future results. There can be no assurance that the Fund will achieve comparable results as those presented or that investors in the Fund will not lose any of their invested capital.

TEACHERS' RETIREMENT SYSTEM OF OKLAHOMA | NOVEMBER 10, 2020 Page 55 of 292

Franklin Park Associates, LLC251 St. Asaphs RoadThree Bala Plaza, Suite 500 WestBala Cynwyd, PA 19004

For more information, please contact us at info@franklinparkllc.com

Franklin Park Associates, LLC is an SEC registered investment advisor pursuant to the Investment Advisors Act of 1940

30 Page 56 of 292

<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2545" DocumentTypeId="1" EffectiveDate="09/30/2020" Interval="3" Description="Net Executive

Summary" />

Investment Performance Review

Period Ending September 30, 2020

Teachers' Retirement System of OklahomaQuarterly Board Report

Page 57 of 292

TRSO Quarterly Executive Summary – September 30, 2020

Market Summary The Fed indicated that interest rates in the US would remain low for an extended period as business activity and GDP growth remains

subdued due to COVID-19. U.S. equity markets produced gains during the quarter with the Russell 1000 advancing 9.5% while the Russell 2000 was up 4.9%. International equities also posted gains during the quarter with the MSCI ACWI ex-US up 6.3% and the MSCI EM up 9.6%. Bonds were positive for the period with US high-yield bonds outperforming investment grade credit..

Portfolio Summary (returns shown net of fees) The value of the Total Fund increased by $777,315,802 to $17,788,720,563 The Total Fund posted a gain of 5.8% for the quarter, which trailed the benchmark by 0.2%. The three-year trailing annualized return for the Total Fund was 5.9%, which trailed the benchmark by 1.4%.

Watch List Managers EDHEC: No material changes related to acquisition by Singapore Exchange. Returns have tracked their benchmark index. Frontier Small Cap Value: New addition to list. One-year return of -18.1% vs. -14.9 for their benchmark index. Annualized three-year

returns now lag the benchmark by 0.05%. Hotchkis & Wiley Mid Cap Value: 5.2% return for the quarter vs. 6.4% for their benchmark index. Annualized three-year returns lag the

benchmark by 12.1%. Wellington International Small Cap: 8.6% return for the quarter vs. 10.3% for their benchmark index. Annualized three-year returns lag

the benchmark by 5.9%.

Recent Activity 38 calls with Investment Managers, including extensive discussions with real estate investment managers regarding COVID-19 impact. 13 calls with Staff. 4 meetings with IC/Board. 1 Trustee Education Session Continued improvements to Quarterly Performance Reports.

Recommendations Rebalancing is not required. Begin Asset Liability Modeling preparations.

Page 58 of 292

TRSO Manager Watch List

Manager Asset Class Market Value(9/30/2020)

Date Added

Reason Next Steps

EDHEC/Scientific Beta

Domestic Factor Equity

$2,424,037,577 1/31/2020 Change in Ownership Change in ownership announced. Singapore

Exchange bought a majority stake inorganization.

Continue tomonitor

Frontier Capital Management

Domestic Small Cap

Equity

$172,425,533 9/30/2020 Performance Total return (net) trails the benchmark over the

trailing 3-year period.

Domestic equitymarket review

Hotchkis & Wiley Domestic Mid Cap Equity

$279,346,788 09/30/2019 Performance Total return (net) trails the benchmark over the

trailing 3-year period.

Continue tomonitor

Wellington Management

International Small Cap

Equity

$252,573,010 09/30/2019 Performance Total return (net) trails the benchmark over the

trailing 3-year period.

Continue tomonitor

Open-end Strategies

Other Manager Notes:

Lord Abbett announced personnel additions to their fixed income team.

Watchlist does not include private market investments.

Page 59 of 292

TOTAL FUND

Page 60 of 292

Asset Allocation by Segment

September 30, 2020 : $17,788,720,563

Allocation*

Market Value Allocation

Total Domestic Equity Composite 7,910,863,820 44.5¢£

Total International Equity Composite 3,007,022,843 16.9¢£

Total Fixed Income Composite 3,758,719,541 21.1¢£

Total Opportunistic Fixed Income Composite 290,586,816 1.6¢£

Total Private Equity Composite 1,365,204,970 7.7¢£

Total Real Estate Composite 1,190,292,216 6.7¢£

Total Cash Composite 266,030,357 1.5¢£

Gain/Loss Summary

QTD FYTD 1 YR 3 YR

Total Fund

Beginning Market Value 17,011,404,761 17,011,404,761 17,163,411,971 15,874,771,396

Net Contributions -99,863,631 -99,863,631 -322,629,084 -911,126,038

Fees/Expenses -10,153,489 -10,153,489 -46,511,343 -166,701,321

Return on Investment 887,332,923 887,332,923 994,449,019 2,991,776,526

Ending Market Value 17,788,720,563 17,788,720,563 17,788,720,563 17,788,720,563

Comparative Performance

Total Fund Total Fund Policy

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Re

turn

QTD FYTD 1 YR 3 YR 5 YR 10 YR SinceInception

Time Period

6.0 6.0

10.5

7.5

9.59.2

7.7

5.2 5.2

5.66.0

8.79.0

7.2

Asset Allocation and Performance At-A-Glance

Total Fund

As of September 30, 2020

Page 61 of 292

Executive Summary

Policy Target In Policy Above/Below Target Range

0.0% 6.0% 12.0% 18.0% 24.0% 30.0% 36.0% 42.0% 48.0% 54.0% 60.0%

Cash & Cash Equivalents$268,910,671.0 (1.5%)

Private Equity$1,655,791,785.6 (9.3%)

Real Estate$1,187,411,902.4 (6.7%)

Fixed Income$3,758,719,541.0 (21.1%)

International Equity$3,007,022,843.0 (16.9%)

Domestic Equity$7,910,863,820.0 (44.5%)

Asset Allocation Compliance

AssetAllocation ($)

CurrentAllocation (%)

TargetAllocation (%)

Differences(%)

MinimumAllocation (%)

MaximumAllocation (%)

Rebalance toTarget

Rebalance toMinimum

Rebalance toMaximum

Domestic Equity 7,910,863,820 44.47 43.50 0.97 36.50 50.50 -172,770,375

International Equity 3,007,022,843 16.90 19.00 -2.10 14.00 24.00 372,834,064

Fixed Income 3,758,719,541 21.13 22.00 -0.87 17.00 27.00 154,798,983

Real Estate 1,187,411,902 6.68 9.00 -2.32 6.50 11.50 413,572,948

Private Equity 1,655,791,786 9.31 6.50 2.81 4.50 8.50 -499,524,949 -143,750,538

Cash & Cash Equivalents 268,910,671 1.51 0.00 1.51 0.00 0.00 -268,910,671 -268,910,671

Total Fund 17,788,720,563 100.00 100.00 0.00 - - - -

Asset Allocation Compliance Summary

Total Fund

As of September 30, 2020

000000

0000

Page 62 of 292

TRSO Composite

TRSO Composite TRSO Domestic Equity TRSO International Equity

TRSO Fixed Income TRSO Real Estate TRSO Actuarial Assumption (Current 7%)

$0.90

$0.97

$1.04

$1.11

$1.18

$1.25

$1.32

$1.39

$1.46

$1.53

$1.60

$1.67

$1.74

9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20

$1.43

$1.28

$1.32$1.33

$1.63

$1.50

Growth of $1

Total Fund

5 Years Ending September 30, 2020

Calculation based on monthly periodicity. Gross of fee returns.

Page 63 of 292

Asset Allocation Attributes

Jun-2020 Sep-2020 Change

($) % ($) % ($) %

Total Fund 17,011,404,761 100.00 17,788,720,563 100.00 777,315,802 0.00

Total Equity Composite 10,129,141,078 59.54 10,917,886,663 61.38 788,745,585 1.83

Total Domestic Equity Composite 7,350,877,999 43.21 7,910,863,820 44.47 559,985,821 1.26

Total Domestic Equity Active Mid Cap Composite 845,593,328 4.97 902,165,951 5.07 56,572,623 0.10

Total Domestic Equity Active Small Cap Composite 1,557,800,333 9.16 1,677,889,198 9.43 120,088,865 0.27

Total Domestic Equity Indexed Composite 4,947,430,192 29.08 5,330,808,663 29.97 383,378,471 0.88

Total International Equity Composite 2,778,263,079 16.33 3,007,022,843 16.90 228,759,764 0.57

Total International Large Cap Equity Composite 1,975,998,815 11.62 2,113,239,833 11.88 137,241,018 0.26

Total International Small Cap Equity Composite 802,264,264 4.72 893,783,010 5.02 91,518,746 0.31

Total Fixed Income Composite 3,676,098,558 21.61 3,758,719,541 21.13 82,620,983 -0.48

Total Fixed Income Core Plus Composite 2,792,006,290 16.41 2,870,747,877 16.14 78,741,587 -0.27

Total Fixed Income Active Duration Composite 884,092,268 5.20 887,971,664 4.99 3,879,396 -0.21

Total Alternatives Composite 2,898,571,877 17.04 2,846,084,002 16.00 -52,487,875 -1.04

Total Opportunistic Fixed Income Composite 335,056,561 1.97 290,586,816 1.63 -44,469,745 -0.34

Total Real Estate Composite 1,180,232,543 6.94 1,190,292,216 6.69 10,059,674 -0.25

Total Core Real Estate Composite 730,034,360 4.29 732,904,238 4.12 2,869,878 -0.17

Total Non-Core Real Estate Composite 450,198,183 2.65 457,387,978 2.57 7,189,796 -0.08

Total Private Equity Composite 1,383,282,773 8.13 1,365,204,970 7.67 -18,077,803 -0.46

Total Cash Composite 307,593,248 1.81 266,030,357 1.50 -41,562,891 -0.31

Teachers' Retirement System of OklahomaAsset Allocation by Fund

As of September 30, 2020

Page 64 of 292

Asset Allocation Attributes

Jun-2020 Sep-2020 Change

($) % ($) % ($) %

Total Fund 17,011,404,761 100.00 17,788,720,563 100.00 777,315,802 0.00

Domestic Equity Managers

Mid Cap

Wellington Mid Cap Growth 580,005,429 3.41 622,819,163 3.50 42,813,734 0.09

Hotchkis & Wiley Mid Cap Value 265,587,899 1.56 279,346,788 1.57 13,758,889 0.01

Small Cap

Shapiro Enhanced Small Cap Value 689,654,028 4.05 764,468,012 4.30 74,813,984 0.24

Geneva US Small Cap Growth 234,271,189 1.38 238,780,089 1.34 4,508,900 -0.03

Wasatch Small Cap Core Growth 241,326,469 1.42 257,743,694 1.45 16,417,225 0.03

Frontier Small Cap Value 167,829,675 0.99 172,425,533 0.97 4,595,858 -0.02

Neumeier Poma Small Cap Value 224,718,972 1.32 244,471,870 1.37 19,752,898 0.05

Indexed

Northern Trust Russell 1000 1,772,829,079 10.42 1,940,490,235 10.91 167,661,156 0.49

SciBeta US HFE MBMS 2,275,236,990 13.37 2,424,037,577 13.63 148,800,587 0.25

Northern Trust Russell Midcap 899,364,123 5.29 966,280,851 5.43 66,916,728 0.15

Transition DE

Transition Account 54,146 0.00 8 0.00 -54,138 0.00

International Managers

Intl Large Cap

Allianz Best Styles AC Intl Equity 973,182,198 5.72 1,029,947,945 5.79 56,765,747 0.07

Causeway Intl Opportunities 459,572,956 2.70 476,357,678 2.68 16,784,722 -0.02

Wellington International Quality Growth 543,243,661 3.19 606,934,210 3.41 63,690,549 0.22

Intl Small Cap

SSGA Emerging Markets Small Cap 241,040,944 1.42 269,317,256 1.51 28,276,312 0.10

Wasatch International Small Cap Growth 328,584,546 1.93 371,892,744 2.09 43,308,198 0.16

Wellington International Small Cap Equity 232,638,774 1.37 252,573,010 1.42 19,934,236 0.05

Fixed Income Managers

Core Plus

Loomis Multisector Full Discretion 955,104,213 5.61 979,807,253 5.51 24,703,040 -0.11

Lord Abbett Core Plus Full Discretion 910,468,486 5.35 936,025,289 5.26 25,556,803 -0.09

Mackay Core Plus Extended Discretion 926,433,591 5.45 954,915,335 5.37 28,481,744 -0.08

Active Duration

Hoisington Macroeconomic FI 884,092,268 5.20 887,971,664 4.99 3,879,396 -0.21

Alternatives

Opportunistic Fixed Income

PIMCO Bravo Fund 768,219 0.00 576,761 0.00 -191,458 0.00

Teachers' Retirement System of OklahomaAsset Allocation by Fund

As of September 30, 2020

Page 65 of 292

Teachers' Retirement System of OklahomaAsset Allocation by Fund

As of September 30, 2020

Jun-2020 Sep-2020 Change

($) % ($) % ($) %

PIMCO Bravo Fund II 53,748,701 0.32 46,787,589 0.26 -6,961,112 -0.05

PIMCO Bravo Fund III 183,979,199 1.08 183,979,199 1.03 - -0.05

PIMCO Corporate Opportunities Fund II 96,560,442 0.57 59,243,266 0.33 -37,317,176 -0.23

Real Estate Managers

AEW Core Property Trust 327,597,849 1.93 328,199,159 1.84 601,310 -0.08

Heitman America Real Estate Trust 314,876,219 1.85 318,330,104 1.79 3,453,885 -0.06

L&B Core Income Partners 87,560,292 0.51 86,374,975 0.49 -1,185,317 -0.03

American Strategic Value Realty Fund 71,909,135 0.42 72,330,649 0.41 421,514 -0.02

AG Realty Value Fund X 17,311,458 0.10 17,311,458 0.10 - 0.00

Lyrical - OTRS Realty Partners IV 68,709,057 0.40 60,539,057 0.34 -8,170,000 -0.06

Artemis Real Estate Partners Fund III 10,980,345 0.06 10,701,946 0.06 -278,399 0.00

Dune Real Estate Fund III 44,052,271 0.26 42,806,697 0.24 -1,245,574 -0.02

Dune Real Estate Fund IV 10,723,020 0.06 14,859,482 0.08 4,136,462 0.02

FCP Realty Fund IV 12,706,346 0.07 14,188,963 0.08 1,482,617 0.01

GreenOak US II 30,830,892 0.18 30,830,892 0.17 - -0.01

GreenOak US III 22,312,845 0.13 23,379,536 0.13 1,066,691 0.00

Harbert Euro Real Estate Fund V 13,937,814 0.08 18,136,206 0.10 4,198,392 0.02

Invesco Strategic Opportunities III 13,954,742 0.08 13,954,742 0.08 - 0.00

L&B Golden Driller 74,735,022 0.44 74,729,957 0.42 -5,065 -0.02

Landmark Real Estate Partners VII 12,717,427 0.07 12,300,585 0.07 -416,842 -0.01

Starwood Opportunity Fund X 19,193,538 0.11 19,193,538 0.11 - 0.00

Starwood Opportunity Fund XI 18,824,271 0.11 24,824,271 0.14 6,000,000 0.03

Property ACQ Fund 7,300,000 0.04 7,300,000 0.04 - 0.00

Private Equity

OTRS Legacy P-E Assets Fund LP 11,338,561 0.07 11,338,561 0.06 - 0.00

Franklin Park Private Equity 1,371,944,212 8.06 1,353,866,409 7.61 -18,077,803 -0.45

Cash

Cash 306,249,501 1.80 264,729,442 1.49 -41,520,059 -0.31

Terminated Managers 1,343,747 0.01 1,300,915 0.01 -42,832 0.00

Page 66 of 292

Plan Sponsor TF Asset Allocation vs. All Public Plans-Total Fund

-12

-4

4

12

20

28

36

44

52

60

68

76A

llo

ca

tio

n (%

)

44

17

21

0

9

7

1

Allocations (%)

US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash

Total Fund (Gross) 44.5 16.9 21.1 0.0 9.4 6.6 1.5��

5th Percentile 60.4 26.4 60.5 9.4 40.6 13.5 7.7

1st Quartile 49.9 19.3 33.4 4.7 21.0 9.6 2.4

Median 40.5 15.1 27.2 3.7 10.5 8.1 1.2

3rd Quartile 30.3 11.9 20.5 2.2 4.9 5.2 0.6

95th Percentile 13.5 6.6 13.3 0.1 1.6 2.8 0.1

Plan Sponsor TF Asset Allocation

Total Fund (Gross)

As of September 30, 2020

Calculation based on monthly periodicity.

Page 67 of 292

Financial Reconciliation

Market Value07/01/2020

Transfer In Transfer Out Contributions DistributionsManagement

FeesOther

ExpensesIncome

Apprec./Deprec.

Market Value09/30/2020

Total Fund 17,011,404,761 94,623,493 -94,623,493 204,563,867 -304,427,498 -10,148,680 -4,810 78,021,870 809,311,053 17,788,720,563

Total Equity 10,129,141,078 - -54,160 - - -6,764,404 - 45,738,865 749,825,284 10,917,886,663

Total Domestic Equity Composite 7,350,877,999 - -54,160 - - -3,777,504 - 29,554,861 534,262,624 7,910,863,820

Total Domestic Equity Active Mid Cap 845,593,328 - - - - -471,309 - 2,289,899 54,754,033 902,165,951

Wellington Mid Cap Growth 580,005,429 - - - - -340,934 - 690,189 42,464,479 622,819,163

Hotchkis & Wiley Mid Cap Value 265,587,899 - - - - -130,375 - 1,599,710 12,289,554 279,346,788

Total Domestic Equity Active Small Cap 1,557,800,333 - - - - -2,860,029 - 4,008,148 118,940,746 1,677,889,198

Shapiro Enhanced Small Cap Value 689,654,028 - - - - -1,377,445 - 2,078,830 74,112,599 764,468,012

Geneva US Small Cap Growth 234,271,189 - - - - -379,087 - 135,837 4,752,150 238,780,089

Wasatch Small Cap Core Growth 241,326,469 - - - - -436,215 - 415,052 16,438,388 257,743,694

Frontier Small Cap Value 167,829,675 - - - - -331,484 - 760,101 4,167,241 172,425,533

Neumeier Poma Small Cap Value 224,718,972 - - - - -335,798 - 618,328 19,470,368 244,471,870

Total Domestic Equity Indexed 4,947,430,192 - - - - -446,166 - 23,256,795 360,567,842 5,330,808,663

Northern Trust Russell 1000 1,772,829,079 - - - - -35,384 - 7,615,748 160,080,792 1,940,490,235

SciBeta US HFE MBMS 2,275,236,990 - - - - -390,992 - 11,745,588 137,445,991 2,424,037,577

Northern Trust Russell Midcap 899,364,123 - - - - -19,790 - 3,895,459 63,041,059 966,280,851

Transition Account 54,146 - -54,160 - - - - 19 3 8

Financial Reconciliation

Total Fund

1 Quarter Ending September 30, 2020

Transfer In/Out columns reflect flows between accounts in the portfolio. Contributions and Distributions represent all other cash flows.

Page 68 of 292

Financial Reconciliation

Total Fund

1 Quarter Ending September 30, 2020

Market Value07/01/2020

Transfer In Transfer Out Contributions DistributionsManagement

FeesOther

ExpensesIncome

Apprec./Deprec.

Market Value09/30/2020

Total International Equity 2,778,263,079 - - - - -2,986,900 - 16,184,004 215,562,660 3,007,022,843

Total International Large Cap Equity 1,975,998,815 - - - - -1,707,391 - 14,141,182 124,807,227 2,113,239,833

Allianz Best Styles AC Intl Equity 973,182,198 - - - - -622,952 - 9,074,600 48,314,099 1,029,947,945

Causeway Intl Opportunities 459,572,956 - - - - -368,272 - 3,146,728 14,006,266 476,357,678

Wellington International Quality Growth 543,243,661 - - - - -716,167 - 1,919,854 62,486,862 606,934,210

Total International Small Cap Equity 802,264,264 - - - - -1,279,509 - 2,042,822 90,755,433 893,783,010

SSGA Emerging Markets Small Cap 241,040,944 - - - - -395,131 - - 28,671,443 269,317,256

Wasatch International Small Cap Growth 328,584,546 - - - - -602,363 - 1,054,939 42,855,622 371,892,744

Wellington International Small Cap Equity 232,638,774 - - - - -282,015 - 987,883 19,228,368 252,573,010

Total Fixed Income 3,676,098,558 - - 427,498 -427,498 -1,678,069 - 31,554,077 52,744,975 3,758,719,541

Total Fixed Income Core 3,676,098,558 - - 427,498 -427,498 -1,678,069 - 31,554,077 52,744,975 3,758,719,541

Total Fixed Income Core Plus 2,792,006,290 - - 427,498 -427,498 -1,493,123 - 28,506,127 51,728,583 2,870,747,877

Loomis Multisector Full Discretion 955,104,213 - - - - -577,840 - 9,456,127 15,824,753 979,807,253

Lord Abbett Core Plus Full Discretion 910,468,486 - - - - -408,887 - 8,362,204 17,603,486 936,025,289

Mackay Core Plus Extended Discretion 926,433,591 - - 427,498 -427,498 -506,396 - 10,687,796 18,300,344 954,915,335

Total Fixed Income Active Duration 884,092,268 - - - - -184,946 - 3,047,950 1,016,392 887,971,664

Hoisington Macroeconomic FI 884,092,268 - - - - -184,946 - 3,047,950 1,016,392 887,971,664

Total Alternatives 2,898,571,877 19,123,637 -75,767,372 - - -1,706,207 -4,810 25,472 5,841,404 2,846,084,002

Total Opportunistic Fixed Income 335,056,561 - -44,469,745 - - - - - - 290,586,816

PIMCO Bravo Fund 768,219 - -191,458 - - - - - - 576,761

PIMCO Bravo Fund II 53,748,701 - -6,961,112 - - - - - - 46,787,589

PIMCO Bravo Fund III 183,979,199 - - - - - - - - 183,979,199

PIMCO Corporate Opportunities Fund II 96,560,442 - -37,317,176 - - - - - - 59,243,266

Total Real Estate 1,180,232,543 19,123,637 -13,219,823 - - -1,706,207 -4,810 25,472 5,841,404 1,190,292,216

Total Core Real Estate 730,034,360 - -1,185,317 - - -1,192,799 - - 5,247,994 732,904,238

AEW Core Property Trust 327,597,849 - - - - -620,409 - - 1,221,719 328,199,159

Heitman America Real Estate Trust 314,876,219 - - - - -572,390 - - 4,026,275 318,330,104

L&B Core Income Partners 87,560,292 - -1,185,317 - - - - - - 86,374,975

Transfer In/Out columns reflect flows between accounts in the portfolio. Contributions and Distributions represent all other cash flows.

Page 69 of 292

Financial Reconciliation

Total Fund

1 Quarter Ending September 30, 2020

Market Value07/01/2020

Transfer In Transfer Out Contributions DistributionsManagement

FeesOther

ExpensesIncome

Apprec./Deprec.

Market Value09/30/2020

Total Non-Core Real Estate 450,198,183 19,123,637 -12,034,506 - - -513,408 -4,810 25,472 593,410 457,387,978

American Strategic Value Realty Fund 71,909,135 - - - - -202,433 - 25,472 598,475 72,330,649

AG Realty Value Fund X 17,311,458 - - - - - - - - 17,311,458

Lyrical - OTRS Realty Partners IV 68,709,057 - -8,170,000 - - - - - - 60,539,057

Artemis Real Estate Partners Fund III 10,980,345 1,217,529 -1,309,453 - - -186,475 - - - 10,701,946

Dune Real Estate Fund III 44,052,271 413,168 -1,658,742 - - - - - - 42,806,697

Dune Real Estate Fund IV 10,723,020 4,136,462 - - - - - - - 14,859,482

FCP Realty Fund IV 12,706,346 2,089,396 -479,469 - - -122,500 -4,810 - - 14,188,963

GreenOak US II 30,830,892 - - - - - - - - 30,830,892

GreenOak US III 22,312,845 1,066,691 - - - - - - - 23,379,536

Harbert Euro Real Estate Fund V 13,937,814 4,198,392 - - - - - - - 18,136,206

Invesco Strategic Opportunities III 13,954,742 - - - - - - - - 13,954,742

L&B Golden Driller 74,735,022 - - - - - - - -5,065 74,729,957

Landmark Real Estate Partners VII 12,717,427 - -416,842 - - - - - - 12,300,585

Starwood Opportunity Fund X 19,193,538 - - - - - - - - 19,193,538

Starwood Opportunity Fund XI 18,824,271 6,000,000 - - - - - - - 24,824,271

Property ACQ Fund 7,300,000 2,000 - - - -2,000 - - - 7,300,000

Total Private Equity 1,383,282,773 - -18,077,803 - - - - - - 1,365,204,970

OTRS Legacy P-E Assets Fund LP 11,338,561 - - - - - - - - 11,338,561

Franklin Park Private Equity 1,371,944,212 - -18,077,803 - - - - - - 1,353,866,409

Total Cash 307,593,248 75,499,855 -18,801,960 204,136,369 -304,000,000 - - 703,457 899,389 266,030,357

Cash 306,249,501 75,499,855 -18,710,469 204,136,369 -304,000,000 - - 604,041 950,146 264,729,442

Terminated Managers 1,343,747 - -91,491 - - - - 99,416 -50,757 1,300,915

Transfer In/Out columns reflect flows between accounts in the portfolio. Contributions and Distributions represent all other cash flows.

Page 70 of 292

Plan Sponsor Peer Group Analysis vs. All Public Plans-Total Fund

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

Re

turn

QTR FYTD 1 YR 3 YR 5 YR 7 YR 10 YR

Total Fund (Gross) 5.21 (52) 5.21 (52) 5.64 (82) 6.03 (67) 8.67 (30) 7.44 (33) 8.99 (8)��

Total Fund Policy 5.99 (19) 5.99 (19) 10.50 (22) 7.52 (29) 9.45 (12) 7.73 (24) 9.15 (6)��

5th Percentile 6.70 6.70 12.72 8.95 9.93 8.63 9.21

1st Quartile 5.79 5.79 10.21 7.65 8.87 7.67 8.37

Median 5.25 5.25 8.13 6.71 8.15 7.05 7.80

3rd Quartile 4.58 4.58 6.28 5.57 7.40 6.31 7.11

95th Percentile 2.80 2.80 3.59 3.85 5.82 5.03 5.82

Plan Sponsor Peer Group Analysis

Total Fund (Gross)

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on quarterly periodicity.

Page 71 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 6.03 15.20 0.35 92.81 9 102.59 3

Index 7.52 15.50 0.44 100.00 9 100.00 3

90 Day U.S. Treasury Bill 1.69 0.40 N/A 6.94 12 -5.84 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 8.67 11.94 0.66 95.90 17 102.59 3

Index 9.45 12.12 0.71 100.00 17 100.00 3

90 Day U.S. Treasury Bill 1.18 0.45 N/A 5.83 19 -5.84 1

Risk and Return 3 Years

Investment Index

5.6

6.0

6.4

6.8

7.2

7.6

8.0

Retu

rn (%

)

15.1 15.2 15.3 15.4 15.5 15.6Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

8.4

8.6

8.8

9.0

9.2

9.4

9.6

Retu

rn (%

)

11.9 12.0 12.1 12.2Risk (Standard Deviation %)

3 Year Rolling Percentile Rank All Public Plans-Total Fund

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 12 (60%) 5 (25%) 3 (15%) 0 (0%)¾

Index 20 4 (20%) 14 (70%) 2 (10%) 0 (0%)¾

5 Year Rolling Percentile Rank All Public Plans-Total Fund

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 14 (70%) 4 (20%) 2 (10%) 0 (0%)¾

Index 20 14 (70%) 6 (30%) 0 (0%) 0 (0%)¾

Strategy Review

Total Fund (Gross) | Total Fund Policy

As of September 30, 2020

Page 72 of 292

Peer Group Analysis - All Public Plans-Total Fund

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment 5.21 (52) 5.21 (52) 5.64 (82) 4.28 (87) 6.03 (67) 8.03 (48) 8.67 (30)��

Index 5.99 (19) 5.99 (19) 10.50 (22) 6.93 (31) 7.52 (29) 8.84 (25) 9.45 (12)��

Median 5.25 5.25 8.13 6.10 6.71 7.95 8.15

Peer Group Analysis - All Public Plans-Total Fund

-12.0

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

32.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 20.04 (44) -5.28 (77) 16.37 (20) 11.72 (1) -3.64 (99) 8.14 (11) 24.02 (1)��

Index 21.55 (14) -4.95 (65) 15.44 (44) 10.73 (2) -2.97 (97) 7.15 (26) 21.10 (5)��

Median 19.66 -4.45 15.10 6.83 -0.10 6.19 16.32

Comparative Performance

1 QtrEnding

Jun-2020

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

Investment 13.60 (46) -15.98 (89) 5.20 (64) 0.67 (69) 3.29 (60) 9.74 (19)

Index 15.32 (13) -15.25 (81) 6.67 (5) 0.44 (83) 3.17 (70) 9.96 (13)

Median 13.30 -13.33 5.48 0.84 3.34 8.89

Strategy Review

Total Fund (Gross) | Total Fund Policy

As of September 30, 2020

Page 73 of 292

Risk and Return 5 Years

Total Fund Total Equity Total Domestic Equity Total International Equity

Total Fixed Income MSCI AC World ex USA BarCap Universal Russell 3000

0.0

3.0

6.0

9.0

12.0

15.0

18.0

Re

turn

(%)

0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5 15.0 16.5 18.0 19.5 21.0Risk (Standard Deviation %)

Russell 3000

BarCap UniversalMSCI AC World ex USA

Total Fixed IncomeTotal International Equity

Total Domestic Equity

Total Equity

Total Fund

Historical Statistics 5 Years

ReturnStandardDeviation

DownsideRisk

MaximumDrawdown

UpMarket

Capture

DownMarket

Capture

Total Fund 8.75 10.22 7.07 -15.24 94.44 95.07

Total Equity 9.31 16.10 11.59 -25.65 133.03 158.55

Total Domestic Equity 10.67 17.17 12.13 -26.00 142.07 161.61

Total International Equity 6.33 14.93 10.83 -27.15 113.10 150.00

Total Fixed Income 6.73 4.69 2.45 -3.59 32.65 -4.71

MSCI AC World ex USA 6.74 14.37 10.12 -23.46 111.91 144.51

Russell 3000 13.69 15.34 10.15 -20.90 142.86 137.88

Blmbg. Barc. U.S. Universal Index 4.49 3.12 1.65 -2.90 18.97 -8.99

Total Fund Policy (Monthly) 9.34 10.62 7.16 -15.64 100.00 100.00

Risk Return and Statistics

Total Fund

As of September 30, 2020

Page 74 of 292

Annual Asset Class Performance

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD

Best

17.91 9.74 26.07 44.80 27.04 21.57 25.91 43.24 33.35 9.70 26.18 32.53 -1.45 31.41 24.75

5

15.28 6.85 1.15 40.88 26.77 8.26 25.46 42.66 14.47 2.08 14.78 31.60 -2.86 28.49 6.57

5.47 5.91 -36.92 37.73 13.28 -4.13 18.28 35.71 13.64 -1.75 11.66 22.58 -4.70 27.97 3.01

2.26 1.23 -40.01 16.34 9.79 -11.62 18.20 31.96 10.77 -1.87 11.04 22.33 -5.33 27.70 0.04

N/A N/A N/A -13.89 8.08 -12.10 10.26 31.28 6.12 -2.45 5.81 20.56 -8.67 22.41 -3.61

N/A N/A N/A N/A N/A N/A 3.68 21.18 5.26 -2.59 0.57 20.00 -12.06 21.16 -3.71

6

N/A N/A N/A N/A N/A N/A N/A 0.12 -3.62 -4.18 0.30 10.97 -14.01 17.81 -5.18

Worst

N/A N/A N/A N/A N/A N/A N/A -8.80 -6.38 -4.33 -2.73 5.10 -19.08 11.06 -8.08

Domestic Equity IndexCap Wgt

Domestic Equity IndexedNonCap

Domestic Equity ActiveMid Cap

Domestic Equity ActiveSmall Cap

International Large CapEquity

International Small CapEquity

Fixed Income ActiveDuration

Fixed Income Core Plus

Annual Asset Class Performance

Total Fund

As of September 30, 2020

Gross of fee returns.

Page 75 of 292

Comparative Performance Trailing Returns

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Total Fund Composite NT (Net) 5.81 5.81 6.08 5.89 8.39 8.72 8.80 12/01/1991

Total Fund Policy 6.02 6.02 9.80 7.30 9.34 9.05 -

Difference -0.21 -0.21 -3.72 -1.41 -0.95 -0.33 -

Total Equity Composite 7.79 7.79 4.75 4.69 9.02 10.09 10.35 04/01/1990

Total Equity Policy 8.45 8.45 11.30 8.29 11.43 10.56 8.87

Difference -0.66 -0.66 -6.55 -3.60 -2.41 -0.47 1.48

Total Domestic Equity Composite 7.62 7.62 4.47 6.49 10.28 11.63 10.42 04/01/1990

Total Domestic Equity Policy 9.21 9.21 15.00 11.65 13.78 13.56 10.04

Difference -1.59 -1.59 -10.53 -5.16 -3.50 -1.93 0.38

Total International Equity Composite 8.23 8.23 5.37 0.96 5.82 5.18 7.37 02/01/1996

Total International Equity Policy 6.90 6.90 3.95 1.60 6.80 4.64 5.20

Difference 1.33 1.33 1.42 -0.64 -0.98 0.54 2.17

Total Fixed Income Composite 2.25 2.25 9.77 6.91 6.49 5.73 7.06 04/01/1990

Total Fixed Income Policy 0.99 0.99 6.68 5.15 4.31 3.70 6.09

Difference 1.26 1.26 3.09 1.76 2.18 2.03 0.97

Total Fixed Income Core Plus Composite 2.82 2.82 7.69 5.21 4.95 4.67 5.53 11/01/2004

Total Fixed Income Core Plus Policy 1.84 1.84 5.77 4.70 4.04 3.57 4.30

Difference 0.98 0.98 1.92 0.51 0.91 1.10 1.23

Total Fixed Income Active Duration Composite 0.45 0.45 18.61 13.79 9.25 8.17 7.83 11/01/2004

Total Fixed Income Active Duration Policy 0.17 0.17 8.04 5.50 3.97 3.53 4.28

Difference 0.28 0.28 10.57 8.29 5.28 4.64 3.55

Total Core Real Estate Composite 0.56 0.56 -2.76 1.96 4.64 - 5.73 06/01/2015

Total Core Real Estate Policy 0.27 0.27 0.52 4.25 5.69 9.26 6.69

Difference 0.29 0.29 -3.28 -2.29 -1.05 - -0.96

NCREIF Fund Index-ODCE (EW) (Net) 0.38 0.38 0.90 4.64 6.09 9.43 6.87

Difference 0.18 0.18 -3.66 -2.68 -1.45 - -1.14

Comparative Performance - NET

Total Fund

As of September 30, 2020

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 76 of 292

Comparative Performance Trailing Returns

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Total Fund Composite NT (Net) 5.81 5.81 6.08 5.89 8.39 8.72 8.80 12/01/1991

Total Fund Policy 6.02 6.02 9.80 7.30 9.34 9.05 -

Difference -0.21 -0.21 -3.72 -1.41 -0.95 -0.33 -

Total Equity Composite 7.79 7.79 4.75 4.69 9.02 10.09 10.35 04/01/1990

Total Equity Policy 8.45 8.45 11.30 8.29 11.43 10.56 8.87

Difference -0.66 -0.66 -6.55 -3.60 -2.41 -0.47 1.48

Total Domestic Equity Composite 7.62 7.62 4.47 6.49 10.28 11.63 10.42 04/01/1990

Total Domestic Equity Policy 9.21 9.21 15.00 11.65 13.78 13.56 10.04

Difference -1.59 -1.59 -10.53 -5.16 -3.50 -1.93 0.38

Total Domestic Equity Active Composite 7.35 7.35 0.64 4.73 9.30 10.88 12.59 10/01/2011

Total Domestic Equity Active Policy 5.83 5.83 1.84 7.21 11.05 12.19 13.49

Difference 1.52 1.52 -1.20 -2.48 -1.75 -1.31 -0.90

Total Domestic Equity Active Mid Cap Composite 6.69 6.69 3.63 5.71 8.64 11.17 9.16 12/01/1998

Total Domestic Mid Cap Equity Policy 7.46 7.46 4.55 7.13 10.13 11.76 9.22

Difference -0.77 -0.77 -0.92 -1.42 -1.49 -0.59 -0.06

Hotchkis & Wiley Mid Cap Value 5.18 5.18 -22.71 -11.30 -2.67 5.73 7.86 08/01/2002

Russell Midcap Value Index 6.40 6.40 -7.30 0.82 6.38 9.71 9.44

Difference -1.22 -1.22 -15.41 -12.12 -9.05 -3.98 -1.58

Wellington Mid Cap Growth 7.38 7.38 20.46 17.80 16.61 13.55 10.94 09/01/1998

Russell Midcap Growth Index 9.37 9.37 23.23 16.23 15.53 14.55 10.13

Difference -1.99 -1.99 -2.77 1.57 1.08 -1.00 0.81

Comparative Performance - NET

Total Fund

As of September 30, 2020

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 77 of 292

Comparative Performance - NET

Total Fund

As of September 30, 2020

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Total Domestic Equity Active Small Cap Composite 7.71 7.71 -1.31 2.22 9.66 9.85 8.29 02/01/1998

Total Domestic Small Cap Policy 4.93 4.93 0.39 1.77 8.00 9.85 7.10

Difference 2.78 2.78 -1.70 0.45 1.66 0.00 1.19

Geneva US Small Cap Growth 1.93 1.93 14.17 12.08 13.98 - 13.57 06/01/2013

Russell 2000 Growth Index 7.16 7.16 15.71 8.18 11.42 12.34 10.49

Difference -5.23 -5.23 -1.54 3.90 2.56 - 3.08

Frontier Small Cap Value 2.73 2.73 -18.10 -5.18 3.51 - 4.48 06/01/2013

Russell 2000 Value Index 2.56 2.56 -14.88 -5.13 4.11 7.09 4.10

Difference 0.17 0.17 -3.22 -0.05 -0.60 - 0.38

Neumeier Poma Small Cap Value 8.79 8.79 -0.44 2.82 9.86 - 10.35 06/01/2013

Neumeier Poma Policy 4.93 4.93 0.39 0.03 7.47 8.81 6.38

Difference 3.86 3.86 -0.83 2.79 2.39 - 3.97

Shapiro Enhanced Small Cap Value 10.85 10.85 -7.50 -2.80 8.32 9.33 8.41 02/01/1998

Russell 2000 Index 4.93 4.93 0.39 1.77 8.00 9.85 7.10

Difference 5.92 5.92 -7.89 -4.57 0.32 -0.52 1.31

Wasatch Small Cap Core Growth 6.80 6.80 19.42 16.61 16.16 - 13.63 06/01/2013

Russell 2000 Growth Index 7.16 7.16 15.71 8.18 11.42 12.34 10.49

Difference -0.36 -0.36 3.71 8.43 4.74 - 3.14

Total Domestic Equity Indexed Composite 7.75 7.75 6.55 9.05 12.05 - 9.92 07/01/2015

Russell 3000 Index 9.21 9.21 15.00 11.65 13.69 13.48 11.39

Difference -1.46 -1.46 -8.45 -2.60 -1.64 - -1.47

Total Domestic Equity Index Cap Wgt Composite 8.78 8.78 12.30 10.68 12.99 - 12.58 04/01/2012

Russell 1000 Index 9.47 9.47 16.01 12.38 14.09 13.76 13.10

Difference -0.69 -0.69 -3.71 -1.70 -1.10 - -0.52

Northern Trust Russell 1000 9.45 9.45 15.76 - - - 10.99 12/01/2017

Russell 1000 Index 9.47 9.47 16.01 12.38 14.09 13.76 11.06

Difference -0.02 -0.02 -0.25 - - - -0.07

Northern Trust Russell Midcap 7.45 7.45 - - - - - 02/01/2020

Russell Midcap Index 7.46 7.46 4.55 7.13 10.13 11.76 -1.56

Difference -0.01 -0.01 - - - - -

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 78 of 292

Comparative Performance - NET

Total Fund

As of September 30, 2020

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Total Domestic Equity Indexed NonCap Composite 6.54 6.54 1.51 8.46 11.42 - 12.05 05/01/2012

SciBeta US High FactorExposure Index 6.57 6.57 1.71 - - - -

Difference -0.03 -0.03 -0.20 - - - -

SciBeta US HFE MBMS 6.54 6.54 1.51 - - - 5.61 12/01/2017

SciBeta US High FactorExposure Index 6.57 6.57 1.71 - - - 5.71

Difference -0.03 -0.03 -0.20 - - - -0.10

Total International Equity Composite 8.23 8.23 5.37 0.96 5.82 5.18 7.37 02/01/1996

Total International Equity Policy 6.90 6.90 3.95 1.60 6.80 4.64 5.20

Difference 1.33 1.33 1.42 -0.64 -0.98 0.54 2.17

Total International Large Cap Equity Composite 6.94 6.94 3.62 1.33 6.25 - 3.65 10/01/2014

Total International Large Cap Equity Policy 6.90 6.90 3.95 1.60 6.80 4.64 3.59

Difference 0.04 0.04 -0.33 -0.27 -0.55 - 0.06

Allianz Best Styles AC Intl Equity 5.82 5.82 -0.94 -0.94 - - 6.04 07/01/2016

MSCI AC World ex USA 6.36 6.36 3.45 1.65 6.74 4.48 7.32

Difference -0.54 -0.54 -4.39 -2.59 - - -1.28

Causeway Intl Opportunities 3.65 3.65 -3.75 -2.66 3.61 4.28 7.20 05/01/2003

Causeway Intl Policy 2.43 2.43 -10.32 -4.51 3.16 2.72 6.75

Difference 1.22 1.22 6.57 1.85 0.45 1.56 0.45

Wellington International Quality Growth 11.72 11.72 19.29 9.33 - - 12.59 07/01/2016

Wellington Intl Quality Growth Policy 10.22 10.22 17.90 7.71 10.05 7.48 10.75

Difference 1.50 1.50 1.39 1.62 - - 1.84

Total International Small Cap Equity Composite 11.41 11.41 9.56 0.69 5.39 - 8.24 12/01/2011

Total International Small Cap Equity Policy 10.61 10.61 7.36 1.32 7.20 5.70 7.35

Difference 0.80 0.80 2.20 -0.63 -1.81 - 0.89

SSGA Emerging Markets Small Cap 11.73 11.73 4.17 -1.42 - - 3.14 09/01/2016

MSCI Emerging Markets Small Cap Index 12.04 12.04 7.28 -0.73 4.95 1.34 3.30

Difference -0.31 -0.31 -3.11 -0.69 - - -0.16

Wasatch International Small Cap Growth 13.18 13.18 24.22 8.90 10.84 - 12.17 12/01/2011

MSCI AC World ex USA Small Cap 10.61 10.61 7.36 1.32 7.20 5.70 7.35

Difference 2.57 2.57 16.86 7.58 3.64 - 4.82

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 79 of 292

Comparative Performance - NET

Total Fund

As of September 30, 2020

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Wellington International Small Cap Equity 8.57 8.57 1.04 -4.10 2.17 - 6.94 12/01/2011

Wellington Intl Small Cap Policy 10.34 10.34 7.21 1.78 7.77 7.71 9.25

Difference -1.77 -1.77 -6.17 -5.88 -5.60 - -2.31

Total Fixed Income Composite 2.25 2.25 9.77 6.91 6.49 5.73 7.06 04/01/1990

Total Fixed Income Policy 0.99 0.99 6.68 5.15 4.31 3.70 6.09

Difference 1.26 1.26 3.09 1.76 2.18 2.03 0.97

Total Fixed Income Core Plus Composite 2.82 2.82 7.69 5.21 4.95 4.67 5.53 11/01/2004

Total Fixed Income Core Plus Policy 1.84 1.84 5.77 4.70 4.04 3.57 4.30

Difference 0.98 0.98 1.92 0.51 0.91 1.10 1.23

Loomis Multisector Full Discretion 2.58 2.58 10.35 5.85 5.79 5.17 6.24 08/01/1999

Total Fixed Income Core Plus Policy 1.84 1.84 5.77 4.70 4.04 3.57 5.09

Difference 0.74 0.74 4.58 1.15 1.75 1.60 1.15

Lord Abbett Core Plus Full Discretion 2.81 2.81 5.28 4.59 4.34 4.31 5.16 11/01/2004

Total Fixed Income Core Plus Policy 1.84 1.84 5.77 4.70 4.04 3.57 4.30

Difference 0.97 0.97 -0.49 -0.11 0.30 0.74 0.86

Mackay Core Plus Extended Discretion 3.07 3.07 7.54 5.20 4.70 4.52 5.21 11/01/2004

Total Fixed Income Core Plus Policy 1.84 1.84 5.77 4.70 4.04 3.57 4.30

Difference 1.23 1.23 1.77 0.50 0.66 0.95 0.91

Total Fixed Income Active Duration Composite 0.45 0.45 18.61 13.79 9.25 8.17 7.83 11/01/2004

Total Fixed Income Active Duration Policy 0.17 0.17 8.04 5.50 3.97 3.53 4.28

Difference 0.28 0.28 10.57 8.29 5.28 4.64 3.55

Hoisington Macroeconomic FI 0.45 0.45 18.61 13.79 9.22 8.23 8.48 11/01/2004

Total Fixed Income Active Duration Policy 0.17 0.17 8.04 5.50 3.97 3.53 4.28

Difference 0.28 0.28 10.57 8.29 5.25 4.70 4.20

Total Core Real Estate Composite 0.56 0.56 -2.76 1.96 4.64 - 5.73 06/01/2015

Total Core Real Estate Policy 0.27 0.27 0.52 4.25 5.69 9.26 6.69

Difference 0.29 0.29 -3.28 -2.29 -1.05 - -0.96

NCREIF Fund Index-ODCE (EW) (Net) 0.38 0.38 0.90 4.64 6.09 9.43 6.87

Difference 0.18 0.18 -3.66 -2.68 -1.45 - -1.14

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 80 of 292

Comparative Performance - NET

Total Fund

As of September 30, 2020

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

AEW Core Property Trust 0.18 0.18 -0.02 4.40 5.86 - 8.44 08/01/2011

NCREIF Fund Index-ODCE (VW) (Net) 0.27 0.27 0.52 4.25 5.69 9.26 8.63

Difference -0.09 -0.09 -0.54 0.15 0.17 - -0.19

NCREIF Fund Index-ODCE (EW) (Net) 0.38 0.38 0.90 4.64 6.09 9.43 8.75

Difference -0.20 -0.20 -0.92 -0.24 -0.23 - -0.31

Heitman America Real Estate Trust 1.10 1.10 -3.59 2.42 4.86 - 8.60 05/01/2011

NCREIF Fund Index-ODCE (VW) (Net) 0.27 0.27 0.52 4.25 5.69 9.26 8.89

Difference 0.83 0.83 -4.11 -1.83 -0.83 - -0.29

NCREIF Fund Index-ODCE (EW) (Net) 0.38 0.38 0.90 4.64 6.09 9.43 9.00

Difference 0.72 0.72 -4.49 -2.22 -1.23 - -0.40

L&B Core Income Partners 0.00 0.00 -7.55 -2.29 2.36 - 5.74 05/01/2011

NCREIF Fund Index-ODCE (VW) (Net) 0.27 0.27 0.52 4.25 5.69 9.26 8.89

Difference -0.27 -0.27 -8.07 -6.54 -3.33 - -3.15

NCREIF Fund Index-ODCE (EW) (Net) 0.38 0.38 0.90 4.64 6.09 9.43 9.00

Difference -0.38 -0.38 -8.45 -6.93 -3.73 - -3.26

Cash 0.06 0.06 1.55 2.15 - - 1.94 01/01/2017

90 Day U.S. Treasury Bill 0.04 0.04 1.10 1.69 1.18 0.62 1.50

Difference 0.02 0.02 0.45 0.46 - - 0.44

Returns for periods greater than one year are annualized.Returns are expressed as percentages. Net of fee returns.

Page 81 of 292

Comparative Performance - IRR

FYTD 1 YR 3 YR 5 YR InceptionInception

Date

Opportunistic Fixed Income

Total Opportunistic Fixed Income Composite 0.00 -7.78 1.23 3.97 3.75 06/30/2015

PIMCO Bravo Fund 0.00 -50.30 7.39 0.53 21.94 03/21/2011

PIMCO Bravo Fund II 0.00 -17.11 -0.97 4.82 6.45 03/19/2013

PIMCO Corporate Opportunities Fund II 0.00 -4.69 1.88 - 3.48 09/01/2016

PIMCO Bravo Fund III 0.00 -5.35 2.86 - 3.15 03/10/2017

Non-Core Real Estate

Total Non-Core Real Estate Composite 0.02 -4.15 4.83 6.04 5.99 06/30/2015

American Strategic Value Realty Fund 0.59 3.88 6.74 7.81 8.33 12/16/2014

Dune Real Estate Fund III 0.00 -17.70 -1.51 4.16 5.80 11/07/2014

GreenOak US II 0.00 -18.46 -2.63 0.73 0.89 10/30/2014

Starwood Opportunity Fund X 0.00 -9.27 5.86 - 14.25 10/29/2015

Landmark Real Estate Partners VII 0.00 -6.59 -0.66 5.67 7.91 12/22/2014

L&B Golden Driller -0.01 -1.45 13.08 8.82 8.53 07/31/2014

Lyrical - OTRS Realty Partners IV 0.00 6.31 11.43 7.84 7.34 11/12/2014

Starwood Opportunity Fund XI 0.00 -5.44 - - 8.51 07/09/2018

GreenOak US III 0.00 -7.93 - - -12.56 06/25/2018

Dune Real Estate Fund IV 0.00 -20.41 - - -26.72 08/22/2019

Invesco Strategic Opportunities III 0.00 35.65 - - 72.01 09/17/2019

AG Realty Value Fund X 0.00 3.05 - - -2.63 06/10/2019

Artemis Real Estate Partners Fund III -1.72 6.86 - - -3.37 01/08/2019

FCP Realty Fund IV -1.02 5.19 - - -2.62 12/03/2018

Harbert Euro Real Estate Fund V 0.00 -1.96 - - -4.13 12/10/2018

Private Equity

Total Private Equity Composite 0.00 8.51 17.07 16.06 15.52 06/30/2015

OTRS Legacy P-E Assets Fund LP 0.00 -7.90 -3.99 3.33 9.63 10/10/2008

Franklin Park Private Equity 0.00 8.68 17.46 16.46 15.55 04/08/2010

Comparative Performance - IRR

Private Investments

As of September 30, 2020

Page 82 of 292

Comparative Performance - IRR

YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 InceptionInception

Date

OTRS Legacy P-E Assets Fund LP -9.80 0.20 -1.26 0.79 9.47 5.81 5.44 16.78 15.49 13.26 22.51 9.63 10/10/2008

Franklin Park Private Equity 2.79 23.53 18.61 15.95 18.47 10.46 18.77 22.65 -2.16 -51.97 - 15.55 04/08/2010

PIMCO Bravo Fund -37.50 -46.18 75.71 -14.36 5.70 2.14 18.84 23.25 44.77 - - 21.94 03/21/2011

PIMCO Bravo Fund II -21.13 12.28 0.65 6.68 10.59 11.15 16.28 - - - - 6.45 03/19/2013

PIMCO Corporate Opportunities Fund II -8.64 15.28 1.82 15.98 - - - - - - - 3.48 09/01/2016

PIMCO Bravo Fund III -5.87 10.05 9.39 - - - - - - - - 3.15 03/10/2017

American Strategic Value Realty Fund 1.57 8.43 8.67 9.57 10.75 18.19 - - - - - 8.33 12/16/2014

Dune Real Estate Fund III -17.17 -2.57 12.03 15.59 14.52 14.61 - - - - - 5.80 11/07/2014

GreenOak US II -8.18 -12.00 10.13 4.13 7.94 6.09 - - - - - 0.89 10/30/2014

Starwood Opportunity Fund X -10.20 5.91 13.12 14.89 15.87 - - - - - - 14.25 10/29/2015

Landmark Real Estate Partners VII -4.68 -2.85 1.22 10.49 10.24 70.15 - - - - - 7.91 12/22/2014

L&B Golden Driller -4.04 47.39 -0.02 -0.01 -0.01 -0.17 - - - - - 8.53 07/31/2014

Lyrical - OTRS Realty Partners IV 2.81 9.06 7.48 14.28 3.32 0.00 - - - - - 7.34 11/12/2014

Starwood Opportunity Fund XI -13.26 51.32 - - - - - - - - - 8.51 07/09/2018

GreenOak US III -10.74 -0.31 - - - - - - - - - -12.56 06/25/2018

Dune Real Estate Fund IV -17.12 - - - - - - - - - - -26.72 08/22/2019

Invesco Strategic Opportunities III 8.48 - - - - - - - - - - 72.01 09/17/2019

AG Realty Value Fund X 0.82 - - - - - - - - - - -2.63 06/10/2019

Artemis Real Estate Partners Fund III 0.39 -8.79 - - - - - - - - - -3.37 01/08/2019

FCP Realty Fund IV -2.82 -0.23 - - - - - - - - - -2.62 12/03/2018

Harbert Euro Real Estate Fund V -7.71 37.16 - - - - - - - - - -4.13 12/10/2018

Teachers' Retirement System of Oklahoma

Private Market Assets - Calendar Years Internal Rates of Return

As of September 30, 2020

Page 83 of 292

TOTAL DOMESTIC EQUITY

Page 84 of 292

Comparative Performance : Periods As of September 30, 2020 & Annualized Years Ending December 31, 2019

Total Domestic Equity Composite Total Domestic Equity Policy Russell 3000 Index

0.0

4.0

8.0

12.0

16.0

20.0

Re

turn

QTR FYTD 1 YR 3 YR 5 YR Inception

9.2 9.2

15.0

11.6

13.7

10.2

7.7 7.7

4.7

6.8

10.7 10.5

Risk and Return: Since Inception

Total Domestic Equity Composite Total Domestic Equity Policy Russell 3000 Index

9.8

10.0

10.2

10.4

10.6

Re

turn

(%)

14.4 14.6 14.8 15.0 15.2 15.4 15.6 15.8Risk (Standard Deviation %)

Russell 3000 Index

Total Domestic Equity Policy

Total Domestic Equity Composite

Growth of $100: Since Inception

Total Domestic Equity Composite Total Domestic Equity Policy

Russell 3000 Index

$0.00

$700.00

$1,400.00

$2,100.00

$2,800.00

3/90 12/92 9/95 6/98 3/01 12/03 9/06 6/09 3/12 12/14 9/17 9/20

$1,914.86$1,849.98

$2,098.17

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

DownMarket

Capture

InceptionDate

Total Domestic Equity Composite 10.49 15.64 0.54 104.99 104.72 04/01/1990

Russell 3000 Index 10.16 14.90 0.54 101.79 102.07 04/01/1990

Total Domestic Equity Policy 10.04 14.67 0.54 100.00 100.00 04/01/1990 90 Day U.S. Treasury Bill 2.78 0.67 N/A 6.92 -6.59 04/01/1990

Teachers' Retirement System of Oklahoma

Total Domestic Equity CompositeAs of September 30, 2020

See history of composite on Benchmark History page in the report.

Page 85 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 6.80 20.15 0.35 95.94 8 114.65 4

Index 11.65 18.18 0.61 100.00 9 100.00 3

90 Day U.S. Treasury Bill 1.69 0.25 N/A 3.61 12 -2.85 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 10.67 17.17 0.61 100.25 16 119.35 4

Index 13.78 15.29 0.85 100.00 17 100.00 3

90 Day U.S. Treasury Bill 1.18 0.27 N/A 3.07 19 -2.55 1

Risk and Return 3 Years

Investment Index

6.0

8.0

10.0

12.0

14.0

Retu

rn (%

)

17.7 18.0 18.3 18.6 18.9 19.2 19.5 19.8 20.1 20.4 20.7Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

10.4

11.2

12.0

12.8

13.6

14.4

Retu

rn (%

)

15.0 15.3 15.6 15.9 16.2 16.5 16.8 17.1 17.4 17.7Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Equity (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 8 (40%) 12 (60%) 0 (0%)¾

Index 20 2 (10%) 18 (90%) 0 (0%) 0 (0%)¾

5 Year Rolling Percentile Rank IM U.S. Equity (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 12 (60%) 8 (40%) 0 (0%)¾

Index 20 1 (5%) 18 (90%) 1 (5%) 0 (0%)¾

Strategy Review

Total Domestic Equity Composite | Total Domestic Equity Policy

As of September 30, 2020

Page 86 of 292

Peer Group Analysis - IM U.S. Equity (SA+CF)

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

44.0

52.0

60.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment 7.67 (45) 7.67 (45) 4.69 (52) 2.04 (54) 6.80 (52) 10.18 (50) 10.67 (51)��

Index 9.21 (30) 9.21 (30) 15.00 (34) 8.79 (33) 11.65 (35) 13.37 (36) 13.78 (33)��

Median 6.98 6.98 5.79 3.07 7.14 10.03 10.71

Peer Group Analysis - IM U.S. Equity (SA+CF)

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 28.03 (55) -7.93 (55) 21.17 (41) 15.64 (40) -3.42 (73) 10.64 (46) 39.21 (30)��

Index 31.02 (35) -5.24 (39) 21.13 (42) 12.38 (55) 1.38 (34) 13.69 (21) 32.39 (75)��

Median 28.63 -7.05 19.27 13.04 -0.51 9.96 35.76

Comparative Performance

1 QtrEnding

Jun-2020

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

Investment 22.39 (49) -26.00 (57) 7.36 (68) -0.25 (62) 3.78 (54) 15.20 (34)

Index 22.03 (52) -20.90 (37) 9.10 (33) 1.16 (38) 4.10 (47) 14.04 (48)

Median 22.13 -24.43 8.29 0.52 3.95 13.94

Strategy Review

Total Domestic Equity Composite | Total Domestic Equity Policy

As of September 30, 2020

Page 87 of 292

September 30, 2020 : $7,910,863,812

Hotchkis & Wiley Mid Cap Value3.5%

Wellington Mid Cap Growth7.9%

Geneva US Small Cap Growth3.0%

Frontier Small Cap Value2.2%

Neumeier Poma Small Cap Value3.1%

Shapiro Enhanced Small Cap Value9.7%

Wasatch Small Cap Core Growth3.3%

Northern Trust Russell Midcap12.2%

SciBeta US HFE MBMS30.6%

Northern Trust Russell 100024.5%

Asset Allocation By Manager

Total Domestic Equity

As of September 30, 2020

Green: MC. Yellow: SC. Red:Indexed

Page 88 of 292

Comparative Performance Domestic Equity Summary as of September 30, 2020

Mid Cap Small Cap Equity Cap Wgt Equity NonCap

Total Domestic Equity Composite Total Domestic Equity Policy Total Domestic Equity Active Policy

0.0

4.0

8.0

12.0

16.0

20.0

-4.0

Re

turn

(%)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

5.8 5.8

1.8

7.2

11.0

12.2

11.3

7.7 7.7

4.7

6.8

10.7

11.811.1

7.9 7.9

-0.7

2.9

10.4 10.7 10.6

6.7 6.7

3.9

6.1

9.0

11.6

10.5

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Mid Cap 6.7 6.7 3.9 6.1 9.0 11.6 9.6 12/01/1998

Small Cap 7.9 7.9 -0.7 2.9 10.4 10.7 9.1 02/01/1998

Equity Cap Wgt 8.8 8.8 12.3 10.7 13.0 - 12.6 04/01/2012

Equity NonCap 6.6 6.6 1.6 8.5 11.5 - 12.1 04/01/2012

Total Domestic Equity Composite 7.7 7.7 4.7 6.8 10.7 11.8 10.5 04/01/1990

Total Domestic Equity Policy 9.2 9.2 15.0 11.6 13.8 13.6 10.2 01/01/1926

Total Domestic Equity Active Policy 5.8 5.8 1.8 7.2 11.0 12.2 10.0 01/01/1926

Comparative Performance

Total Domestic Equity

As of September 30, 2020

Returns are expressed as percentages.

Page 89 of 292

Peer Group Analysis

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Re

turn

IM U.S. Equity (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total Domestic Equity 7.67 (45) 7.67 (45) 4.69 (52) 6.80 (52) 10.67 (51) 11.84 (54) 10.49 (67)��

Total DE Mid Cap 6.74 (52) 6.74 (52) 3.88 (53) 6.05 (54) 9.02 (60) 11.60 (56) -��

Total DE Small Cap 7.88 (43) 7.88 (43) -0.65 (62) 2.91 (66) 10.45 (51) 10.67 (64) -��

Total DE Index Cap Wgt 8.78 (36) 8.78 (36) 12.30 (40) 10.68 (39) 13.00 (38) - -��

Total DE Index NonCap 6.56 (54) 6.56 (54) 1.58 (58) 8.52 (46) 11.47 (46) - -��

Total Domestic Equity Policy 9.21 (30) 9.21 (30) 15.00 (34) 11.65 (35) 13.78 (33) 13.56 (37) 10.04 (85)��

Total Domestic Equity Active Policy 5.83 (61) 5.83 (61) 1.84 (57) 7.21 (50) 11.05 (49) 12.19 (51) 9.60 (91)��

5th Percentile 13.86 13.86 43.33 24.02 21.04 17.67 14.15

1st Quartile 9.60 9.60 19.04 13.85 14.71 14.50 12.41

Median 6.98 6.98 5.79 7.14 10.71 12.19 11.12

3rd Quartile 4.43 4.43 -5.72 0.87 6.85 9.83 10.17

95th Percentile 0.63 0.63 -16.72 -5.58 2.51 7.23 9.27

Peer Group Analysis

Total Domestic Equity

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 90 of 292

Peer Group Analysis

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

44.0

52.0

60.0R

etu

rn

IM U.S. Equity (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total DE Indexed 7.76 (44) 7.76 (44) 6.57 (49) 9.07 (44) 12.05 (43) - 12.23 (41)��

NT Russell 1000 9.45 (27) 9.45 (27) 15.77 (31) - - - -��

NT Russell Midcap 7.45 (46) 7.45 (46) - - - - -��

SciBeta US HFE MBMS 6.56 (54) 6.56 (54) 1.58 (58) - - - -��

Russell 3000 Index 9.21 (30) 9.21 (30) 15.00 (34) 11.65 (35) 13.69 (33) 13.48 (39) 12.80 (36)��

5th Percentile 13.86 13.86 43.33 24.02 21.04 17.67 17.25

1st Quartile 9.60 9.60 19.04 13.85 14.71 14.50 13.59

Median 6.98 6.98 5.79 7.14 10.71 12.19 11.15

3rd Quartile 4.43 4.43 -5.72 0.87 6.85 9.83 8.60

95th Percentile 0.63 0.63 -16.72 -5.58 2.51 7.23 5.88

Peer Group Analysis

Total DE Indexed

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 91 of 292

Peer Group Analysis

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Re

turn

IM U.S. Mid Cap Equity (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total DE Mid Cap 6.74 (51) 6.74 (51) 3.88 (52) 6.05 (52) 9.02 (54) 11.60 (52) 9.64 (70)��

H&W Mid Cap Value 5.23 (71) 5.23 (71) -22.54 (100) -10.94 (100) -2.23 (100) 6.24 (100) -��

Wellington Mid Cap Growth 7.43 (44) 7.43 (44) 20.75 (25) 18.09 (16) 16.89 (16) 13.93 (32) 10.50 (46)��

Total DE Mid Cap Equity Policy 7.46 (44) 7.46 (44) 4.55 (49) 7.13 (48) 10.13 (48) 11.76 (50) 9.22 (84)��

5th Percentile 12.54 12.54 43.52 23.65 20.30 17.29 13.35

1st Quartile 8.92 8.92 20.38 15.61 15.46 14.67 11.24

Median 6.74 6.74 4.10 6.61 9.63 11.70 10.38

3rd Quartile 4.77 4.77 -5.99 0.87 6.45 10.30 9.51

95th Percentile 2.74 2.74 -14.84 -4.16 3.31 7.91 8.35

Peer Group Analysis

Total DE Mid Cap

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 92 of 292

Peer Group Analysis

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

Re

turn

IM U.S. Small Cap Equity (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total DE Small Cap 7.88 (27) 7.88 (27) -0.65 (48) 2.91 (44) 10.45 (35) 10.67 (50) 9.10 (61)��

Geneva US SC Growth 2.08 (82) 2.08 (82) 14.91 (22) 12.85 (18) 14.78 (18) - -��

Frontier SC Value 2.92 (75) 2.92 (75) -17.42 (92) -4.40 (84) 4.42 (79) - -��

Neumeier Poma SC Value 8.94 (22) 8.94 (22) 0.17 (47) 3.43 (42) 10.54 (35) - -��

Shapiro Enhanced SC Value 11.04 (12) 11.04 (12) -6.92 (64) -2.20 (70) 9.06 (42) 10.15 (58) 9.30 (57)��

Wasatch SC Growth 6.98 (32) 6.98 (32) 20.28 (16) 17.53 (11) 17.14 (10) - -��

Total DE Small Cap Policy 4.93 (53) 4.93 (53) 0.39 (47) 1.77 (51) 8.00 (51) 9.85 (62) 7.10 (92)��

5th Percentile 13.77 13.77 40.94 23.08 21.15 17.30 13.19

1st Quartile 8.43 8.43 11.89 8.72 12.11 13.55 10.82

Median 5.10 5.10 -1.86 1.80 8.03 10.61 9.65

3rd Quartile 2.77 2.77 -11.52 -2.97 4.70 8.93 8.30

95th Percentile 0.13 0.13 -18.95 -6.79 1.94 7.15 6.90

Peer Group Analysis

Total DE Small Cap

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 93 of 292

Active Domestic Equity Statistics - Trailing Five Years

AlphaInformation

RatioTracking

ErrorSharpeRatio

UpMarket

Capture

DownMarket

Capture

ActualCorrelation

Mid Cap Managers

Hotchkis & Wiley Mid Cap Value -9.37 -0.53 11.56 0.02 116.50 160.21 0.96

Russell Midcap Value Index 0.00 - 0.00 0.37 100.00 100.00 1.00

IM U.S. Mid Cap Value Equity (SA+CF) Median 0.07 0.04 4.45 0.38 101.85 101.05 0.97

Wellington Mid Cap Growth 0.52 0.36 4.03 0.88 109.29 109.52 0.98

Russell Midcap Growth Index 0.00 - 0.00 0.86 100.00 100.00 1.00

IM U.S. Mid Cap Growth Equity (SA+CF) Median 0.80 0.06 4.37 0.88 97.80 94.99 0.97

Small Cap Managers

Frontier Small Cap Value 0.29 0.18 4.33 0.26 104.17 101.93 0.98

Russell 2000 Value Index 0.00 - 0.00 0.25 100.00 100.00 1.00

IM U.S. Small Cap Value Equity (SA+CF) Median 0.41 0.07 5.19 0.26 98.38 96.32 0.97

Geneva US Small Cap Growth 4.54 0.43 5.97 0.80 93.86 76.53 0.96

Russell 2000 Growth Index 0.00 - 0.00 0.59 100.00 100.00 1.00

IM U.S. Small Cap Growth Equity (SA+CF) Median 3.99 0.53 5.88 0.76 101.87 88.07 0.96

Neumeier Poma Small Cap Value 3.79 0.41 6.03 0.58 95.42 81.57 0.96

Neumeier Poma Policy 0.00 - 0.00 0.40 100.00 100.00 1.00

IM U.S. Small Cap Value Equity (SA+CF) Median -2.82 -0.48 5.64 0.26 93.66 103.60 0.97

Shapiro Enhanced Small Cap Value 0.92 0.21 8.28 0.45 105.42 99.70 0.94

Russell 2000 Index 0.00 - 0.00 0.43 100.00 100.00 1.00

IM U.S. Small Cap Core Equity (SA+CF) Median 0.52 0.09 4.50 0.45 96.81 95.55 0.98

Wasatch Small Cap Core Growth 6.05 0.93 5.19 0.87 103.46 80.77 0.97

Russell 2000 Growth Index 0.00 - 0.00 0.59 100.00 100.00 1.00

IM U.S. Small Cap Growth Equity (SA+CF) Median 3.99 0.53 5.88 0.76 101.87 88.07 0.96

Multi-Statistics

Total Active Domestic Equity

As of September 30, 2020

Page 94 of 292

TOTAL INTERNATIONAL EQUITY

Page 95 of 292

Comparative Performance : Periods As of September 30, 2020 & Annualized Years Ending December 31, 2019

Total International Equity Composite Total International Equity Policy

0.0

2.0

4.0

6.0

8.0

10.0

Re

turn

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

6.9 6.9

4.0

1.6

6.8

4.6

5.2

8.3 8.3

5.8

1.5

6.3

5.7

7.8

Risk and Return: Since Inception

Total International Equity Composite Total International Equity Policy

5.6

6.4

7.2

8.0

8.8

Re

turn

(%)

16.3 16.4 16.5 16.6 16.7 16.8 16.9 17.0Risk (Standard Deviation %)

Total International Equity Policy

Total International Equity Composite

Growth of $100: Since Inception

Total International Equity Composite

Total International Equity Policy

$0.00

$200.00

$400.00

$600.00

$800.00

1/96 4/98 7/00 10/02 1/05 4/07 7/09 10/11 1/14 4/16 7/18 9/20

$349.21

$639.22

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

DownMarket

Capture

InceptionDate

Total International Equity Composite 7.81 16.36 0.41 99.46 86.84 02/01/1996

MSCI AC World ex USA IMI Index 5.20 16.77 0.26 100.00 100.00 02/01/1996

Total International Equity Policy 5.20 16.77 0.26 100.00 100.00 02/01/1996 90 Day U.S. Treasury Bill 2.25 0.62 N/A 5.19 -4.64 02/01/1996

Teachers' Retirement System of Oklahoma

Total International Equity CompositeAs of September 30, 2020

Page 96 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 1.46 16.81 0.07 100.40 7 100.74 5

Index 1.60 16.33 0.08 100.00 7 100.00 5

90 Day U.S. Treasury Bill 1.69 0.25 N/A 3.84 12 -3.67 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 6.33 14.93 0.41 99.41 12 101.52 8

Index 6.80 14.59 0.44 100.00 12 100.00 8

90 Day U.S. Treasury Bill 1.18 0.27 N/A 2.91 19 -2.95 1

Risk and Return 3 Years

Investment Index

1.4

1.5

1.6

1.7

Retu

rn (%

)

16.2 16.3 16.4 16.5 16.6 16.7 16.8 16.9Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

6.2

6.4

6.6

6.8

7.0

Retu

rn (%

)

14.5 14.6 14.7 14.8 14.9 15.0Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM International Equity (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 6 (30%) 14 (70%) 0 (0%)¾

Index 20 0 (0%) 1 (5%) 19 (95%) 0 (0%)¾

5 Year Rolling Percentile Rank IM International Equity (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 10 (50%) 10 (50%) 0 (0%)¾

Index 20 0 (0%) 0 (0%) 20 (100%) 0 (0%)¾

Strategy Review

Total International Equity Composite | Total International Equity Policy

As of September 30, 2020

Page 97 of 292

Peer Group Analysis - IM International Equity (SA+CF)

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

38.0

44.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment 8.34 (51) 8.34 (51) 5.84 (56) 0.53 (63) 1.46 (56) 6.12 (54) 6.33 (64)��

Index 6.90 (64) 6.90 (64) 3.95 (61) 1.27 (57) 1.60 (55) 5.93 (56) 6.80 (57)��

Median 8.49 8.49 7.27 2.28 2.22 6.49 7.57

Peer Group Analysis - IM International Equity (SA+CF)

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 22.00 (55) -15.90 (61) 32.03 (44) -0.86 (82) 2.30 (33) -5.89 (82) 24.28 (35)��

Index 22.24 (53) -14.35 (46) 28.38 (61) 4.91 (45) -4.20 (61) -3.47 (60) 16.30 (60)��

Median 22.57 -14.81 30.63 4.09 -1.72 -2.47 19.94

Comparative Performance

1 QtrEnding

Jun-2020

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

Investment 18.08 (53) -24.72 (58) 9.89 (52) -2.14 (58) 2.42 (53) 10.76 (47)

Index 17.13 (61) -24.02 (52) 9.26 (62) -1.62 (44) 2.98 (45) 10.43 (51)

Median 18.27 -23.80 10.01 -1.84 2.63 10.45

Strategy Review

Total International Equity Composite | Total International Equity Policy

As of September 30, 2020

Page 98 of 292

September 30, 2020 : $3,007,022,843

Causeway Intl Opportunities15.8%

Wellington International Small Cap Equity8.4%

Wasatch International Small Cap Growth12.4%

SSGA Emerging Markets Small Cap9.0%

Wellington International Quality Growth20.2%

Allianz Best Styles AC Intl Equity34.3%

Asset Allocation By Manager

Total International Equity

As of September 30, 2020

Blue: LC. Green: SC

Page 99 of 292

Comparative Performance International Equity Summary as of September 30, 2020

International Large Cap Equity International Small Cap Equity Total International Equity Composite Total International Equity Policy

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

Re

turn

(%)

QTD FYTD 1 YR 3 YR 5 YR 10 YR Inception

6.9 6.9

4.0

1.6

6.8

4.6

6.0

8.3 8.3

5.8

1.5

6.3

5.7

7.1

11.6 11.6

10.3

1.4

6.1

9.0

7.0 7.0

4.0

1.7

6.6

6.0

7.4

QTD FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

International Large Cap Equity 7.0 7.0 4.0 1.7 6.6 6.0 - 10/01/2004

International Small Cap Equity 11.6 11.6 10.3 1.4 6.1 - 9.0 12/01/2011

International Equity Composite 8.3 8.3 5.8 1.5 6.3 5.7 7.8 02/01/1996

Total International Equity Policy 6.9 6.9 4.0 1.6 6.8 4.6 - 01/01/1988

Comparative Performance

Total International Equity

As of September 30, 2020

Returns are expressed as percentages.

Page 100 of 292

Peer Group Analysis

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

44.0

Re

turn

IM International Equity (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total International Equity 8.34 (51) 8.34 (51) 5.84 (56) 1.46 (56) 6.33 (64) 5.68 (54) 7.81 (41)��

Allianz Best Styles AC Intl 5.91 (74) 5.91 (74) -0.66 (76) -0.66 (74) - - -��

Causeway Intl Opp 3.73 (88) 3.73 (88) -3.45 (82) -2.33 (84) 3.97 (86) 4.47 (75) -��

Wellington Intl Quality Growth 11.85 (18) 11.85 (18) 19.93 (17) 9.92 (10) - - -��

SSGA EM Small Cap 11.90 (17) 11.90 (17) 4.89 (59) -0.71 (74) - - -��

Wasatch Intl SC Growth 13.38 (10) 13.38 (10) 25.12 (11) 9.73 (11) 11.73 (19) - -��

Wellington Intl SC Equity 8.69 (49) 8.69 (49) 1.54 (69) -3.52 (89) 2.84 (92) - -��

Total International Equity Policy 6.90 (64) 6.90 (64) 3.95 (61) 1.60 (55) 6.80 (57) 4.64 (72) 5.20 (92)��

5th Percentile 15.10 15.10 32.64 12.20 14.89 10.72 10.17

1st Quartile 10.73 10.73 16.44 6.16 10.48 7.67 8.27

Median 8.49 8.49 7.27 2.22 7.57 5.99 7.41

3rd Quartile 5.60 5.60 -0.50 -0.92 5.27 4.35 6.41

95th Percentile 2.26 2.26 -9.60 -5.42 1.99 2.02 4.81

Peer Group Analysis

Total International Equity

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 101 of 292

Active International Equity Statistics - Trailing Five Years

AlphaInformation

RatioTracking

ErrorSharpeRatio

UpMarket

Capture

DownMarket

Capture

ActualCorrelation

International Large Cap Equity Managers

Causeway Intl Opportunities 0.76 0.27 3.56 0.25 110.09 107.19 0.98

Causeway Intl Policy 0.00 - 0.00 0.21 100.00 100.00 1.00

IM International Core Equity (SA+CF) Median 4.08 0.62 5.76 0.45 102.20 82.62 0.93

Allianz International -3.00 -1.06 2.62 0.24 96.66 112.34 0.99

MSCI AC World ex USA 0.00 - 0.00 0.44 100.00 100.00 1.00

IM International Core Equity (SA+CF) Median 0.38 0.07 4.14 0.45 98.47 96.77 0.96

Wellington Quality Growth International 2.28 0.52 3.74 0.81 100.51 87.22 0.96

Wellington Intl Quality Growth Policy 0.00 - 0.00 0.67 100.00 100.00 1.00

IM International Large Cap Growth Equity (SA+CF) Median 0.03 -0.08 4.39 0.64 98.67 100.17 0.96

International Small Cap Equity Managers

Wasatch International Small Cap 4.55 0.47 7.87 0.64 100.02 78.19 0.89

MSCI AC World ex USA Small Cap 0.00 - 0.00 0.43 100.00 100.00 1.00

IM International Small Cap Equity (SA+CF) Median 1.13 0.14 4.72 0.48 99.06 92.53 0.96

Wellington International Small Cap -0.96 -0.13 3.78 0.41 106.65 113.13 0.98

Wellington Intl Small Cap Policy 0.00 - 0.00 0.47 100.00 100.00 1.00

IM International Small Cap Equity (SA+CF) Median 0.49 0.02 4.35 0.48 99.96 97.31 0.97

Multi-Statistics

Total Active International Equity

As of September 30, 2020

Due to lack of history in actual client portfolio, manager composite data has been used for Allianz Intl, Welling Quality Growth, ARI Intl, Epoch SC, Wasatch SC, and Wellington SC.

Page 102 of 292

TOTAL FIXED INCOME

Page 103 of 292

Comparative Performance : Periods As of September 30, 2020 & Annualized Years Ending December 31, 2019

Total Fixed Income Composite Total Fixed Income Policy Blmbg. Barc. U.S. Universal Index

0.0

3.0

6.0

9.0

12.0

Re

turn

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Risk and Return: Since Inception

Total Fixed Income Composite Total Fixed Income Policy Blmbg. Barc. U.S. Universal Index

5.6

6.0

6.4

6.8

7.2

7.6

Re

turn

(%)

3.5 3.6 3.7 3.8 3.9 4.0 4.1 4.2Risk (Standard Deviation %)

Blmbg. Barc. U.S. Universal Index

Total Fixed Income Policy

Total Fixed Income Composite

Growth of $100: Since Inception

Total Fixed Income Composite

Total Fixed Income Policy

Blmbg. Barc. U.S. Universal Index

$0.00

$250.00

$500.00

$750.00

$1,000.00

3/90 12/92 9/95 6/98 3/01 12/03 9/06 6/09 3/12 12/14 9/17 9/20

$636.18

$606.61

$844.76

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

DownMarket

Capture

InceptionDate

Total Fixed Income Composite 7.25 4.15 1.05 113.51 101.33 04/01/1990

Blmbg. Barc. U.S. Universal Index 6.25 3.55 0.97 100.43 95.21 04/01/1990

Total Fixed Income Policy 6.09 3.58 0.92 100.00 100.00 04/01/1990 90 Day U.S. Treasury Bill 2.78 0.67 N/A 23.60 -29.81 04/01/1990

Teachers' Retirement System of Oklahoma

Total Fixed Income CompositeAs of September 30, 2020

Page 104 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 7.16 5.19 1.03 139.12 9 139.48 3

Index 5.15 3.36 1.01 100.00 10 100.00 2

90 Day U.S. Treasury Bill 1.69 0.25 N/A 15.51 12 -21.02 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 6.73 4.69 1.16 147.43 15 132.54 5

Index 4.31 3.12 1.00 100.00 16 100.00 4

90 Day U.S. Treasury Bill 1.18 0.27 N/A 12.32 19 -15.83 1

Risk and Return 3 Years

Investment Index

4.5

5.0

5.5

6.0

6.5

7.0

7.5

Retu

rn (%

)

2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.2 5.4 5.6Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

3.6

4.2

4.8

5.4

6.0

6.6

7.2

7.8

Retu

rn (%

)

2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 5.0Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Broad Market Core+ Fixed Income (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 19 (95%) 1 (5%) 0 (0%) 0 (0%)¾

Index 20 0 (0%) 1 (5%) 3 (15%) 16 (80%)¾

5 Year Rolling Percentile Rank IM U.S. Broad Market Core+ Fixed Income (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 20 (100%) 0 (0%) 0 (0%) 0 (0%)¾

Index 20 0 (0%) 0 (0%) 1 (5%) 19 (95%)¾

Strategy Review

Total Fixed Income Composite | Total Fixed Income Policy

As of September 30, 2020

Page 105 of 292

Peer Group Analysis - IM U.S. Broad Market Core+ Fixed Income (SA+CF)

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment 2.29 (20) 2.29 (20) 9.97 (2) 10.80 (3) 7.16 (2) 6.05 (4) 6.73 (3)��

Index 0.99 (88) 0.99 (88) 6.68 (72) 8.36 (75) 5.15 (78) 4.09 (85) 4.31 (87)��

Median 1.71 1.71 7.44 8.82 5.72 4.70 5.09

Peer Group Analysis - IM U.S. Broad Market Core+ Fixed Income (SA+CF)

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 12.11 (11) -1.14 (81) 6.68 (13) 7.77 (13) -1.90 (90) 7.93 (6) 0.15 (34)��

Index 9.29 (71) -0.25 (50) 4.09 (76) 3.04 (90) 0.55 (40) 5.97 (61) -2.02 (93)��

Median 9.94 -0.32 4.79 4.69 0.31 6.19 -0.51

Comparative Performance

1 QtrEnding

Jun-2020

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

Investment 6.27 (40) 0.96 (31) 0.20 (82) 3.05 (3) 3.83 (6) 4.57 (13)

Index 3.81 (90) 1.30 (26) 0.45 (55) 2.12 (71) 3.11 (69) 3.32 (72)

Median 5.83 -0.28 0.50 2.30 3.24 3.61

Strategy Review

Total Fixed Income Composite | Total Fixed Income Policy

As of September 30, 2020

Page 106 of 292

September 30, 2020 : $3,758,719,541

Loomis Multisector Full Discretion26.1%

Hoisington Macroeconomic FI23.6%

Mackay Core Plus Extended Discretion25.4%

Lord Abbett Core Plus Full Discretion24.9%

Asset Allocation By Manager

Total Fixed Income

As of September 30, 2020

Blue: Core Plus. Grey: Active Duration.

Page 107 of 292

Comparative Performance Fixed Income Summary as of September 30, 2020

Core Plus Fixed Income Active Duration Fixed Income Total Fixed Income Composite Total Fixed Income Policy

0.0

4.0

8.0

12.0

16.0

20.0

24.0

Re

turn

(%)

QTD FYTD 1 YR 3 YR 5 YR 10 YR Inception

1.0 1.0

6.7

5.1

4.33.7

4.4

2.3 2.3

10.0

7.26.7

6.0

6.7

0.5 0.5

18.7

13.9

9.3

8.38.0

2.9 2.9

7.9

5.55.2

4.9

5.7

QTD FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Core Plus Fixed Income 2.9 2.9 7.9 5.5 5.2 4.9 5.9 08/01/1999

Active Duration Fixed Income 0.5 0.5 18.7 13.9 9.3 8.3 8.0 11/01/2004

Total Fixed Income Composite 2.3 2.3 10.0 7.2 6.7 6.0 7.2 04/01/1990

Total Fixed Income Policy 1.0 1.0 6.7 5.1 4.3 3.7 7.4 01/01/1976

Comparative Performance

Total Fixed Income

As of September 30, 2020

Returns are expressed as percentages.

Page 108 of 292

Peer Group Analysis

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

Re

turn

IM U.S. Broad Market Core+ Fixed Income (SA+CF)

QTR FYTD 1 YR 3 YR 5 YR 10 YR Inception

Total Fixed Income 2.29 (20) 2.29 (20) 9.97 (2) 7.16 (2) 6.73 (3) 5.97 (6) 7.25 (26)��

Total FI Core Plus 2.87 (9) 2.87 (9) 7.92 (38) 5.49 (63) 5.18 (43) 4.88 (37) -��

Total FI Active Duration 0.47 (100) 0.47 (100) 18.70 (1) 13.90 (1) 9.34 (1) 8.29 (1) -��

Loomis Multisec Full Disc 2.64 (13) 2.64 (13) 10.63 (2) 6.07 (24) 6.00 (14) 5.35 (16) -��

Lord Abbett Core Plus Full Disc 2.85 (10) 2.85 (10) 5.47 (90) 4.77 (87) 4.52 (83) 4.48 (63) -��

Mackay Core Plus Ext Disc 3.13 (7) 3.13 (7) 7.77 (42) 5.44 (65) 4.93 (59) 4.74 (48) -��

Hoisington Macroeconomic FI 0.47 (100) 0.47 (100) 18.70 (1) 13.90 (1) 9.34 (1) 8.38 (1) -��

Total Fixed Income Policy 0.99 (88) 0.99 (88) 6.68 (72) 5.15 (78) 4.31 (87) 3.70 (94) 6.09 (100)��

5th Percentile 3.24 3.24 9.23 6.49 6.38 6.00 7.47

1st Quartile 2.00 2.00 8.42 6.04 5.53 5.08 7.27

Median 1.71 1.71 7.44 5.72 5.09 4.65 6.82

3rd Quartile 1.30 1.30 6.58 5.29 4.69 4.31 6.56

95th Percentile 0.83 0.83 3.16 3.37 3.78 3.65 6.32

Peer Group Analysis

Total Fixed Income

As of September 30, 2020

Parentheses contain percentile rankings.Calculation based on quarterly periodicity.

Page 109 of 292

Fixed Income Statistics - Trailing Five Years

AlphaInformation

RatioTracking

ErrorSharpeRatio

UpMarket

Capture

DownMarket

Capture

ActualCorrelation

Core Fixed Income

Loomis Multisector Full Discretion 0.90 0.75 2.57 0.93 129.56 101.15 0.88

Total Fixed Income Core Plus Policy 0.00 - 0.00 0.80 100.00 100.00 1.00

IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 1.24 0.57 1.70 1.03 112.74 87.65 0.90

Lord Abbett Core Plus Full Discretion -0.62 0.27 1.89 0.69 114.56 117.31 0.94

Total Fixed Income Core Plus Policy 0.00 - 0.00 0.80 100.00 100.00 1.00

IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 1.24 0.57 1.70 1.03 112.74 87.65 0.90

Mackay Core Plus Extended Discretion -0.10 0.50 1.81 0.79 119.07 113.88 0.94

Total Fixed Income Core Plus Policy 0.00 - 0.00 0.80 100.00 100.00 1.00

IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 1.24 0.57 1.70 1.03 112.74 87.65 0.90

Active Duration Fixed Income

Hoisington Macroeconomic FI -3.88 0.59 10.12 0.64 314.15 403.38 0.96

Total Fixed Income Active Duration Policy 0.00 - 0.00 0.76 100.00 100.00 1.00

IM U.S. Government Bonds (SA+CF) Median 0.31 -0.22 2.93 0.69 92.13 70.75 0.95

Multi-Statistics

Total Fixed Income

As of September 30, 2020

Page 110 of 292

Firm Strategy Name

CompQuarter Return*

Comp Strategy Range

Min

Comp Strategy Range

Max

Hotchkis and Wiley Capital Management

Mid-Cap Value 3.17% 2.85% 3.45%

Wellington Management Company

Mid Cap Growth 7.45% 7.44% 7.65%

Frontier Capital Management

Small Cap Value 2.93% 2.58% 3.18%

Geneva Capital Management

US Small Cap Growth 2.08% 1.99% 2.15%

Neumeier Poma Small-Cap Value 8.77% 8.08% 8.96%

Shapiro Capital Management Small Cap 11.09% 10.57% 12.82%

Manager WriteupsTotal Fund

As of September 30, 2020

What Helped What Hurt

Domestic Equity Manager(Small Cap)

1. Outperformance during the quarter was attributable to positive sector allocation; aided primarily by a meaningful overweight inindustrials. Stock selection was strongest in industrials and technology, offset by weakness in consumer discretionary. 2. The portfolio’s ten best contributing stocks each added approximately 50 bps on average to absolute performance. These holdings were spread over three sectors and included five industrials companies, three consumer discretionary positions and twotechnology stocks. 3. The top contributor was BMC Stock Holdings (BMCH). The stock added approximately 100 bps to performance as companysignificantly exceeded consensus revenue and earnings expectations for the 2nd quarter. BMCH executed well on its strategy of growing high value-added products such as millwork and windows, increasing repair and remodel sales, generating cash flow and acquiring smaller firms. In late August, the company agreed to merge with a similar distributor, Builders FirstSource (BLDR), in an all-stock transaction. The merger should accelerate growth and deliver $140 million in cost synergies by the third year. Continue to find the stock attractive but reduced the position size following its outperformance and higher weighting in the portfolio.

1. Stock selection during the quarter was neutral. 2. The portfolio’s ten worst contributing stocks in the quarter trimmed approximately 30 bps each on average from performance. These stocks were spread over five sectors and included three companies each from financials and consumer discretionary, two utilities stocks and one position each from basic materials and energy.3. The largest detractor during the period was Washington Federal (WAFD), a Seattle-based bank that serves eight western states.The stock deducted approximately 50 basis points from performance despite posting fiscal third quarter earnings that exceeded consensus expectations. Nonperforming assets increased only slightly as a percentage of total assets. Washington Federal is well-capitalized with relatively low credit risk given more than half of its portfolio consists of single and multi-family home loans with low loan-to-value ratios. The bank has low exposures to industries most impacted by COVID-19, such as hotels. Going forward, Washington Federal has opportunities to reduce deposit costs by repricing time deposits, to cut expenses and to take market share from larger banks. The bank appears to be in a good position to repurchase its shares in the future as it has done in the past.Trading below tangible book value, the stock is attractive.

Domestic Equity Manager(Mid Cap)

1. Selection in in communication services, health care, and consumer staples.2. Overweight to consumer discretionary and lack of exposure to energy.3. Top relative contributors: Bright Horizons Family Solutions, BioMarin Pharmaceutical.

1. Weak selection in IT and Industrials.2. Overweight to financials, underweight to health care, and lack of exposure to materials.3. Top relative detractors: Hexcel and not holding Immunomedics.

1. The portfolio’s value-focused approach hurt relative performance as the most deeply discounted stocks underperformed.2. The overweight position in energy, combined with the overweight position and stock selection in financials detracted from performance.3. The largest detractors to relative performance in the quarter were Kosmos Energy, Apache, Fluor, AIG, and ODP Corp.

1. Positive stock selection in industrials helped performance.2. Positive stock selection in technology helped performance.3. The largest positive contributors to relative performance in the quarter were Navistar, Cairn Energy, Royal Mail, Bed Bath &Beyond, and Corning.

1. Kinsale Capital shares were up 22.6% during the quarter after reporting strong results. Gross written premium grew 41%, the firm posted a combined ratio of 83.8% (100 bps increase YoY) and saw strong improvement on the expense ratio as they came in at 23.7%. Submission growth was improved in June and much better than earlier in the quarter; dislocation in the P&C market anda hardening market were also a tailwind. Rates were up 10-12% and they are benefitting from more conservative policies (better underwriting margins). 2. Bright Horizons Family Solutions reported strong results; Q2 revenue beat the highest street est. by almost 40%.Profitability was driven by better than expected full service center performance, strong cost management, as well as strong contribution from higher-margin backup (up 94% YoY) and education advisory businesses. Additionally, company announced the acquisition of Sittercity. 3. LHC Group delivered solid second quarter results, highlighted by strong margin performance. The key to the report was indications that admissions activity and other key metrics have sharply improved in recent months (including July), translating tomuch healthier growth going forward. LHCG’s high-quality operations are paying dividends in the current environment andmanagement remains very bullish about the setup exiting 2020 and into 2021/beyond.

1. Shares of Tabula Rasa Healthcare were down 25.5%. While Q2 results were only slightly below estimates, the real disappointment was the sharp reduction in 2020 guidance as TRHC is seeing greater-than-anticipated negative impact from COVID. Remains optimistic on 2021 given large number of bookings but need to normalize in order for them to capitalize on this.2. Exponent Inc. shares retreated 10.8% during the quarter on the back of what was a solid quarterly report. The company reported Q2 earnings which beat analyst expectations; EBITDA margins were down 350bps year-over-year but ahead of estimates and utilization also came in ahead of estimates. COVID-related restrictions negatively impacted business. Weakness in shares occurred in Sept, investors rotated out of higher quality companies into more cyclical companies. 3. Shares of Alarm.com Holdings declined 14.8% during the period. The company beat on revenue and earnings and guidance wasalso raised. Management noted a stronger recovery than anticipated, specifically in the North American market. The renewal rate came in at the high end of their range at 94% and the core business seems to be performing well with mid-teen growth rates. During the period ADT and Google announced a partnership to collaborate on home security; details on the partnership are scarce but the combination will be something to monitor.

1. 33% of the portfolio had positions up +15% or greater in the quarter.2. Superior stock selection in financials and green energy stocks.3. Overweight allocaqtion in industrial and Consumer Discretionary vs. the benchmark.

1. Consumer Discretionary stock performance trailed the benchmark.2. Lack of the portfolio's exposure to Materials & Energy was a minor drag.3. Cash position created a minor drag.

1. The recovery, in general of sensibly levered companies, was a source of excess performance as expected. All three companiescited in prior quarter as examples of companies inordinately punished for having debt continued to recover in Q3. Also the portfolio’s “enhanced” flexibility was the source of the portfolios top contributor as FedEx was the portfolio’s top contributor2. Although the growth style continued to outperform in Q3, which created a headwind for our value portfolio in general, three stocks which fit somewhat the growth profile; Maxar, Albemarle (lithium) and Entegris benefited from the growth style tilt. The associated contribution however was limited by underweighting due to higher than typical valuations.3. Despite the value style underperforming for the quarter, the portfolio benefitted from stock selection. Consumer discretionary stocks were strong with Urban Outfitters and Hanes Brands qualifying among the portfolio’s top three contributors.

1. While the vast majority of portfolio companies reported earnings in excess of expectations investors were disappointed by messaging from two. Varex Imaging, a company that also underperformed the previous quarter, came under pressure again as investors were concerned about a possible debt covenant violation. Upon a successful refinancing in late September, the stock hasstarted to recover. Ciena reported strong Q2 earnings but the shares sold off when this optical equipment supplier warned the global re-emergence of the pandemic would depress back half results as projects are being delayed.2. The growth style tilt of the market remained a headwind during Q3. The growth style index outperformed the value counterpart by another 460 basis points. As the valuation disparity extends to historic extremes we have continually shaved back exposure to the portfolio’s holdings that are benefitting from a growth association like Entegris while adding on the margin to those more firmly in thevalue camp. 3. The portfolio remains underweight technology and biotech which continue to benefit from small caps preference for more speculative business models.

Page 111 of 292

Firm Strategy Name

CompQuarter Return*

Comp Strategy Range

Min

Comp Strategy Range

Max

Manager WriteupsTotal Fund

As of September 30, 2020

What Helped What Hurt

Wasatch Advisors Small Cap Core Growth 6.90% 6.36% 7.12%

Allianz

Best StylesInternational Equity MSCI ACWI ex-US

(Net)

5.94%TRSO only

account.

TRSO only

account.

Causeway Capital Management

International Opportunities 3.59% 3.40% 3.80%

Wellington Management Company

International Quality Growth

11.90% 11.10% 12.10%

Wasatch Advisors International Growth 13.21% 12.58% 14.29%

Wellington Management Company

International Small Cap

Equity8.68% 8.60% 8.73%

1. During the third quarter, U.S. small-cap stocks added to their second-quarter gains—albeit at a slower pace. The Wasatch Small Cap Core Growth strategy gained 6.80% while its benchmark, the Russell 2000® Growth Index, rose 7.16% and the Russell 2000 Index increased 4.93%. 2. Regarding sectors, information technology (IT) and health care were the strategy’s largest sources of outperformance relative to the benchmark during the third quarter. In both sectors, favorable stock selection was the key factor. Notwithstanding a temporary pullback during September, IT stocks have continued their strong performance as many tech companies have actually benefited from the pandemic.

1. Industrials holdings lagged and created a drag on the strategy’s relative performance. The most-significant detractor within the sector was RBC Bearings, Inc. (ROLL). RBC clearly is connected to an industry that has been impacted heavily by decreased travel amid the pandemic, but have confidence in company’s management team and believe the company’s growth prospects are helped by the stability of its end-markets (significant percentage of business connected to defense/ space). 2. Holdings in the financials sector subtracted a small amount from the strategy’s return and underperformed. The leading detractorwithin the sector was Cohen & Steers, Inc. (CNS). The company recently reported a decrease in revenue largely related to the coronavirus pandemic. The report wasn’t exclusively negative, however, showed a decrease in expenses and increase in operating margin. Over the long term, believe the company has strong growth potential.3. Largest detractor from strategy performance for the third quarter was Monro, Inc. (MNRO). Company has been impacted in the short term by stay-at-home orders and decreased travel. Also, Monro’s CEO resigned to become the CEO of a larger company. Board Chairman Mellor has been appointed interim CEO, and search for a successor has been initiated. Spoke to Mr. Mellor recently and feel comfortable that a sound, long-term business plan remains in place for the company.

International Equity Manager(Large Cap)

1. Allocation to Momentum, Revisions, and Quality.2. Tight sector controls to keep tracking error in line in what was a volatile quarter.3. Off benchmark names.

1. Selection in communication services and real estate.2. Underweight to real estate and energy, and overweight to consumer discretionary.3. Top relative contributors: STRATEC SE, B&M European Value Retail.

1.Strategy gained 13.17% and outperformed its benchmark, the MSCI AC (All Country) World ex USA Small Cap Index, which finished the quarter up 10.50%. Markets again displayed considerable volatility in the third quarter, broadly climbing through July and August before a decline in September that erased a portion of those gains across most major indexes.2. Japan was the strategy’s top contributor to performance on a country basis and we outperformed the benchmark in Japan drivenby stock selection. The strategy’s leading contributor from Japan was Menicon Co. Ltd., a firm that manufactures and markets contact lenses and lens-care products and has quickly grown to become the second-largest contact-lens company in Japan. Stock selection was also the main factor in the strategy’s outperformance of the benchmark in the United Kingdom and Australia, our two most heavily weighted countries after Japan.3. On a sector basis, financials added the most to strategy’s return for the quarter. Outperformed the benchmark in the sector led byNetwealth Group Ltd., the strategy’s top individual contributor. Netwealth operates a technology platform to help financial advisors administer and manage their clients’ assets. The firm reported strong inflows in funds under administration and a 14.5% year-over-year increase in member accounts in its June 2020 quarterly financial report.

International Equity Manager(Small Cap)

1. Value style underperformed.2. Stock selection within Energy and Healthcare sectors.3. Outperformance of expensive/high valuation names.

1. Selection in industrials, consumer discretionary, and health care.2. Underweight to communication services.3. Top relative detractors: Bravura Solutions, Beazley.

1. Selection in consumer discretionary and consumer staples.2. Underweight to consumer staples and overweight to IT and consumer discretionary. 3. Top contributing names: Alibaba, Taiwan Semiconductor.

1. Selection in IT and communication services.2. Overweight to financials and lack of exposure to materials.3. Top detracting names: Worldline, not holding Meituan Dianping.

1. Holdings in Germany, Ireland, and India, as well as an overweight position in South Korea and an underweight position in Australia.2. Holdings in the materials industry group, as well as an overweight position in the semiconductors & semi equipment, warrants, and transportation industry groups and an underweight position in the utilities industry group.3. Top contributors: integrated circuit manufacturer, Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan), mail, express & logistics services provider, Deutsche Post AG (Germany), industrial conglomerate, Siemens AG (Germany), power & automationtechnology company, ABB Ltd. (Switzerland), and semiconductor company, Infineon Technologies AG (Germany).

1. Holdings in the United Kingdom, France, Italy, China, and Japan2.Holdings in capital goods, food beverage & tobacco, pharmaceuticals & biotechnology, and commercial & professional servicesindustry groups, along with anoverweight position in the banks industry group.3. Top detractors: Jet engine manufacturer, Rolls-Royce Holdings Plc (United Kingdom), banking & financial services company, UniCredit S.p.A. (Italy), crude oil & natural gas company, BP Plc (United Kingdom), bank, Banco Bilbao VizcayaArgentaria SA (Spain), and pharmaceuticals & chemicals company, Bayer AG (Germany).

1. CyberArk Software Ltd. (CYBR), a position added during the quarter, finished as a detractor. Optimistic about the company’s prospects and often view a decline in a company’s stock price as an attractive buying opportunity. Like many other IT companies, CyberArk has enjoyed tailwinds in the current pandemic environment as organizations shift more of their operations online. Believe CyberArk is already among the leaders in the cybersecurity space and should have years of growth ahead of it, driven by a strong platform attracting a steadily increasing subscriber base.2. Another detractor during the quarter was Webjet Ltd., an online travel agency . Still believe the company has a shot at gaining market share in the current pandemic, ultimately chose to consolidate the strategy’s travel-related holdings and decided that long-term thesis for Webjet was less convincing than other, similarly positioned holdings. As a result, exited the position.2. Korea, while adding to the strategy’s return, was the largest detractor from performance versus the benchmark as holdings underperformed their benchmark peers. China, which represented less than 2% of the strategy’s assets at quarter end, detracted slightly from the strategy’s return. Underweight relative to the benchmark in China and Chinese holdings underperformed.

Page 112 of 292

Firm Strategy Name

CompQuarter Return*

Comp Strategy Range

Min

Comp Strategy Range

Max

Manager WriteupsTotal Fund

As of September 30, 2020

What Helped What Hurt

Loomis, Sayles & Company

Core Plus Fixed Income 2.84% 2.44% 3.21%

Lord Abbett Core Plus 2.80% 2.53% 2.83%

Mackay ShieldsCore Plus Extended Discretion

3.18%TRSO only

account.

TRSO only

account.

Hoisington Investment Management

Macroeconomic Fixed Income

0.27% 0.03% 0.32%

* Manager provided data

1. The underweight to high yield credit hampered excess returns.2. Liquid investments hindered relative return as higher-yielding assets outperformed.3. Security selection in convertibles weakened performance.

Fixed Income (Core)

1. The longer duration securities returned a negative return for the quarter.2. The significant depth of the treasury market allows for all accounts to hold the same securities helping to reduce return variance.

1. Security selection in investment grade credit was the primary source of outperformance for the quarter.2. Notable underweight to US Treasurys aided returns.3. Underweight in securitized, along with security selection, were beneficial towards excess returns.

1.An overweight to Corporates where spreads tightened helped performance led by the Banking industry. 2. High yield spreads tightened by 109 basis points during the quarter in terms of spread. The high yield sector, overweight the index added nicely to portfolio performance. Consumer Non-Cyclicals also overweight the index, was a positive contributor.3. CMBS and ABS where we continue to favor higher rated, shorter duration securities were both positive contributors toperformance.

1. Independent Energy and Airlines were among the top performers while energy refining was the worst performer in terms of total return.2. Within the High Yield sector, the Energy sector detracted from performance on a relative basis. Oil Field Services significantlylagged in terms of total return.

1. The largest contributor to relative performance over the quarter was security selection within corporate credit – within both investment grade and high yield. The portfolio’s positive contribution from security selection was driven by the financial, consumer cyclical, and consumer non-cyclical sectors. 2. A significant underweight to U.S. Treasuries also contributed to relative performance. The asset class underperformed corporate credit and securitized sectors as the U.S. economy continued reopening and rate volatility was muted.

1. A modest allocation to cash and cash equivalents detracted from performance as risk assets posted positive returns.2. Also detracting over the period was the portfolio’s allocation to asset-backed securities (ABS). Continue to favor high quality ABS that are backed by credit cards and auto loans, and have avoided areas of the market that have been more directly exposed to the impact of the coronavirus, such as container and aircraft ABS. High quality ABS lagged other fixed income sectors during the quarter.

Page 113 of 292

3rd Quarter 2020 Performance Attribution

Page 114 of 292

0.0% 0.4% 0.8% 1.2%-0.4 %-0.8 %-1.2 %-1.6 %-2.0 %-2.4 %

Transition Account

Neumeier Poma Small Cap Value

Frontier Small Cap Value

Wasatch Small Cap Core Growth

Geneva US Small Cap Growth

Shapiro Enhanced Small Cap Value

Hotchkis & Wiley Mid Cap Value

Wellington Mid Cap Growth

SciBeta US HFE MBMS

Northern Trust Russell Midcap

Northern Trust Russell 1000

Benchmark Effect

Cash Flow Effect

Total Excess Return

0.0%

0.1%

0.0%

0.0%

-0.2 %

0.6%

0.0%

-0.2 %

0.0%

0.0%

0.0%

-1.9 %

0.0%

-1.5 %

Asset Class Attribution

Total Domestic Equity Composite

1 Quarter Ending September 30, 2020

Page 115 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

0.9

1.8

2.7

3.6

4.5

5.4

6.3

-0.9

-1.8

-2.7

-3.6

-4.5

-5.4

-6.3

Re

turn

(%)

4/90 7/91 10/92 1/94 4/95 7/96 10/97 1/99 4/00 7/01 10/02 1/04 4/05 7/06 10/07 1/09 4/10 7/11 10/12 1/14 4/15 7/16 10/17 1/19 9/20

Relative Performance

Total Domestic Equity Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 116 of 292

Portfolio Characteristics (Benchmark: Russell 3000 Index)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 134,095,247,505 378,975,894,227

Median Mkt. Cap ($) 8,302,725,550 1,536,089,335

Price/Earnings ratio 23.90 26.57

Price/Book ratio 3.50 4.39

5 Yr. EPS Growth Rate (%) 11.09 12.89

Current Yield (%) 1.55 1.59

Beta (5 Years, Monthly) 1.10 1.00

Number of Stocks 1,215 3,034

Top Ten Equity Holdings (Benchmark: Russell 3000 Index)

Portfolio (%) Benchmark (%) Active (%) Qtr Rtn (%)

Apple Inc 1.61 5.62 -4.01 27.22

Microsoft Corp 1.28 4.74 -3.46 3.60

Amazon.com Inc 1.24 4.02 -2.78 14.13

Barnes Group Inc 1.22 0.01 1.21 -9.28

Walmart Inc 0.84 0.59 0.25 17.28

FedEx Corp. 0.77 0.18 0.59 79.90

Pfizer Inc 0.77 0.61 0.16 13.33

Facebook Inc 0.58 1.89 -1.31 15.34

Verizon Communications Inc 0.57 0.74 -0.17 9.14

Merck & Co Inc 0.54 0.63 -0.09 8.04

% of Portfolio 9.42 19.03 -9.61Distribution of Market Capitalization (%)

Total Domestic Equity Composite Russell 3000 Index

0.0 8.0 16.0 24.0 32.0 40.0 48.0 56.0 64.0

Cash

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

75 Bil - 100 Bil

>100 Bil

Ten Best Performers

Portfolio (%)Benchmark

(%)

Immunomedics Inc 0.04 0.05

L Brands Inc 0.02 0.02

Tesla Inc 0.24 0.95

NovoCure Ltd 0.03 0.03

Pinterest Inc 0.04 0.05

Livongo Health Inc 0.02 0.02

Carvana Co 0.03 0.04

Zoom Video Communications Inc 0.17 0.24

FedEx Corp. 0.77 0.18

Zillow Group Inc 0.01 0.02

% of Portfolio 1.37 1.60

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 6.5 9.9 10.55 9.11 0.09 0.00 0.09

Consumer Discretionary 12.0 11.8 15.70 19.06 -0.38 0.03 -0.35

Consumer Staples 5.9 6.3 9.02 10.20 -0.07 0.00 -0.07

Energy 2.5 2.4 -17.88 -18.83 0.03 -0.04 -0.01

Financials 10.2 10.3 2.34 3.43 -0.11 0.01 -0.11

Health Care 13.4 14.6 6.42 6.23 0.04 0.04 0.08

Industrials 14.2 8.7 8.79 11.88 -0.43 0.15 -0.29

Information Technology 22.1 26.9 6.67 11.84 -1.16 -0.11 -1.27

Materials 4.3 2.7 8.90 11.93 -0.13 0.04 -0.09

Real Estate 4.0 3.5 0.73 1.34 -0.03 -0.03 -0.06

Utilities 4.2 2.9 4.68 5.13 -0.02 -0.05 -0.07

Other 0.6 0.0 2.78 -43.55 0.33 -0.36 -0.04

Cash 0.2 0.0 0.04 0.00 0.00 -0.01 -0.01

Total 100.0 100.0 7.01 9.20 -1.84 -0.35 -2.19

Ten Worst Performers

Portfolio (%) Benchmark (%)

Occidental Petroleum Corp 0.02 0.03

Kosmos Energy Ltd 0.05 0.00

Coty Inc 0.00 0.00

Biomarin Pharmaceutical Inc 0.05 0.04

Reata Pharmaceuticals Inc 0.01 0.01

Murphy Oil Corp 0.00 0.00

Agios Pharmaceuticals Inc 0.00 0.01

Marathon Oil Corp 0.03 0.01

Kirby Corp 0.01 0.01

HollyFrontier Corp 0.01 0.01

% of Portfolio 0.18 0.12

Holdings Based Analysis

As of September 30, 2020

Total Domestic Equity Composite

Page 117 of 292

Style Breakdown

PortfolioWeight

BenchmarkWeight

ActiveWeight

PortfolioReturn

BenchmarkReturn

WeightImpact

StockSelection

InteractionSelection

ImpactTotal

Contribution

Cash 0.46 0.00 0.46 0.83 0.00 -0.11 0.00 0.00 0.00 -0.11

Large Growth 11.36 27.88 -16.52 40.29 51.28 -5.06 -2.42 1.43 -0.99 -6.05

Large Neutral 11.36 23.40 -12.04 12.40 17.03 -0.30 -0.99 0.56 -0.43 -0.73

Large Value 9.80 15.57 -5.77 -7.98 -12.86 1.67 0.92 -0.33 0.59 2.25

Mid Growth 10.60 4.89 5.70 32.16 33.65 0.88 -0.04 -0.05 -0.09 0.79

Mid Neutral 18.47 8.58 9.89 6.65 9.61 -0.59 -0.27 -0.31 -0.58 -1.17

Mid Value 17.32 9.25 8.07 -15.97 -14.36 -2.49 -0.18 -0.17 -0.36 -2.85

Small Growth 0.92 0.51 0.41 9.71 40.41 0.10 -0.09 -0.09 -0.18 -0.08

Small Neutral 4.35 1.41 2.94 1.42 8.21 -0.24 -0.11 -0.32 -0.43 -0.67

Small Value 10.95 3.27 7.68 -23.13 -13.29 -2.03 -0.42 -1.10 -1.52 -3.55

Unclassified 4.41 5.23 -0.82 5.48 3.85 0.10 0.07 -0.01 0.06 0.16

Total 100.00 100.00 0.00 3.23 15.23 -8.07 -3.53 -0.40 -3.93 -12.00

Style Breakdown - Total Contribution

Active Weight Total Contribution

0.00

10.00

20.00

-10.00

-20.00

0.00

4.00

8.00

-4.00

-8.00

Cas

h

Larg

e G

rowth

Larg

e N

eutra

l

Larg

e Val

ue

Mid

Gro

wth

Mid

Neu

tral

Mid

Value

Smal

l G

rowth

Smal

l N

eutra

l

Small

Val

ue

Unc

lass

ified

-0.11

-6.05

-0.73

2.25

0.79

-1.17

-2.85

-0.08-0.67

-3.55

0.160.46

-16.52

-12.04

-5.77

5.70

9.898.07

0.41

2.94

7.68

-0.82

US Equity Attribution Summary

Total Domestic Equity Composite

Periods: 10/01/2019 - 09/30/2020

Page 118 of 292

Sector Breakdown

PortfolioWeight

BenchmarkWeight

ActiveWeight

PortfolioReturn

BenchmarkReturn

WeightImpact

StockSelection

InteractionSelection

ImpactTotal

Contribution

Communication Services 6.39 9.70 -3.32 -0.92 18.75 -0.12 -1.86 0.64 -1.22 -1.34

Consumer Discretionary 12.84 10.70 2.14 11.20 35.95 0.13 -2.23 -0.50 -2.73 -2.60

Consumer Staples 5.32 6.52 -1.19 7.14 7.65 0.15 -0.03 0.03 0.01 0.16

Energy 3.22 3.19 0.03 -50.36 -45.29 -0.17 -0.16 -0.07 -0.23 -0.40

Financials 10.62 12.02 -1.40 -16.71 -14.07 0.46 -0.43 0.04 -0.39 0.06

Health Care 11.46 14.51 -3.05 16.89 23.81 -0.38 -0.90 0.24 -0.66 -1.05

Industrials 13.68 9.37 4.32 -2.98 3.62 -0.40 -0.61 -0.40 -1.02 -1.42

Information Technology 21.24 24.18 -2.94 28.93 46.33 -0.72 -3.50 0.48 -3.02 -3.74

Materials 4.80 2.74 2.06 3.07 8.62 -0.19 -0.15 -0.10 -0.25 -0.43

Real Estate 4.18 3.86 0.32 -17.17 -12.19 -0.14 -0.24 -0.04 -0.28 -0.42

Utilities 5.16 3.23 1.93 -9.20 -7.17 -0.50 -0.08 -0.06 -0.14 -0.64

Other 0.64 0.00 0.64 -4.12 -12.01 -0.18 0.00 0.09 0.09 -0.09

Cash 0.46 0.00 0.46 0.83 0.00 -0.11 0.00 0.00 0.00 -0.11

Total 100.00 100.00 0.00 3.23 15.23 -2.16 -10.19 0.35 -9.84 -12.00

Sector Breakdown - Total Contribution

Active Weight Total Contribution

0.00

3.00

6.00

-3.00

-6.00

0.00

3.00

6.00

-3.00

-6.00

Com

muni

cation Serv

ices

Consum

er Discr

etionary

Consum

er Sta

ples

Energ

y

Financia

ls

Health

Care

Indust

rials

Info

rmatio

n Te

chnol

ogy

Mat

erials

Real

Esta

te

Utilitie

s

Oth

er

Cash

-1.34

-2.60

0.16

-0.40

0.06

-1.05-1.42

-3.74

-0.43 -0.42 -0.64-0.09 -0.11

-3.32

2.14

-1.19

0.03

-1.40

-3.05

4.32

-2.94

2.06

0.32

1.93

0.64 0.46

US Equity Attribution Summary

Total Domestic Equity Composite

Periods: 10/01/2019 - 09/30/2020

Page 119 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

-1.0

-1.5

-2.0

-2.5

-3.0

Re

turn

(%)

4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 9/20

Relative Performance

Total Domestic Equity Indexed Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 120 of 292

Portfolio Characteristics (Benchmark: Russell 3000 Index)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 191,145,734,802 378,975,894,227

Median Mkt. Cap ($) 10,941,191,450 1,536,089,335

Price/Earnings ratio 24.36 26.57

Price/Book ratio 3.68 4.39

5 Yr. EPS Growth Rate (%) 10.40 12.89

Current Yield (%) 1.79 1.59

Beta (5 Years, Monthly) 0.96 1.00

Number of Stocks 1,021 3,034

Top Ten Equity Holdings (Benchmark: Russell 3000 Index)

Portfolio (%) Benchmark (%) Active (%) Qtr Rtn (%)

Apple Inc 2.37 5.62 -3.25 27.22

Microsoft Corp 1.89 4.74 -2.85 3.60

Amazon.com Inc 1.83 4.02 -2.19 14.13

Barnes Group Inc 1.70 0.01 1.69 -9.28

Walmart Inc 1.24 0.59 0.65 17.28

Facebook Inc 0.85 1.89 -1.04 15.34

Verizon Communications Inc 0.84 0.74 0.10 9.14

Merck & Co Inc 0.79 0.63 0.16 8.04

Alphabet Inc 0.68 1.32 -0.64 3.35

QUALCOMM Inc. 0.67 0.40 0.27 29.70

% of Portfolio 12.86 19.96 -7.10Distribution of Market Capitalization (%)

Total Domestic Equity Indexed Composite Russell 3000 Index

0.0 8.0 16.0 24.0 32.0 40.0 48.0 56.0 64.0

Cash

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

75 Bil - 100 Bil

>100 Bil

Ten Best Performers

Portfolio (%)Benchmark

(%)

Immunomedics Inc 0.06 0.05

L Brands Inc 0.02 0.02

Tesla Inc 0.36 0.95

NovoCure Ltd 0.04 0.03

Pinterest Inc 0.06 0.05

Livongo Health Inc 0.03 0.02

Carvana Co 0.04 0.04

Zoom Video Communications Inc 0.25 0.24

FedEx Corp. 0.38 0.18

Zillow Group Inc 0.02 0.02

% of Portfolio 1.26 1.60

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 6.5 9.9 9.09 9.11 0.00 0.00 0.00

Consumer Discretionary 10.4 11.8 15.79 19.06 -0.31 -0.13 -0.44

Consumer Staples 8.2 6.3 8.68 10.20 -0.12 0.02 -0.10

Energy 2.3 2.4 -18.08 -18.83 0.02 0.03 0.05

Financials 10.7 10.3 2.38 3.43 -0.11 -0.02 -0.14

Health Care 13.8 14.6 5.64 6.23 -0.08 0.03 -0.05

Industrials 13.8 8.7 5.71 11.88 -0.85 0.13 -0.71

Information Technology 20.7 26.9 9.20 11.84 -0.55 -0.15 -0.71

Materials 3.2 2.7 12.35 11.93 0.02 0.02 0.03

Real Estate 5.0 3.5 0.67 1.34 -0.04 -0.12 -0.16

Utilities 5.3 2.9 4.90 5.13 -0.01 -0.10 -0.11

Other 0.0 0.0 0.00 -43.55 0.00 0.00 0.00

Cash 0.2 0.0 0.04 0.00 0.00 -0.02 -0.02

Total 100.0 100.0 6.84 9.20 -2.05 -0.31 -2.35

Ten Worst Performers

Portfolio (%) Benchmark (%)

Occidental Petroleum Corp 0.03 0.03

Coty Inc 0.00 0.00

Biomarin Pharmaceutical Inc 0.08 0.04

Reata Pharmaceuticals Inc 0.01 0.01

Murphy Oil Corp 0.00 0.00

Agios Pharmaceuticals Inc 0.01 0.01

Marathon Oil Corp 0.01 0.01

Kirby Corp 0.01 0.01

HollyFrontier Corp 0.01 0.01

Alteryx Inc 0.02 0.02

% of Portfolio 0.18 0.14

Holdings Based Analysis

As of September 30, 2020

Total Domestic Equity Indexed Composite

Page 121 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

0.8

1.6

2.4

3.2

4.0

4.8

5.6

-0.8

-1.6

-2.4

-3.2

-4.0

-4.8

-5.6

Re

turn

(%)

12/98 12/99 12/00 12/01 12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20

Relative Performance

Total Domestic Equity Active Mid Cap Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 122 of 292

Portfolio Characteristics (Benchmark: Russell Midcap Index)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 12,557,986,226 17,264,972,595

Median Mkt. Cap ($) 7,504,802,120 8,072,435,360

Price/Earnings ratio 22.91 23.69

Price/Book ratio 3.85 3.44

5 Yr. EPS Growth Rate (%) 18.65 9.90

Current Yield (%) 1.00 1.59

Beta (5 Years, Monthly) 1.16 1.00

Number of Stocks 127 821

Top Ten Equity Holdings (Benchmark: Russell Midcap Index)

Portfolio (%) Benchmark (%) Active (%) Qtr Rtn (%)

RMG Acquisition Corp 3.63 0.00 3.63 4.50

IDEXX Laboratories Inc 2.72 0.42 2.30 19.07

BWX Technologies Inc 2.45 0.07 2.38 -0.26

Burlington Stores Inc 2.10 0.17 1.93 4.65

Mettler-Toledo International Inc 2.06 0.29 1.77 19.89

Take-Two Interactive 2.02 0.24 1.78 18.38

KLA Corp 1.95 0.38 1.57 0.04

SS&C Tech. Holdings Inc 1.90 0.17 1.73 7.39

Hamilton Lane Inc 1.83 0.00 1.83 -3.64

CDW Corp 1.81 0.22 1.59 3.23

% of Portfolio 22.47 1.96 20.51Distribution of Market Capitalization (%)

Total Domestic Equity Active Mid Cap Composite Russell Midcap Index

0.0 8.0 16.0 24.0 32.0 40.0 48.0 56.0 64.0 72.0

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

Ten Best Performers

Portfolio (%) Benchmark (%)

Roku Inc 0.56 0.26

Navistar International Corp 0.97 0.00

Bed Bath & Beyond Inc. 0.77 0.00

PPD Inc 0.59 0.08

Fortune Home & Security 1.20 0.15

First Solar Inc 0.73 0.08

Freshpet Inc 0.74 0.00

Bright Horizons Family 1.67 0.12

Cairn Energy PLC, Edinburgh 1.14 0.00

Copart Inc 1.62 0.27

% of Portfolio 9.99 0.96 Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 5.5 4.5 16.21 14.43 0.12 0.08 0.20

Consumer Discretionary 14.7 11.3 11.10 14.67 -0.47 0.25 -0.22

Consumer Staples 2.0 4.4 21.27 6.76 0.28 0.01 0.29

Energy 4.4 2.8 -12.46 -15.58 0.18 -0.40 -0.22

Financials 12.1 11.2 0.37 2.37 -0.24 -0.05 -0.28

Health Care 13.0 13.0 10.15 9.02 0.18 -0.01 0.17

Industrials 13.8 15.0 4.41 11.84 -0.98 -0.06 -1.04

Information Technology 26.3 19.4 3.64 6.13 -0.65 -0.08 -0.73

Materials 0.0 5.1 0.00 12.86 0.00 -0.28 -0.28

Real Estate 1.8 7.5 3.48 0.28 0.07 0.41 0.48

Utilities 2.2 5.9 3.05 4.33 -0.02 0.11 0.09

Other 4.3 0.0 4.50 0.00 0.00 -0.16 -0.16

Total 100.0 100.0 5.69 7.39 -1.53 -0.18 -1.71

Ten Worst Performers

Portfolio (%) Benchmark (%)

Kosmos Energy Ltd 0.48 0.00

Marathon Oil Corp 0.22 0.04

Frank's International NV 0.08 0.00

Apache Corp 0.44 0.05

Fluor Corp 0.52 0.00

Embraer SA 0.20 0.00

National Oilwell Varco Inc 0.08 0.04

Hexcel Corp 0.93 0.04

NexTier Oilfield Solutions Inc 0.28 0.00

Hess Corp 0.42 0.14

% of Portfolio 3.65 0.31

Holdings Based Analysis

As of September 30, 2020

Total Domestic Equity Active Mid Cap Composite

Page 123 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

24.0

-3.0

-6.0

-9.0

Re

turn

(%)

2/98 2/99 2/00 2/01 2/02 2/03 2/04 2/05 2/06 2/07 2/08 2/09 2/10 2/11 2/12 2/13 2/14 2/15 2/16 2/17 2/18 2/19 9/20

Relative Performance

Total Domestic Equity Active Small Cap Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 124 of 292

Portfolio Characteristics (Benchmark: Russell 2000 Index)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 14,276,279,237 2,471,196,462

Median Mkt. Cap ($) 2,622,629,240 645,417,570

Price/Earnings ratio 22.59 17.80

Price/Book ratio 2.89 2.80

5 Yr. EPS Growth Rate (%) 10.60 11.08

Current Yield (%) 1.08 1.31

Beta (5 Years, Monthly) 0.99 1.00

Number of Stocks 235 2,019

Top Ten Equity Holdings (Benchmark: Russell 2000 Index)

Portfolio (%)Benchmark

(%)Active (%) Qtr Rtn (%)

Carter's Inc. 2.51 0.00 2.51 7.29

FedEx Corp. 2.50 0.00 2.50 79.90

Urban Outfitters Inc 2.44 0.08 2.36 36.73

Graphic Packaging Holding Co 2.42 0.00 2.42 1.24

Hanesbrands Inc 2.38 0.00 2.38 40.83

Perspecta Inc 2.36 0.14 2.22 -15.99

FireEye Inc 2.35 0.00 2.35 1.40

Axalta Coating Systems Ltd 2.31 0.00 2.31 -1.69

Pfizer Inc 2.23 0.00 2.23 13.33

Compass Minerals International Inc. 2.19 0.11 2.08 23.28

% of Portfolio 23.69 0.33 23.36

Distribution of Market Capitalization (%)

Total Domestic Equity Active Small Cap Composite

Russell 2000 Index

0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 90.0

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

>100 Bil

Ten Best Performers

Portfolio(%)

Benchmark(%)

FedEx Corp. 2.50 0.00

Pennant Group Inc (The) 0.16 0.05

BMC Stock Holdings Inc 0.21 0.15

Open Lending Corp 0.03 0.00

Lands' End Inc 0.07 0.01

Hannon Armstrong Sustainable Infra 1.05 0.16

Installed Building Products Inc 0.22 0.12

Hanesbrands Inc 2.38 0.00

MacDonald Dettwiler & Assoc 1.38 0.08

Clarivate Analytics Plc 0.23 0.00

% of Portfolio 8.23 0.57

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 7.1 2.5 12.74 -1.26 0.95 -0.28 0.67

Consumer Discretionary 15.9 12.5 17.83 19.19 -0.20 0.49 0.29

Consumer Staples 0.4 3.4 0.17 8.40 -0.03 -0.10 -0.14

Energy 2.3 2.2 -21.86 -9.73 -0.37 0.01 -0.36

Financials 7.8 15.8 3.71 -2.75 0.53 0.64 1.17

Health Care 12.0 20.2 7.22 4.94 0.26 0.01 0.27

Industrials 15.7 14.9 20.49 10.81 1.45 0.06 1.51

Information Technology 24.4 14.0 1.20 2.39 -0.23 -0.26 -0.49

Materials 10.3 4.1 5.37 6.47 -0.14 0.12 -0.02

Real Estate 1.7 6.9 -0.45 -0.02 -0.01 0.27 0.26

Utilities 1.5 3.4 2.74 -3.74 0.11 0.17 0.28

Other 0.7 0.0 0.48 -43.55 0.53 -0.55 -0.02

Total 100.0 100.0 8.32 4.91 2.84 0.56 3.40

Ten Worst Performers

Portfolio (%) Benchmark (%)

MRC Global Inc 0.04 0.02

Ciena Corp 0.89 0.00

Monro Inc 0.22 0.07

Tabula Rasa HealthCare Inc 0.20 0.04

Interface Inc 0.08 0.02

Carpenter Technology Corp 0.08 0.05

WPX Energy Inc 1.82 0.00

Perdoceo Education Corp 0.12 0.04

PQ Group Holdings Inc 0.61 0.02

RPT Realty 0.05 0.02

% of Portfolio 4.11 0.28

Holdings Based Analysis

As of September 30, 2020

Total Domestic Equity Active Small Cap Composite

Page 125 of 292

0.0% 0.4% 0.8% 1.2% 1.6% 2.0% 2.4%-0.4 %-0.8 %

SSGA Emerging Markets Small Cap

Wellington International Small Cap Equity

Wasatch International Small Cap Growth

Wellington International Quality Growth

Allianz Best Styles AC Intl Equity

Causeway Intl Opportunities

Benchmark Effect

Cash Flow Effect

Total Excess Return

0.0%

-0.1 %

0.3%

0.3%

-0.2 %

0.2%

1.4%

0.0%

2.0%

Asset Class Attribution

Total International Equity Composite

1 Quarter Ending September 30, 2020

Page 126 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

22.0

-2.0

-4.0

-6.0

Re

turn

(%)

2/96 2/97 2/98 2/99 2/00 2/01 2/02 2/03 2/04 2/05 2/06 2/07 2/08 2/09 2/10 2/11 2/12 2/13 2/14 2/15 2/16 2/17 2/18 2/19 9/20

Relative Performance

Total International Equity Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 127 of 292

Portfolio Characteristics (Benchmark: MSCI AC World ex USA)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 85,396,781,330 95,729,384,173

Median Mkt. Cap ($) 2,151,355,780 7,794,704,873

Price/Earnings ratio 17.77 18.16

Price/Book ratio 3.33 2.84

5 Yr. EPS Growth Rate (%) 10.60 6.23

Current Yield (%) 2.08 2.63

Beta (5 Years, Monthly) 1.02 1.00

Number of Stocks 1,362 2,375

Top Ten Equity Holdings (Benchmark: MSCI AC World ex USA)

Portfolio (%)Benchmark

(%)Active (%) Qtr Rtn (%)

Tractor Supply Co 2.88 0.00 2.88 9.05

Alibaba Group Holding Ltd 2.81 2.57 0.24 36.29

BHP GROUP LTD 2.51 0.00 2.51 N/A

Tencent Holdings LTD 1.95 1.76 0.19 2.59

Nestle SA, Cham Und Vevey 1.53 1.65 -0.12 N/A

Montrose Environmental Group Inc 1.38 0.00 1.38 N/A

Taiwan Semiconductor ORD 1.32 1.72 -0.40 41.41

ASML Holding NV 0.77 0.73 0.04 0.34

Samsung Electronics Co Ltd 0.71 1.11 -0.40 14.25

NOVARTIS AG 0.66 0.00 0.66 N/A

% of Portfolio 16.52 9.54 6.98

Distribution of Market Capitalization (%)

Total International Equity Composite MSCI AC World ex USA

0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 36.0

Cash

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

75 Bil - 100 Bil

>100 Bil

Ten Best Performers

Portfolio (%)

Benchmark(%)

SPI Energy Co Ltd 0.00 0.00

Korea United Pharmaceuticals Inc 0.04 0.00

Nio Inc 0.02 0.11

Zhengzhou Coal Mining Machinery Group Co Ltd 0.02 0.00

Seegene Inc 0.01 0.02

Birlasoft Ltd 0.02 0.00

Supermax Corp Berhad 0.05 0.01

Persistent Systems Ltd 0.03 0.00

Sohu.com Ltd 0.02 0.00

Yadea Group Holdings Ltd 0.02 0.00

% of Portfolio 0.23 0.14

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 6.8 7.5 2.41 3.45 -0.07 0.02 -0.05

Consumer Discretionary 15.3 12.9 16.27 16.53 -0.05 0.24 0.20

Consumer Staples 6.6 9.9 5.22 4.66 0.04 0.05 0.09

Energy 2.2 4.7 -8.38 -7.47 -0.02 0.35 0.32

Financials 12.5 17.8 1.46 -0.11 0.20 0.35 0.55

Health Care 8.8 10.4 8.38 2.69 0.51 0.07 0.57

Industrials 16.1 11.4 6.60 10.00 -0.53 0.19 -0.33

Information Technology 15.7 11.3 11.23 13.52 -0.34 0.27 -0.07

Materials 7.8 7.8 5.52 11.23 -0.43 -0.01 -0.43

Real Estate 2.6 2.8 8.64 2.11 0.17 0.01 0.18

Utilities 2.8 3.5 1.97 2.11 -0.01 0.02 0.02

Other 2.7 0.0 11.82 0.00 0.00 0.18 0.18

Cash 0.3 0.0 0.04 0.00 0.00 -0.02 -0.02

Total 100.0 100.0 7.53 6.32 -0.53 1.73 1.20

Ten Worst Performers

Portfolio(%)

Benchmark (%)

Soulbrain Holdings Co Ltd 0.01 0.00

Rolls Royce Holdings PLC 0.15 0.02

Matahari Department Store TBK PT 0.00 0.00

Micro Focus International PLC 0.01 0.00

Gentera SAB de CV 0.01 0.00

Yichang HEC ChangJiang Pharmaceutical Co Ltd 0.00 0.00

Intl Consolidated Airlines Gp 0.07 0.00

Vukile Property Fund 0.00 0.00

Topbi International Holdings Ltd 0.00 0.00

Banco BBVA Argentina SA 0.00 0.00

% of Portfolio 0.25 0.02

Holdings Based Analysis

As of September 30, 2020

Total International Equity Composite

Page 128 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

0.6

1.2

1.8

2.4

3.0

3.6

-0.6

-1.2

-1.8

-2.4

-3.0

-3.6

-4.2

Re

turn

(%)

4/08 10/08 4/09 10/09 4/10 10/10 4/11 10/11 4/12 10/12 4/13 10/13 4/14 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 9/20

Relative Performance

Total International Large Cap Equity Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 129 of 292

Portfolio Characteristics (Benchmark: MSCI AC World ex USA)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 118,298,753,901 95,729,384,173

Median Mkt. Cap ($) 6,083,352,077 7,794,704,873

Price/Earnings ratio 17.17 18.16

Price/Book ratio 3.33 2.84

5 Yr. EPS Growth Rate (%) 9.87 6.23

Current Yield (%) 2.16 2.63

Beta (5 Years, Monthly) 1.00 1.00

Number of Stocks 751 2,375

Top Ten Equity Holdings (Benchmark: MSCI AC World ex USA)

Portfolio (%)Benchmark

(%)Active (%) Qtr Rtn (%)

Tractor Supply Co 4.03 0.00 4.03 9.05

Alibaba Group Holding Ltd 3.93 2.57 1.36 36.29

BHP GROUP LTD 3.52 0.00 3.52 N/A

Tencent Holdings LTD 2.73 1.76 0.97 2.59

Nestle SA, Cham Und Vevey 2.14 1.65 0.49 N/A

Montrose Environmental Group Inc 1.94 0.00 1.94 N/A

Taiwan Semiconductor ORD 1.85 1.72 0.13 41.41

ASML Holding NV 1.08 0.73 0.35 0.34

Samsung Electronics Co Ltd 0.99 1.11 -0.12 14.25

NOVARTIS AG 0.92 0.00 0.92 N/A

% of Portfolio 23.13 9.54 13.59

Distribution of Market Capitalization (%)

Total International Large Cap Equity Composite MSCI AC World ex USA

0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 36.0

Cash

0 - 2 Bil

2 Bil - 15 Bil

15 Bil - 25 Bil

25 Bil - 75 Bil

75 Bil - 100 Bil

>100 Bil

Ten Best Performers

Portfolio (%)Benchmark

(%)

SPI Energy Co Ltd 0.00 0.00

Nio Inc 0.03 0.11

United Microelectronics Corp 0.19 0.05

Signet Jewelers Ltd 0.86 0.00

Renesola Ltd 0.00 0.00

SKSHU Paint Co Ltd 0.08 0.00

Baycurrent Consulting Inc 0.07 0.00

Goldsun Building Materials Co Ltd 0.02 0.00

BHG Group AB 0.02 0.00

Top Glove Corp Berhad 0.11 0.04

% of Portfolio 1.38 0.20

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 7.8 7.5 0.01 3.45 -0.28 -0.01 -0.29

Consumer Discretionary 16.8 12.9 18.44 16.53 0.29 0.40 0.69

Consumer Staples 6.0 9.9 4.10 4.66 -0.03 0.06 0.03

Energy 2.8 4.7 -9.35 -7.47 -0.06 0.26 0.20

Financials 14.4 17.8 -0.46 -0.11 -0.06 0.22 0.16

Health Care 7.3 10.4 1.45 2.69 -0.10 0.11 0.02

Industrials 14.1 11.4 6.32 10.00 -0.52 0.20 -0.32

Information Technology 14.4 11.3 11.28 13.52 -0.31 0.18 -0.13

Materials 8.6 7.8 5.03 11.23 -0.52 0.04 -0.48

Real Estate 2.1 2.8 7.79 2.11 0.12 0.03 0.15

Utilities 2.9 3.5 3.35 2.11 0.04 0.02 0.06

Other 2.7 0.0 7.01 0.00 0.00 0.15 0.15

Cash 0.1 0.0 0.02 0.00 0.00 0.00 0.00

Total 100.0 100.0 6.55 6.32 -1.43 1.66 0.23

Ten Worst Performers

Portfolio(%)

Benchmark (%)

Soulbrain Holdings Co Ltd 0.01 0.00

Rolls Royce Holdings PLC 0.21 0.02

Micro Focus International PLC 0.01 0.00

Yichang HEC ChangJiang Pharmaceutical Co Ltd 0.01 0.00

Intl Consolidated Airlines Gp 0.10 0.00

Topbi International Holdings Ltd 0.00 0.00

Koninklijke Bam Groep NV 0.01 0.00

Krung Thai Bank Public Co Ltd 0.01 0.00

Postal Savings Bank of China Corp Ltd 0.02 0.02

Suncor Energy Inc. 0.12 0.09

% of Portfolio 0.50 0.13

Holdings Based Analysis

As of September 30, 2020

Total International Large Cap Equity Composite

Page 130 of 292

Relative Performance

Cumulative Annualized Over/Under Relative Performance Over/Under Performance

0.0

2.0

4.0

6.0

8.0

10.0

12.0

-2.0

-4.0

Re

turn

(%)

12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 9/20

Relative Performance

Total International Small Cap Equity Composite

Since Inception Ending September 30, 2020

Calculation based on monthly periodicity.

Page 131 of 292

Portfolio Characteristics (Benchmark: MSCI AC World ex USA Small Cap)

Portfolio Benchmark

Wtd. Avg. Mkt. Cap ($) 2,975,600,150 2,357,132,120

Median Mkt. Cap ($) 1,130,406,728 891,280,567

Price/Earnings ratio 19.33 16.22

Price/Book ratio 3.32 2.38

5 Yr. EPS Growth Rate (%) 12.45 6.92

Current Yield (%) 1.87 2.33

Beta (5 Years, Monthly) 0.98 1.00

Number of Stocks 665 4,055

Top Ten Equity Holdings (Benchmark: MSCI AC World ex USA Small Cap)

Portfolio (%)Benchmark

(%)Active (%) Qtr Rtn (%)

iShares MSCI India Small-Cap ETF 1.50 0.00 1.50 22.66

iShares Trust - iShares MSCI India ETF 1.33 0.00 1.33 16.68

B&M European Value Retail SA 1.16 0.18 0.98 31.44

Diasorin Spa 0.99 0.00 0.99 5.26

Cochlear Ltd 0.96 0.00 0.96 8.81

IMCD NV 0.95 0.19 0.76 28.03

Fevertree Drinks Plc 0.85 0.10 0.75 18.50

Voltronic Power Technology Corp 0.84 0.06 0.78 27.04

Descartes Systems Group Inc (The) 0.84 0.15 0.69 7.71

Halma PLC 0.81 0.00 0.81 6.82

% of Portfolio 10.23 0.68 9.55

Distribution of Market Capitalization (%)

Total International Small Cap Equity Composite MSCI AC World ex USA Small Cap

0.0 8.0 16.0 24.0 32.0 40.0 48.0 56.0 64.0

Cash

0 - 2 Bil

2 Bil - 15 Bil

Ten Best Performers

Portfolio (%)

Benchmark(%)

Korea United Pharmaceuticals Inc 0.13 0.02

Zhengzhou Coal Mining Machinery Group Co Ltd 0.05 0.01

Seegene Inc 0.04 0.00

Birlasoft Ltd 0.09 0.00

Supermax Corp Berhad 0.17 0.00

Persistent Systems Ltd 0.11 0.02

Sohu.com Ltd 0.07 0.02

Yadea Group Holdings Ltd 0.08 0.05

Leaptek Ltd 0.08 0.02

Granules India Ltd 0.19 0.02

% of Portfolio 1.01 0.16

Buy and Hold Sector AttributionAllocation

Portfolio Benchmark

Performance

Portfolio Benchmark

Attribution

Stock Sector Total

Communication Services 4.1 4.3 14.42 18.31 -0.13 0.00 -0.13

Consumer Discretionary 11.5 12.3 8.42 13.14 -0.52 -0.05 -0.57

Consumer Staples 8.0 6.3 7.43 8.22 -0.10 -0.05 -0.15

Energy 0.7 2.1 3.32 0.74 0.01 0.14 0.14

Financials 7.6 10.0 11.11 5.53 0.42 0.10 0.52

Health Care 12.6 8.6 19.28 16.03 0.40 0.21 0.61

Industrials 21.1 19.4 8.30 10.50 -0.67 -0.08 -0.75

Information Technology 18.9 12.2 11.20 11.92 -0.15 0.06 -0.09

Materials 5.7 10.4 7.49 11.11 -0.21 -0.05 -0.26

Real Estate 3.8 11.1 9.62 6.81 0.10 0.27 0.38

Utilities 2.5 3.4 -1.72 7.00 -0.25 0.04 -0.22

Other 2.7 0.0 17.11 0.00 0.00 0.17 0.17

Cash 0.7 0.0 0.04 0.00 0.00 -0.08 -0.08

Total 100.0 100.0 10.04 10.48 -1.10 0.67 -0.43

Ten Worst Performers

Portfolio (%)Benchmark

(%)

Matahari Department Store TBK PT 0.01 0.00

Gentera SAB de CV 0.05 0.01

Vukile Property Fund 0.01 0.01

Topbi International Holdings Ltd 0.00 0.00

Banco BBVA Argentina SA 0.01 0.01

Waskita Beton Precast TBK (PT) 0.02 0.00

VEON Ltd 0.10 0.00

PT Mitra Adiperkasa Tbk 0.03 0.01

Qudian Inc 0.01 0.01

Grupo Financiero 0.04 0.02

% of Portfolio 0.28 0.07

Holdings Based Analysis

As of September 30, 2020

Total International Small Cap Equity Composite

Page 132 of 292

0.0% 0.3% 0.6% 0.9% 1.2% 1.5% 1.8%-0.3 %-0.6 %

Hoisington Macroeconomic FI

Mackay Core Plus Extended Discretion

Lord Abbett Core Plus Full Discretion

Loomis Multisector Full Discretion

Benchmark Effect

Cash Flow Effect

Total Excess Return

0.1%

0.3%

0.5%

0.5%

-0.1 %

0.0%

1.3%

Asset Class Attribution

Total Fixed Income Composite

1 Quarter Ending September 30, 2020

Page 133 of 292

<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2545" DocumentTypeId="1" EffectiveDate="06/30/2020" Interval="3" Description="Alternatives

Summary" />

Investment Performance Review

Period Ending June 30, 2020

Teachers' Retirement System of OklahomaPrivate Asset Report

Net of Fees

Page 134 of 292

TOTAL ALTERNATIVES

Page 135 of 292

June 30, 2020 : $2,891,271,877

AEW Core Property Trust11.3%

L&B Core Income Partners3.0%

Heitman America Real Estate Trust10.9%

American Strategic Value Realty Fund2.5%

AG Realty Value Fund X0.6%

Lyrical - OTRS Realty Partners IV2.4%

Artemis Real Estate Partners Fund III0.4%

Dune Real Estate Fund III1.5%

Dune Real Estate Fund IV0.4%

FCP Realty Fund IV0.4%

GreenOak US II1.1%

GreenOak US III0.8%

Harbert Euro Real Estate Fund V0.5%

Invesco Strategic Opportunities III0.5%

L&B Golden Driller2.6%

Landmark Real Estate Partners VII0.4%

Starwood Opportunity Fund X0.7%

Starwood Opportunity Fund XI0.7%

PIMCO Corporate Opportunities Fund II3.3%

PIMCO Bravo Fund III6.4%

PIMCO Bravo Fund II1.9%

PIMCO Bravo Fund0.0%

OTRS Legacy P-E Assets Fund LP0.4%

Franklin Park Private Equity47.5%

Asset Allocation By Manager

Total Alternatives

As of June 30, 2020

Grey: Core Real Estate. Green: Non-Core Real Estate. Yellow: Private Equity. Red: MLP Blue: Opportunistic Fixed Income.

Page 136 of 292

Financial Reconciliation Quarter to Date

Market Value04/01/2020

Transfer In Transfer OutManagement

FeesOther

ExpensesReturn OnInvestment

Market Value06/30/2020

Total Opportunistic Fixed Income Composite 274,196,127 42,852,813 - - - 18,007,621 335,056,561

PIMCO Bravo Fund 594,455 - - - - 173,764 768,219

PIMCO Bravo Fund II 53,467,606 - - - - 281,095 53,748,701

PIMCO Corporate Opportunities Fund II 89,256,991 - - - - 7,303,451 96,560,442

PIMCO Bravo Fund III 130,877,075 42,852,813 - - - 10,249,311 183,979,199

Total Core Real Estate Composite 741,930,025 - -1,502,188 -1,273,884 -27,874 -9,091,719 730,034,360

AEW Core Property Trust 328,044,097 - - -619,995 - 173,747 327,597,849

Heitman America Real Estate Trust 320,352,406 - - -561,107 - -4,915,080 314,876,219

L&B Core Income Partners 93,533,522 - -1,502,188 -92,782 -27,874 -4,350,386 87,560,292

Total Non-Core Real Estate Composite 451,880,656 25,992,542 -4,430,979 -856,862 -244,369 -22,142,806 450,198,183

American Strategic Value Realty Fund 72,132,715 - - -163,867 - -59,714 71,909,135

Property ACQ Fund 13,120,000 - - - - -5,820,000 7,300,000

Dune Real Estate Fund III 52,985,110 - - - - -8,932,839 44,052,271

GreenOak US II 31,634,414 - - - - -803,522 30,830,892

Starwood Opportunity Fund X 20,507,499 - - - - -1,313,961 19,193,538

Landmark Real Estate Partners VII 15,330,766 703,421 -2,689,934 - - -626,826 12,717,427

L&B Golden Driller 77,964,708 - - - - -3,229,686 74,735,022

Lyrical - OTRS Realty Partners IV 66,539,641 - - - - 2,169,416 68,709,057

Starwood Opportunity Fund XI 10,708,953 9,300,000 - - - -1,184,682 18,824,271

GreenOak US III 16,129,333 7,373,454 - -692,995 -244,369 -252,578 22,312,845

Dune Real Estate Fund IV 12,492,937 - - - - -1,769,917 10,723,020

Invesco Strategic Opportunities III 15,421,753 - -1,741,045 - - 274,034 13,954,742

AG Realty Value Fund X 11,557,291 5,250,000 - - - 504,167 17,311,458

Artemis Real Estate Partners Fund III 8,921,120 1,971,636 - - - 87,589 10,980,345

FCP Realty Fund IV 11,444,460 1,394,031 - - - -132,145 12,706,346

Harbert Euro Real Estate Fund V 14,989,956 - - - - -1,052,142 13,937,814

Total Private Equity Composite 1,280,751,365 30,100,000 -44,865,936 - -1,454 117,298,798 1,383,282,773

OTRS Legacy P-E Assets Fund LP 12,442,716 100,000 -1,078,665 - -946 -124,545 11,338,561

Franklin Park Private Equity 1,268,308,649 30,000,000 -43,787,271 - -509 117,423,343 1,371,944,212

Total Alternatives Composite 2,748,758,173 98,945,356 -50,799,103 -2,130,746 -273,697 104,071,894 2,898,571,877

Financial Reconciliation

Total Alternatives

Quarter To Date Ending June 30, 2020

Page 137 of 292

Comparative Performance Alternatives Summary as of June 30, 2020

Total Opportunistic Fixed Income Composite Total Private Equity Composite

Total Non-Core Real Estate Composite Total Core Real Estate Composite

0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

24.0

-3.0

-6.0

-9.0

-12.0

Re

turn

(%)

QTD FYTD 1 YR 3 YR 5 YR

-1.4

-2.8 -2.8

2.3

5.2

-4.9

-3.3 -3.3

6.06.3

9.1

14.3 14.3

17.9

15.9

5.7

-8.1 -8.1

1.8

4.4

Comparative Performance

Total Alternatives (Net)

As of June 30, 2020

Page 138 of 292

Comparative Performance Trailing Returns

QTR FYTD 1 YR 3 YR 5 YR 10 YR InceptionInception

Date

Total Alternatives Composite 3.61 3.35 3.35 6.88 5.53 - 5.42 06/01/2015

Total Opportunistic Fixed Income Composite 5.68 -8.12 -8.12 1.75 4.40 - 4.88 06/01/2015

Total Opportunistic Fixed Income Policy 3.81 7.88 7.88 5.15 4.36 3.85 4.06

PIMCO Bravo Fund 29.23 -32.09 -32.09 -23.01 -15.43 - -0.30 04/01/2011

Total Opportunistic Fixed Income Policy 3.81 7.88 7.88 5.15 4.36 3.85 3.99

PIMCO Bravo Fund II 0.53 -17.86 -17.86 -3.59 1.72 - 6.77 04/01/2013

Total Opportunistic Fixed Income Policy 3.81 7.88 7.88 5.15 4.36 3.85 3.52

PIMCO Bravo Fund III 5.90 -6.35 -6.35 6.71 - - 8.10 04/01/2017

Total Opportunistic Fixed Income Policy 3.81 7.88 7.88 5.15 4.36 3.85 5.24

PIMCO Corporate Opportunities Fund II 8.18 -3.45 -3.45 5.35 - - 7.99 09/01/2016

Total Opportunistic Fixed Income Policy 3.81 7.88 7.88 5.15 4.36 3.85 3.98

Total Real Estate Composite -2.75 -3.04 -3.04 3.34 5.64 - 6.35 06/01/2015

Total Real Estate Policy -0.99 2.69 2.69 5.44 6.77 9.70 7.06

Total Core Real Estate Composite -1.40 -2.79 -2.79 2.33 5.19 - 5.90 06/01/2015

Total Core Real Estate Policy -1.75 1.33 1.33 4.72 6.35 9.78 6.98

AEW Core Property Trust -0.14 1.34 1.34 4.89 6.43 - 8.67 08/01/2011

NCREIF Fund Index-ODCE (VW) (Net) -1.75 1.33 1.33 4.72 6.35 9.78 8.77

NCREIF Fund Index-ODCE (EW) (Net) -1.47 1.70 1.70 5.09 6.72 9.95 8.96

L&B Core Income Partners -4.83 -9.49 -9.49 -1.78 3.10 - 5.90 05/01/2011

NCREIF Fund Index-ODCE (VW) (Net) -1.75 1.33 1.33 4.72 6.35 9.78 9.03

NCREIF Fund Index-ODCE (EW) (Net) -1.47 1.70 1.70 5.09 6.72 9.95 9.21

Heitman America Real Estate Trust -1.71 -3.10 -3.10 2.66 5.29 - 8.71 05/01/2011

NCREIF Fund Index-ODCE (VW) (Net) -1.75 1.33 1.33 4.72 6.35 9.78 9.03

NCREIF Fund Index-ODCE (EW) (Net) -1.47 1.70 1.70 5.09 6.72 9.95 9.21

Total Non-Core Real Estate Composite -4.87 -3.27 -3.27 5.98 6.29 - 7.07 06/01/2015

Total Non-Core Real Estate Policy -0.99 2.69 2.69 6.90 9.51 14.35 10.02

American Strategic Value Realty Fund -0.31 5.29 5.29 7.47 9.49 - 10.20 12/01/2014

Total Non-Core Real Estate Policy -0.99 2.69 2.69 6.90 9.51 14.35 11.10

Comparative Performance

Total Alternatives (Net)

As of June 30, 2020

Returns for periods greater than one year are annualized.Returns are expressed as percentages.

Page 139 of 292

Comparative Performance - IRR

FYTD 1 YR 3 YR 5 YR InceptionInception

Date

Opportunistic Fixed Income

Total Opportunistic Fixed Income Composite -6.28 -6.28 1.69 4.02 4.02 06/30/2015

PIMCO Bravo Fund -32.01 -32.01 1.50 -3.56 21.94 03/21/2011

PIMCO Bravo Fund II -16.09 -16.09 -0.33 5.01 6.57 03/19/2013

PIMCO Corporate Opportunities Fund II -3.03 -3.03 2.83 - 3.90 09/01/2016

PIMCO Bravo Fund III -3.32 -3.32 3.48 - 3.71 03/10/2017

Non-Core Real Estate

Total Non-Core Real Estate Composite -3.63 -3.63 5.50 6.40 6.40 06/30/2015

American Strategic Value Realty Fund 5.20 5.20 7.29 8.43 8.76 12/16/2014

Dune Real Estate Fund III -21.34 -21.34 -0.01 4.66 6.08 11/07/2014

GreenOak US II -18.51 -18.51 -2.78 -0.34 0.93 10/30/2014

Starwood Opportunity Fund X -5.86 -5.86 7.69 - 14.71 10/29/2015

Landmark Real Estate Partners VII -6.40 -6.40 1.17 7.59 8.20 12/22/2014

L&B Golden Driller -1.37 -1.37 12.85 9.11 8.95 07/31/2014

Lyrical - OTRS Realty Partners IV 8.55 8.55 11.28 8.03 7.69 11/12/2014

Starwood Opportunity Fund XI 0.68 0.68 - - 11.89 07/09/2018

GreenOak US III -10.74 -10.74 - - -15.44 06/25/2018

Dune Real Estate Fund IV - - - - -31.84 08/22/2019

Invesco Strategic Opportunities III - - - - 69.36 09/17/2019

AG Realty Value Fund X 3.42 3.42 - - -3.69 06/10/2019

Artemis Real Estate Partners Fund III 6.91 6.91 - - -2.43 01/08/2019

FCP Realty Fund IV 5.75 5.75 - - -2.15 12/03/2018

Harbert Euro Real Estate Fund V 0.19 0.19 - - -5.73 12/10/2018

Private Equity

Total Private Equity Composite 14.27 14.27 18.00 16.31 16.31 06/30/2015

OTRS Legacy P-E Assets Fund LP -7.81 -7.81 -2.84 2.54 9.66 10/10/2008

Franklin Park Private Equity 14.53 14.53 18.42 16.79 16.16 04/08/2010

Comparative Performance - IRR

Private Investments

As of June 30, 2020

Page 140 of 292

Comparative Performance - IRR

YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 InceptionInception

Date

OTRS Legacy P-E Assets Fund LP -9.52 0.20 -1.26 0.79 9.47 5.81 5.44 16.78 15.49 13.26 22.51 9.66 10/10/2008

Franklin Park Private Equity 2.77 23.53 18.61 15.95 18.47 10.46 18.77 22.65 -2.16 -51.97 - 16.16 04/08/2010

PIMCO Bravo Fund -37.18 -46.18 75.71 -14.36 5.70 2.14 18.84 23.25 44.77 - - 21.94 03/21/2011

PIMCO Bravo Fund II -20.70 12.28 0.65 6.68 10.59 11.15 16.28 - - - - 6.57 03/19/2013

PIMCO Corporate Opportunities Fund II -8.39 15.28 1.82 15.98 - - - - - - - 3.90 09/01/2016

PIMCO Bravo Fund III -6.23 10.05 9.39 - - - - - - - - 3.71 03/10/2017

American Strategic Value Realty Fund 0.98 8.43 8.67 9.57 10.75 18.19 - - - - - 8.76 12/16/2014

Dune Real Estate Fund III -17.03 -2.57 12.03 15.59 14.52 14.61 - - - - - 6.08 11/07/2014

GreenOak US II -8.18 -12.00 10.13 4.13 7.94 6.09 - - - - - 0.93 10/30/2014

Starwood Opportunity Fund X -10.15 5.91 13.12 14.89 15.87 - - - - - - 14.71 10/29/2015

Landmark Real Estate Partners VII -4.51 -2.85 1.22 10.49 10.24 70.15 - - - - - 8.20 12/22/2014

L&B Golden Driller -3.99 47.39 -0.02 -0.01 -0.01 -0.17 - - - - - 8.95 07/31/2014

Lyrical - OTRS Realty Partners IV 2.71 9.06 7.48 14.28 3.32 0.00 - - - - - 7.69 11/12/2014

Starwood Opportunity Fund XI -15.73 51.32 - - - - - - - - - 11.89 07/09/2018

GreenOak US III -11.52 -0.31 - - - - - - - - - -15.44 06/25/2018

Dune Real Estate Fund IV -17.83 - - - - - - - - - - -31.84 08/22/2019

Invesco Strategic Opportunities III 8.18 - - - - - - - - - - 69.36 09/17/2019

AG Realty Value Fund X 0.87 - - - - - - - - - - -3.69 06/10/2019

Artemis Real Estate Partners Fund III 2.43 -8.79 - - - - - - - - - -2.43 01/08/2019

FCP Realty Fund IV -1.82 -0.23 - - - - - - - - - -2.15 12/03/2018

Harbert Euro Real Estate Fund V -8.21 37.16 - - - - - - - - - -5.73 12/10/2018

Teachers' Retirement System of Oklahoma

Private Market Assets - Calendar Years Internal Rates of Return

As of June 30, 2020

Page 141 of 292

Cash Flow Summary

Capital Committed: $2,884,278,010

Capital Invested: $2,274,418,470

Total Contributions: $2,384,981,317

Remaining Capital Commitment: $689,014,158

Total Distributions: $1,384,104,328

Market Value: $2,168,537,517

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$484,000,000.0

$968,000,000.0

$1,452,000,000.0

$1,936,000,000.0

$2,420,000,000.0

($484,000,000.0)

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

Private Equity Portfolio

PartnershipsVintage

YearInvestment

Strategy

CapitalCommitted

$000

TotalContribution

$000

TotalDistribution

$000

MarketValue$000

IRRTVPI

Multiple

American Strategic Value Realty Fund - 57,190 3,620 71,909 8.8 1.3

Property ACQ Fund - 14,000 1,150 7,300 -23.5 0.6

OTRS Legacy P-E Assets Fund LP 2008 Buyouts 97,500 100,651 129,657 11,339 9.7 1.4

Franklin Park Private Equity 2010 Buyouts 1,490,000 1,244,000 764,861 1,371,944 16.2 1.7

PIMCO Bravo Fund 2011 Distressed 100,000 112,370 194,328 768 21.9 1.7

Dune Real Estate Fund III 2013 Real Estate 53,750 51,491 19,385 44,052 6.1 1.2

GreenOak US II 2013 Real Estate 50,000 46,632 17,255 30,831 0.9 1.0

PIMCO Bravo Fund II 2013 Distressed 150,000 139,747 125,715 53,749 6.6 1.3

Lyrical - OTRS Realty Partners IV 2014 Real Estate 53,750 53,750 5,608 68,709 7.7 1.4

L&B Golden Driller 2014 Real Estate 75,000 74,666 28,000 74,735 9.0 1.4

Landmark Real Estate Partners VII 2014 Secondaries 35,000 33,351 26,539 12,717 8.2 1.2

Starwood Opportunity Fund X 2014 Real Estate 53,750 48,375 44,737 19,194 14.7 1.3

PIMCO Corporate Opportunities Fund II 2016 Distressed 100,000 90,313 223 96,560 3.9 1.1

PIMCO Bravo Fund III 2016 Distressed 175,000 184,600 9,954 183,979 3.7 1.0

Starwood Opportunity Fund XI 2016 Real Estate 60,000 21,300 4,032 18,824 11.9 1.1

GreenOak US III 2017 Real Estate 60,000 26,588 - 22,313 -15.4 0.8

Dune Real Estate Fund IV 2018 Real Estate 60,000 14,392 348 10,723 -31.8 0.8

Harbert Euro Real Estate Fund V 2018 Real Estate 50,000 14,819 279 13,938 -5.7 1.0

FCP Realty Fund IV 2018 Real Estate 35,000 13,255 348 12,706 -2.2 1.0

Artemis Real Estate Partners Fund III 2018 Real Estate 50,000 11,344 123 10,980 -2.4 1.0

AG Realty Value Fund X 2018 Real Estate 60,000 17,715 - 17,311 -3.7 1.0

Invesco Strategic Opportunities III 2018 Real Estate 60,000 14,433 7,942 13,955 69.4 1.5

ALT - Total Alternatives Composite (Ex Core RE) Hybrid 2,884,278 2,384,981 1,384,104 2,168,538 48.4 1.5

Teachers' Retirement System of Oklahoma

ALT - Total Alternatives Composite (Ex Core RE)

Cash Flows as of June 30, 2020

Page 142 of 292

Private Equity Summary of Partnership

PartnershipsVintage

YearInvestment

Strategy

CapitalCommitment

$

MarketValue

$

DrawnDown

$

Distributed$

RecallableCapital

IRR(%)

DPIMultiple

TVPIMultiple

RemainingCommitment

OTRS Legacy P-E Assets Fund LP 2008 Buyouts 97,500,000 11,338,561 100,650,850 129,657,300 - 9.7 1.3 1.4 14,169,654

Franklin Park Private Equity 2010 Buyouts 1,490,000,000 1,371,944,212 1,244,000,000 764,861,222 - 16.2 0.6 1.7 276,011,941

Dune Real Estate Fund III 2013 Real Estate 53,750,000 44,052,271 51,490,738 19,384,847 678,687 6.1 0.4 1.2 2,937,949

GreenOak US II 2013 Real Estate 50,000,000 30,830,892 46,631,716 17,255,089 1,070,269 0.9 0.4 1.0 4,506,406

Starwood Opportunity Fund X 2014 Real Estate 53,750,000 19,193,538 48,375,000 44,736,685 - 14.7 0.9 1.3 5,375,000

Landmark Real Estate Partners VII 2014 Secondaries 35,000,000 12,717,427 33,350,690 26,538,776 1,067,938 8.2 0.8 1.2 2,727,593

L&B Golden Driller 2014 Real Estate 75,000,000 74,735,022 74,665,819 28,000,000 - 9.0 0.4 1.4 334,181

Lyrical - OTRS Realty Partners IV 2014 Real Estate 53,750,000 68,709,057 53,750,000 5,607,637 - 7.7 0.1 1.4 -

Starwood Opportunity Fund XI 2016 Real Estate 60,000,000 18,824,271 21,300,000 4,032,450 2,463,900 11.9 0.2 1.1 41,163,900

GreenOak US III 2017 Real Estate 60,000,000 22,312,845 26,588,187 - - -15.4 - 0.8 33,411,813

Dune Real Estate Fund IV 2018 Real Estate 60,000,000 10,723,020 14,392,492 347,926 338,526 -31.8 0.0 0.8 45,946,034

Invesco Strategic Opportunities III 2018 Real Estate 60,000,000 13,954,742 14,433,256 7,942,189 3,910,086 69.4 0.6 1.5 49,476,830

AG Realty Value Fund X 2018 Real Estate 60,000,000 17,311,458 17,714,950 - - -3.7 - 1.0 42,150,000

Artemis Real Estate Partners Fund III 2018 Real Estate 50,000,000 10,980,345 11,343,711 122,676 119,795 -2.4 0.0 1.0 38,795,683

FCP Realty Fund IV 2018 Real Estate 35,000,000 12,706,346 13,255,388 348,234 121,186 -2.2 0.0 1.0 21,865,798

Harbert Euro Real Estate Fund V 2018 Real Estate 50,000,000 13,937,814 14,818,975 278,613 216,114 -5.7 0.0 1.0 35,424,765

PIMCO Bravo Fund 2011 Distressed 100,000,000 768,219 112,369,568 194,328,478 12,332,682 21.9 1.7 1.7 -

PIMCO Bravo Fund II 2013 Distressed 150,000,000 53,748,701 139,747,322 125,714,834 125,479,893 6.3 0.9 1.3 135,906,611

PIMCO Corporate Opportunities Fund II 2016 Distressed 100,000,000 96,560,442 90,313,039 222,920 - 3.9 0.0 1.1 10,000,000

PIMCO Bravo Fund III 2016 Distressed 175,000,000 183,979,199 184,599,617 9,954,180 9,321,318 3.7 0.1 1.0 -

Private Equity Summary of Partnership

Private Investment Funds

As of June 30, 2020

Franklin Legacy PE - *FP commitment $97.5M. Activites shown on this report includes activites for Aldus/OKTRS Fund, prior to 10/2010 transfers to FP.* Vintage Years listed are as reported by Investment Managers; OTRS commitment year may vary.

Page 143 of 292

OPEN END REAL ESTATE FUNDS

Page 144 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 7.47 1.51 4.01 130.14 11 31.19 1

Index 5.44 1.52 2.64 100.00 11 100.00 1

90 Day U.S. Treasury Bill 1.77 0.34 N/A 30.80 12 -2.31 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 9.49 1.91 3.78 135.72 19 31.19 1

Index 6.77 1.57 3.18 100.00 19 100.00 1

90 Day U.S. Treasury Bill 1.17 0.45 N/A 17.08 19 -2.31 1

Risk and Return 3 Years

Investment Index

5.0

5.5

6.0

6.5

7.0

7.5

8.0

Ret

urn

(%)

1.5 1.6Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

6.0

6.6

7.2

7.8

8.4

9.0

9.6

10.2

Ret

urn

(%)

1.5 1.6 1.7 1.8 1.9 2.0Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 11 1 (9%) 10 (91%) 0 (0%) 0 (0%)¾

Index 20 0 (0%) 0 (0%) 1 (5%) 19 (95%)¾

5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 3 0 (0%) 3 (100%) 0 (0%) 0 (0%)¾

Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾

Strategy Review

American Strategic Value Realty Fund | NCREIF Property Index

As of June 30, 2020

Page 145 of 292

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment -0.31 (33) 5.29 (16) 5.29 (16) 6.43 (17) 7.47 (23) 8.18 (21) 9.49 (27)��

Index -0.99 (44) 2.69 (61) 2.69 (61) 4.58 (65) 5.44 (73) 5.82 (79) 6.77 (81)��

Median -1.22 3.20 3.20 5.37 6.54 7.11 8.17

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 8.43 (31) 8.79 (43) 9.58 (16) 10.95 (28) 18.65 (21) N/A N/A��

Index 6.42 (68) 6.72 (82) 6.96 (80) 7.97 (83) 13.33 (74) 11.82 (80) 10.98 (84)��

Median 7.02 8.42 8.08 9.35 15.23 13.59 14.47

Comparative Performance

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

1 QtrEnding

Dec-2018

Investment 1.33 (50) 2.32 (19) 1.86 (42) 1.68 (24) 2.31 (27) 1.54 (60)

Index 0.71 (69) 1.55 (57) 1.41 (73) 1.51 (33) 1.80 (69) 1.37 (71)

Median 1.31 1.61 1.75 1.44 1.99 1.73

Strategy Review

American Strategic Value Realty Fund | NCREIF Property Index

As of June 30, 2020

Page 146 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 4.89 1.73 1.79 92.73 10 7.76 2

Index 4.72 1.94 1.61 100.00 11 100.00 1

90 Day U.S. Treasury Bill 1.77 0.34 N/A 33.35 12 -1.31 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 6.43 1.79 2.55 96.23 18 7.76 2

Index 6.35 1.97 2.38 100.00 19 100.00 1

90 Day U.S. Treasury Bill 1.17 0.45 N/A 17.71 19 -1.31 1

Risk and Return 3 Years

Investment Index

4.6

4.7

4.8

4.9

5.0

Ret

urn

(%)

1.5 1.6 1.7 1.8 1.9 2.0Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

6.3

6.4

6.5

Ret

urn

(%)

1.7 1.8 1.9 2.0 2.1Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾

Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾

5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 16 0 (0%) 0 (0%) 0 (0%) 16 (100%)¾

Index 20 0 (0%) 0 (0%) 2 (10%) 18 (90%)¾

Strategy Review

AEW Core Property Trust | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 147 of 292

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment -0.14 (31) 1.34 (75) 1.34 (75) 3.69 (90) 4.89 (89) 5.39 (84) 6.43 (91)��

Index -1.75 (66) 1.33 (75) 1.33 (75) 3.37 (93) 4.72 (96) 5.26 (86) 6.35 (92)��

Median -1.22 3.20 3.20 5.37 6.54 7.11 8.17

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 5.42 (79) 6.90 (80) 7.12 (79) 7.61 (86) 12.82 (83) 10.44 (93) 11.48 (81)��

Index 4.39 (85) 7.36 (76) 6.66 (82) 7.79 (84) 13.95 (72) 11.46 (87) 12.90 (61)��

Median 7.02 8.42 8.08 9.35 15.23 13.59 14.47

Comparative Performance

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

1 QtrEnding

Dec-2018

Investment -1.02 (92) 0.96 (88) 1.55 (67) 1.30 (64) 1.51 (77) 1.70 (55)

Index 0.75 (69) 1.27 (82) 1.08 (86) 0.77 (94) 1.20 (84) 1.52 (60)

Median 1.31 1.61 1.75 1.44 1.99 1.73

Strategy Review

AEW Core Property Trust | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 148 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment 2.66 2.97 0.31 62.03 8 97.52 4

Index 4.72 1.94 1.61 100.00 11 100.00 1

90 Day U.S. Treasury Bill 1.77 0.34 N/A 33.35 12 -1.31 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 5.29 2.97 1.27 84.81 16 97.52 4

Index 6.35 1.97 2.38 100.00 19 100.00 1

90 Day U.S. Treasury Bill 1.17 0.45 N/A 17.71 19 -1.31 1

Risk and Return 3 Years

Investment Index

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

Ret

urn

(%)

1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

4.8

5.1

5.4

5.7

6.0

6.3

6.6

Ret

urn

(%)

1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 0 (0%) 3 (15%) 17 (85%)¾

Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾

5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 17 0 (0%) 0 (0%) 3 (18%) 14 (82%)¾

Index 20 0 (0%) 0 (0%) 2 (10%) 18 (90%)¾

Strategy Review

Heitman America Real Estate Trust | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 149 of 292

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment -1.71 (66) -3.10 (100) -3.10 (100) 0.17 (98) 2.66 (100) 3.75 (99) 5.29 (97)��

Index -1.75 (66) 1.33 (75) 1.33 (75) 3.37 (93) 4.72 (96) 5.26 (86) 6.35 (92)��

Median -1.22 3.20 3.20 5.37 6.54 7.11 8.17

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

23.0

26.0

29.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment 1.50 (98) 6.73 (82) 6.21 (91) 9.17 (54) 15.06 (52) 10.12 (94) 14.35 (52)��

Index 4.39 (85) 7.36 (76) 6.66 (82) 7.79 (84) 13.95 (72) 11.46 (87) 12.90 (61)��

Median 7.02 8.42 8.08 9.35 15.23 13.59 14.47

Comparative Performance

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

1 QtrEnding

Dec-2018

Investment -2.02 (94) -0.97 (100) 1.61 (62) -0.50 (98) 1.37 (79) 0.59 (85)

Index 0.75 (69) 1.27 (82) 1.08 (86) 0.77 (94) 1.20 (84) 1.52 (60)

Median 1.31 1.61 1.75 1.44 1.99 1.73

Strategy Review

Heitman America Real Estate Trust | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 150 of 292

Historical Statistics 3 Years

ReturnStandardDeviation

SharpeRatio

UpMarket

Capture

UpQuarters

DownMarketCapture

DownQuarters

Investment -1.78 4.95 -0.69 -1.20 8 275.42 4

Index 4.72 1.94 1.61 100.00 11 100.00 1

90 Day U.S. Treasury Bill 1.77 0.34 N/A 33.35 12 -1.31 N/A

Historical Statistics 5 Years

ReturnStandardDeviation

SharpeRatio

UpMarketCapture

UpQuarters

DownMarketCapture

DownQuarters

Investment 3.10 5.07 0.38 63.27 16 275.42 4

Index 6.35 1.97 2.38 100.00 19 100.00 1

90 Day U.S. Treasury Bill 1.17 0.45 N/A 17.71 19 -1.31 1

Risk and Return 3 Years

Investment Index

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

Ret

urn

(%)

1.2 1.5 1.8 2.1 2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8 5.1 5.4 5.7Risk (Standard Deviation %)

Risk and Return 5 Years

Investment Index

3.2

4.0

4.8

5.6

6.4

7.2

Ret

urn

(%)

1.6 2.0 2.4 2.8 3.2 3.6 4.0 4.4 4.8 5.2 5.6Risk (Standard Deviation %)

3 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 20 0 (0%) 2 (10%) 9 (45%) 9 (45%)¾

Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)¾

5 Year Rolling Percentile Rank IM U.S. Open End Private Real Estate (SA+CF)

0.0

25.0

50.0

75.0

100.0

Ret

urn

Per

cen

tile

Ran

k

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Total Period5-25

Count25-Median

CountMedian-75

Count75-95Count

Investment 17 0 (0%) 0 (0%) 5 (29%) 12 (71%)¾

Index 20 0 (0%) 0 (0%) 2 (10%) 18 (90%)¾

Strategy Review

L&B Core Income Partners | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 151 of 292

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-13.0

-10.0

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

Re

turn

QTRFYTD

1 YR 2 YR 3 YR 4 YR 5 YR

Investment -4.83 (100) -9.49 (100) -9.49 (100) -5.78 (100) -1.78 (100) 0.46 (100) 3.10 (100)��

Index -1.75 (66) 1.33 (75) 1.33 (75) 3.37 (93) 4.72 (96) 5.26 (86) 6.35 (92)��

Median -1.22 3.20 3.20 5.37 6.54 7.11 8.17

Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF)

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Re

turn

2019 2018 2017 2016 2015 2014 2013

Investment -9.67 (100) 6.00 (86) 7.00 (80) 9.17 (54) 16.23 (37) 13.01 (66) 10.17 (92)��

Index 4.39 (85) 7.36 (76) 6.66 (82) 7.79 (84) 13.95 (72) 11.46 (87) 12.90 (61)��

Median 7.02 8.42 8.08 9.35 15.23 13.59 14.47

Comparative Performance

1 QtrEnding

Mar-2020

1 QtrEnding

Dec-2019

1 QtrEnding

Sep-2019

1 QtrEnding

Jun-2019

1 QtrEnding

Mar-2019

1 QtrEnding

Dec-2018

Investment 0.35 (79) -3.20 (100) -2.10 (100) -4.70 (100) 0.03 (99) 1.18 (82)

Index 0.75 (69) 1.27 (82) 1.08 (86) 0.77 (94) 1.20 (84) 1.52 (60)

Median 1.31 1.61 1.75 1.44 1.99 1.73

Strategy Review

L&B Core Income Partners | NCREIF Fund Index-ODCE (VW) (Net)

As of June 30, 2020

Page 152 of 292

CLOSED END REAL ESTATE FUNDS

Page 153 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2018

Strategy Type: Real Estate Management Fee: 1.50% Carried Interest: 20%, subject to an 8% preferred return and a 50% catch-up

Target IRR: 8.00% Inception: 08/02/2018

General Partner: AGR X LLC

Investment Strategy: Angelo Gordon has structured the fund to provide investors with access to a broad spectrum of value-add opportunities, from light value-add, where we execute a strategy to improveoperations and address existing vacancy, to heavy-value add, where we reposition a property or even change its use, as well as other value-add activity between these two ends of thespectrum. The Fund targets 16-17% gross return, and targets a 12-13% net return.

Cash Flow Summary

Capital Committed: $60,000,000

Capital Invested: $17,850,000

Management Fees: -$156,929

Expenses: -

Interest: $21,879

Total Contributions: $17,714,950

Remaining Capital Commitment: $42,150,000

Total Distributions: -

Market Value: $17,311,458

Inception Date: 06/10/2019

Inception IRR: -3.7

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$4,680,000.0

$9,360,000.0

$14,040,000.0

$18,720,000.0

$23,400,000.0

($4,680,000.0)

6/19 9/19 12/19 3/20 6/20

Private Equity Fund Overview

AG Realty Value Fund X

As of June 30, 2020

Page 154 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

06/10/2019 - 4,500,000 - - - 4,500,000 - - - - - -

06/30/2019 3,758,779 - - - - - - - - - - -

07/31/2019 3,758,779 - - - - - - - - - - -

08/31/2019 3,758,779 - - - - - - - - - - -

09/30/2019 3,696,120 - - - - - - - - - - -

10/15/2019 - 4,050,000 - - 21,879 4,071,879 - - - - - -

10/31/2019 7,767,999 - - - - - - - - - - -

11/30/2019 7,767,999 - - - - - - - - - - -

12/19/2019 - 4,050,000 - - - 3,893,071 - - - - - -

12/31/2019 11,936,910 - - - - - - - - - - -

01/31/2020 11,936,910 - - - - - - - - - - -

02/29/2020 11,936,910 - - - - - - - - - - -

03/31/2020 11,557,291 - - - - - - - - - - -

04/09/2020 - 5,250,000 - - - 5,250,000 - - - - - -

04/30/2020 16,807,291 - - - - - - - - - - -

05/31/2020 16,807,291 - - - - - - - - - - -

06/30/2020 17,311,458 - - - - - - - - - - -

Total 17,850,000 - - 21,879 17,714,950 - - - - - -

Private Equity Financial Reconciliation

AG Realty Value Fund X

Since Inception Ending June 30, 2020

Page 155 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2014

Strategy Type: Real Estate Management Fee: 150 bps

Target IRR: 6.00% Inception: 10/21/2014

General Partner:

Investment Strategy: Extremely hands on investment process that currently manages a diversified portfolio of multi-family investments in two sub-markets where they seek deep property by property knowledgeand a dominant market share. Currently, their portfolio owns over 6,000 apartment units in Chicago, Kansas City, and St. Louis in areas that exhibit strong, structural supply/demandconditions that cannot be easily reversed and ultimately benefit apartment owners. The team seeks areas where supply/demand remains in disequilibrium and favorable to long-term growthrates of rental income. Operating expenses for their properties tend to remain flat after initial investment, allowing them to compound a growing level of net operating expenses. The teamfocuses on year over year operating success rather than “trades”.

The fund expects to deploy equally between Chicago, Kansas City and St. Louis. Property acquisitions are moving forward at a deliberate pace. The location of the Barack Obamapresidential library was announced to be at the South side of Chicago. This should be positive for the portfolio’s holdings in the Hyde Park neighborhood

Cash Flow Summary

Capital Committed: $53,750,000

Capital Invested: $53,750,000

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $53,750,000

Remaining Capital Commitment: -

Total Distributions: $5,607,637

Market Value: $68,709,057

Inception Date: 11/12/2014

Inception IRR: 7.7

TVPI: 1.4

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$18,200,000.0

$36,400,000.0

$54,600,000.0

$72,800,000.0

$91,000,000.0

($18,200,000.0)

12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

Private Equity Fund Overview

Lyrical - OTRS Realty Partners IV

As of June 30, 2020

Page 156 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

11/12/2014 - 2,687,500 - - - 2,687,500 - - - - - -

11/30/2014 2,687,500 - - - - - - - - - - -

12/15/2014 - 8,062,500 - - - 8,062,500 - - - - - -

12/31/2014 10,750,000 - - - - - - - - - - -

01/31/2015 10,750,000 - - - - - - - - - - -

02/06/2015 - 5,375,000 - - - 5,375,000 - - - - - -

02/28/2015 16,125,000 - - - - - - - - - - -

03/27/2015 - 2,687,500 - - - 2,687,500 - - - - - -

03/31/2015 18,812,500 - - - - - - - - - - -

04/30/2015 18,812,500 - - - - - - - - - - -

05/31/2015 18,812,500 - - - - - - - - - - -

06/12/2015 - 2,687,500 - - - 2,687,500 - - - - - -

06/30/2015 21,500,000 - - - - - - - - - - -

07/31/2015 21,500,000 - - - - - - - - - - -

08/31/2015 21,500,000 - - - - - - - - - - -

09/30/2015 21,500,000 - - - - - - - - - - -

10/16/2015 - 5,375,000 - - - 5,375,000 - - - - - -

10/31/2015 26,875,000 - - - - - - - - - - -

11/30/2015 26,875,000 - - - - - - - - - - -

12/31/2015 26,875,000 - - - - - - - - - - -

01/31/2016 26,875,000 - - - - - - - - - - -

02/29/2016 26,875,000 - - - - - - - - - - -

03/31/2016 26,875,000 - - - - - - - - - - -

04/30/2016 26,875,000 - - - - - - - - - - -

05/31/2016 26,875,000 - - - - - - - - - - -

06/30/2016 26,875,000 - - - - - - - - - - -

07/08/2016 - 10,750,000 - - - 10,750,000 - - - - - -

07/31/2016 37,625,000 - - - - - - - - - - -

08/31/2016 37,625,000 - - - - - - - - - - -

09/02/2016 - 5,375,000 - - - 5,375,000 - - - - - -

09/30/2016 43,000,000 - - - - - - - - - - -

10/31/2016 43,000,000 - - - - - - - - - - -

11/29/2016 - 8,062,500 - - - 8,062,500 - - - - - -

11/30/2016 51,062,500 - - - - - - - - - - -

12/31/2016 52,210,483 - - - - - - - - - - -

01/31/2017 52,210,483 - - - - - - - - - - -

02/28/2017 52,210,483 - - - - - - - - - - -

03/31/2017 52,210,483 - - - - - - - - - - -

04/30/2017 52,210,483 - - - - - - - - - - -

05/31/2017 52,210,483 - - - - - - - - - - -

Private Equity Financial Reconciliation

Lyrical - OTRS Realty Partners IV

Since Inception Ending June 30, 2020

Page 157 of 292

Private Equity Financial Reconciliation

Lyrical - OTRS Realty Partners IV

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

06/30/2017 52,210,483 - - - - - - - - - - -

07/31/2017 52,210,483 - - - - - - - - - - -

08/31/2017 52,210,483 - - - - - - - - - - -

09/18/2017 - - - - - - - - - - 640,873 640,873

09/30/2017 51,569,610 - - - - - - - - - - -

10/16/2017 - 2,687,500 - - - 2,687,500 - - - - - -

10/31/2017 54,257,110 - - - - - - - - - - -

11/30/2017 54,257,110 - - - - - - - - - - -

12/18/2017 - - - - - - - - - - 640,873 640,873

12/31/2017 61,120,335 - - - - - - - - - - -

01/31/2018 61,120,335 - - - - - - - - - - -

02/28/2018 61,120,335 - - - - - - - - - - -

03/15/2018 - - - - - - - - - - 640,873 640,873

03/31/2018 60,499,540 - - - - - - - - - - -

04/30/2018 60,499,540 - - - - - - - - - - -

05/31/2018 60,499,540 - - - - - - - - - - -

06/15/2018 - - - - - - - - - - 737,004 737,004

06/30/2018 61,079,909 - - - - - - - - - - -

07/31/2018 61,079,909 - - - - - - - - - - -

08/31/2018 61,079,909 - - - - - - - - - - -

09/30/2018 63,063,319 - - - - - - - - - 737,004 737,004

10/31/2018 63,063,319 - - - - - - - - - - -

11/30/2018 63,063,319 - - - - - - - - - - -

12/31/2018 62,758,734 - - - - - - - - - 737,004 737,004

01/31/2019 62,758,734 - - - - - - - - - - -

02/28/2019 62,758,734 - - - - - - - - - - -

03/15/2019 - - - - - - - - - - 737,004 737,004

03/31/2019 62,731,800 - - - - - - - - - - -

04/30/2019 62,731,800 - - - - - - - - - - -

05/31/2019 62,731,800 - - - - - - - - - - -

06/30/2019 64,009,559 - - - - - - - - - - -

07/31/2019 64,009,559 - - - - - - - - - - -

08/31/2019 64,009,559 - - - - - - - - - - -

09/16/2019 - - - - - - - - - - 737,004 737,004

09/30/2019 64,732,200 - - - - - - - - - - -

10/31/2019 64,732,200 - - - - - - - - - - -

11/30/2019 64,732,200 - - - - - - - - - - -

12/31/2019 66,899,108 - - - - - - - - - - -

01/31/2020 66,899,108 - - - - - - - - - - -

02/29/2020 66,899,108 - - - - - - - - - - -

03/31/2020 66,539,641 - - - - - - - - - - -

Page 158 of 292

Private Equity Financial Reconciliation

Lyrical - OTRS Realty Partners IV

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

04/30/2020 66,539,641 - - - - - - - - - - -

05/31/2020 66,539,641 - - - - - - - - - - -

06/30/2020 68,709,057 - - - - - - - - - - -

Total 53,750,000 - - - 53,750,000 - - - - 5,607,637 5,607,637

Page 159 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2018

Strategy Type: Real Estate Management Fee: 1.50%

Target IRR: 9% Inception: 12/05/2017

General Partner: Artemis Real Estate Partners Fund III GP, LLC

Investment Strategy: Value-added, commingled real estate fund to invest in equity and debt across product type and geography in the U.S.

Cash Flow Summary

Capital Committed: $50,000,000

Capital Invested: $10,140,416

Management Fees: $1,183,696

Expenses: -

Interest: $19,599

Total Contributions: $11,343,711

Remaining Capital Commitment: $38,795,683

Total Distributions: $122,676

Market Value: $10,980,345

Inception Date: 01/08/2019

Inception IRR: -2.4

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$3,120,000.0

$6,240,000.0

$9,360,000.0

$12,480,000.0

$15,600,000.0

($3,120,000.0)

1/19 4/19 7/19 10/19 1/20 4/20 6/20

Private Equity Fund Overview

Artemis Real Estate Partners Fund III

As of June 30, 2020

Page 160 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

01/08/2019 - 981,311 619,800 - 19,599 1,620,710 - - - - - -

01/31/2019 1,620,710 - - - - - - - - - - -

02/05/2019 - 495,490 376,910 - - 872,400 - - - - - -

02/28/2019 2,116,200 - - - - - - - - - - -

03/18/2019 - 533,058 - - - 533,058 - - - - - -

03/31/2019 2,019,344 - - - - - - - - - - -

04/05/2019 - 1,475,964 - - - 1,475,964 - - - - - -

04/10/2019 - - - - - - - - 2,881 119,795 - 122,676

04/30/2019 3,372,632 - - - - - - - - - - -

05/31/2019 3,372,632 - - - - - - - - - - -

06/05/2019 - 990,683 - - - 990,683 - - - - - -

06/30/2019 4,611,622 - - - - - - - - - - -

07/03/2019 - 517,020 186,986 - - 704,006 - - - - - -

07/31/2019 5,128,642 - - - - - - - - - - -

08/31/2019 5,128,642 - - - - - - - - - - -

09/09/2019 - 1,041,077 - - - 1,041,077 - - - - - -

09/30/2019 6,107,861 - - - - - - - - - - -

10/31/2019 6,107,861 - - - - - - - - - - -

11/13/2019 - 645,310 - - - 645,310 - - - - - -

11/30/2019 6,753,171 - - - - - - - - - - -

12/31/2019 7,295,995 - - - - - - - - - - -

01/24/2020 - 826,667 - - - 826,667 - - - - - -

01/31/2020 8,122,662 - - - - - - - - - - -

02/29/2020 8,122,662 - - - - - - - - - - -

03/06/2020 - 662,200 - - - 662,200 - - - - - -

03/31/2020 8,921,120 - - - - - - - - - - -

04/20/2020 - 1,971,636 - - - 1,971,636 - - - - - -

04/30/2020 10,892,756 - - - - - - - - - - -

05/31/2020 10,892,756 - - - - - - - - - - -

06/30/2020 10,980,345 - - - - - - - - - - -

Total 10,140,416 1,183,696 - 19,599 11,343,711 - - 2,881 119,795 - 122,676

Private Equity Financial Reconciliation

Artemis Real Estate Partners Fund III

Since Inception Ending June 30, 2020

Page 161 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2013

Strategy Type: Real Estate Management Fee: 1.50% + PBF

Target IRR: Pre-tax net annual IRR on invested capital of 15-17% Inception: 02/01/2013

General Partner: Dune Real Estate Partners III LLC

Investment Strategy: With targeted equity commitments of $960 million, Fund III continues the execution of Dune's opportunistic equity investment program with a focus on distressed, deep value-add andcontrarian investing, primarily in the U.S. Dune intends for Fund III to acquire real estate across multiple sectors including multifamily, retail, office, industrial & hotel sectors, among others.Dune seeks to assemble a portfolio of opportunistic investments for Fund III, well-balanced by region and sector, that Dune believes can generate a fund-level, pre-tax net annual IRR oninvested capital of between 15% and 17%. Investments are generally expected to be held by Fund III for a period of approximately five years.

Dune's strategy for Fund III broadly focuses on the opportunities resulting from unprecedented deleveraging of the capital markets and corresponding distress and dislocation in the realestate markets. Dune executes its strategy through three primary investment themes in Fund III:1. Distressed: Acquisition, recapitalization and/or restructuring of sub-performing and non-performing commercial mortgages and other real estate loans as an effective means of acquiringreal estate;2. Deep Value-Add: Repositioning of real estate assets and/or rationalization of capital structures; and3. Contrarian: Investing to take advantage of oversold markets or asset classeswhere the acquisition basis is compelling and where investor behavior has created exploitable mispricing.

Investment Objective: Fund III will seek to make investments in a broad range of real estate and real estate-related investments, such investments to include but not be limited toinvestments in single assets, portfolios, joint ventures and operating companies, as well as real estate-related loans and debt securities.

Cash Flow Summary

Capital Committed: $53,750,000

Capital Invested: $51,490,738

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $51,490,738

Remaining Capital Commitment: $2,937,949

Total Distributions: $19,384,847

Market Value: $44,052,271

Inception Date: 11/07/2014

Inception IRR: 6.1

TVPI: 1.2

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$15,600,000.0

$31,200,000.0

$46,800,000.0

$62,400,000.0

$78,000,000.0

($15,600,000.0)

12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

Private Equity Fund Overview

Dune Real Estate Fund III

As of June 30, 2020

Page 162 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

11/07/2014 - 10,685,612 - - - 10,685,612 - - - - - -

11/30/2014 10,685,612 - - - - - - - - - - -

12/31/2014 11,935,003 - - - - - - - - - - -

01/31/2015 11,935,003 - - - - - - - - - - -

02/09/2015 - 5,375,000 - - - 5,375,000 - - - - - -

02/28/2015 17,310,003 - - - - - - - - - - -

03/31/2015 17,917,278 - - - - - - - - - - -

04/30/2015 17,917,278 - - - - - - - - - - -

05/31/2015 17,917,278 - - - - - - - - - - -

06/12/2015 - 678,687 - - - 678,687 - - - 678,687 - 678,687

06/25/2015 - 5,375,000 - - - 5,375,000 - - - - - -

06/30/2015 24,281,409 - - - - - - - - - - -

07/31/2015 24,281,409 - - - - - - - - - - -

08/31/2015 24,281,409 - - - - - - - - - - -

09/30/2015 25,034,773 - - - - - - - - - - -

10/31/2015 25,034,773 - - - - - - - - - - -

11/30/2015 25,034,773 - - - - - - - - - - -

12/14/2015 - 6,057,513 - - - 6,057,513 - - - - - -

12/31/2015 31,611,958 - - - - - - - - - - -

01/31/2016 31,611,958 - - - - - - - - - - -

02/29/2016 31,611,958 - - - - - - - - - - -

03/31/2016 32,138,353 - - - - - - - - - - -

04/30/2016 32,138,353 - - - - - - - - - - -

05/02/2016 - 2,799,481 - - - 2,799,481 - - - - - -

05/31/2016 34,937,834 - - - - - - - - - - -

06/30/2016 36,551,395 - - - - - - - - - - -

07/31/2016 36,551,395 - - - - - - - - - - -

08/31/2016 36,551,395 - - - - - - - - - - -

09/27/2016 - 3,301,146 - - - 3,301,146 - - - - - -

09/30/2016 41,145,907 - - - - - - - - - - -

10/31/2016 41,145,907 - - - - - - - - - - -

11/30/2016 41,145,907 - - - - - - - - - - -

12/31/2016 42,698,797 - - - - - - - - - - -

01/31/2017 42,698,797 - - - - - - - - - - -

02/28/2017 42,698,797 - - - - - - - - - - -

03/20/2017 - 2,418,750 - - - 2,418,750 - - - - - -

03/31/2017 46,020,384 - - - - - - - - - - -

04/30/2017 46,020,384 - - - - - - - - - - -

05/31/2017 46,020,384 - - - - - - - - - - -

06/30/2017 47,972,788 - - - - - - - - - - -

Private Equity Financial Reconciliation

Dune Real Estate Fund III

Since Inception Ending June 30, 2020

Page 163 of 292

Private Equity Financial Reconciliation

Dune Real Estate Fund III

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/31/2017 47,972,788 - - - - - - - - - - -

08/31/2017 47,972,788 - - - - - - - - - - -

09/30/2017 50,148,489 - - - - - - - - - - -

10/02/2017 - 1,075,000 - - - 1,075,000 - - - - - -

10/31/2017 51,223,489 - - - - - - - - - - -

11/30/2017 51,223,489 - - - - - - - - - - -

12/31/2017 53,179,314 - - - - - - - - - - -

01/31/2018 53,179,314 - - - - - - - - - - -

02/28/2018 56,135,527 2,956,213 - - - 2,956,213 - - - - - -

03/26/2018 - 3,113,020 - - - 3,113,020 - - - - - -

03/31/2018 59,283,227 - - - - - - - - - - -

04/30/2018 55,330,215 - - - - - - - - - 3,953,012 3,953,012

05/31/2018 55,330,215 - - - - - - - - - - -

06/27/2018 - - - - - - - - - - 4,491,119 4,491,119

06/30/2018 52,794,864 - - - - - - - - - - -

07/31/2018 52,794,864 - - - - - - - - - - -

08/24/2018 - - - - - - - - - - 2,331,988 2,331,988

08/31/2018 50,462,876 - - - - - - - - - - -

09/17/2018 - 2,915,938 - - - 2,915,938 - - - - - -

09/30/2018 56,247,108 - - - - - - - - - - -

10/31/2018 56,247,108 - - - - - - - - - - -

11/30/2018 56,247,108 - - - - - - - - - - -

12/14/2018 - - - - - - - - - - 1,337,911 1,337,911

12/31/2018 56,438,543 - - - - - - - - - - -

01/29/2019 - 2,357,161 - - - 2,357,161 - - - - - -

01/31/2019 58,795,704 - - - - - - - - - - -

02/28/2019 58,795,704 - - - - - - - - - - -

03/31/2019 59,945,618 - - - - - - - - - - -

04/30/2019 59,945,618 - - - - - - - - - - -

05/23/2019 - - - - - - - - - - 2,873,329 2,873,329

05/31/2019 57,072,289 - - - - - - - - - - -

06/17/2019 - 675,801 - - - 675,801 - - - - - -

06/30/2019 58,264,670 - - - - - - - - - - -

07/31/2019 58,264,670 - - - - - - - - - - -

08/31/2019 58,264,670 - - - - - - - - - - -

09/27/2019 - 686,206 - - - 686,206 - - - - 1,677,253 1,677,253

09/30/2019 54,577,457 - - - - - - - - - - -

10/31/2019 54,577,457 - - - - - - - - - - -

11/30/2019 54,577,457 - - - - - - - - - - -

12/31/2019 54,140,569 - - - - - - - - - - -

01/24/2020 - 1,020,210 - - - 1,020,210 - - - - 2,041,548 2,041,548

Page 164 of 292

Private Equity Financial Reconciliation

Dune Real Estate Fund III

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

01/31/2020 53,119,231 - - - - - - - - - - -

02/29/2020 53,119,231 - - - - - - - - - - -

03/31/2020 52,985,110 - - - - - - - - - - -

04/30/2020 52,985,110 - - - - - - - - - - -

05/31/2020 52,985,110 - - - - - - - - - - -

06/30/2020 44,052,271 - - - - - - - - - - -

Total 51,490,738 - - - 51,490,738 - - - 678,687 18,706,160 19,384,847

Page 165 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2018

Strategy Type: Real Estate Management Fee: Commitment Period 1.5% per annum; Incentive Fee: 20% Profits Interest, with a40% / 60% GP catch-up

Target IRR: 9% Inception: 05/01/2018

General Partner: Dune Real Estate Partners IV LLC

Investment Strategy: Fund IV seeks to make investments in a broad range of real estate and real estate-related investments, including investments in individual real estate properties, portfolios, operatingcompanies, equity interests and/or securities, bridge loans, first or second mortgages, participation interests, mezzanine debt, real estate-related loans and debt securities, preferred equity,convertible or participating mortgages, options to purchase and warrants, among several others, in each case through a variety of investment structures.

Cash Flow Summary

Capital Committed: $60,000,000

Capital Invested: $14,392,492

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $14,392,492

Remaining Capital Commitment: $45,946,034

Total Distributions: $347,926

Market Value: $10,723,020

Inception Date: 08/22/2019

Inception IRR: -31.8

TVPI: 0.8

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$3,900,000.0

$7,800,000.0

$11,700,000.0

$15,600,000.0

$19,500,000.0

($3,900,000.0)

9/19 12/19 3/20 6/20

Private Equity Fund Overview

Dune Real Estate Fund IV

As of June 30, 2020

Page 166 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

08/22/2019 - 5,251,316 - - - 5,251,316 - - - - - -

08/31/2019 5,251,316 - - - - - - - - - - -

09/30/2019 4,126,939 - - - - - - - - - - -

10/31/2019 4,126,939 - - - - - - - - - - -

11/30/2019 4,126,939 - - - - - - - - - - -

12/16/2019 - 6,596,454 - - - 6,596,454 9,400 - - 338,526 - 347,926

12/31/2019 10,287,980 - - - - - - - - - - -

01/31/2020 10,287,980 - - - - - - - - - - -

02/29/2020 10,287,980 - - - - - - - - - - -

03/16/2020 - 2,544,722 - - - 2,544,722 - - - - - -

03/31/2020 12,492,937 - - - - - - - - - - -

04/30/2020 12,492,937 - - - - - - - - - - -

05/31/2020 12,492,937 - - - - - - - - - - -

06/30/2020 10,723,020 - - - - - - - - - - -

Total 14,392,492 - - - 14,392,492 9,400 - - 338,526 - 347,926

Private Equity Financial Reconciliation

Dune Real Estate Fund IV

Since Inception Ending June 30, 2020

Page 167 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2018

Strategy Type: Real Estate Management Fee: 1.50%

Target IRR: 8%/10%20% over a 8% pref, once 10% pref reached 60%/40% Inception: 12/15/2017

General Partner: FCP Realty Fund IV, L.P.

Investment Strategy: FCP Realty Fund IV, L.P. (“FCP Fund IV”) is formed by FCP (“FCP” or the “Sponsor”) to invest in value-add real estate opportunities primarily in the moderate income multifamily propertiesin supply-constrained locations to generate durable cash flow and pursuing select class A multifamily investments and commercial investments to enhance portfolio returns. FCP Fund IV willtarget a 15.0% to 18.0% Gross IRR and a 2.0x Gross Equity Multiple with maximum leverage of 70% on a portfolio-wide basis.

Cash Flow Summary

Capital Committed: $35,000,000

Capital Invested: $13,132,888

Management Fees: $122,500

Expenses: -

Interest: -

Total Contributions: $13,255,388

Remaining Capital Commitment: $21,865,798

Total Distributions: $348,234

Market Value: $12,706,346

Inception Date: 12/03/2018

Inception IRR: -2.2

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$3,640,000.0

$7,280,000.0

$10,920,000.0

$14,560,000.0

$18,200,000.0

($3,640,000.0)

12/18 3/19 6/19 9/19 12/19 3/20 6/20

Private Equity Fund Overview

FCP Realty Fund IV

As of June 30, 2020

Page 168 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/03/2018 - 695,364 - - - 695,364 - - - - - -

12/31/2018 695,364 - - - - - - - - - - -

01/31/2019 695,364 - - - - - - - - - - -

02/28/2019 695,364 - - - - - - - - - - -

03/25/2019 - 1,348,144 - - - 1,348,144 - - - - - -

03/31/2019 1,646,535 - - - - - - - - - - -

04/29/2019 - 1,390,728 - - - 1,390,728 - - - - - -

04/30/2019 3,037,263 - - - - - - - - - - -

05/31/2019 3,037,263 - - - - - - - - - - -

06/30/2019 2,793,539 - - - - - - - - - - -

07/16/2019 - 484,089 - - - 484,089 - - - - - -

07/31/2019 3,277,628 - - - - - - - - - - -

08/15/2019 - 2,628,477 - - - 2,628,477 - - - - - -

08/31/2019 5,906,105 - - - - - - - - - - -

09/19/2019 - - - - - - 227,049 - - 121,186 - 348,234

09/30/2019 5,382,358 - - - - - - - - - - -

10/28/2019 - 1,251,656 - - - 1,251,656 - - - - - -

10/31/2019 6,634,014 - - - - - - - - - - -

11/30/2019 6,634,014 - - - - - - - - - - -

12/31/2019 7,440,972 - - - - - - - - - - -

01/20/2020 - 1,851,002 122,500 - - 1,973,502 - - - - - -

01/31/2020 9,291,974 - - - - - - - - - - -

02/25/2020 - 1,162,243 - - - 1,162,243 - - - - - -

02/29/2020 10,454,217 - - - - - - - - - - -

03/27/2020 - 927,152 - - - 927,152 - - - - - -

03/31/2020 11,444,460 - - - - - - - - - - -

04/30/2020 11,444,460 - - - - - - - - - - -

05/31/2020 11,444,460 - - - - - - - - - - -

06/22/2020 - 1,394,031 - - - 1,394,031 - - - - - -

06/30/2020 12,706,346 - - - - - - - - - - -

Total 13,132,888 122,500 - - 13,255,388 227,049 - - 121,186 - 348,234

Private Equity Financial Reconciliation

FCP Realty Fund IV

Since Inception Ending June 30, 2020

Page 169 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2013

Strategy Type: Real Estate Management Fee: 0.50% on committed and 1.75% on invested capital

Target IRR: Inception: 05/13/2013

General Partner: GreenOak US GP II, LP

Investment Strategy: To acquire institutional properties at deep discounts to intrinsic value in select markets across the US, which are subject to improving fundamentals and limited new supply. Investmentopportunities for the Fund will be sourced through GreenOak‘s extensive and longstanding relationships with sophisticated partners and owners, including prominent real estate investors,lenders and operators. The Investment Manager and its affiliates will identify and evaluate potential investments, participate in the management of Fund investments and provide certainadministrative services for the benefit of the Fund. Complexity and distress within capital structures and ownership of many real estate properties have limited the options of many ownersand lenders, creating opportunity for experienced investors who can manage through these issues. The General Partner believes its real estate, structuring, workout and capital marketsexpertise will be a competitive advantage in successfully acquiring, managing and ultimately repositioning such assets to appeal to institutional buyers upon exit into a recovering market.

Cash Flow Summary

Capital Committed: $50,000,000

Capital Invested: $45,756,979

Management Fees: $533,284

Expenses: $273,600

Interest: $67,853

Total Contributions: $46,631,716

Remaining Capital Commitment: $4,506,406

Total Distributions: $17,255,089

Market Value: $30,830,892

Inception Date: 10/30/2014

Inception IRR: 0.9

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$13,000,000.0

$26,000,000.0

$39,000,000.0

$52,000,000.0

$65,000,000.0

($13,000,000.0)

10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 6/20

Private Equity Fund Overview

GreenOak US II

As of June 30, 2020

Page 170 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

10/30/2014 - 8,255,505 - - 67,853 8,323,358 - - - - - -

10/31/2014 8,255,505 - - - - - - - - - - -

11/25/2014 - - - - - - - - 6,261 859,482 - 865,743

11/30/2014 7,396,023 - - - - - - - - - - -

12/29/2014 - 3,897,838 - - - 3,897,838 - - - - - -

12/31/2014 11,532,964 - - - - - - - - - - -

01/31/2015 11,532,964 - - - - - - - - - - -

02/28/2015 11,532,964 - - - - - - - - - - -

03/31/2015 11,404,981 - - - - - - - - - - -

04/30/2015 11,404,981 - - - - - - - - - - -

05/31/2015 11,404,981 - - - - - - - - - - -

06/15/2015 - 4,215,759 533,284 273,600 - 5,022,643 - - - - - -

06/30/2015 18,354,691 - - - - - - - - - - -

07/31/2015 18,354,691 - - - - - - - - - - -

08/31/2015 18,354,691 - - - - - - - - - - -

09/30/2015 16,708,556 - - - - - - - - - - -

10/31/2015 16,708,556 - - - - - - - - - - -

11/20/2015 - 5,878,356 - - - 5,878,356 908,742 - 2,421 - 1,139,810 2,050,973

11/30/2015 20,538,360 - - - - - - - - - - -

12/31/2015 21,275,160 - - - - - - - - - - -

01/27/2016 - 6,743,730 - - - 6,743,730 - - - - - -

01/31/2016 28,018,890 - - - - - - - - - - -

02/29/2016 28,018,890 - - - - - - - - - - -

03/31/2016 27,859,887 - - - - - - - - - - -

04/30/2016 27,859,887 - - - - - - - - - - -

05/31/2016 27,859,887 - - - - - - - - - - -

06/20/2016 - 4,508,781 - - - 4,508,781 - - - - - -

06/30/2016 32,162,607 - - - - - - - - - - -

07/31/2016 32,162,607 - - - - - - - - - - -

08/31/2016 32,162,607 - - - - - - - - - - -

09/30/2016 32,783,600 - - - - - - - - - - -

10/19/2016 - 2,127,808 - - - 2,127,808 - - - 115,612 - 115,612

10/31/2016 34,795,796 - - - - - - - - - - -

11/30/2016 34,795,796 - - - - - - - - - - -

12/30/2016 - 1,686,717 - - - 1,686,717 156,849 - - 95,175 1,434,693 1,686,717

12/31/2016 36,947,144 - - - - - - - - - - -

01/31/2017 36,947,144 - - - - - - - - - - -

02/28/2017 36,947,144 - - - - - - - - - - -

03/31/2017 35,693,261 1,607,756 - - - 1,607,756 540,970 - - - 2,662,368 3,203,338

04/30/2017 35,693,261 - - - - - - - - - - -

Private Equity Financial Reconciliation

GreenOak US II

Since Inception Ending June 30, 2020

Page 171 of 292

Private Equity Financial Reconciliation

GreenOak US II

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

05/31/2017 35,693,261 - - - - - - - - - - -

06/30/2017 34,400,899 900,826 - - - 900,826 1,112,961 - - - 1,532,542 2,645,503

07/31/2017 34,400,899 - - - - - - - - - - -

08/31/2017 34,400,899 - - - - - - - - - - -

09/29/2017 - 1,071,680 - - - 1,071,680 - - - - - -

09/30/2017 35,315,876 - - - - - - - - - - -

10/31/2017 35,315,876 - - - - - - - - - - -

11/30/2017 35,315,876 - - - - - - - - - - -

12/08/2017 - 619,209 - - - 619,209 - - - - - -

12/31/2017 36,749,894 - - - - - - - - - - -

01/31/2018 36,749,894 - - - - - - - - - - -

02/28/2018 36,749,894 - - - - - - - - - - -

03/23/2018 - 1,093,423 - - - 1,093,423 - - - - - -

03/31/2018 37,709,581 - - - - - - - - - - -

04/30/2018 37,709,581 - - - - - - - - - - -

05/31/2018 37,709,581 - - - - - - - - - - -

06/28/2018 - 647,075 - - - 647,075 - - - - - -

06/30/2018 40,963,784 - - - - - - - - - - -

07/31/2018 40,963,784 - - - - - - - - - - -

08/31/2018 40,963,784 - - - - - - - - - - -

09/27/2018 - 986,991 - - - 986,991 - - - - - -

09/30/2018 42,377,585 - - - - - - - - - - -

10/31/2018 38,083,622 418,236 - - - 418,236 - 2,902,651 - - 1,809,548 4,712,199

11/30/2018 38,083,622 - - - - - - - - - - -

12/28/2018 - - - - - - 84,358 - - - 1,172,255 1,256,613

12/31/2018 37,720,086 - - - - - - - - - - -

01/31/2019 37,720,086 - - - - - - - - - - -

02/28/2019 37,720,086 - - - - - - - - - - -

03/29/2019 - - - - - - 218,606 - - - 499,785 718,391

03/31/2019 36,904,903 - - - - - - - - - - -

04/30/2019 36,904,903 - - - - - - - - - - -

05/31/2019 36,904,903 - - - - - - - - - - -

06/26/2019 - 747,355 - - - 747,355 - - - - - -

06/30/2019 37,485,093 - - - - - - - - - - -

07/31/2019 37,485,093 - - - - - - - - - - -

08/31/2019 37,485,093 - - - - - - - - - - -

09/27/2019 - 349,934 - - - 349,934 - - - - - -

09/30/2019 37,831,489 - - - - - - - - - - -

10/31/2019 37,831,489 - - - - - - - - - - -

11/30/2019 37,831,489 - - - - - - - - - - -

12/31/2019 33,578,265 - - - - - - - - - - -

Page 172 of 292

Private Equity Financial Reconciliation

GreenOak US II

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

01/31/2020 33,578,265 - - - - - - - - - - -

02/29/2020 33,578,265 - - - - - - - - - - -

03/31/2020 31,634,414 - - - - - - - - - - -

04/30/2020 31,634,414 - - - - - - - - - - -

05/31/2020 31,634,414 - - - - - - - - - - -

06/30/2020 30,830,892 - - - - - - - - - - -

Total 45,756,979 533,284 273,600 67,853 46,631,716 3,022,486 2,902,651 8,682 1,070,269 10,251,001 17,255,089

Page 173 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2017

Strategy Type: Real Estate Management Fee: 1.50%

Target IRR: 9% Inception: 01/15/2017

General Partner: GreenOak US GP III, LP

Investment Strategy: To acquire institutional properties at meaningful discounts to intrinsic value in select markets across the US that benefit from strong job growth, supply constraints and favorabledemographic trends. Investment opportunities for the Fund will be sourced through GreenOak’s extensive and longstanding relationships in the Fund’s target markets including real estateowners, intermediaries and operating partners. The Investment Manager and its affiliates will identify and evaluate potential investments, participate in the management of Fund investmentsand provide certain administrative services for the benefit of the Fund. The General Partner believes that the US commercial real estate market has likely reached a cyclical peak invaluation levels and there will be more favorable, contrarian investment opportunities over the next several years as this economic cycle ends, credit markets weaken and over supplyimpacts asset values in select markets. The General Partner anticipates coastal gateway markets will significantly outperform other primary and secondary markets and offer both betterdownside protection and greater upside throughout the cycle. Within these markets, the General Partner believes that inefficiencies remain on a selective basis despite asset valueappreciation. The General Partner will continue to seek opportunities to acquire assets selectively in submarkets with strong fundamentals, that may have been neglected from a capitalperspective and are defensive in business plan and capital structure. The General Partne believes GreenOak’s real estate, structuring, workout and capital markets expertise will be acompetitive advantage in successfully acquiring, managing and ultimately repositioning such assets to appeal to institutional buyers upon exit into a recovering market.

Cash Flow Summary

Capital Committed: $60,000,000

Capital Invested: $23,167,757

Management Fees: $2,529,911

Expenses: $890,519

Interest: -

Total Contributions: $26,588,187

Remaining Capital Commitment: $33,411,813

Total Distributions: -

Market Value: $22,312,845

Inception Date: 06/25/2018

Inception IRR: -15.4

TVPI: 0.8

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$7,020,000.0

$14,040,000.0

$21,060,000.0

$28,080,000.0

$35,100,000.0

($7,020,000.0)

6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20

Private Equity Fund Overview

GreenOak US III

As of June 30, 2020

Page 174 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

06/25/2018 - 6,140,092 452,590 457,325 - 7,050,007 - - - - - -

06/30/2018 5,393,914 - - - - - - - - - - -

07/31/2018 5,393,914 - - - - - - - - - - -

08/31/2018 5,393,914 - - - - - - - - - - -

09/28/2018 - 633,879 188,808 38,041 - 860,728 - - - - - -

09/30/2018 5,966,586 - - - - - - - - - - -

10/31/2018 5,966,586 - - - - - - - - - - -

11/30/2018 5,966,586 - - - - - - - - - - -

12/27/2018 - 629,785 195,341 26,577 - 851,703 - - - - - -

12/31/2018 6,873,301 - - - - - - - - - - -

01/31/2019 6,873,301 - - - - - - - - - - -

02/28/2019 6,873,301 - - - - - - - - - - -

03/28/2019 - 4,349,710 196,144 28,240 - 4,574,094 - - - - - -

03/31/2019 11,196,405 - - - - - - - - - - -

04/30/2019 11,196,405 - - - - - - - - - - -

05/31/2019 11,196,405 - - - - - - - - - - -

06/30/2019 10,904,560 - - - - - - - - - - -

07/23/2019 - 2,682,627 366,596 87,102 - 3,136,325 - - - - - -

07/31/2019 13,587,187 - - - - - - - - - - -

08/31/2019 13,587,187 - - - - - - - - - - -

09/30/2019 13,753,266 - - - - - - - - - - -

10/04/2019 - 566,490 217,374 4,544 - 788,408 - - - - - -

10/31/2019 14,319,756 - - - - - - - - - - -

11/30/2019 14,319,756 - - - - - - - - - - -

12/09/2019 - 1,729,084 220,063 4,321 - 1,953,468 - - - - - -

12/31/2019 17,288,002 - - - - - - - - - - -

01/31/2020 17,288,002 - - - - - - - - - - -

02/29/2020 17,288,002 - - - - - - - - - - -

03/31/2020 16,129,333 - - - - - - - - - - -

04/17/2020 - 6,436,090 692,995 244,369 - 7,373,454 - - - - - -

04/30/2020 22,565,423 - - - - - - - - - - -

05/31/2020 22,565,423 - - - - - - - - - - -

06/30/2020 22,312,845 - - - - - - - - - - -

Total 23,167,757 2,529,911 890,519 - 26,588,187 - - - - - -

Private Equity Financial Reconciliation

GreenOak US III

Since Inception Ending June 30, 2020

Page 175 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2018

Strategy Type: Real Estate Management Fee: 1.35% and 1.5% of the aggregate Subscriptions of First Closing Partners andLater Admitted Partners, respectively, ending upon the Fee Break Expiration Date

Target IRR: Inception: 07/15/2018

General Partner: HEREF V GP, LLP

Investment Strategy: European Real Estate

Cash Flow Summary

Capital Committed: $50,000,000

Capital Invested: $14,791,349

Management Fees: -

Expenses: -

Interest: $27,626

Total Contributions: $14,818,975

Remaining Capital Commitment: $35,424,765

Total Distributions: $278,613

Market Value: $13,937,814

Inception Date: 12/10/2018

Inception IRR: -5.7

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$3,900,000.0

$7,800,000.0

$11,700,000.0

$15,600,000.0

$19,500,000.0

($3,900,000.0)

12/18 3/19 6/19 9/19 12/19 3/20 6/20

Private Equity Fund Overview

Harbert Euro Real Estate Fund V

As of June 30, 2020

Page 176 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/10/2018 - 2,109,504 - - 27,626 2,137,130 - - - - - -

12/31/2018 1,628,464 - - - - - - - - - - -

01/31/2019 1,628,464 - - - - - - - - - - -

02/26/2019 - - - - - - - - 3,995 192,387 - 196,382

02/28/2019 1,436,076 - - - - - - - - - - -

03/31/2019 1,325,137 - - - - - - - - - - -

04/30/2019 1,325,137 - - - - - - - - - - -

05/28/2019 - - - - - - - - 1,093 23,727 - 24,820

05/31/2019 1,301,410 - - - - - - - - - - -

06/30/2019 1,296,393 - - - - - - - - - - -

07/31/2019 1,296,393 - - - - - - - - - - -

08/16/2019 - 3,224,538 - - - 3,224,538 - - - - - -

08/31/2019 4,520,931 - - - - - - - - - - -

09/30/2019 4,778,835 - - - - - - - - - - -

10/31/2019 4,778,835 - - - - - - - - - - -

11/30/2019 4,778,835 - - - - - - - - - - -

12/02/2019 - 5,145,568 - - - 5,145,568 - - - - 57,410 57,410

12/31/2019 10,795,435 - - - - - - - - - - -

01/31/2020 10,795,435 - - - - - - - - - - -

02/07/2020 - 4,311,739 - - - 4,311,739 - - - - - -

02/29/2020 15,107,174 - - - - - - - - - - -

03/31/2020 14,989,956 - - - - - - - - - - -

04/30/2020 14,989,956 - - - - - - - - - - -

05/31/2020 14,989,956 - - - - - - - - - - -

06/30/2020 13,937,814 - - - - - - - - - - -

Total 14,791,349 - - 27,626 14,818,975 - - 5,088 216,114 57,410 278,613

Private Equity Financial Reconciliation

Harbert Euro Real Estate Fund V

Since Inception Ending June 30, 2020

Page 177 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2018

Strategy Type: Real Estate Management Fee: 1.50%, 20% incentive fee; 50% catch-up

Target IRR: 9% Inception: 05/18/2018

General Partner:

Investment Strategy: The Fund seeks to achieve attractive returns by locating, analyzing and investing, directly or indirectly, in opportunistic and distressed transactions in real estate, real estate finance andrelated investments in both the U.S. and non-U.S. real estate markets, including, but not limited to, commercial real estate, commercial mortgage loans, rescue capital, distressed andnonperforming loans, stressed and sub-performing loans and other mortgage-related assets and structured real estate finance products.

Cash Flow Summary

Capital Committed: $60,000,000

Capital Invested: $14,433,256

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $14,433,256

Remaining Capital Commitment: $49,476,830

Total Distributions: $7,942,189

Market Value: $13,954,742

Inception Date: 09/17/2019

Inception IRR: 69.4

TVPI: 1.5

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$4,680,000.0

$9,360,000.0

$14,040,000.0

$18,720,000.0

$23,400,000.0

($4,680,000.0)

9/19 12/19 3/20 6/20

Private Equity Fund Overview

Invesco Strategic Opportunities III

As of June 30, 2020

Page 178 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/17/2019 - 14,433,256 - - - 14,433,256 - - - - - -

09/30/2019 17,436,412 - - - - - - - - - - -

10/31/2019 17,436,412 - - - - - - - - - - -

11/30/2019 17,436,412 - - - - - - - - - - -

12/30/2019 - - - - - - - - - 3,910,086 2,291,058 6,201,144

12/31/2019 14,524,640 - - - - - - - - - - -

01/31/2020 14,524,640 - - - - - - - - - - -

02/29/2020 14,524,640 - - - - - - - - - - -

03/31/2020 15,421,753 - - - - - - - - - - -

04/30/2020 15,421,753 - - - - - - - - - - -

05/31/2020 15,421,753 - - - - - - - - - - -

06/08/2020 - - - - - - - - - - 1,741,045 1,741,045

06/30/2020 13,954,742 - - - - - - - - - - -

Total 14,433,256 - - - 14,433,256 - - - 3,910,086 4,032,103 7,942,189

Private Equity Financial Reconciliation

Invesco Strategic Opportunities III

Since Inception Ending June 30, 2020

Page 179 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2014

Strategy Type: Real Estate Management Fee: 25 bps

Target IRR: Inception: 04/24/2014

General Partner: L&B Realty Acquisitions, LLC

Investment Strategy: The fund will invest in a focused portfolio composed of up to three property types: Retirement Homes/Memory Care facilities, Build to Core Office, and Special Opportunities. The primaryobjective is protection of capital and appreciation. Assets will be conservatively underwritten and utilize reasonable leverage (up to 65%). The portfolio will invest a geographically diversifiedportfolio of non-core development properties. The Retirement Homes/Memory Care will focus on demographically advantaged areas and construct new facilities. Build to Core will constructhigh quality office buildings in attractive infill areas. Special opportunities will target unique properties with a focus on long-term income production.

Cash Flow Summary

Capital Committed: $75,000,000

Capital Invested: $73,469,571

Management Fees: $1,196,248

Expenses: -

Interest: -

Total Contributions: $74,665,819

Remaining Capital Commitment: $334,181

Total Distributions: $28,000,000

Market Value: $74,735,022

Inception Date: 07/31/2014

Inception IRR: 9.0

TVPI: 1.4

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$28,600,000.0

$57,200,000.0

$85,800,000.0

$114,400,000.0

$143,000,000.0

($28,600,000.0)

7/14 1/15 7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 1/20 6/20

Private Equity Fund Overview

L&B Golden Driller

As of June 30, 2020

Page 180 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/31/2014 600,000 600,000 - - - 600,000 - - - - - -

08/31/2014 600,000 - - - - - - - - - - -

09/25/2014 - 340,000 - - - 340,000 - - - - - -

09/30/2014 940,000 - - - - - - - - - - -

10/31/2014 940,000 - - - - - - - - - - -

11/14/2014 - 200,000 - - - 200,000 - - - - - -

11/30/2014 1,140,000 - - - - - - - - - - -

12/19/2014 - 225,000 - - - 225,000 - - - - - -

12/31/2014 1,341,974 - - - - - - - - - - -

01/31/2015 1,341,974 - - - - - - - - - - -

02/28/2015 1,341,974 - - - - - - - - - - -

03/06/2015 - 5,400,000 - - - 5,400,000 - - - - - -

03/31/2015 6,726,615 - - - - - - - - - - -

04/17/2015 - 900,000 - - - 900,000 - - - - - -

04/30/2015 7,626,615 - - - - - - - - - - -

05/26/2015 - 5,625,000 - - - 5,625,000 - - - - - -

05/31/2015 13,251,615 - - - - - - - - - - -

06/30/2015 13,242,860 - - - - - - - - - - -

07/31/2015 13,242,860 - - - - - - - - - - -

08/31/2015 13,242,860 - - - - - - - - - - -

09/03/2015 - 10,800,000 - - - 10,800,000 - - - - - -

09/04/2015 - 2,700,000 - - - 2,700,000 - - - - - -

09/30/2015 26,742,549 - - - - - - - - - - -

10/31/2015 26,742,549 - - - - - - - - - - -

11/30/2015 26,742,549 - - - - - - - - - - -

12/31/2015 26,742,331 - - - - - - - - - - -

01/31/2016 26,742,331 - - - - - - - - - - -

02/29/2016 26,742,331 - - - - - - - - - - -

03/25/2016 - 5,850,000 - - - 5,850,000 - - - - - -

03/31/2016 32,592,042 - - - - - - - - - - -

04/30/2016 32,592,260 - - - - - - - - - - -

05/16/2016 - 2,475,019 181,306 - - 2,656,325 - - - - - -

05/31/2016 35,067,279 - - - - - - - - - - -

06/30/2016 35,244,778 - - - - - - - - - - -

07/07/2016 - 505,498 95,080 - - 600,578 - - - - - -

07/29/2016 - 1,328,346 - - - 1,328,346 - - - - - -

07/31/2016 37,078,840 - - - - - - - - - - -

08/26/2016 - 4,500,000 - - - 4,500,000 - - - - - -

08/31/2016 41,578,840 - - - - - - - - - - -

09/16/2016 - - 33,332 - - 33,332 - - - - - -

Private Equity Financial Reconciliation

L&B Golden Driller

Since Inception Ending June 30, 2020

Page 181 of 292

Private Equity Financial Reconciliation

L&B Golden Driller

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/30/2016 41,707,034 - - - - - - - - - - -

10/18/2016 - - 16,666 - - 16,666 - - - - - -

10/31/2016 41,707,034 - - - - - - - - - - -

11/15/2016 - - 16,666 - - 16,666 - - - - - -

11/23/2016 - 4,500,000 - - - 4,500,000 - - - - - -

11/30/2016 46,207,034 - - - - - - - - - - -

12/21/2016 - 900,000 16,666 - - 916,666 - - - - - -

12/22/2016 - 450,000 - - - 450,000 - - - - - -

12/31/2016 47,606,639 - - - - - - - - - - -

01/31/2017 47,606,639 - 24,999 - - 24,999 - - - - - -

02/21/2017 - - 24,999 - - 24,999 - - - - - -

02/24/2017 - 1,350,000 - - - 1,350,000 - - - - - -

02/28/2017 48,956,639 - - - - - - - - - - -

03/22/2017 - - 24,999 - - 24,999 - - - - - -

03/23/2017 - 2,430,000 - - - 2,430,000 - - - - - -

03/31/2017 51,458,827 - - - - - - - - - - -

04/24/2017 - 3,150,000 104,156 - - 3,254,156 - - - - - -

04/26/2017 - 5,664,908 - - - 5,664,908 - - - - - -

04/30/2017 60,273,735 - - - - - - - - - - -

05/18/2017 - - 49,998 - - 49,998 - - - - - -

05/31/2017 60,273,735 - - - - - - - - - - -

06/15/2017 - 4,050,000 24,999 - - 4,074,999 - - - - - -

06/30/2017 64,502,888 - - - - - - - - - - -

07/19/2017 - - 24,999 - - 24,999 - - - - - -

07/31/2017 64,502,888 - - - - - - - - - - -

08/15/2017 - - 24,999 - - 24,999 - - - - - -

08/31/2017 64,502,888 - - - - - - - - - - -

09/29/2017 - - 33,332 - - 33,332 - - - - - -

09/30/2017 64,585,797 - - - - - - - - - - -

10/06/2017 - 1,608,300 - - - 1,608,300 - - - - - -

10/16/2017 - - 16,666 - - 16,666 - - - - - -

10/25/2017 - 585,000 - - - 585,000 - - - - - -

10/31/2017 66,779,097 - - - - - - - - - - -

11/15/2017 - - 16,666 - - 16,666 - - - - - -

11/30/2017 66,779,097 - - - - - - - - - - -

12/13/2017 - - 16,666 - - 16,666 - - - - - -

12/31/2017 66,829,095 - - - - - - - - - - -

01/31/2018 66,829,095 - 48,331 - - 48,331 - - - - - -

02/21/2018 - - 16,666 - - 16,666 - - - - - -

02/28/2018 66,829,095 - - - - - - - - - - -

03/15/2018 - - 16,666 - - 16,666 - - - - - -

Page 182 of 292

Private Equity Financial Reconciliation

L&B Golden Driller

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/31/2018 66,907,634 - - - - - - - - - - -

04/17/2018 - - 35,665 - - 35,665 - - - - - -

04/30/2018 66,907,634 - - - - - - - - - - -

05/04/2018 - 621,000 - - - 621,000 - - - - - -

05/15/2018 - - 16,666 - - 16,666 - - - - - -

05/24/2018 - 135,000 - - - 135,000 - - - - - -

05/25/2018 - 225,000 - - - 225,000 - - - - - -

05/31/2018 67,888,634 - - - - - - - - - - -

06/22/2018 - 337,500 - - - 337,500 - - - - - -

06/27/2018 - - 16,666 - - 16,666 - - - - - -

06/30/2018 68,294,711 - - - - - - - - - - -

07/19/2018 - 225,000 35,665 - - 260,665 - - - - - -

07/31/2018 68,519,711 - - - - - - - - - - -

08/16/2018 - 387,000 8,333 - - 395,333 - - - - - -

08/31/2018 68,906,711 - - - - - - - - - - -

09/14/2018 - - 8,333 - - 8,333 - - - - - -

09/28/2018 - 346,500 - - - 346,500 - - - - - -

09/30/2018 69,305,473 - - - - - - - - - - -

10/12/2018 - 558,000 68,815 - - 626,815 - - - - - -

10/31/2018 69,863,473 - - - - - - - - - - -

11/29/2018 - 643,500 - - - 643,500 - - - - - -

11/30/2018 70,506,973 - - - - - - - - - - -

12/18/2018 - - 16,666 - - 16,666 - - - - - -

12/28/2018 - 472,500 - - - 472,500 - - - - - -

12/31/2018 71,057,665 - - - - - - - - - - -

01/22/2019 - - 70,796 - - 70,796 - - - - - -

01/25/2019 - 450,000 - - - 450,000 - - - - - -

01/31/2019 71,507,665 - - - - - - - - - - -

02/28/2019 71,507,665 - - - - - - - - - - -

03/08/2019 - 495,000 - - - 495,000 - - - - - -

03/31/2019 72,073,764 - - - - - - - - - - -

04/02/2019 - 450,000 - - - 450,000 - - - - - -

04/15/2019 - - 44,685 - - 44,685 - - - - - -

04/25/2019 - 504,000 - - - 504,000 - - - - - -

04/30/2019 73,027,764 - - - - - - - - - - -

05/06/2019 - 108,000 - - - 108,000 - - - - - -

05/29/2019 - 441,000 - - - 441,000 - - - - - -

05/31/2019 73,801,764 225,000 - - - 225,000 - - - - - -

06/27/2019 - 598,500 - - - 598,500 - - - - - -

06/30/2019 103,721,031 - - - - - - - - - - -

07/09/2019 - 110,000 - - - 110,000 - - - - - -

Page 183 of 292

Private Equity Financial Reconciliation

L&B Golden Driller

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/10/2019 - - 45,101 - - 45,101 - - - - - -

07/31/2019 103,831,031 - - - - - - - - - - -

08/01/2019 - - - - - - - - - - 19,500,000 19,500,000

08/31/2019 84,331,031 - - - - - - - - - - -

09/30/2019 84,387,306 - - - - - - - - - - -

10/31/2019 84,387,306 - - - - - - - - - - -

11/30/2019 84,387,306 - - - - - - - - - - -

12/31/2019 86,454,313 - - - - - - - - - - -

01/31/2020 86,454,313 - - - - - - - - - - -

02/29/2020 77,954,313 - - - - - - - - - 8,500,000 8,500,000

03/31/2020 77,964,708 - - - - - - - - - - -

04/30/2020 77,964,708 - - - - - - - - - - -

05/31/2020 77,964,708 - - - - - - - - - - -

06/30/2020 74,735,022 - - - - - - - - - - -

Total 73,469,571 1,196,248 - - 74,665,819 - - - - 28,000,000 28,000,000

Page 184 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2014

Strategy Type: Secondaries Management Fee: 1.00% + PBF

Target IRR: 8% Inception: 09/01/2014

General Partner: Landmark Real Estate Partners (LREP) VII, LP

Investment Strategy: Landmark's investment approach focuses on:- Capitalizing on the inefficiency and illiquidity of the secondary real estate market by acquiring limited partnership interests in institutional properties at a discount to market value;- Sourcing exclusive transaction opportunities by interacting directly with limited partners and advisors, understanding objectives, and providing customized transaction solutions;- Analyzing and evaluating transaction opportunities through the construction of property level investment cash flows derived from research, fund data, and input from Landmark's network ofthird party resources; and- Active monitoring of portfolio investments to track performance, accumulate investment data, and maximize value for investors.Portfolio construction goals:- Assemble a diverse, global portfolio of assets that span the real estate risk spectrum;- Focus on funds that are substantially committed and seasoned;- Create a highly diversified portfolio across all metrics;- Target attractive returns that deliver a 'secondary return premium;' and- Premium quantifiable through fundamentals through fundamentals such as cap rate, unlevered IRR, and investment basis.

Cash Flow Summary

Capital Committed: $35,000,000

Capital Invested: $33,340,345

Management Fees: -

Expenses: $10,345

Interest: -

Total Contributions: $33,350,690

Remaining Capital Commitment: $2,727,593

Total Distributions: $26,538,776

Market Value: $12,717,427

Inception Date: 12/22/2014

Inception IRR: 8.2

TVPI: 1.2

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$8,840,000.0

$17,680,000.0

$26,520,000.0

$35,360,000.0

$44,200,000.0

($8,840,000.0)

12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

Private Equity Fund Overview

Landmark Real Estate Partners VII

As of June 30, 2020

Page 185 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/22/2014 - 3,323,561 - - - 3,323,561 - - - - - -

12/31/2014 4,005,449 - - - - - - - - - - -

01/31/2015 4,055,449 - - - - - - - - - - -

02/24/2015 - - - - - - - - - 1,067,938 - 1,067,938

02/28/2015 2,987,511 - - - - - - - - - - -

03/31/2015 2,875,737 - - - - - - - - - - -

04/30/2015 2,875,737 - - - - - - - - - - -

05/31/2015 2,875,737 - - - - - - - - - - -

06/30/2015 2,704,492 - - - - - - - - - - -

07/31/2015 2,704,492 - - - - - - - - - - -

08/06/2015 - - - - - - - - - - 346,500 346,500

08/31/2015 2,357,992 - - - - - - - - - - -

09/30/2015 3,434,764 - - - - - - - - - - -

10/13/2015 - 1,305,150 - - - 1,305,150 - - - - - -

10/31/2015 4,739,914 - - - - - - - - - - -

11/13/2015 - - - - - - - - - - 346,500 346,500

11/23/2015 - 577,500 - - - 577,500 - - - - - -

11/30/2015 4,970,914 - - - - - - - - - - -

12/17/2015 - 8,184,330 - - - 8,184,330 - - - - - -

12/31/2015 14,764,839 - - - - - - - - - - -

01/31/2016 14,764,839 - - - - - - - - - - -

02/04/2016 - - - - - - - - - - 277,200 277,200

02/29/2016 14,487,639 - - - - - - - - - - -

03/24/2016 - - - - - - - - - - 277,200 277,200

03/31/2016 15,018,313 - - - - - - - - - - -

04/29/2016 - - - - - - - - - - 231,000 231,000

04/30/2016 14,787,313 - - - - - - - - - - -

05/31/2016 14,787,313 - - - - - - - - - - -

06/03/2016 - - - - - - - - - - 231,000 231,000

06/24/2016 - 2,310,000 - - - 2,310,000 - - - - - -

06/30/2016 16,995,274 - - - - - - - - - - -

07/15/2016 - - - - - - - - - - 577,500 577,500

07/31/2016 16,417,774 - - - - - - - - - - -

08/31/2016 16,417,774 - - - - - - - - - - -

09/08/2016 - - - - - - - - - - 623,700 623,700

09/27/2016 - 4,620,000 - - - 4,620,000 - - - - - -

09/30/2016 19,937,300 - - - - - - - - - 723,351 723,351

10/31/2016 19,650,721 - - - - - - - - - 286,579 286,579

11/30/2016 19,650,721 - - - - - - - - - - -

12/01/2016 - - - - - - - - - - 247,500 247,500

Private Equity Financial Reconciliation

Landmark Real Estate Partners VII

Since Inception Ending June 30, 2020

Page 186 of 292

Private Equity Financial Reconciliation

Landmark Real Estate Partners VII

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/21/2016 - 1,195,816 - - - 1,195,816 - - - - - -

12/22/2016 - - - - - - - - - - 1,198,421 1,198,421

12/31/2016 19,825,152 - - - - - - - - - - -

01/31/2017 18,626,731 - - - - - - - - - 1,198,421 1,198,421

02/23/2017 - - - - - - - - - - 390,789 390,789

02/28/2017 18,235,942 - - - - - - - - - - -

03/29/2017 - 211,026 - - - 211,026 - - - - - -

03/31/2017 18,523,344 - - - - - - - - - 377,763 377,763

04/27/2017 - - - - - - - - - - 455,921 455,921

04/30/2017 18,067,423 - - - - - - - - - - -

05/31/2017 17,689,660 - - - - - - - - - 377,763 377,763

06/29/2017 - - - - - - - - - - 299,605 299,605

06/30/2017 17,449,390 - - - - - - - - - - -

07/11/2017 - 1,995,104 - - - 1,995,104 - - - - - -

07/31/2017 19,444,494 - - - - - - - - - - -

08/31/2017 19,105,810 - - - - - - - - - 338,684 338,684

09/05/2017 - 4,608,711 - - - 4,608,711 - - - - - -

09/29/2017 - - - - - - - - - - 468,947 468,947

09/30/2017 24,260,443 - - - - - - - - - - -

10/20/2017 - - - - - - - - - - 755,526 755,526

10/31/2017 23,504,917 - - - - - - - - - - -

11/30/2017 22,749,391 - - - - - - - - - 755,526 755,526

12/18/2017 - 2,756,292 - - - 2,756,292 - - - - - -

12/22/2017 - - - - - - - - - - 716,447 716,447

12/31/2017 25,317,109 - - - - - - - - - - -

01/17/2018 - - - - - - - - - - 716,447 716,447

01/31/2018 24,600,662 - - - - - - - - - - -

02/05/2018 - - - - - - - - - - 508,026 508,026

02/28/2018 24,092,636 - - - - - - - - - - -

03/05/2018 - - - - - - - - - - 312,632 312,632

03/28/2018 - 453,492 - - - 453,492 - - - - - -

03/29/2018 - - - - - - - - - - 468,947 468,947

03/31/2018 23,685,388 - - - - - - - - - - -

04/30/2018 23,268,546 - - - - - - - - - 416,842 416,842

05/31/2018 23,268,546 - - - - - - - - - - -

06/29/2018 - - - - - - - - - - 547,105 547,105

06/30/2018 22,945,396 - - - - - - - - - - -

07/31/2018 22,945,396 - - - - - - - - - - -

08/06/2018 - - - - - - - - - - 1,094,211 1,094,211

08/30/2018 - - - - - - - - - - 638,289 638,289

08/31/2018 21,212,896 - - - - - - - - - - -

Page 187 of 292

Private Equity Financial Reconciliation

Landmark Real Estate Partners VII

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/06/2018 - - - - - - - - - - 625,263 625,263

09/24/2018 - 1,095,942 - - - 1,095,942 - - - - - -

09/30/2018 21,878,540 - - - - - - - - - - -

10/24/2018 - - - - - - - - - - 612,237 612,237

10/31/2018 21,266,303 - - - - - - - - - - -

11/30/2018 21,266,303 - - - - - - - - - - -

12/20/2018 - - - - - - - - - - 924,868 924,868

12/31/2018 20,278,974 - - - - - - - - - - -

01/31/2019 20,278,974 - - - - - - - - - - -

02/01/2019 - - - - - - - - - - 573,158 573,158

02/13/2019 - - - - - - - - - - 703,421 703,421

02/28/2019 19,002,395 - - - - - - - - - - -

03/31/2019 18,925,076 - - - - - - - - - - -

04/24/2019 - - - - - 11,966 - - - - 584,457 584,457

04/30/2019 18,340,619 - - - - - - - - - - -

05/02/2019 - - - - - - - - - - 442,895 442,895

05/31/2019 17,897,724 - - - - - - - - - - -

06/30/2019 17,837,213 - - - - - - - - - - -

07/17/2019 - - - - - -1,621 - - - - 625,263 625,263

07/31/2019 17,211,950 - - - - - - - - - - -

08/31/2019 17,211,950 - - - - - - - - - - -

09/27/2019 - - - - - - - - - - 508,026 508,026

09/30/2019 16,665,562 - - - - - - - - - - -

10/31/2019 16,248,720 - - - - - - - - - 416,842 416,842

11/30/2019 16,248,720 - - - - - - - - - - -

12/31/2019 15,923,799 - - - - - - - - - - -

01/28/2020 - - - - - - - - - - 560,132 560,132

01/31/2020 15,363,667 - - - - - - - - - - -

02/29/2020 15,363,667 - - - - - - - - - - -

03/31/2020 15,330,766 - - - - - - - - - - -

04/17/2020 - 703,421 - - - 703,421 - - - - 2,689,934 2,689,934

04/30/2020 13,344,253 - - - - - - - - - - -

05/31/2020 13,344,253 - - - - - - - - - - -

06/30/2020 12,717,427 - - - - - - - - - - -

Total 33,340,345 - - - 33,350,690 - - - 1,067,938 25,470,838 26,538,776

Page 188 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2014

Strategy Type: Real Estate Management Fee: 1.25% of committed capital during commitment period, and 1.25% of investedcapital thereafter.

Target IRR: 15.00% Inception: 06/17/2014

General Partner: Starwood X Mgmt., L.P.

Investment Strategy: The early-cycle distressed real estate market in Europe, combined with the recovering U.S. market, offer compelling opportunities to acquire assets at attractive pricing with significantvalue-add potential from banks, insurance companies, lending institutions, bankruptcy courts and other distressed sellers. SOF X’s strategy is designed to allow the Fund to generate atarget gross IRR of 18-20% (14-16% net), and a 2.0x multiple with modest leverage, by acquiring real estate with strong potential fundamentals at a significant discount to replacement cost,with strong residual value growth and potential double-digit current operating yields. Starwood Capital has an active pipeline of opportunities across the spectrum of asset classes andcapital stack.On an absolute basis, we believe opportunistic real estate is a compelling investment. There are still opportunities in both the U.S. and Europe to buy assets at large discounts toreplacement cost and generate strong current cash returns of 10+%. We expect additional upside through appreciation from (1) the implementation of Starwood Capital’s value addstrategies to improve the cash flows of underlying properties, (2) the anticipation of new capital flows into a market pushing down cap rates, (3) economic growth within the targeted marketsdriving rental revenue growth, and/or (4) the careful cultivation and selection of the appropriate exit strategy to maximize portfolio or platform values.Similar to SOF VIII and SOF IX, Starwood Capital believes that SOF X can generate strong risk-adjusted returns by leveraging the following macro- and micro-economic factors:• Generating yield in a yield-less world• Focusing on strong economic growth areas and profiting from improving fundamentals for real estate investments• Investing in distressed opportunities in the U.S. and Europe as they continue to emerge• Capitalizing on opportunities to purchase assets at discounts to replacement cost

Cash Flow Summary

Capital Committed: $53,750,000

Capital Invested: $48,375,000

Management Fees: $1,527,803

Expenses: -

Interest: -

Total Contributions: $48,375,000

Remaining Capital Commitment: $5,375,000

Total Distributions: $44,736,685

Market Value: $19,193,538

Inception Date: 10/29/2015

Inception IRR: 14.7

TVPI: 1.3

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$13,000,000.0

$26,000,000.0

$39,000,000.0

$52,000,000.0

$65,000,000.0

($13,000,000.0)

10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 6/20

Private Equity Fund Overview

Starwood Opportunity Fund X

As of June 30, 2020

Page 189 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

11/30/2015 6,452,060 - - - - - - - - - - -

12/01/2015 - - - - - - - - - - - -

12/22/2015 - - - - - - - - - - 116,344 116,344

12/31/2015 7,998,055 - 18,384 - - 18,384 - - - - - -

01/22/2016 - 23,112,500 - - - 23,112,500 - - - - - -

01/31/2016 31,110,555 - - - - - - - - - - -

02/29/2016 31,110,555 - - - - - - - - - - -

03/31/2016 32,215,173 - 167,051 - - 167,051 - - - - - -

04/18/2016 - - - - - - - - - - 507,190 507,190

04/30/2016 31,707,983 - - - - - - - - - - -

05/31/2016 31,707,983 - - - - - - - - - - -

06/23/2016 - - - - - - - - - - 953,601 953,601

06/30/2016 31,563,865 - 167,051 - - 167,051 - - - - - -

07/31/2016 31,563,865 - - - - - - - - - - -

08/31/2016 31,563,865 - - - - - - - - - - -

09/30/2016 33,127,697 - 168,887 - - 168,887 - - - - - -

10/03/2016 - 5,375,000 - - - 5,375,000 - - - - - -

10/06/2016 - - - - - - - - - - 5,739,572 5,739,572

10/31/2016 32,763,125 - - - - - - - - - - -

11/30/2016 32,763,125 - - - - - - - - - - -

12/31/2016 33,862,874 - 168,887 - - 168,887 - - - - - -

01/31/2017 33,862,874 - - - - - - - - - - -

02/28/2017 33,862,874 - - - - - - - - - - -

03/10/2017 - - - - - - - - - - 1,664,111 1,664,111

03/31/2017 33,195,098 - 165,668 - - 165,668 - - - - - -

04/24/2017 - 5,375,000 - - - 5,375,000 - - - - - -

04/30/2017 38,570,098 - - - - - - - - - - -

05/31/2017 38,570,098 - - - - - - - - - - -

06/29/2017 - - - - - - - - - - 1,418,553 1,418,553

06/30/2017 38,317,036 - 167,509 - - 167,509 - - - - - -

07/31/2017 38,317,036 - - - - - - - - - - -

08/02/2017 - - - - - - - - - - 4,686,355 4,686,355

08/31/2017 33,630,681 - - - - - - - - - - -

09/30/2017 35,117,026 - 169,349 - - 169,349 - - - - - -

10/10/2017 - - - - - - - - - - 3,529,899 3,529,899

10/31/2017 31,587,127 - - - - - - - - - - -

11/30/2017 31,587,127 - - - - - - - - - - -

12/21/2017 - - - - - - - - - - 959,829 959,829

12/31/2017 31,863,968 - 169,349 - - 169,349 - - - - - -

01/31/2018 31,863,968 - - - - - - - - - - -

Private Equity Financial Reconciliation

Starwood Opportunity Fund X

Since Inception Ending June 30, 2020

Page 190 of 292

Private Equity Financial Reconciliation

Starwood Opportunity Fund X

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

02/28/2018 31,863,968 - - - - - - - - - - -

03/05/2018 - 5,375,000 - - - 5,375,000 - - - - - -

03/29/2018 - - - - - - - - - - 3,338,351 3,338,351

03/30/2018 - - 165,668 - - 165,668 - - - - - -

03/31/2018 34,603,868 - - - - - - - - - - -

04/23/2018 - - - - - - - - - - 4,777,857 4,777,857

04/30/2018 29,826,011 - - - - - - - - - - -

05/31/2018 29,826,011 - - - - - - - - - - -

06/28/2018 - - - - - - - - - - 2,879,479 2,879,479

06/30/2018 28,644,189 - - - - - - - - - - -

07/31/2018 28,644,189 - - - - - - - - - - -

08/31/2018 28,644,189 - - - - - - - - - - -

09/10/2018 - - - - - - - - - - 1,665,143 1,665,143

09/28/2018 - - - - - - - - - - 3,599,348 3,599,348

09/30/2018 24,424,212 - - - - - - - - - - -

10/31/2018 24,424,212 - - - - - - - - - - -

11/30/2018 24,424,212 - - - - - - - - - - -

12/13/2018 - - - - - - - - - - 1,432,899 1,432,899

12/27/2018 - - - - - - - - - - 959,826 959,826

12/31/2018 22,211,916 - - - - - - - - - - -

01/31/2019 22,211,916 - - - - - - - - - - -

02/28/2019 22,211,916 - - - - - - - - - - -

03/31/2019 22,376,660 - - - - - - - - - - -

04/30/2019 22,376,660 - - - - - - - - - - -

05/31/2019 22,376,660 - - - - - - - - - - -

06/30/2019 22,757,042 - - - - - - - - - - -

07/22/2019 - 4,300,000 - - - 4,300,000 - - - - - -

07/31/2019 27,057,042 - - - - - - - - - - -

08/06/2019 - - - - - - - - - - 940,836 940,836

08/31/2019 26,116,206 - - - - - - - - - - -

09/30/2019 26,858,367 - - - - - - - - - - -

10/24/2019 - - - - - - - - - - 716,098 716,098

10/31/2019 26,142,269 - - - - - - - - - - -

11/30/2019 26,142,269 - - - - - - - - - - -

12/11/2019 - - - - - - 96,681 - - - 1,361,551 1,458,232

12/31/2019 24,787,100 - - - - - - - - - - -

01/08/2020 - - - - - - 823,613 - - - 868,279 1,691,892

01/23/2020 - - - - - - 631,852 - - - 1,069,418 1,701,270

01/31/2020 21,393,938 - - - - - - - - - - -

02/29/2020 21,393,938 - - - - - - - - - - -

03/31/2020 20,507,499 - - - - - - - - - - -

Page 191 of 292

Private Equity Financial Reconciliation

Starwood Opportunity Fund X

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

04/30/2020 20,507,499 - - - - - - - - - - -

05/31/2020 20,507,499 - - - - - - - - - - -

06/30/2020 19,193,538 - - - - - - - - - - -

Total 43,537,500 1,527,803 - - 45,065,303 1,552,145 - - - 43,184,540 44,736,685

Page 192 of 292

Fund Information

Type of Fund: Partnership Vintage Year: 2016

Strategy Type: Real Estate Management Fee: 1.25%

Target IRR: 8.00% Inception: 01/01/2016

General Partner:

Investment Strategy: SOF XI continues the successful approach of its predecessor funds, with a focus on acquiring, developing and repositioning high-quality assets in nearly every major real estate asset classwith strong fundamentals. At the same time, the Fund seeks investments that can generate consistent and growing cash-on-cash returns either sourced directly, in partnerships, or jointventures.

Cash Flow Summary

Capital Committed: $60,000,000

Capital Invested: $21,300,000

Management Fees: -

Expenses: -

Interest: -

Total Contributions: $21,300,000

Remaining Capital Commitment: $41,163,900

Total Distributions: $4,032,450

Market Value: $18,824,271

Inception Date: 07/09/2018

Inception IRR: 11.9

TVPI: 1.1

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$5,720,000.0

$11,440,000.0

$17,160,000.0

$22,880,000.0

$28,600,000.0

($5,720,000.0)

7/18 10/18 1/19 4/19 7/19 10/19 1/20 4/20 6/20

Private Equity Fund Overview

Starwood Opportunity Fund XI

As of June 30, 2020

Page 193 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/09/2018 - 1,800,000 - - - 1,800,000 - - - - - -

07/31/2018 1,800,000 - - - - - - - - - - -

08/31/2018 1,800,000 - - - - - - - - - - -

09/30/2018 2,233,307 - - - - - - - - - - -

10/31/2018 2,233,307 - - - - - - - - - - -

11/30/2018 2,233,307 - - - - - - - - - - -

12/31/2018 2,476,501 - - - - - - - - - - -

01/22/2019 - 4,200,000 - - - 4,200,000 - - - - - -

01/31/2019 6,676,501 - - - - - - - - - - -

02/15/2019 - - - - - - - - - 611,471 735,649 1,347,120

02/28/2019 5,329,381 - - - - - - - - - - -

03/31/2019 6,007,575 - - - - - - - - - - -

04/30/2019 6,007,575 - - - - - - - - - - -

05/31/2019 6,007,575 - - - - - - - - - - -

06/13/2019 - - - - - - - - - 98,471 243,556 342,027

06/30/2019 5,790,982 - - - - - - - - - - -

07/08/2019 - 3,000,000 - - - 3,000,000 - - - - - -

07/31/2019 8,790,982 - - - - - - - - - - -

08/31/2019 8,790,982 - - - - - - - - - - -

09/25/2019 - - - - - - - - - 431,213 302,787 734,000

09/30/2019 8,986,586 - - - - - - - - - - -

10/28/2019 - 3,000,000 - - - 3,000,000 - - - - - -

10/31/2019 11,986,586 - - - - - - - - - - -

11/30/2019 11,986,586 - - - - - - - - - - -

12/23/2019 - - - - - - 198,910 - - 579,602 - 778,512

12/31/2019 12,865,802 - - - - - - - - - - -

01/31/2020 12,865,802 - - - - - - - - - - -

02/13/2020 - - - - - - 87,648 - - 743,143 - 830,791

02/29/2020 12,035,011 - - - - - - - - - - -

03/31/2020 10,708,953 - - - - - - - - - - -

04/01/2020 - 6,000,000 - - - 6,000,000 - - - - - -

04/30/2020 16,708,953 - - - - - - - - - - -

05/28/2020 - 3,300,000 - - - 3,300,000 - - - - - -

05/31/2020 20,008,953 - - - - - - - - - - -

06/30/2020 18,824,271 - - - - - - - - - - -

Total 21,300,000 - - - 21,300,000 286,558 - - 2,463,900 1,281,992 4,032,450

Private Equity Financial Reconciliation

Starwood Opportunity Fund XI

Since Inception Ending June 30, 2020

Page 194 of 292

PRIVATE EQUITY FUNDS

Page 195 of 292

Fund Information

Type of Fund: Fund Of Funds Vintage Year: 2010

Strategy Type: Buyouts Management Fee: Flat Fee $2,500,000

Target IRR: 11.00% Inception: 01/10/2010

General Partner: FP OTRS I, LLC

Investment Strategy: The Fund invests in buyout and venture capital limited partnerships on behalf of Oklahoma Teachers' Retirement System.

Cash Flow Summary

Capital Committed: $1,490,000,000

Capital Invested: $1,213,987,388

Management Fees: $29,330,788

Expenses: $681,823

Interest: -

Total Contributions: $1,244,000,000

Remaining Capital Commitment: $276,011,941

Total Distributions: $764,861,222

Market Value: $1,371,944,212

Inception Date: 04/08/2010

Inception IRR: 16.2

TVPI: 1.7

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$364,000,000.0

$728,000,000.0

$1,092,000,000.0

$1,456,000,000.0

$1,820,000,000.0

($364,000,000.0)

4/10 1/11 10/11 7/12 4/13 1/14 10/14 7/15 4/16 1/17 10/17 7/18 4/19 6/20

Private Equity Fund Overview

Franklin Park Private Equity

As of June 30, 2020

Page 196 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

04/08/2010 - 25,000 - - - 400,000 - - - - - -

04/30/2010 25,000 - - - - - - - - - - -

05/31/2010 25,000 - - - - - - - - - - -

06/30/2010 15,562 - - - - - - - - - - -

07/01/2010 - 62,500 - - - 62,500 - - - - - -

07/27/2010 - 123,142 - - - 500,030 - - - - - -

07/31/2010 201,174 - - - - - - - - - - -

08/31/2010 201,174 - - - - - - - - - - -

09/30/2010 189,891 - - - - - - - - - - -

10/12/2010 - 425,000 - - - 800,000 - - - - - -

10/31/2010 614,891 - - - - - - - - - - -

11/30/2010 614,891 - - - - - - - - - - -

12/23/2010 - 4,340,571 - - - 4,350,000 - - - - - -

12/31/2010 4,289,628 - - - - - - - - - - -

01/11/2011 - 125,000 - - - 500,000 - - - - - -

01/31/2011 4,414,628 - - - - - - - - - - -

02/09/2011 - 300,000 - - - 300,000 - - - - - -

02/28/2011 4,714,628 - - - - - - - - - - -

03/29/2011 - 390,000 - - - 400,000 - - - - - -

03/31/2011 4,914,174 - - - - - - - - - - -

04/21/2011 - 125,000 - - - 500,000 - - - - - -

04/30/2011 5,039,174 - - - - - - - - - - -

05/24/2011 - 1,300,000 - - - 1,300,000 - - - - - -

05/31/2011 6,964,174 625,000 - - - 625,000 - - - - - -

06/21/2011 - 4,200,000 - - - 4,200,000 - - - - - -

06/28/2011 - 640,620 - - - 650,000 - - - - - -

06/30/2011 10,039,324 - - - - - - - - - - -

07/14/2011 - 769,600 - - - 1,200,000 - - - - - -

07/31/2011 10,808,924 - - - - - - - - - - -

08/09/2011 - 450,000 - - - 450,000 - - - - - -

08/31/2011 11,258,924 - - - - - - - - - - -

09/26/2011 - 425,000 - - - 800,000 - - - - - -

09/30/2011 11,045,650 - - - - - - - - - - -

10/20/2011 - 3,600,000 - - - 3,600,000 - - - - - -

10/31/2011 14,645,649 - - - - - - - - - - -

11/28/2011 - 3,498,467 - - - 3,500,000 - - - - - -

11/30/2011 17,144,117 - - - - - - - - - - -

12/08/2011 - 450,000 - - - 450,000 - - - - - -

12/14/2011 - 3,250,000 - - - 3,250,000 - - - - - -

12/30/2011 - 500,000 - - - 500,000 - - - - - -

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Page 197 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/31/2011 19,839,293 - - - - - - - - - - -

01/17/2012 - 69,630 - - - 500,000 - - - - - -

01/30/2012 - 550,000 - - - 550,000 - - - - - -

01/31/2012 20,458,923 - - - - - - - - - - -

02/09/2012 - 1,200,000 - - - 1,200,000 - - - - - -

02/29/2012 26,158,923 4,500,000 - - - 4,500,000 - - - - - -

03/16/2012 - 5,000,000 - - - 5,000,000 - - - - - -

03/27/2012 - 515,000 - - - 900,000 - - - - - -

03/31/2012 31,429,551 - - - - - - - - - - -

04/05/2012 - 2,300,000 - - - 2,300,000 - - - - - -

04/24/2012 - 3,490,000 - - - 3,500,000 - - - - - -

04/30/2012 37,219,551 - - - - - - - - - - -

05/07/2012 - 2,700,000 - - - 2,700,000 - - - - - -

05/23/2012 - 3,500,000 - - - 3,500,000 - - - - - -

05/31/2012 43,419,551 - - - - - - - - - - -

06/08/2012 - 900,000 - - - 900,000 - - - - - -

06/25/2012 - 831,210 - - - 1,500,000 - - - - - -

06/30/2012 44,831,106 - - - - - - - - - - -

07/05/2012 - 14,797,241 - - - 14,800,000 - - - - - -

07/20/2012 - 800,000 - - - 800,000 - - - - - -

07/30/2012 - 17,000,000 - - - 17,000,000 - - - - - -

07/31/2012 77,428,347 - - - - - - - - - - -

08/02/2012 - 1,900,000 - - - 1,900,000 - - - - - -

08/16/2012 - 600,000 - - - 600,000 - - - - - -

08/31/2012 79,928,347 - - - - - - - - - - -

09/24/2012 - 1,825,000 - - - 2,200,000 - - - - - -

09/30/2012 80,092,658 - - - - - - - - - - -

10/02/2012 - 4,700,000 - - - 4,700,000 - - - - - -

10/22/2012 - 14,000,000 - - - 14,000,000 - - - - - -

10/31/2012 98,792,658 - - - - - - - - - - -

11/02/2012 - 5,250,000 - - - 5,250,000 - - - - - -

11/08/2012 - 10,000,000 - - - 10,000,000 - - - - - -

11/30/2012 114,042,658 - - - - - - - - - - -

12/20/2012 - 5,702,982 - - - 6,000,000 - - - - - -

12/31/2012 122,019,182 - - - - - - - - - 767,459 767,459

01/18/2013 - 9,318,794 - - - 10,000,000 - - - - - -

01/31/2013 131,337,976 - - - - - - - - - - -

02/22/2013 - 5,000,000 - - - 5,000,000 - - - - - -

02/28/2013 141,337,976 5,000,000 - - - 5,000,000 - - - - - -

03/31/2013 141,725,513 - - - - - - - - - - -

04/08/2013 - 4,625,000 - - - 5,000,000 - - - - - -

Page 198 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

04/30/2013 146,350,513 - - - - - - - - - - -

05/02/2013 - 4,990,000 - - - 5,000,000 - - - - - -

05/30/2013 - 13,000,000 - - - 13,000,000 - - - - - -

05/31/2013 164,715,513 - - - - - - - - - - -

06/26/2013 - 7,000,000 - - - 7,000,000 - - - - - -

06/30/2013 175,527,272 - - - - - - - - - - -

07/11/2013 - 2,990,759 - - - 4,000,000 - - - - 573,678 573,678

07/30/2013 - 7,500,000 - - - 7,500,000 - - - - - -

07/31/2013 185,444,353 - - - - - - - - - - -

08/31/2013 185,444,353 - - - - - - - - - - -

09/17/2013 - 2,000,000 - - - 2,000,000 - - - - - -

09/30/2013 201,388,073 - - - - - - - - - - -

10/04/2013 - 3,123,298 - - - 3,500,000 - - - - - -

10/10/2013 - 3,000,000 - - - 3,000,000 - - - - 5,776,938 5,776,938

10/31/2013 202,934,433 1,200,000 - - - 1,200,000 - - - - - -

11/07/2013 - 9,000,000 - - - 9,000,000 - - - - - -

11/30/2013 211,934,433 - - - - - - - - - - -

12/02/2013 - 4,993,693 - - - 5,000,000 - - - - - -

12/31/2013 232,487,640 1,200,000 - - - 1,200,000 - - - - 6,799,673 6,799,673

01/16/2014 - 3,504,245 - - - 4,500,000 - - - - - -

01/24/2014 - 9,985,000 - - - 10,000,000 - - - - - -

01/31/2014 245,976,885 - - - - - - - - - - -

02/04/2014 - - - - - - - - - - 3,931,166 3,931,166

02/20/2014 - 10,000,000 - - - 10,000,000 - - - - - -

02/24/2014 - 5,000,000 - - - 5,000,000 - - - - - -

02/28/2014 257,045,719 - - - - - - - - - - -

03/24/2014 - 2,000,000 - - - 2,000,000 - - - - - -

03/31/2014 265,634,859 - - - - - - - - - - -

04/03/2014 - 14,125,000 - - - 14,500,000 - - - - 8,526,705 8,526,705

04/15/2014 - 9,986,043 - - - 10,000,000 - - - - - -

04/30/2014 281,219,197 - - - - - - - - - - -

05/27/2014 - 10,000,000 - - - 10,000,000 - - - - - -

05/31/2014 291,219,197 - - - - - - - - - - -

06/23/2014 - 10,000,000 - - - 10,000,000 - - - - - -

06/30/2014 313,434,668 - - - - - - - - - - -

07/10/2014 - 12,726,678 - - - 14,000,000 - - - - 4,099,069 4,099,069

07/29/2014 - 12,000,000 - - - 12,000,000 - - - - - -

07/31/2014 334,062,277 - - - - - - - - - - -

08/25/2014 - 10,000,000 - - - 10,000,000 - - - - - -

08/31/2014 344,062,277 - - - - - - - - - - -

09/04/2014 - 9,607,044 - - - 10,000,000 - - - - - -

Page 199 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/30/2014 368,760,250 - - - - - - - - - - -

10/24/2014 - 12,000,000 - - - 12,000,000 - - - - 4,961,486 4,961,486

10/31/2014 375,798,764 - - - - - - - - - - -

11/30/2014 375,798,764 - - - - - - - - - - -

12/17/2014 - 12,000,000 - - - 12,000,000 - - - - 1,375,974 1,375,974

12/30/2014 - 14,994,000 - - - 15,000,000 - - - - - -

12/31/2014 426,179,676 - - - - - - - - - - -

01/22/2015 - 4,721,191 - - - 6,000,000 - - - - 1,852,080 1,852,080

01/31/2015 429,048,787 - - - - - - - - - - -

02/28/2015 429,048,787 - - - - - - - - - - -

03/19/2015 - 20,599,494 - - - 21,000,000 - - - - 9,886,167 9,886,167

03/31/2015 458,584,380 - - - - - - - - - - -

04/30/2015 458,584,380 - - - - - - - - - - -

05/04/2015 - 29,000,000 - - - 29,000,000 - - - - 16,866,492 16,866,492

05/31/2015 470,717,888 - - - - - - - - - - -

06/03/2015 - 2,000,000 - - - 2,000,000 - - - - 12,921,226 12,921,226

06/26/2015 - 15,000,000 - - - 15,000,000 - - - - 2,248,977 2,248,977

06/30/2015 484,240,430 - - - - - - - - - - -

07/02/2015 - - - - - 1,577,599 - - - - - -

07/29/2015 - 23,422,401 - - - 23,422,401 - - - - 3,890,135 3,890,135

07/31/2015 503,772,696 - - - - - - - - - - -

08/21/2015 - 25,000,000 - - - 25,000,000 - - - - - -

08/31/2015 528,772,696 - - - - - - - - - - -

09/23/2015 - 14,623,077 - - - 15,000,000 - - - - - -

09/30/2015 550,208,253 - - - - - - - - - - -

10/31/2015 550,208,253 - - - - - - - - - - -

11/30/2015 563,892,507 25,000,000 - - - 25,000,000 - - - - 11,315,746 11,315,746

12/31/2015 591,146,716 23,333,111 - - - 25,000,000 - - - - 13,159,617 13,159,617

01/31/2016 591,146,716 - - - - - - - - - - -

02/04/2016 - 17,000,000 - - - 17,000,000 - - - - 3,013,661 3,013,661

02/29/2016 605,133,055 - - - - - - - - - - -

03/28/2016 - 24,663,969 - - - 25,000,000 - - - - 9,236,684 9,236,684

03/31/2016 625,403,284 - - - - - - - - - - -

04/18/2016 - 15,000,000 - - - 15,000,000 - - - - 3,897,933 3,897,933

04/30/2016 636,505,351 - - - - - - - - - - -

05/23/2016 - 20,000,000 - - - 20,000,000 - - - - 4,381,761 4,381,761

05/31/2016 652,123,590 - - - - - - - - - - -

06/06/2016 - 15,498,391 - - - 15,500,000 - - - - 1,185,420 1,185,420

06/30/2016 698,912,924 - - - - - - - - - - -

07/21/2016 - 13,201,795 - - - 15,000,000 - - - - 8,113,303 8,113,303

07/29/2016 - 6,000,000 - - - 6,000,000 - - - - 9,150,198 9,150,198

Page 200 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/31/2016 700,851,218 - - - - - - - - - - -

08/30/2016 - 8,999,888 - - - 9,000,000 - - - - 1,845,187 1,845,187

08/31/2016 708,005,920 - - - - - - - - - - -

09/23/2016 - 12,695,000 - - - 13,000,000 - - - - 5,192,643 5,192,643

09/30/2016 717,306,593 - - - - - - - - - - -

10/20/2016 - 15,000,000 - - - 15,000,000 - - - - 15,859,268 15,859,268

10/31/2016 716,447,325 - - - - - - - - - - -

11/30/2016 716,447,325 - - - - - - - - - - -

12/02/2016 - 13,225,225 - - - 14,999,970 - - - - 23,630,135 23,630,135

12/22/2016 - 9,424,995 - - - 9,462,500 - - - - 2,762,562 2,762,562

12/30/2016 - - - - - - - - - - 13,444,489 13,444,489

12/31/2016 783,957,758 - - - - - - - - - - -

01/13/2017 - 20,000,000 - - - 20,000,000 - - - - 9,293,697 9,293,697

01/31/2017 791,692,469 - - - - - - - - - 2,971,622 2,971,622

02/22/2017 - 10,000,000 - - - 10,000,000 - - - - 1,902,634 1,902,634

02/28/2017 799,789,835 - - - - - - - - - - -

03/22/2017 - - - - - - - - - - 3,723,343 3,723,343

03/30/2017 - - - - - - - - - - 9,030,258 9,030,258

03/31/2017 822,517,193 10,468,000 - - - 10,500,000 - - - - - -

04/24/2017 - 19,747,500 - - - 20,000,000 - - - - 5,305,170 5,305,170

04/30/2017 836,959,523 - - - - - - - - - - -

05/18/2017 - 12,999,495 - - - 13,000,000 - - - - 1,555,641 1,555,641

05/31/2017 848,403,377 - - - - - - - - - - -

06/14/2017 - 12,000,000 - - - 12,000,000 - - - - 208,828 208,828

06/27/2017 - 20,000,000 - - - 20,000,000 - - - - 1,358,420 1,358,420

06/30/2017 896,798,889 - - - - - - - - - - -

07/25/2017 - 14,094,199 - - - 16,000,000 - - - - 12,511,147 12,511,147

07/31/2017 898,381,942 - - - - - - - - - - -

08/22/2017 - 11,999,852 - - - 12,000,000 - - - - 1,828,164 1,828,164

08/31/2017 908,553,630 - - - - - - - - - - -

09/01/2017 - 18,000,000 - - - 18,000,000 - - - - 1,744,154 1,744,154

09/18/2017 - 11,998,976 - - - 12,000,000 - - - - 896,079 896,079

09/30/2017 964,204,584 - - - - - - - - - - -

10/30/2017 - 24,747,500 - - - 25,000,000 - - - - 21,588,683 21,588,683

10/31/2017 967,363,401 - - - - - - - - - - -

11/30/2017 967,363,401 - - - - - - - - - - -

12/28/2017 - 21,999,391 - - - 22,000,000 - - - - 16,535,214 16,535,214

12/29/2017 - - - - - - - - - - 2,852,766 2,852,766

12/31/2017 1,035,561,566 - - - - - - - - - - -

01/31/2018 1,035,561,566 - - - - - - - - - - -

02/06/2018 - 14,083,665 - - - 16,000,000 - - - - 2,503,918 2,503,918

Page 201 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

02/28/2018 1,047,141,313 - - - - - - - - - - -

03/01/2018 - 18,000,000 - - - 18,000,000 - - - - 1,571,454 1,571,454

03/28/2018 - 14,000,000 - - - 14,000,000 - - - - 14,677,440 14,677,440

03/31/2018 1,111,549,323 - - - - - - - - - - -

04/27/2018 - 14,985,000 - - - 15,000,000 - - - - 8,868,419 8,868,419

04/30/2018 1,117,680,904 - - - - - - - - - - -

05/31/2018 1,117,680,904 - - - - - - - - - - -

06/18/2018 - 34,999,370 - - - 35,000,000 - - - - 22,519,515 22,519,515

06/28/2018 - 10,000,000 - - - 10,000,000 - - - - 32,918,510 32,918,510

06/30/2018 1,184,724,984 - - - - - - - - - - -

07/24/2018 - 5,158,773 - - - 7,000,000 - - - - 26,834,612 26,834,612

07/31/2018 1,163,049,145 - - - - - - - - - - -

08/31/2018 1,163,049,144 - - - - - - - - - - -

09/27/2018 - 17,000,000 - - - 17,000,000 - - - - 21,062,829 21,062,829

09/30/2018 1,208,424,875 - - - - - - - - - - -

10/31/2018 1,197,838,546 4,000,000 - - - 4,000,000 - - - - 14,586,329 14,586,329

11/26/2018 - 6,000,000 - - - 6,000,000 - - - - 31,274,167 31,274,167

11/30/2018 1,172,564,379 - - - - - - - - - - -

12/10/2018 - 17,999,367 - - - 18,000,000 - - - - 1,047,986 1,047,986

12/28/2018 - 9,000,000 - - - 9,000,000 - - - - 19,960,167 19,960,167

12/31/2018 1,201,689,558 - - - - - - - - - - -

01/23/2019 - 13,653,397 - - - 15,000,000 - - - - 295,052 295,052

01/31/2019 1,215,047,903 - - - - - - - - - - -

02/25/2019 - 5,000,000 - - - 5,000,000 - - - - 12,474,492 12,474,492

02/28/2019 1,207,573,411 - - - - - - - - - - -

03/29/2019 - 8,985,000 - - - 9,000,000 - - - - 10,690,587 10,690,587

03/31/2019 1,268,917,480 - - - - - - - - - - -

04/25/2019 - - - - - - - - - - 22,059,559 22,059,559

04/30/2019 1,246,857,921 - - - - - - - - - - -

05/24/2019 - - - - - - - - - - 25,317,704 25,317,704

05/30/2019 - - - - - - - - - - 6,086,427 6,086,427

05/31/2019 1,215,453,790 - - - - - - - - - - -

06/30/2019 1,284,772,763 - - - - - - - - - - -

07/16/2019 - 22,859,288 - - - 24,000,000 - - - - 30,462,275 30,462,275

07/31/2019 1,277,169,776 - - - - - - - - - - -

08/31/2019 1,277,169,776 - - - - - - - - - - -

09/13/2019 - 12,498,819 - - - 12,500,000 - - - - 17,783,932 17,783,932

09/25/2019 - - - - - - - - - - 670,437 670,437

09/27/2019 - 5,000,000 - - - 5,000,000 - - - - 17,910,187 17,910,187

09/30/2019 1,328,408,648 - - - - - - - - - - -

10/29/2019 - - - - - - - - - - 10,445,098 10,445,098

Page 202 of 292

Private Equity Financial Reconciliation

Franklin Park Private Equity

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

10/31/2019 1,317,963,550 - - - - - - - - - - -

11/20/2019 - 3,999,330 - 671 - 4,000,000 - - - - 10,778,059 10,778,059

11/30/2019 1,311,185,491 - - - - - - - - - - -

12/31/2019 1,364,751,157 4,000,000 - - - 4,000,000 - - - - 24,677,012 24,677,012

01/31/2020 1,364,751,157 - - - - - - - - - - -

02/29/2020 1,364,751,157 - - - - - - - - - - -

03/13/2020 - 11,676,923 - - - 13,000,000 - - - - 29,626,132 29,626,132

03/31/2020 1,268,308,649 - - - - - - - - - - -

04/28/2020 - 23,999,492 - - - 24,000,000 - - - - 11,700,033 11,700,033

04/30/2020 1,280,609,616 - - - - - - - - - - -

05/31/2020 1,280,609,616 - - - - - - - - - - -

06/30/2020 1,371,944,212 6,000,000 - - - 6,000,000 - - - - 32,087,238 32,087,238

Total 1,213,987,388 - 671 - 1,244,000,000 - - - - 764,861,222 764,861,222

Page 203 of 292

Fund Information

Type of Fund: Fund Of Funds Vintage Year: 2008

Strategy Type: Buyouts Management Fee: 25 bps

Target IRR: 14.00% Inception: 08/28/2008

General Partner: FP OTRS I, LLC

Investment Strategy: Effective July 1, 2010, the underlying investment partnership interests of Aldus/OKTRS Fund, L.P. were transferred to the Fund at fair value, as reported by underlying fund managers, as ofJune 30, 2010.

Cash Flow Summary

Capital Committed: $97,500,000Capital Invested: $98,813,009

Management Fees: $1,572,446

Expenses: $265,394

Interest: -

Total Contributions: $100,650,850

Remaining Capital Commitment: $14,169,654

Total Distributions: $129,657,300

Market Value: $11,338,561

Inception Date: 10/10/2008

Inception IRR: 9.7

TVPI: 1.4

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$33,800,000.0

$67,600,000.0

$101,400,000.0

$135,200,000.0

$169,000,000.0

($33,800,000.0)

10/08 10/09 10/10 10/11 10/12 10/13 10/14 10/15 10/16 10/17 10/18 10/19 6/20

Private Equity Fund Overview

OTRS Legacy P-E Assets Fund LP

As of June 30, 2020

FP commitment $97.5M. Total activity figures shown on this report includes activities for Aldus/OKTRS Fund, prior to 10/2010 transfers to FP.

Page 204 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

10/10/2008 - 355,102 - - - 355,102 - - - - - -

10/24/2008 - 5,447,761 - - - 5,447,761 - - - - - -

10/29/2008 - 168,000 - - - 168,000 - - - - - -

10/31/2008 5,970,863 - - - - - - - - - - -

11/04/2008 - 66,164 - - - 66,164 - - - - - -

11/17/2008 - 874,720 - - - 874,720 - - - - - -

11/30/2008 6,911,747 - - - - - - - - - - -

12/29/2008 - 122,941 - - - 122,941 - - - - - -

12/31/2008 3,855,369 - - - - - - - - - - -

01/02/2009 - 723,125 - - - 723,125 - - - - - -

01/31/2009 4,578,494 - - - - - - - - - - -

02/05/2009 - 5,727 - - - 5,727 - - - - - -

02/10/2009 - 117,987 - - - 117,987 - - - - - -

02/13/2009 - 420,000 - - - 420,000 - - - - - -

02/28/2009 5,122,208 - - - - - - - - - - -

03/16/2009 - 1,379,730 - - - 1,379,730 - - - - - -

03/19/2009 - 153,886 - - - 153,886 - - - - - -

03/27/2009 - 38,260 - - - 38,260 - - - - - -

03/31/2009 6,033,626 - - - - - - - - - - -

04/01/2009 - -262,800 - - - -262,800 - - - - 90,840 90,840

04/08/2009 - 47,727 - - - 47,727 - - - - - -

04/13/2009 - 773,125 - - - 773,125 - - - - - -

04/15/2009 - 2,047,007 - - - 2,047,007 - - - - - -

04/30/2009 8,547,845 - - - - - - - - - - -

05/15/2009 - 98,226 - - - 98,226 - - - - - -

05/27/2009 - 337,464 - - - 337,464 - - - - - -

05/29/2009 - -49,098 - - - -49,098 -2,491 - - - 8,337 5,846

05/31/2009 8,926,100 - - - - - - - - - - -

06/02/2009 - -66,136 - - - -66,136 - - - - - -

06/08/2009 - 357,955 - - - 357,955 - - - - - -

06/18/2009 - -52,364 - - - -52,364 - - - - - -

06/30/2009 8,375,379 75,536 - - - 75,536 -2,819 - - - 56,616 53,797

07/08/2009 - -70,876 - - - -70,876 - - - - - -

07/13/2009 - 1,240,909 - - - 1,240,909 - - - - - -

07/14/2009 - 86,599 - - - 86,599 - - - - - -

07/16/2009 - -663,085 - - - -663,085 - - - - - -

07/29/2009 - 237,263 - - - 237,263 - - - - - -

07/30/2009 - - - - - - - - - - 180,009 180,009

07/31/2009 9,011,584 - - - - - - - - - 14,596 14,596

08/04/2009 - -1,240,909 - - - -1,240,909 - - - - - -

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Page 205 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

08/14/2009 - 165,528 - - - 165,528 - - - - - -

08/18/2009 - - - - - - - - - - 142,102 142,102

08/31/2009 7,783,226 - - - - - - - - - 10,875 10,875

09/28/2009 - -4,091 - - - -4,091 - - - - - -

09/30/2009 9,467,183 -5,276 - - - -5,276 - - - - 11,377 11,377

10/06/2009 - -6,345 - - - -6,345 - - - - 26,959 26,959

10/21/2009 - -187,517 - - - -187,517 - - - - - -

10/28/2009 - 200,048 - - - 200,048 - - - - - -

10/30/2009 - -30,534 - - - -30,534 - - - - 9,904 9,904

10/31/2009 9,405,973 - - - - - - - - - - -

11/04/2009 - 94,489 - - - 94,489 - - - - - -

11/09/2009 - 238,636 - - - 238,636 - - - - - -

11/12/2009 - -77,959 - - - -77,959 - - - - - -

11/30/2009 9,560,718 -94,340 - - - -94,340 - - - - 6,082 6,082

12/01/2009 - 145,894 - - - 145,894 - - - - 255,049 255,049

12/02/2009 - -133,636 - - - -133,636 - - - - - -

12/03/2009 - 148,157 - - - 148,157 - - - - - -

12/08/2009 - 478,192 - - - 478,192 - - - - - -

12/14/2009 - -173,798 - - - -173,798 - - - - - -

12/17/2009 - 502,791 - - - 502,791 - - - - 191,625 191,625

12/21/2009 - 361,224 - - - 361,224 - - - - - -

12/24/2009 - -23,785 - - - -23,785 - - - - - -

12/28/2009 - - - - - - - - - - 191,439 191,439

12/30/2009 - -29,349 - - - -29,349 -5,622 - - - 5,896 274

12/31/2009 11,202,655 108,080 - - - 108,080 - - - - - -

01/14/2010 - 1,584,771 - - - 1,584,771 - - - - - -

01/15/2010 - -180,000 - - - -180,000 - - - - - -

01/25/2010 - 373,295 - - - 373,295 - - - - - -

01/26/2010 - 47,727 - - - 47,727 - - - - - -

01/31/2010 13,028,448 - - - - - - - - - - -

02/01/2010 - - - - - - - - - - 25,547 25,547

02/02/2010 - -11,836 - - - -11,836 - - - - 21 21

02/04/2010 - 1,500,000 - - - 1,500,000 - - - - - -

02/05/2010 - 51,136 - - - 51,136 - - - - - -

02/12/2010 - - - - - - - - - - 554,885 554,885

02/22/2010 - 1,500,000 - - - 1,500,000 - - - - - -

02/25/2010 - 38,182 - - - 38,182 - - - - - -

02/26/2010 - - - - - - - - - - 11,263 11,263

02/28/2010 15,514,215 - - - - - - - - - - -

03/29/2010 - 1,500,000 - - - 1,500,000 - - - - - -

03/30/2010 - 83,986 - - - 83,986 - - - - 66 66

Page 206 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/31/2010 17,773,494 -90,000 - - - -90,000 - - - - 12,266 12,266

04/13/2010 - - - - - - - - - - 240,329 240,329

04/14/2010 - -35,567 - - - -35,567 -4,071 - - - - -4,071

04/15/2010 - - - - - - - - - - 430,430 430,430

04/28/2010 - - - - - - - - - - 16,021 16,021

04/30/2010 17,043,282 - - - - - - - - - 11,936 11,936

05/03/2010 - 1,500,000 - - - 1,500,000 - - - - - -

05/04/2010 - 1,268,136 - - - 1,268,136 - - - - - -

05/05/2010 - -25,568 - - - -25,568 - - - - - -

05/12/2010 - - - - - - - - - - 279,996 279,996

05/27/2010 - 265,579 - - - 265,579 -3,558 - - - 177,233 173,675

05/28/2010 - -45,153 - - - -45,153 - - - - 15,232 15,232

05/29/2010 - - - - - - - - - - 552 552

05/31/2010 19,536,821 - - - - - - - - - - -

06/03/2010 - 69,089 - - - 69,089 - - - - - -

06/14/2010 - 1,500,000 - - - 1,500,000 - - - - 2,136 2,136

06/29/2010 - - - - - - -835 - - - 41,920 41,085

06/30/2010 21,375,538 143,478 - - - 143,478 - - - - 11,379 11,379

07/06/2010 - 750,000 - - - 750,000 - - - - - -

07/21/2010 - 1,000,000 - - - 1,000,000 - - - - - -

07/31/2010 23,125,538 - - - - - - - - - - -

08/06/2010 - 1,500,000 - - - 1,500,000 - - - - - -

08/31/2010 24,625,538 - - - - - - - - - - -

09/22/2010 - 2,100,000 - - - 2,100,000 - - - - - -

09/28/2010 - 2,300,000 - - - 2,300,000 - - - - - -

09/30/2010 30,747,220 - - - - - - - - - - -

10/07/2010 - 2,500,000 - - - 2,500,000 - - - - - -

10/31/2010 33,247,220 - - - - - - - - - - -

11/30/2010 33,247,220 - - - - - - - - - - -

12/09/2010 - 3,700,000 - - - 3,700,000 - - - - - -

12/16/2010 - 1,967,420 - - - 2,000,000 - - - - - -

12/31/2010 41,079,291 - - - - - - - - - - -

01/10/2011 - 1,381,037 - - - 1,500,000 - - - - - -

01/31/2011 42,460,328 - - - - - - - - - - -

02/04/2011 - 2,000,000 - - - 2,000,000 - - - - - -

02/25/2011 - 1,361,361 - - - 1,500,000 - - - - - -

02/28/2011 45,821,689 - - - - - - - - - - -

03/31/2011 48,303,167 - - - - - - - - - - -

04/30/2011 48,303,167 - - - - - - - - - - -

05/31/2011 48,303,167 - - - - - - - - - - -

06/30/2011 48,292,282 - - - - - - - - - - -

Page 207 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/31/2011 48,292,282 - - - - - - - - - - -

08/31/2011 48,292,282 - - - - - - - - - - -

09/13/2011 - 500,000 - - - 500,000 - - - - - -

09/26/2011 - 998,698 - - - 1,000,000 - - - - - -

09/30/2011 49,427,342 - - - - - - - - - - -

10/12/2011 - 1,000,000 - - - 1,000,000 - - - - - -

10/24/2011 - 1,600,000 - - - 1,600,000 - - - - - -

10/31/2011 52,027,342 - - - - - - - - - - -

11/28/2011 - 2,349,840 - - - 2,350,000 - - - - - -

11/30/2011 54,377,181 - - - - - - - - - - -

12/15/2011 - 1,100,000 - - - 1,100,000 - - - - - -

12/30/2011 - 7,501,112 - - - 7,501,112 - - - - 7,076,112 7,076,112

12/31/2011 60,249,785 - - - - - - - - - - -

01/24/2012 - 732,311 - - - 850,000 - - - - - -

01/31/2012 60,982,096 - - - - - - - - - - -

02/01/2012 - 1,000,000 - - - 1,000,000 - - - - - -

02/29/2012 61,982,096 - - - - - - - - - - -

03/28/2012 - 1,990,000 - - - 2,000,000 - - - - - -

03/31/2012 67,955,786 - - - - - - - - - - -

04/30/2012 67,955,786 - - - - - - - - - - -

05/31/2012 67,955,786 - - - - - - - - - - -

06/30/2012 67,613,180 - - - - - - - - - - -

07/31/2012 67,613,180 - - - - - - - - - - -

08/01/2012 - 3,935,597 - - - 4,055,492 - - - - 4,055,492 4,055,492

08/03/2012 - 900,000 - - - 900,000 - - - - - -

08/31/2012 68,393,285 - - - - - - - - - - -

09/17/2012 - 887,989 - - - 900,000 - - - - - -

09/30/2012 72,203,244 - - - - - - - - - - -

10/01/2012 - 900,000 - - - 900,000 - - - - - -

10/31/2012 73,103,244 - - - - - - - - - - -

11/30/2012 73,103,244 - - - - - - - - - - -

12/31/2012 76,781,403 6,673,618 - - - 6,790,636 - - - - 6,790,636 6,790,636

01/31/2013 76,781,403 - - - - - - - - - - -

02/28/2013 74,200,961 -2,000,000 - - - -2,000,000 - - - - 580,442 580,442

03/31/2013 76,138,394 - - - - - - - - - - -

04/30/2013 76,138,394 - - - - - - - - - - -

05/03/2013 - - - - - - - - - - 1,213,669 1,213,669

05/31/2013 74,924,725 - - - - - - - - - - -

06/30/2013 76,690,736 - - - - - - - - - - -

07/08/2013 - 3,660,000 - - - 3,800,000 - - - - 5,138,052 5,138,052

07/31/2013 75,212,684 - - - - - - - - - - -

Page 208 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

08/01/2013 - - - - - - - - - - 3,567,508 3,567,508

08/21/2013 - 1,000,000 - - - 1,000,000 - - - - - -

08/31/2013 72,645,176 - - - - - - - - - - -

09/30/2013 75,564,331 - - - - - - - - - - -

10/10/2013 - 1,700,000 - - - 1,700,000 - - - - 2,649,963 2,649,963

10/31/2013 74,614,368 - - - - - - - - - - -

11/07/2013 - - - - - - - - - - 1,278,466 1,278,466

11/27/2013 - 550,000 - - - 550,000 - - - - - -

11/30/2013 73,885,902 - - - - - - - - - - -

12/31/2013 75,795,717 584,602 - - - 700,000 - - - - 4,360,564 4,360,564

01/31/2014 75,795,717 - - - - - - - - - - -

02/04/2014 - 600,000 - - - 600,000 - - - - 1,914,316 1,914,316

02/28/2014 74,481,401 - - - - - - - - - - -

03/31/2014 72,742,353 1,180,000 - - - 1,200,000 - - - - 4,791,927 4,791,927

04/30/2014 72,742,353 - - - - - - - - - - -

05/31/2014 72,742,353 - - - - - - - - - - -

06/03/2014 - 1,890,942 - - - 2,000,000 - - - - 4,483,728 4,483,728

06/30/2014 69,617,803 - - - - - - - - - 1,820,811 1,820,811

07/31/2014 69,617,803 - - - - - - - - - - -

08/31/2014 69,617,803 - - - - - - - - - - -

09/30/2014 70,540,375 - - - - - - - - - - -

10/15/2014 - 1,149,621 - - - 1,150,000 - - - - 9,746,223 9,746,223

10/31/2014 61,943,773 - - - - - - - - - - -

11/30/2014 61,943,773 - - - - - - - - - - -

12/31/2014 61,680,862 - - - - - - - - - - -

01/15/2015 - 1,652,859 - - - 1,750,000 - - - - 3,520,703 3,520,703

01/31/2015 59,813,018 - - - - - - - - - - -

02/13/2015 - - - - - - - - - - 2,294,031 2,294,031

02/28/2015 57,518,987 - - - - - - - - - - -

03/16/2015 - 829,500 - - - 850,000 - - - - 2,056,706 2,056,706

03/31/2015 57,181,007 - - - - - - - - - - -

04/30/2015 57,181,007 - - - - - - - - - - -

05/31/2015 57,181,007 - - - - - - - - - - -

06/04/2015 - 1,411,009 - - - 1,500,000 - - - - 4,872,110 4,872,110

06/30/2015 55,158,930 - - - - - - - - - - -

07/31/2015 55,158,930 - - - - - - - - - - -

08/14/2015 - 1,000,000 - - - 1,000,000 - - - - 3,871,843 3,871,843

08/31/2015 52,287,087 - - - - - - - - - - -

09/16/2015 - 200,000 - - - 200,000 - - - - 1,941,686 1,941,686

09/30/2015 49,880,478 - - - - - - - - - - -

10/15/2015 - 200,000 - - - 200,000 - - - - 2,102,414 2,102,414

Page 209 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

10/31/2015 47,978,064 - - - - - - - - - - -

11/20/2015 - 418,771 - - - 500,000 - - - - 1,656,134 1,656,134

11/30/2015 46,740,701 - - - - - - - - - - -

12/31/2015 45,568,892 - - - - - - - - - 2,876,730 2,876,730

01/31/2016 45,568,892 - - - - - - - - - - -

02/29/2016 45,568,892 - - - - - - - - - - -

03/31/2016 44,480,697 1,176,983 - - - 1,200,000 - - - - 2,918,579 2,918,579

04/30/2016 44,480,697 - - - - - - - - - - -

05/27/2016 - 126,892 - - - 200,000 - - - - 2,112,217 2,112,217

05/31/2016 42,495,372 - - - - - - - - - - -

06/30/2016 43,958,597 - - - - - - - - - - -

07/19/2016 - - - - - - - - - - 638,637 638,637

07/31/2016 43,319,960 - - - - - - - - - - -

08/10/2016 - 199,888 - - - 200,000 - - - - 2,862,456 2,862,456

08/31/2016 40,657,392 - - - - - - - - - - -

09/13/2016 - 100,000 - - - 100,000 - - - - 2,663,395 2,663,395

09/30/2016 38,732,746 - - - - - - - - - - -

10/19/2016 - 100,000 - - - 100,000 - - - - 738,637 738,637

10/31/2016 38,094,109 - - - - - - - - - - -

11/30/2016 38,094,109 - - - - - - - - - - -

12/21/2016 - 430,303 - - - 500,000 - - - - 1,799,410 1,799,410

12/30/2016 - - - - - - - - - - 277,541 277,541

12/31/2016 37,750,687 - - - - - - - - - - -

01/31/2017 37,750,687 - - - - - - - - - - -

02/28/2017 37,750,687 - - - - - - - - - - -

03/02/2017 - 228,400 - - - 250,000 - - - - 1,386,682 1,386,682

03/31/2017 38,487,569 - - - - - - - - - - -

04/30/2017 38,487,569 - - - - - - - - - - -

05/12/2017 - 399,089 - - - 400,000 - - - - 938,686 938,686

05/31/2017 37,947,972 - - - - - - - - - - -

06/29/2017 - - - - - - - - - - 1,037,315 1,037,315

06/30/2017 35,482,762 - - - - - - - - - - -

07/28/2017 - 85,942 - - - 150,000 - - - - 1,457,157 1,457,157

07/31/2017 34,175,605 - - - - - - - - - - -

08/31/2017 34,175,605 - - - - - - - - - - -

09/29/2017 - 898,976 - - - 900,000 - - - - 1,718,406 1,718,406

09/30/2017 33,893,948 - - - - - - - - - - -

10/31/2017 33,893,948 - - - - - - - - - - -

11/13/2017 - 250,000 - - - 250,000 - - - - 1,365,892 1,365,892

11/30/2017 32,778,056 - - - - - - - - - - -

12/08/2017 - 149,797 - - - 150,000 - - - - 3,247,427 3,247,427

Page 210 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

12/29/2017 - - - - - - - - - - 760,357 760,357

12/31/2017 28,213,600 - - - - - - - - - - -

01/31/2018 28,213,600 - - - - - - - - - - -

02/16/2018 - 78,083 - - - 150,000 2,455,200 - - - - 2,455,200

02/28/2018 25,836,483 - - - - - - - - - - -

03/27/2018 - - - - - - 527,885 - - - - 527,885

03/31/2018 24,750,409 - - - - - - - - - - -

04/30/2018 24,750,409 - - - - - - - - - - -

05/31/2018 24,750,409 - - - - - - - - - - -

06/27/2018 - 138,864 - - - 150,000 635,883 - - - - 635,883

06/30/2018 25,200,359 - - - - - - - - - - -

07/23/2018 - 36 - - - 50,000 537,580 - - - - 537,580

07/31/2018 24,662,815 - - - - - - - - - - -

08/16/2018 - - - - - - 2,504,334 - - - - 2,504,334

08/31/2018 22,158,481 - - - - - - - - - - -

09/30/2018 21,971,837 - - - - - - - - - - -

10/29/2018 - - - - - - 948,584 - - - - 948,584

10/31/2018 21,023,253 - - - - - - - - - - -

11/27/2018 - - - - - - 3,044,280 - - - - 3,044,280

11/30/2018 17,978,973 - - - - - - - - - - -

12/20/2018 - 59,789 - 211 - 60,000 - - - - 239,956 239,956

12/28/2018 - - - - - - - - - - 994,523 994,523

12/31/2018 16,433,349 - - - - - - - - - - -

01/23/2019 - 105,810 34,190 10,000 - 150,000 - - - - - -

01/31/2019 16,539,159 - - - - - - - - - - -

02/28/2019 16,539,159 - - - - - - - - - - -

03/26/2019 - - - - - - 421,183 - - - - 421,183

03/31/2019 16,065,956 - - - - - - - - - - -

04/30/2019 16,065,956 - - - - - - - - - - -

05/31/2019 16,065,956 - - - - - - - - - - -

06/05/2019 - 36,373 - - - 50,000 - - - - 748,939 748,939

06/30/2019 15,297,370 - - - - - - - - - - -

07/31/2019 15,297,370 - - - - - - - - - - -

08/31/2019 15,297,370 - - - - - - - - - - -

09/26/2019 - 8,819 - - - 10,000 - - - - 684,298 684,298

09/30/2019 14,576,568 - - - - - - - - - - -

10/31/2019 14,576,568 - - - - - - - - - - -

11/30/2019 14,576,568 - - - - - - - - - - -

12/31/2019 14,219,879 - - - - - - - - - 600,058 600,058

01/31/2020 14,219,879 - - - - - - - - - - -

02/29/2020 14,219,879 - - - - - - - - - - -

Page 211 of 292

Private Equity Financial Reconciliation

OTRS Legacy P-E Assets Fund LP

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/30/2020 - 15 - - - 50,000 - - - - 639,352 639,352

03/31/2020 12,442,716 - - - - - - - - - - -

04/30/2020 12,442,716 - - - - - - - - - - -

05/31/2020 12,442,716 - - - - - - - - - - -

06/10/2020 - - - - - - - - - - 1,078,665 1,078,665

06/29/2020 - 99,055 - 946 - 100,000 - - - - - -

06/30/2020 11,338,561 - - - - - - - - - - -

Total 98,813,009 34,190 11,157 - 100,650,850 11,055,533 - - - 118,601,767 129,657,300

Page 212 of 292

OPPORTUNISTIC FIXED INCOME

Page 213 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2011

Strategy Type: Distressed Management Fee: 1.36% (20% carried interest over 8% hurdle rate)

Target IRR: 15.00% Inception: 01/14/2011

General Partner: PIMCO

Investment Strategy: Private equity-style opportunistic fund with an expected emphasis on markets influenced by bank regulatory reform covering mortgages, real estate and consumer markets, primarily in theU.S. but with some exposure to Europe. Employs a multidisciplinary investment approach across public and private markets to uncover attractive risk-adjusted returns. This requires aflexible investment approach, due to the complex interaction of monetary policies, regulation and capital markets. Target IRR and multiple of 15% and 1.8x, net of fees and carried interest.

BRAVO team includes over 80 portfolio management personnel with a wide range of backgrounds, including originations, capital markets, real estate acquisitions and asset management.The team has a history of identifying investment opportunities, and constructing teams to capitalize on these opportunities.

The funds have a disciplined underwriting process that combines macroeconomic perspectives and asset-level functional expertise. The amount of information available through theplatform and proprietary analytics will be used to form a unique understanding and ability to identify and source relative value investment across the capital structure. Further, the fund willleverage PIMCO’s financing platform and capital markets and structure expertise to understand complex securities to optimize returns.

Cash Flow Summary

Capital Committed: $100,000,000

Capital Invested: $112,332,682

Management Fees: -

Expenses: -

Interest: $36,886

Total Contributions: $112,369,568

Remaining Capital Commitment: -

Total Distributions: $194,328,478

Market Value: $768,219

Inception Date: 03/31/2011

Inception IRR: 21.9

TVPI: 1.7

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$52,000,000.0

$104,000,000.0

$156,000,000.0

$208,000,000.0

$260,000,000.0

($52,000,000.0)

3/11 12/11 9/12 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 6/20

Private Equity Fund Overview

PIMCO Bravo Fund

As of June 30, 2020

Page 214 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/21/2011 - 10,668,493 - - 36,886 10,705,379 - - - - - -

03/31/2011 10,868,473 - - - - - - - - - - -

04/29/2011 - 1,763,822 - - - 1,763,822 - - 12,441 1,763,822 - 1,776,263

04/30/2011 10,868,473 - - - - - - - - - - -

05/10/2011 - 20,000,000 - - - 20,000,000 - - - - - -

05/31/2011 30,868,473 - - - - - - - - - - -

06/27/2011 - - - - - - - - 71,239 8,403,909 - 8,475,149

06/30/2011 22,946,770 - - - - - - - - - - -

07/22/2011 - 2,164,951 - - - 2,164,951 - - 27,071 2,164,951 - 2,192,022

07/31/2011 22,946,770 - - - - - - - - - - -

08/23/2011 - 8,500,000 - - - 8,500,000 - - - - - -

08/31/2011 31,446,770 - - - - - - - - - - -

09/30/2011 31,679,692 - - - - - - - - - - -

10/31/2011 31,679,692 - - - - - - - - - - -

11/25/2011 - 10,000,000 - - - 10,000,000 - - - - - -

11/30/2011 41,679,692 - - - - - - - - - - -

12/31/2011 41,752,791 - - - - - - - - - - -

01/31/2012 41,752,791 - - - - - - - - - - -

02/29/2012 51,752,791 10,000,000 - - - 10,000,000 - - - - - -

03/31/2012 56,310,033 - - - - - - - - - - -

04/17/2012 - 10,000,000 - - - 10,000,000 - - - - - -

04/30/2012 66,310,033 - - - - - - - - - - -

05/31/2012 66,310,033 - - - - - - - - - - -

06/30/2012 70,221,173 - - - - - - - - - - -

07/16/2012 - 10,000,000 - - - 10,000,000 - - - - - -

07/31/2012 80,221,173 - - - - - - - - - - -

08/27/2012 - 10,000,000 - - - 10,000,000 - - - - - -

08/31/2012 90,221,173 - - - - - - - - - - -

09/30/2012 101,301,349 - - - - - - - - - - -

10/31/2012 101,301,349 - - - - - - - - - - -

11/30/2012 101,304,349 - - - - - - - - - - -

12/31/2012 110,348,711 - - - - - - - - - - -

01/11/2013 - 10,000,000 - - - 10,000,000 - - - - - -

01/31/2013 120,348,711 - - - - - - - - - - -

02/28/2013 120,348,711 - - - - - - - - - - -

03/31/2013 130,297,603 - - - - - - - - - - -

04/30/2013 130,297,603 - - - - - - - - - - -

05/21/2013 - 5,000,000 - - - 5,000,000 - - - - - -

05/31/2013 135,297,603 - - - - - - - - - - -

06/30/2013 138,422,405 - - - - - - - - - - -

Private Equity Financial Reconciliation

PIMCO Bravo Fund

Since Inception Ending June 30, 2020

Page 215 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/31/2013 138,422,405 - - - - - - - - - - -

08/31/2013 138,422,405 - - - - - - - - - - -

09/30/2013 144,763,263 - - - - - - - - - - -

10/31/2013 144,763,263 - - - - - - - - - - -

11/30/2013 144,763,263 - - - - - - - - - - -

12/06/2013 - 4,235,416 - - - 4,235,416 - - - - - -

12/31/2013 158,236,314 - - - - - - - - - - -

01/31/2014 158,236,314 - - - - - - - - - - -

02/28/2014 158,236,314 - - - - - - - - - - -

03/31/2014 165,180,188 - - - - - - - - - - -

04/04/2014 - - - - - - - - - - 17,908,233 17,908,233

04/30/2014 147,271,955 - - - - - - - - - - -

05/28/2014 - - - - - - - - - - 14,923,528 14,923,528

05/31/2014 132,348,427 - - - - - - - - - - -

06/30/2014 141,364,086 - - - - - - - - - - -

07/30/2014 - - - - - - - - - - 19,187,393 19,187,393

07/31/2014 122,176,693 - - - - - - - - - - -

08/25/2014 - - - - - - - - - - 19,187,393 19,187,393

08/31/2014 102,989,301 - - - - - - - - - - -

09/26/2014 - - - - - - - - - - 8,527,730 8,527,730

09/30/2014 98,024,338 - - - - - - - - - - -

10/31/2014 98,024,338 - - - - - - - - - - -

11/30/2014 98,024,338 - - - - - - - - - - -

12/31/2014 101,207,577 - - - - - - - - - - -

01/28/2015 - - - - - - 1,053,601 - - - 20,265,724 21,319,325

01/31/2015 79,888,252 - - - - - - - - - - -

02/28/2015 79,888,252 - - - - - - - - - - -

03/31/2015 64,505,384 - - - - - 17,055,460 - - - - 17,055,460

04/30/2015 64,505,384 - - - - - - - - - - -

05/31/2015 64,505,384 - - - - - - - - - - -

06/15/2015 - - - - - - 10,167,848 - - - - 10,167,848

06/30/2015 56,376,690 - - - - - - - - - - -

07/31/2015 56,376,690 - - - - - - - - - - -

08/31/2015 56,376,690 - - - - - - - - - - -

09/30/2015 54,167,323 - - - - - - - - - - -

10/08/2015 - - - - - - 12,141,249 - - - - 12,141,249

10/31/2015 42,026,074 - - - - - - - - - - -

11/30/2015 42,026,074 - - - - - - - - - - -

12/18/2015 - - - - - - 11,464,328 - - - - 11,464,328

12/31/2015 30,345,566 - - - - - - - - - - -

01/15/2016 - - - - - - 4,342,548 - - - - 4,342,548

Page 216 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

01/31/2016 26,003,018 - - - - - - - - - - -

02/29/2016 26,003,018 - - - - - - - - - - -

03/31/2016 24,262,242 - - - - - - - - - - -

04/30/2016 24,262,242 - - - - - - - - - - -

05/31/2016 24,262,242 - - - - - - - - - - -

06/01/2016 - - - - - - 5,832,739 - - - - 5,832,739

06/30/2016 20,679,406 - - - - - - - - - - -

07/18/2016 - - - - - - 5,062,635 - - - - 5,062,635

07/31/2016 15,616,771 - - - - - - - - - - -

08/31/2016 15,616,771 - - - - - - - - - - -

09/06/2016 - - - - - - 5,071,624 - - - - 5,071,624

09/30/2016 10,959,734 - - - - - - - - - - -

10/31/2016 10,959,734 - - - - - - - - - - -

11/30/2016 10,959,734 - - - - - - - - - - -

12/06/2016 - - - - - - 3,712,456 - - - - 3,712,456

12/31/2016 7,395,580 - - - - - - - - - - -

01/31/2017 7,395,580 - - - - - - - - - - -

02/28/2017 7,395,580 - - - - - - - - - - -

03/31/2017 6,743,806 - - - - - - - - - - -

04/30/2017 6,743,806 - - - - - - - - - - -

05/31/2017 6,743,806 - - - - - - - - - - -

06/28/2017 - - - - - - 1,176,278 - - - - 1,176,278

06/30/2017 5,474,809 - - - - - - - - - - -

07/31/2017 5,474,809 - - - - - - - - - - -

08/31/2017 5,474,809 - - - - - - - - - - -

09/30/2017 5,208,166 - - - - - - - - - - -

10/06/2017 - - - - - - 668,513 - - - - 668,513

10/31/2017 4,539,653 - - - - - - - - - - -

11/30/2017 4,539,653 - - - - - - - - - - -

12/31/2017 4,601,860 - - - - - - - - - - -

01/31/2018 4,601,860 - - - - - - - - - - -

02/27/2018 - - - - - - 1,374,949 - - - - 1,374,949

02/28/2018 3,226,911 - - - - - - - - - - -

03/31/2018 6,670,815 - - - - - - - - - - -

04/30/2018 6,670,815 - - - - - - - - - - -

05/31/2018 6,670,815 - - - - - - - - - - -

06/13/2018 - - - - - - 1,969,043 - - - - 1,969,043

06/30/2018 4,451,645 - - - - - - - - - - -

07/31/2018 4,451,645 - - - - - - - - - - -

08/31/2018 4,451,645 - - - - - - - - - - -

09/30/2018 4,323,171 - - - - - - - - - - -

Page 217 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

10/31/2018 4,323,171 - - - - - - - - - - -

11/30/2018 4,323,171 - - - - - - - - - - -

12/31/2018 3,191,262 - - - - - - - - - - -

01/31/2019 3,191,262 - - - - - - - - - - -

02/28/2019 3,191,262 - - - - - - - - - - -

03/29/2019 - - - - - - 791,774 - - - - 791,774

03/31/2019 2,019,100 - - - - - - - - - - -

04/30/2019 2,019,100 - - - - - - - - - - -

05/31/2019 2,019,100 - - - - - - - - - - -

06/30/2019 1,131,150 - - - - - - - - - - -

07/31/2019 1,131,150 - - - - - - - - - - -

08/31/2019 1,131,150 - - - - - - - - - - -

09/30/2019 1,539,992 - - - - - - - - - - -

10/31/2019 1,539,992 - - - - - - - - - - -

11/30/2019 1,539,992 - - - - - - - - - - -

12/31/2019 1,222,833 - - - - - - - - - - -

01/31/2020 1,222,833 - - - - - - - - - - -

02/29/2020 1,222,833 - - - - - - - - - - -

03/31/2020 594,455 - - - - - - - - - - -

04/30/2020 594,455 - - - - - - - - - - -

05/31/2020 594,455 - - - - - - - - - - -

06/30/2020 768,219 - - - - - - - - - - -

Total 112,332,682 - - 36,886 112,369,568 81,885,044 - 110,751 12,332,682 100,000,000 194,328,478

Page 218 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2013

Strategy Type: Distressed Management Fee: 1.36% (20% carried interest over 8% hurdle rate)

Target IRR: 15.00% Inception: 03/19/2011

General Partner: PIMCO

Investment Strategy: Private equity-style opportunistic fund with an expected emphasis on markets influenced by bank regulatory reform covering mortgages, real estate and consumer markets, primarily in theU.S. but with some exposure to Europe. Employs a multidisciplinary investment approach across public and private markets to uncover attractive risk-adjusted returns. This requires aflexible investment approach, due to the complex interaction of monetary policies, regulation and capital markets. Target IRR and multiple of 15% and 1.8x, net of fees and carried interest.BRAVO team includes over 80 portfolio management personnel with a wide range of backgrounds, including originations, capital markets, real estate acquisitions and asset management.The team has a history of identifying investment opportunities, and constructing teams to capitalize on these opportunities.The funds have a disciplined underwriting process that combines macroeconomic perspectives and asset-level functional expertise. The amount of information available through theplatform and proprietary analytics will be used to form a unique understanding and ability to identify and source relative value investment across the capital structure. Further, the fund willleverage PIMCO’s financing platform and capital markets and structure expertise to understand complex securities to optimize returns.

Cash Flow Summary

Capital Committed: $150,000,000

Capital Invested: $139,573,282

Management Fees: $393,244

Expenses: -

Interest: $174,040

Total Contributions: $139,747,322

Remaining Capital Commitment: $135,906,611

Total Distributions: $125,714,834

Market Value: $53,748,701

Inception Date: 03/31/2013

Inception IRR: 6.6

TVPI: 1.3

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$46,800,000.0

$93,600,000.0

$140,400,000.0

$187,200,000.0

$234,000,000.0

($46,800,000.0)

3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Private Equity Fund Overview

PIMCO Bravo Fund II

As of June 30, 2020

Page 219 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/19/2013 - 7,500,000 - - - 7,500,000 - - - - - -

03/31/2013 7,496,327 - - - - - - - - - - -

04/30/2013 7,496,327 - - - - - - - - - - -

05/31/2013 7,496,327 - - - - - - - - - - -

06/30/2013 7,458,244 - 18,210 - - 18,210 - - - - - -

07/31/2013 7,458,244 - - - - - - - - - - -

08/31/2013 7,458,244 - - - - - - - - - - -

09/30/2013 7,782,538 - 7,366 - - 7,366 - - - - - -

10/31/2013 7,782,538 - - - - - - - - - - -

11/22/2013 - 2,062,922 - - - 2,062,922 - - 45,839 2,062,922 - 2,108,762

11/30/2013 7,782,538 - - - - - - - - - - -

12/16/2013 - 7,500,000 - - 174,040 7,674,040 - - - - - -

12/31/2013 17,027,473 - - - - - - - - - - -

01/03/2014 - 1,834,647 - - - 1,834,647 - - 24,253 1,834,647 - 1,858,900

01/31/2014 17,027,473 - - - - - - - - - - -

02/06/2014 - 256,703 - - - 256,703 - - 7,320 256,703 - 264,023

02/28/2014 17,027,473 - - - - - - - - - - -

03/31/2014 28,747,268 11,250,000 - - - 11,250,000 - - - - - -

04/15/2014 - 4,169,010 - - - 4,169,010 - - 157,530 4,169,010 - 4,326,539

04/30/2014 28,747,268 - - - - - - - - - - -

05/31/2014 28,747,268 - - - - - - - - - - -

06/30/2014 38,162,358 7,500,000 - - - 7,500,000 - - - - - -

07/31/2014 38,162,358 - - - - - - - - - - -

08/31/2014 38,162,358 - - - - - - - - - - -

09/29/2014 - 15,000,000 - - - 15,000,000 - - - - - -

09/30/2014 55,318,071 - - - - - - - - - - -

10/14/2014 - 15,000,000 - - - 15,000,000 - - - - - -

10/31/2014 70,318,071 - - - - - - - - - - -

11/30/2014 70,318,071 - - - - - - - - - - -

12/31/2014 71,361,965 - - - - - - - - - - -

01/26/2015 - 15,000,000 - - - 15,000,000 - - - - - -

01/31/2015 86,361,965 - - - - - - - - - - -

02/28/2015 86,361,965 - - - - - - - - - - -

03/31/2015 88,713,916 - - - - - - - - - - -

04/30/2015 88,713,916 - - - - - - - - - - -

05/12/2015 - 15,000,000 - - - 15,000,000 - - - - - -

05/31/2015 103,713,916 - - - - - - - - - - -

06/30/2015 106,153,781 - - - - - - - - - - -

07/31/2015 106,153,781 - - - - - - - - - - -

08/31/2015 106,153,781 - - - - - - - - - - -

Private Equity Financial Reconciliation

PIMCO Bravo Fund II

Since Inception Ending June 30, 2020

Page 220 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund II

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/30/2015 107,872,083 - 367,668 - - 367,668 - - - - - -

10/31/2015 107,872,083 - - - - - - - - - - -

11/30/2015 107,872,083 - - - - - - - - - - -

12/04/2015 - 26,250,000 - - - 26,250,000 - - - - - -

12/31/2015 138,367,809 - - - - - - - - - - -

01/31/2016 138,367,809 - - - - - - - - - - -

02/29/2016 138,367,809 - - - - - - - - - - -

03/31/2016 135,967,883 - - - - - - - - - - -

04/30/2016 135,967,883 - - - - - - - - - - -

05/31/2016 135,967,883 - - - - - - - - - - -

06/30/2016 141,246,900 - - - - - - - - - - -

07/31/2016 141,246,900 - - - - - - - - - - -

08/31/2016 141,246,900 - - - - - - - - - - -

09/30/2016 146,612,973 - - - - - - - - - - -

10/31/2016 146,612,973 - - - - - - - - - - -

11/30/2016 146,612,973 - - - - - - - - - - -

12/31/2016 153,057,955 - - - - - - - - - - -

01/31/2017 153,057,955 - - - - - - - - - - -

02/28/2017 153,057,955 - - - - - - - - - - -

03/13/2017 - 11,250,000 - - - 11,250,000 - - - - - -

03/31/2017 166,935,242 - - - - - - - - - - -

04/30/2017 166,935,242 - - - - - - - - - - -

05/31/2017 166,935,242 - - - - - - - - - - -

06/30/2017 171,912,717 - - - - - - - - - - -

07/31/2017 171,912,717 - - - - - - - - - - -

08/25/2017 - - - - - - - - - 6,824,619 - 6,824,619

08/31/2017 165,088,098 - - - - - - - - - - -

09/30/2017 166,792,374 - - - - - - - - - - -

10/06/2017 - - - - - - - - - 7,693,855 - 7,693,855

10/31/2017 159,098,519 - - - - - - - - - - -

11/30/2017 159,098,519 - - - - - - - - - - -

12/01/2017 - - - - - - - - - 6,824,619 - 6,824,619

12/31/2017 153,480,223 - - - - - - - - - - -

01/31/2018 153,480,223 - - - - - - - - - - -

02/28/2018 146,655,604 - - - - - - - - 6,824,619 - 6,824,619

03/23/2018 - - - - - - - - - 9,248,741 - 9,248,741

03/31/2018 139,788,373 - - - - - - - - - - -

04/30/2018 139,788,373 - - - - - - - - - - -

05/15/2018 - - - - - - - - - 6,278,650 - 6,278,650

05/31/2018 133,509,723 - - - - - - - - - - -

06/19/2018 - - - - - - - - - 6,511,471 - 6,511,471

Page 221 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund II

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

06/30/2018 129,979,470 - - - - - - - - - - -

07/31/2018 129,979,470 - - - - - - - - - - -

08/08/2018 - - - - - - - - - 5,459,695 - 5,459,695

08/22/2018 - - - - - - - - - 8,258,607 - 8,258,607

08/31/2018 116,261,168 - - - - - - - - - - -

09/30/2018 118,510,916 - - - - - - - - - - -

10/12/2018 - - - - - - - - - 6,215,798 - 6,215,798

10/31/2018 112,295,118 - - - - - - - - - - -

11/20/2018 - - - - - - - - - 8,951,249 - 8,951,249

11/30/2018 103,343,869 - - - - - - - - - - -

12/21/2018 - - - - - - - - - 2,729,848 - 2,729,848

12/31/2018 93,818,433 - - - - - - - - - - -

01/31/2019 93,818,433 - - - - - - - - - - -

02/20/2019 - - - - - - - - - 9,144,990 - 9,144,990

02/28/2019 84,673,443 - - - - - - - - - - -

03/31/2019 89,735,715 - - - - - - - - - - -

04/12/2019 - - - - - - - - - 2,249,275 - 2,249,275

04/30/2019 87,486,440 - - - - - - - - - - -

05/16/2019 - - - - - - - - - 3,415,648 - 3,415,648

05/31/2019 84,070,791 - - - - - - - - - - -

06/30/2019 85,903,469 - - - - - - - - - - -

07/31/2019 85,903,469 - - - - - - - - - - -

08/06/2019 - - - - - - - - - 6,439,491 - 6,439,491

08/31/2019 79,463,978 - - - - - - - - - - -

09/25/2019 - - - - - - - - - 3,302,534 - 3,302,534

09/30/2019 76,081,063 - - - - - - - - - - -

10/31/2019 76,081,063 - - - - - - - - - - -

11/08/2019 - - - - - - - - - 2,729,848 - 2,729,848

11/30/2019 73,351,215 - - - - - - - - - - -

12/20/2019 - - - - - - - - - 3,412,310 - 3,412,310

12/31/2019 72,761,301 - - - - - - - - - - -

01/31/2020 72,761,301 - - - - - - - - - - -

02/10/2020 - - - - - - - - - 2,183,878 - 2,183,878

02/29/2020 70,577,423 - - - - - - - - - - -

03/09/2020 - - - - - - - - - 2,456,863 - 2,456,863

03/31/2020 53,467,606 - - - - - - - - - - -

04/30/2020 53,467,606 - - - - - - - - - - -

05/31/2020 53,467,606 - - - - - - - - - - -

06/30/2020 53,748,701 - - - - - - - - - - -

Total 139,573,282 393,244 - 174,040 140,140,566 - - 234,941 125,479,893 - 125,714,834

Page 222 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2016

Strategy Type: Distressed Management Fee: 1.30% (20% carried interest over 8% hurdle rate)

Target IRR: 8.00% Inception: 11/16/2016

General Partner: PIMCO

Investment Strategy: Distressed Residential & Commercial Real Estate

Cash Flow Summary

Capital Committed: $175,000,000

Capital Invested: $184,321,318

Management Fees: $441,911

Expenses: -

Interest: $278,299

Total Contributions: $184,599,617

Remaining Capital Commitment: -

Total Distributions: $9,954,180

Market Value: $183,979,199

Inception Date: 03/31/2017

Inception IRR: 3.7

TVPI: 1.0

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$52,000,000.0

$104,000,000.0

$156,000,000.0

$208,000,000.0

$260,000,000.0

($52,000,000.0)

3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20

Private Equity Fund Overview

PIMCO Bravo Fund III

As of June 30, 2020

Page 223 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/10/2017 - 17,500,000 - - 278,299 17,778,299 - - - - - -

03/31/2017 17,452,589 - - - - - - - - - - -

04/30/2017 17,452,589 - - - - - - - - - - -

05/26/2017 - - - - - - - - 148,038 - - 148,038

05/31/2017 17,304,551 - - - - - - - - - - -

06/30/2017 18,344,452 - 55,723 - - 55,723 - - - - - -

07/31/2017 18,344,452 - - - - - - - - - - -

08/31/2017 18,159,986 - - - - - - - 184,466 - - 184,466

09/30/2017 18,528,035 - 77,917 - - 77,917 - - - - - -

10/31/2017 18,528,035 - - - - - - - - - - -

11/13/2017 - - - - - - - - 57,838 - - 57,838

11/30/2017 18,470,197 - - - - - - - - - - -

12/06/2017 - - - - - - - - 239,266 - - 239,266

12/22/2017 - 8,750,000 - - - 8,750,000 - - - - - -

12/31/2017 28,746,634 - 11,664 - - 11,664 - - - - - -

01/31/2018 28,746,634 - - - - - - - - - - -

02/28/2018 28,746,634 - - - - - - - - - - -

03/31/2018 29,448,142 - 129,344 - - 129,344 - - - - - -

04/30/2018 29,448,142 - - - - - - - - - - -

05/03/2018 - - - - - - - - 3,253 - - 3,253

05/25/2018 - 17,500,000 - - - 17,500,000 - - - - - -

05/31/2018 46,944,889 - - - - - - - - - - -

06/30/2018 49,853,937 - 167,263 - - 167,263 - - - - - -

07/31/2018 49,853,937 - - - - - - - - - - -

08/31/2018 49,853,937 - - - - - - - - - - -

09/14/2018 - 13,125,000 - - - 13,125,000 - - - - - -

09/30/2018 64,200,394 - - - - - - - - - - -

10/11/2018 - 8,750,000 - - - 8,750,000 - - - - - -

10/31/2018 72,950,394 - - - - - - - - - - -

11/30/2018 72,950,394 - - - - - - - - - - -

12/12/2018 - 13,125,000 - - - 13,125,000 - - - - - -

12/20/2018 - 13,300,220 - - - 13,300,220 - - - - - -

12/31/2018 98,840,274 - - - - - - - - - - -

01/08/2019 - 17,500,000 - - - 17,500,000 - - - - - -

01/31/2019 116,340,274 - - - - - - - - - - -

02/28/2019 116,340,274 - - - - - - - - - - -

03/31/2019 119,055,246 - - - - - - - - - - -

04/30/2019 119,055,246 - - - - - - - - - - -

05/31/2019 119,055,246 - - - - - - - - - - -

06/30/2019 123,485,307 - - - - - - - - - - -

Private Equity Financial Reconciliation

PIMCO Bravo Fund III

Since Inception Ending June 30, 2020

Page 224 of 292

Private Equity Financial Reconciliation

PIMCO Bravo Fund III

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

07/19/2019 - 17,500,000 - - - 17,500,000 - - - - - -

07/31/2019 140,985,307 - - - - - - - - - - -

08/31/2019 140,985,307 - - - - - - - - - - -

09/30/2019 144,942,465 - - - - - - - - - - -

10/31/2019 144,942,465 - - - - - - - - - - -

11/30/2019 144,942,465 - - - - - - - - - - -

12/31/2019 146,265,371 - - - - - - - - - - -

01/29/2020 - - - - - - - - - 9,321,318 - 9,321,318

01/31/2020 136,944,053 - - - - - - - - - - -

02/29/2020 136,944,053 - - - - - - - - - - -

03/27/2020 - 14,418,285 - - - 14,418,285 - - - - - -

03/31/2020 130,877,075 - - - - - - - - - - -

04/15/2020 - 42,852,813 - - - 42,852,813 - - - - - -

04/30/2020 173,729,888 - - - - - - - - - - -

05/31/2020 173,729,888 - - - - - - - - - - -

06/30/2020 183,979,199 - - - - - - - - - - -

Total 184,321,318 441,911 - 278,299 185,041,528 - - 632,862 9,321,318 - 9,954,180

Page 225 of 292

Fund Information

Type of Fund: Direct Vintage Year: 2016

Strategy Type: Distressed Management Fee: 1.35% Incentive Fee: 20% carried interest over 8% hurdle rate

Target IRR: 15.00% Inception: 01/06/2016

General Partner: PIMCO

Investment Strategy: The fund will target distressed and special situation investments in public and private companies. The investment strategy will be centered on obtaining significant influence to driveinvestment outcomes. Secular changes in technology, regulation and market structures are expected to disrupt industries. The path to policy normalization is expected to be bumpy,exposing companies with weak financials. An economic recession is inevitable and likely to occur during the Fund’s investment period. The middle market is inefficient and less competitivedue to economic vulnerability. These factors create opportunities for well-resourced teams of experienced investors. The fund has a target annualized IRR of approximately 15% andmultiple of 1.5-1.7x, net of fees and carried interest. The fund has a five-year term, with two possible 1.5 year extensions at GP’s discretion.

Cash Flow Summary

Capital Committed: $100,000,000

Capital Invested: $90,000,000

Management Fees: $462,320

Expenses: -

Interest: $313,039

Total Contributions: $90,313,039

Remaining Capital Commitment: $10,000,000

Total Distributions: $222,920

Market Value: $96,560,442

Inception Date: 09/01/2016

Inception IRR: 3.9

TVPI: 1.1

Cash Flow Analysis

Net Asset Value Distribution Contributions

$0.0

$26,000,000.0

$52,000,000.0

$78,000,000.0

$104,000,000.0

$130,000,000.0

($26,000,000.0)

9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 6/20

Private Equity Fund Overview

PIMCO Corp Opp II

As of June 30, 2020

Page 226 of 292

Private Equity Financial Reconciliation

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

09/01/2016 - 12,000,000 - - 313,039 12,313,039 - - - - - -

09/30/2016 12,829,420 - - - - - - - - - - -

10/20/2016 - - - - - - - 93,023 - - - 93,023

10/31/2016 12,736,397 - - - - - - - - - - -

11/30/2016 12,736,397 - - - - - - - - - - -

12/30/2016 - - 20,383 - - 20,383 - - - - - -

12/31/2016 13,235,491 - - - - - - - - - - -

01/31/2017 13,235,491 - - - - - - - - - - -

02/07/2017 - - - - - - - 129,896 - - - 129,896

02/28/2017 13,105,595 - - - - - - - - - - -

03/31/2017 13,606,314 - 42,969 - - 42,969 - - - - - -

04/30/2017 13,606,314 - - - - - - - - - - -

05/31/2017 13,606,314 - - - - - - - - - - -

06/20/2017 - 8,000,000 - - - 8,000,000 - - - - - -

06/30/2017 22,057,519 - 57,899 - - 57,899 - - - - - -

07/31/2017 22,057,519 - - - - - - - - - - -

08/31/2017 22,057,519 - - - - - - - - - - -

09/30/2017 23,230,110 - 72,441 - - 72,441 - - - - - -

10/31/2017 23,230,110 - - - - - - - - - - -

11/30/2017 23,230,110 - - - - - - - - - - -

12/31/2017 23,858,364 - 74,821 - - 74,821 - - - - - -

01/31/2018 23,858,364 - - - - - - - - - - -

02/28/2018 23,858,364 - - - - - - - - - - -

03/05/2018 - 5,000,000 - - - 5,000,000 - - - - - -

03/31/2018 28,992,763 - 85,101 - - 85,101 - - - - - -

04/30/2018 28,992,763 - - - - - - - - - - -

05/31/2018 36,492,763 7,500,000 - - - 7,500,000 - - - - - -

06/30/2018 39,258,481 - 108,706 - - 108,706 - - - - - -

07/25/2018 - 6,000,000 - - - 6,000,000 - - - - - -

07/31/2018 45,258,481 - - - - - - - - - - -

08/31/2018 45,258,481 - - - - - - - - - - -

09/27/2018 - 5,000,000 - - - 5,000,000 - - - - - -

09/30/2018 50,714,593 - - - - - - - - - - -

10/31/2018 50,714,593 - - - - - - - - - - -

11/30/2018 50,714,593 - - - - - - - - - - -

12/31/2018 48,018,141 - - - - - - - - - - -

01/25/2019 - 6,500,000 - - - 6,500,000 - - - - - -

01/31/2019 54,518,141 - - - - - - - - - - -

02/28/2019 54,518,141 - - - - - - - - - - -

03/25/2019 - 5,000,000 - - - 5,000,000 - - - - - -

Private Equity Financial Reconciliation

PIMCO Corp Opp II

Since Inception Ending June 30, 2020

Page 227 of 292

Private Equity Financial Reconciliation

PIMCO Corp Opp II

Since Inception Ending June 30, 2020

Date Market Value Investment Fees ExpensesCatch-UpInterest

Total Gain Cash InterestCatch-UpInterest

Received

RecallableCapital

Return ofCapitalCash

Total

03/31/2019 62,871,015 - - - - - - - - - - -

04/23/2019 - 5,000,000 - - - 5,000,000 - - - - - -

04/30/2019 67,871,015 - - - - - - - - - - -

05/31/2019 67,871,015 - - - - - - - - - - -

06/30/2019 69,314,480 - - - - - - - - - - -

07/03/2019 - 7,500,000 - - - 7,500,000 - - - - - -

07/30/2019 - 10,000,000 - - - 10,000,000 - - - - - -

07/31/2019 86,814,480 - - - - - - - - - - -

08/31/2019 86,814,480 - - - - - - - - - - -

09/30/2019 88,434,835 - - - - - - - - - - -

10/31/2019 88,434,835 - - - - - - - - - - -

11/30/2019 88,434,835 - - - - - - - - - - -

12/17/2019 - 5,000,000 - - - 5,000,000 - - - - - -

12/31/2019 97,564,077 - - - - - - - - - - -

01/31/2020 97,564,077 - - - - - - - - - - -

02/29/2020 97,564,077 - - - - - - - - - - -

03/31/2020 89,256,991 7,500,000 - - - 7,500,000 - - - - - -

04/30/2020 89,256,991 - - - - - - - - - - -

05/31/2020 89,256,991 - - - - - - - - - - -

06/30/2020 96,560,442 - - - - - - - - - - -

Total 90,000,000 462,320 - 313,039 90,775,359 - 222,920 - - - 222,920

Page 228 of 292

3rd Quarter 2020 Market Environment

Page 229 of 292

Source: Investment Metrics

The Market EnvironmentMajor Market Index Performance

As of September 30, 2020

Broad asset class returns were positive in the 3rd quarter continuing theirrebound from the 2nd quarter. In general, US monetary policy remainssupportive as the Federal Reserve Bank (Fed) continues to hold interest ratesnear zero with the goal of providing the markets with liquidity. Importantly, theFed indicated that interest rates in the US would remain low for an extendedperiod as GDP growth and business activity remains subdued as the COVID-19 pandemic lingers. The Fed also commented that it was comfortableallowing inflation to exceed its 2% target in the near-term with the goal ofaveraging its target over the long-term. The final reading of US GDP growth inthe 2nd quarter showed the economy contracted by -31.4%. Whileexpectations for growth in the 3rd quarter vary widely, the general outlook isfor a strong positive reading. Within domestic equity markets, we saw areversal during the quarter with large cap stocks outperforming small capstocks with the S&P 500 returning 8.9% compared to 4.9% for the Russell2000 Index. Over the trailing 1-year period, large cap stocks significantlyoutperformed both small and mid-cap stocks with the S&P 500 returning15.1% while small and mid-cap stocks returned 0.4% and 4.6%, respectively.

Similar to US markets, international markets posted strong returns for theperiod despite concerns about a potential “second wave” of the pandemicflowing through Europe. While neither the European Central Bank nor theBank of England changed their policies, global central banks remainaccommodative and prepared to provide additional support if required.International investors also benefited from a weakening USD which declinedagainst most major currencies during the period. Emerging market economiescontinued to outperform relative to developed markets during the period withChina showing signs of improvement. For the quarter, the MSCI EmergingMarket Index returned 9.6% compared to 4.8% for the MSCI EAFE Index.Following the strong quarter, both developed and emerging market indicesturned positive over the 1-year trailing period with the developed market indexreturning 0.5% and the emerging market index returning 10.5%.

Fixed income returns were mixed during the 3rd quarter as interest ratesremained relatively stable. For the quarter, the BB US Aggregate Indexreturned 0.6% while the BB Corporate Investment Grade Index returned 1.5%.TIPS were an area of strength during the quarter, benefiting from higherinflation expectations. For the trailing 1-year period, fixed income returns weresolid with the BB US Aggregate Index returning 7.0%, while corporate bondsreturned 7.9%. TIPS outperformed nominal bonds by posting a respectable10.1% return over the trailing 1-year period as investors’ inflation expectationsrose. 1.1%

7.9%4.4%

10.1%8.0%

7.0%

0.4%4.6%

16.0%15.0%15.1%

10.5%0.5%

3.0%

0.0% 5.0% 10.0% 15.0% 20.0%

3-Month T-Bill

Bbg Barclays Corp IGBbg Barclays MBS

Bbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US Agg

Russell 2000Russell MidCap

Russell 1000Russell 3000

S&P 500

MSCI Emerg MktsMSCI EAFE

MSCI ACWxUS

1-Year Performance

0.0%

1.5%0.1%

3.0%0.2%

0.6%

4.9%7.5%

9.5%9.2%

8.9%

9.6%4.8%

6.3%

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%

3-Month T-Bill

Bbg Barclays Corp IGBbg Barclays MBS

Bbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US Agg

Russell 2000Russell MidCap

Russell 1000Russell 3000

S&P 500

MSCI Emerg MktsMSCI EAFE

MSCI ACWxUS

Quarter Performance

Page 230 of 292

Source: Investment Metrics

The Market EnvironmentDomestic Equity Style Index Performance

As of September 30, 2020

Continuing their recent trend, US equities posted their second straight quarterof positive returns across the style and market capitalization spectrum. Duringthe quarter, large cap stocks resumed their leadership, outpacing both mid andsmall-cap stocks as investors gravitated toward large companies for theirrelatively attractive profitability profile, lower leverage, and diversified businessmodels. The Russell 1000 Index returned 9.5% compared with 7.5% and 4.9%for the Russell MidCap and Russell 2000 indices, respectively. While small capstocks have historically performed well in periods following a recession, therelative uncertainty surrounding the path of global economic growth and theupcoming US Presidential election pushed investors toward the relative safetyof large cap stocks.

Growth stocks maintained their dominance relative to value-oriented stocksacross all market capitalizations for the 3rd quarter. The Russell 1000 GrowthIndex returned 13.2% and was the best performing index across style andmarket capitalization for the period. The index benefitted from favorablerelative weightings to consumer discretionary, materials and technology-related companies, which powered large cap returns during the period. Smallcap value stocks trailed their index peers during the quarter with the Russell2000 Value Index returning 2.6%. Exposures to financial-related companiesand real estate acted as a headwind as those sectors lagged during the period.

When viewed over the trailing 1-year period, the performance dispersionbetween large cap and small cap stocks across styles is glaring. While some ofthe difference in relative performance between market capitalizations can beattributed to the drawdown experienced during the 1st quarter, large capstocks have benefited from investors favoring companies with healthierfinancial profiles that can weather a protracted period of weak growth due tothe pandemic. Additionally, the sector weights within the respective indices anda tilt towards growth-oriented, higher P/E companies in large caps has actedas a tailwind for growth index performance.

Results over the trailing 1-year reflect the continued strength of growthcompared to value benchmarks with each growth index earning double digitgains while each value index posted negative results for the period. The widestperformance gap was in the large cap space with the Russell 1000 GrowthIndex returning 37.5%, which outpaced the large cap value benchmark bymore than 40% for the year. The dispersion between both mid and small capgrowth benchmarks was also substantial relative to their value counterpartswith each growth index outpacing its respective value benchmark by more than30% for the year.

7.2%

4.9%

2.6%

9.4%

7.5%

6.4%

13.2%

9.5%

5.6%

12.9%

9.2%

5.4%

0.0% 5.0% 10.0% 15.0%

2000 Growth

2000 Index

2000 Value

MidCap Growth

MidCap Index

MidCap Value

1000 Growth

1000 Index

1000 Value

3000 Growth

3000 Index

3000 Value

Quarter Performance - Russell Style Series

15.7%

0.4%

-14.9%

23.2%

4.6%

-7.3%

37.5%16.0%

-5.0%

36.1%15.0%

-5.7%

-20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0%

2000 Growth

2000 Index

2000 Value

MidCap Growth

MidCap Index

MidCap Value

1000 Growth

1000 Index

1000 Value

3000 Growth

3000 Index

3000 Value

1-Year Performance - Russell Style Series

Page 231 of 292

Ten of eleven economic sectors within the large cap Russell 1000 Index werepositive for the 3rd quarter with only the energy sector posting a negativereturn. Five sectors outpaced the return of the broad index during the period.Growth-oriented sectors such as consumer discretionary, materials andtechnology were some of the best performers for the quarter returning 19.0%,12.4%, and 12.1%, respectively. The energy sector continues to lag due toreduced consumption and the threat of bankruptcies resulting from stubbornlylow oil prices. While the sectors were positive, financials and real estate werelaggards relative to the broad index results, posting returns of 4.0% and 1.5%respectively. With the Fed indicating that interest rates will remain lower forlonger, both sectors faced headwinds due to their sensitivity to US interestrates.

Over the trailing 1-year period, technology-related and consumer discretionarystocks were the best performers returning 47.8% and 37.4% respectively. Forthe full-year, five sectors exceeded the return of the broad benchmark:technology, consumer discretionary, health care, communication services, andmaterials. In contrast, traditional value sectors such as energy, financials, realestate and utilities posted returns of -45.0%, -13.1%, -11.1%, and -6.1%,respectively, for the trailing 1-year period. This sector performance shows astaggering dispersion of more than 90% from best to worst performing sectorin the large cap benchmark.

Five of eleven small cap sectors posted returns greater than the Russell 2000Index for the 3rd quarter. Similar to large cap stocks, sectors sensitive to theconsumer and improving economic conditions were the primary drivers ofreturn during the quarter. That said, only the consumer discretionary sectoroutpaced its large cap counterpart during the period, returning 19.2%compared to 19.0%.

As previously noted, small cap stocks have significantly trailed large caps overthe previous 1-year period. Specifically, energy-related companies have facedsignificant headwinds due primarily to low oil prices while interest ratesensitive sectors such as financials and real estate have failed to producegains as a result of historically low US interest rates. The lone bright spot hasbeen health care stocks which outperformed their large cap equivalents bymore than 14% over the period (37.5% versus 22.9%).

The Market EnvironmentGICS Sector Performance & (Sector Weight)

As of September 30, 2020

Source: Morningstar DirectAs a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.

-6.1%

-11.1%

10.1%

47.8%1.3%

22.9%

-13.1%-45.0%

7.6%

37.4%

19.3%

5.8%

1.5%

12.4%

12.1%

12.0%

6.3%

4.0%

-19.3%

10.3%

19.0%

9.3%

-50.0% -30.0% -10.0% 10.0% 30.0% 50.0%

Utilities (2.9%)

Real Estate (3.3%)

Materials (2.6%)

Info Technology (27.7%)

Industrials (8.3%)

Health Care (14.3%)

Financials (9.9%)

Energy (2.4%)

Consumer Staples (6.4%)

Consumer Disc (11.8%)

Comm Services (10.4%)

Russell 1000 Quarter 1-Year

-20.6%

-20.5%

-7.1%

11.7%

1.0%

37.5%

-23.9%-50.9%

9.0%

13.3%

-15.6%

-3.9%

0.0%

6.4%

2.4%

10.8%

5.0%

-2.7%

-6.1%

8.4%

19.2%

-1.3%

-60.0% -40.0% -20.0% 0.0% 20.0% 40.0%

Utilities (3.4%)

Real Estate (6.9%)

Materials (4.1%)

Info Technology (14.0%)

Industrials (14.9%)

Health Care (20.2%)

Financials (15.8%)

Energy (2.2%)

Consumer Staples (3.4%)

Consumer Disc (12.6%)

Comm Services (2.6%)

Russell 2000 Quarter 1-Year

Page 232 of 292

The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000

As of September 30, 2020

Source: Morningstar Direct

Top 10 Weighted Stocks Top 10 Weighted Stocks

Russell 1000 Weight 1-Qtr Return

1-Year Return Sector Russell 2000 Weight 1-Qtr

Return1-Year Return Sector

Apple Inc 6.04% 27.2% 108.9% Information Technology Penn National Gaming Inc 0.59% 138.0% 290.3% Consumer DiscretionaryMicrosoft Corp 5.02% 3.6% 53.0% Information Technology Sunrun Inc 0.49% 290.8% 361.4% IndustrialsAmazon.com Inc 4.25% 14.1% 81.4% Consumer Discretionary Caesars Entertainment Inc 0.41% 39.9% 40.6% Consumer DiscretionaryFacebook Inc A 2.00% 15.3% 47.1% Communication Services MyoKardia Inc 0.37% 41.1% 161.4% Health CareAlphabet Inc A 1.40% 3.4% 20.0% Communication Services Novavax Inc 0.35% 30.0% 2058.4% Health CareAlphabet Inc Class C 1.39% 4.0% 20.6% Communication Services iRhythm Technologies Inc 0.35% 105.5% 221.3% Health CareBerkshire Hathaway Inc Class B 1.32% 19.3% 2.4% Financials LHC Group Inc 0.34% 21.9% 87.2% Health CareJohnson & Johnson 1.25% 6.6% 18.2% Health Care Mirati Therapeutics Inc 0.33% 45.4% 113.1% Health CareProcter & Gamble Co 1.08% 17.0% 14.6% Consumer Staples Churchill Downs Inc 0.33% 23.0% 33.3% Consumer DiscretionaryVisa Inc Class A 1.08% 3.7% 17.0% Information Technology Momenta Pharmaceuticals Inc 0.33% 57.7% 304.9% Health Care

Top 10 Performing Stocks (by Quarter) Top 10 Performing Stocks (by Quarter)

Russell 1000 Weight 1-Qtr Return

1-Year Return Sector Russell 2000 Weight 1-Qtr

Return1-Year Return Sector

Immunomedics Inc 0.06% 139.9% 541.3% Health Care Whiting Petroleum Corp 0.00% 1430.1% 115.3% EnergyL Brands Inc 0.02% 112.5% 67.3% Consumer Discretionary Seres Therapeutics Inc 0.08% 494.7% 606.0% Health CareTesla Inc 1.01% 98.7% 790.5% Consumer Discretionary Vivint Solar Inc 0.11% 327.8% 547.6% IndustrialsNovoCure Ltd 0.04% 87.7% 48.8% Health Care Tupperware Brands Corp 0.05% 324.4% 27.0% Consumer DiscretionaryPinterest Inc 0.05% 87.2% 56.9% Communication Services Eastman Kodak Co 0.01% 295.5% 234.1% Information TechnologyLivongo Health Inc 0.02% 86.3% 703.0% Health Care Sunrun Inc 0.49% 290.8% 361.4% IndustrialsCarvana Co Class A 0.04% 85.6% 238.0% Consumer Discretionary Cassava Sciences Inc 0.01% 273.7% 859.2% Health CareZoom Video Communications Inc 0.25% 85.4% 516.9% Information Technology Owens & Minor Inc 0.08% 229.6% 332.8% Health CareFedEx Corp 0.19% 79.9% 75.8% Industrials Gogo Inc 0.03% 192.4% 53.2% Communication ServicesZillow Group Inc A 0.02% 76.7% 243.7% Communication Services Pacific Biosciences of California Inc 0.09% 186.1% 91.3% Health Care

Bottom 10 Performing Stocks (by Quarter) Bottom 10 Performing Stocks (by Quarter)

Russell 1000 Weight 1-Qtr Return

1-Year Return Sector Russell 2000 Weight 1-Qtr

Return1-Year Return Sector

Occidental Petroleum Corp 0.03% -45.2% -75.5% Energy Satsuma Pharmaceuticals Inc Ord. Shr. 0.00% -86.5% -74.1% Health CareCoty Inc Class A 0.00% -39.6% -73.8% Consumer Staples Akebia Therapeutics Inc 0.02% -81.5% -36.0% Health CareBiomarin Pharmaceutical Inc 0.04% -38.3% 12.9% Health Care Corbus Pharmaceuticals Holdings Inc 0.01% -78.5% -63.0% Health CareReata Pharmaceuticals Inc A 0.01% -37.6% 21.3% Health Care Odonate Therapeutics Inc 0.01% -68.3% -48.4% Health CareMurphy Oil Corp 0.00% -34.8% -58.0% Energy Tricida Inc 0.01% -67.0% -70.7% Health CareAgios Pharmaceuticals Inc 0.01% -34.6% 8.0% Health Care Abeona Therapeutics Inc 0.00% -65.0% -54.9% Health CareMarathon Oil Corp 0.01% -33.2% -66.4% Energy Mallinckrodt PLC 0.00% -63.7% -59.6% Health CareKirby Corp 0.01% -32.5% -56.0% Industrials Nemaura Medical Inc 0.00% -61.6% -51.4% Health CareHollyFrontier Corp 0.01% -31.6% -61.8% Energy Express, Inc. 0.00% -60.4% -82.3% Consumer DiscretionaryAlteryx Inc Class A 0.02% -30.9% 5.7% Information Technology Unity Biotechnology Inc 0.01% -60.1% -43.3% Health Care

Page 233 of 292

Source: MSCI Global Index Monitor (Returns are Net)

Nearly all broad international equity indices posted positive returns in bothUSD and local currency terms for the 3rd quarter. Similar to US markets,international markets continued to benefit from sustained monetary and fiscalstimulus in addition to economic recovery following the onset of the pandemic.Importantly, US investors benefited from the foreign exchange element ofinvesting internationally as the USD declined relative to most developedmarket currencies during the quarter.

For the 3rd quarter, emerging markets outperformed developed markets bynearly 5%. The MSCI Emerging Markets Index gained 9.6% in USD and 8.7%in local currency terms for the period. Emerging markets were led higher byChina (12.5% for the quarter) which showed signs of accelerating economicgrowth during the quarter and represents more than 10% of 26 countryemerging market benchmark. Developed international markets also deliveredsolid returns during the period with the MSCI EAFE Index rising by 4.8% inUSD and 1.2% in local currency returns.

Trailing 1-year returns for international developed markets were mixed both interms of USD and local currency returns. In contrast, emerging market returnswere broadly positive during the period despite both EMEA and Latin Americaposting negative returns in both USD and local currency terms. For the year,the MSCI EAFE Index returned 0.5% in USD and -4.7% in local currencyreturns while the MSCI Emerging Markets Index returned 10.5% and 12.5%,respectively.

During the trailing 1-year period, the USD weakened against most majorinternational developed and emerging market currencies which positivelycontributed to returns in USD terms. Despite this, emerging markets in LatinAmerica were adversely affected as a result of the decisions by Argentina andEcuador to restructure their sovereign debt which resulted in local currencyweakness and declining asset values.

The Market EnvironmentInternational and Regional Market Index Performance (Country Count)

As September 30, 2020

-0.9%

10.6%

2.5%

8.7%

2.9%

0.3%

1.2%

1.5%

3.5%

-1.3%

11.9%

1.8%

9.6%

5.4%

4.5%

4.8%

4.9%

6.3%

-5.0% 0.0% 5.0% 10.0% 15.0%

EM Latin Amer (6)

EM Asia (9)

EM EMEA (11)

Emerging Mkt (26)

Pacific (5)

Europe & ME (16)

EAFE (21)

WORLD x US (22)

AC World x US (48)

Quarter Performance USD Local Currency

-11.6%

19.7%

-5.4%

12.5%

-0.2%

-7.2%

-4.7%

-4.5%

0.0%

-29.4%

21.5%

-12.1%

10.5%

2.6%

-0.8%

0.5%

0.2%

3.0%

-30.0% -20.0% -10.0% 0.0% 10.0% 20.0%

EM Latin Amer (6)

EM Asia (9)

EM EMEA (11)

Emerging Mkt (26)

Pacific (5)

Europe & ME (16)

EAFE (21)

WORLD x US (22)

AC World x US (48)

1-Year Performance USD Local Currency

Page 234 of 292

The Market EnvironmentUS Dollar International Index Attribution & Country Detail

As of September 30, 2020

Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD)As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector.

MSCI - EAFE Sector Weight Quarter Return 1-Year ReturnCommunication Services 5.5% 4.1% 1.4%

Consumer Discretionary 11.9% 9.7% 3.4%

Consumer Staples 11.9% 4.5% 0.7%

Energy 2.8% -13.4% -42.7%

Financials 15.1% -1.3% -16.9%

Health Care 14.4% 2.9% 20.4%

Industrials 15.2% 10.3% 5.3%

Information Technology 8.6% 8.1% 23.7%

Materials 7.6% 10.8% 10.9%

Real Estate 3.1% 2.9% -15.5%

Utilities 4.0% 3.0% 5.9%

Total 100.0% 4.8% 0.5%

MSCI - ACWIxUS Sector Weight Quarter Return 1-Year Return

Communication Services 7.5% 3.3% 11.8%

Consumer Discretionary 13.8% 16.5% 18.1%

Consumer Staples 9.7% 4.6% 0.2%

Energy 4.2% -7.6% -33.5%

Financials 16.9% -0.2% -17.2%

Health Care 10.5% 2.6% 22.2%

Industrials 11.7% 9.9% 4.5%

Information Technology 11.7% 13.4% 34.6%

Materials 7.9% 11.1% 12.0%

Real Estate 2.7% 2.3% -14.1%

Utilities 3.4% 2.0% 0.2%

Total 100.0% 6.3% 3.0%

MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year Return

Communication Services 12.7% 2.5% 25.4%

Consumer Discretionary 20.2% 26.8% 48.4%

Consumer Staples 6.1% 4.3% -2.7%

Energy 5.4% -0.5% -19.2%

Financials 17.2% -0.5% -19.0%

Health Care 4.3% 1.9% 47.0%

Industrials 4.4% 2.9% -6.7%

Information Technology 18.5% 20.5% 41.9%

Materials 6.9% 11.6% 8.0%

Real Estate 2.4% 0.9% -7.8%

Utilities 2.0% -4.4% -18.4%

Total 100.0% 9.6% 10.5%

MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 25.8% 16.5% 6.9% 6.9%United Kingdom 13.3% 8.5% -0.2% -15.8%France 10.7% 6.8% 2.8% -6.2%Switzerland 10.4% 6.6% 5.1% 11.0%Germany 9.6% 6.2% 8.3% 10.0%Australia 6.6% 4.2% 2.8% -7.7%Netherlands 4.4% 2.8% 5.9% 12.6%Sweden 3.3% 2.1% 14.6% 22.4%Hong Kong 3.3% 2.1% 1.6% -1.6%Denmark 2.5% 1.6% 15.3% 42.5%Spain 2.3% 1.4% -3.8% -21.0%Italy 2.2% 1.4% 1.3% -10.1%Finland 1.1% 0.7% 11.9% 12.7%Singapore 1.0% 0.7% -1.0% -16.4%Belgium 1.0% 0.6% 2.0% -23.2%Ireland 0.7% 0.5% 14.5% 20.7%Israel 0.6% 0.4% -2.0% 3.5%Norway 0.6% 0.4% 8.2% -13.8%New Zealand 0.3% 0.2% -1.0% 24.4%Portugal 0.2% 0.1% -3.4% 2.3%Austria 0.2% 0.1% -4.8% -29.1%Total EAFE Countries 100.0% 63.8% 4.8% 0.5%Canada 6.5% 6.2% -3.0%Total Developed Countries 70.3% 4.9% 0.2%China 12.5% 12.5% 33.6%Taiwan 3.8% 16.5% 35.0%Korea 3.6% 12.8% 18.6%India 2.5% 15.0% 0.5%Brazil 1.4% -3.3% -32.5%South Africa 1.1% 3.7% -11.1%Russia 0.9% -4.7% -16.0%Saudi Arabia 0.8% 9.3% -2.9%Thailand 0.5% -14.1% -30.2%Malaysia 0.5% 2.6% -2.9%Mexico 0.5% 4.6% -20.5%Indonesia 0.4% -6.9% -25.4%Qatar 0.2% 7.5% -2.6%Philippines 0.2% -2.7% -18.7%Poland 0.2% -0.9% -20.9%United Arab Emirates 0.2% 6.2% -11.8%Chile 0.2% -4.2% -33.0%Turkey 0.1% -15.7% -30.0%Peru 0.1% 3.5% -22.2%Hungary 0.1% -8.9% -22.5%Colombia 0.1% -1.3% -37.6%Argentina 0.0% 6.7% 7.3%Greece 0.0% 3.3% -29.3%Czech Republic 0.0% -6.2% -22.1%Egypt 0.0% 4.6% -13.8%Pakistan 0.0% 12.4% -2.6%Total Emerging Countries 29.7% 9.6% 10.5%Total ACWIxUS Countries 100.0% 6.3% 3.0%

Page 235 of 292

Source: Bloomberg

The Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)

As of September 30, 2020

During the 3rd quarter, each fixed income benchmark posted positive resultsand returns were led by lower quality high yield bonds, international bondsand TIPS. During the period, US interest rates were roughly unchanged asinvestors vacillated between concerns related to the pandemic and apositive outlook on future economic growth. Despite declining during themonth of September, US high yield bonds delivered strong returns for thequarter with the Bloomberg Barclays (BB) US High Yield Index returning4.6%. High quality global bonds outperformed US bonds during the periodlargely due to a declining USD.

During the quarter, the broad Bloomberg Barclays (BB) US Aggregate Indexreturned 0.6%. The primary contributor of performance to the index duringthe period were US Corporate IG bonds which delivered 1.5%. Despite near-record issuance, investors continue to gravitate towards corporate credit forits higher return potential as US interest rates look to remain low for sometime. US TIPS also performed well during the quarter with the BB US TIPSIndex returning 3.0% as investors remained concerned about the potentialfor rising US inflation as a result of the fiscal and monetary stimulus providedto combat the pandemic.

Over the trailing 1-year period, each of the domestic and international fixedincome indices delivered positive absolute returns. Longer duration, higherquality investment grade bonds outperformed lower quality, shorter durationhigh yield bonds as global interest rates fell while investors looked for lessvolatile assets. US TIPS were the best performing bonds with the BB USTIPS Index returning 10.1% followed by US Treasury bonds which returned8.0%. High Yield bonds performed worst, returning 3.3% during the periodas they continued to recover from the spread-widening drawdown during the1st quarter.

For the full year, both domestic and global bonds performed well. The USBB Aggregate Bond Index returned 7.0% compared to 5.5% for the BBGlobal Aggregate ex-US Index. Despite lower interest rates in both Europeand Japan, global bonds delivered solid returns primarily due to a decline inthe USD compared to most major developed currencies.

2.7%

4.1%

0.5%

0.6%

3.0%

1.5%

0.1%

0.2%

4.6%

2.1%

1.2%

0.9%

0.2%

0.0% 1.0% 2.0% 3.0% 4.0% 5.0%

Multiverse (7.2)

Global Agg x US (8.3)

Intermediate Agg (3.5)

Aggregate (6.1)

U.S. TIPS (5.2)

U.S. Corporate IG (8.7)

U.S. Mortgage (2.1)

U.S. Treasury (7.2)

U.S. High Yield (3.7)

Baa (8.6)

A (8.5)

AA (8.4)

AAA (5.1)

Quarter Performance

6.0%

5.5%

5.7%

7.0%

10.1%

7.9%

4.4%

8.0%

3.3%

7.0%

8.4%

6.9%

6.6%

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%

Multiverse (7.2)

Global Agg x US (8.3)

Intermediate Agg (3.5)

Aggregate (6.1)

U.S. TIPS (5.2)

U.S. Corporate IG (8.7)

U.S. Mortgage (2.1)

U.S. Treasury (7.2)

U.S. High Yield (3.7)

Baa (8.6)

A (8.5)

AA (8.4)

AAA (5.1)

1-Year Performance

Page 236 of 292

Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)

The Market EnvironmentMarket Rate & Yield Curve Comparison

As of September 30, 2020

Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the yield graph to theright. The ‘1-Year Trailing Market Rates’ chart illustrates that over the lastyear, the 10-year Treasury yield (green line) fell from yields of greater than1.5%, to a low of roughly 0.5% before ending the quarter at roughly 0.7%. Adecline in yields acts as a tailwind for bond performance. The blue lineillustrates changes in the BAA OAS (Option Adjusted Spread). This measurequantifies the additional yield premium that investors require to purchaseand hold non-Treasury investment grade issues. This line illustrates thedramatic increase in credit spreads in early 2020 as investors requiredadditional compensation to hold riskier credit assets following the onset ofthe pandemic. Since that time, spreads have steadily declined as marketshave largely normalized following the aggressive actions taken by theTreasury and Fed. During the quarter, the BB US High Yield OAS spread fellby roughly 1.1% but is still widen than pre-pandemic levels. Similar toTreasury yield declines, spread tightening in corporate bonds is equivalent toan interest rate decrease, which causes bond prices to rise. The green bandacross the graph illustrates the Fed Funds Rate. Following the onset of thepandemic, the Fed began aggressively cutting interest rates during the 1stquarter to between 0.0% to 0.25%, where it has remained since then.

The lower graph provides a snapshot of the US Treasury yield curve at theend of each of the last four calendar quarters. US interest rates were broadlyhigher at the end of 2019. Following the onset of the pandemic, interestrates fell dramatically as the Fed took unprecedented action to stimulate theeconomy. While short-term interest rates have remained anchored near0.0%, intermediate-term interest rates between 2-years and 7-years declinedas concerns over future US economic growth increased. Additionally, theFed has indicated that US interest rates will remain low for the foreseeablefuture in an effort to provide the market with liquidity. Longer-term USTreasury interest rates moved slightly higher during the most recent quarteras investors balanced the Fed’s statements with the need to increase theamount of US Treasury bond issuance to fund both the annual budget deficitand additional stimulus.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr

Treasury Yield Curve

12/31/2019 3/31/20206/30/2020 9/30/2020

-1.50

-0.50

0.50

1.50

2.50

3.50

4.50

5.50

6.50

Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20

1-Year Trailing Market Rates

Fed Funds Rate TED Spread3-Month Libor BAA OAS10yr Treasury 10yr TIPS

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Total Fund Policy

Allocation Mandate Weight (%)

Feb-2001

Russell 1000 Index 17.00

Russell Midcap Index 13.00

Russell 2000 Index 10.00

MSCI AC World ex USA (Net) 17.50

Blmbg. Barc. U.S. Aggregate Index 17.50

Russell 1000 + 4% 5.00

NCREIF Fund Index-ODCE (VW) 7.00

Alerian MLP Index 7.00

ICE BofAML High Yield Master II 6.00

Oct-2016

Russell 3000 Index 40.00

MSCI AC World ex USA IMI Index 17.50

Blmbg. Barc. U.S. Universal Index 23.50

Russell 2000 + 4% 5.00

NCREIF Property Index 7.00

Alerian MLP Index 7.00

Apr-2017

Russell 3000 Index 38.50

MSCI AC World ex USA IMI Index 19.00

Blmbg. Barc. U.S. Universal Index 23.50

Russell 2000 + 4% 5.00

NCREIF Property Index 9.00

Alerian MLP Index 5.00

Oct-2019

Russell 3000 Index 43.50

MSCI AC World ex USA IMI Index 19.00

Blmbg. Barc. U.S. Universal Index 22.00

Russell 2000 + 4% 6.50

NCREIF Property Index 9.00

Actuarial Assumption (Current 7%)

Allocation Mandate Weight (%)

Dec-1991

8.00% Annualized Returns 100.00

Jul-2015

7.50% Annualized Return 100.00

Benchmark History

Investment Policy Benchmarks

As of June 30, 2020

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Total Alternatives Policy

Allocation Mandate Weight (%)

Jan-1926

8.00% Annualized Returns 100.00

Total Real Estate Policy

Allocation Mandate Weight (%)

Jan-1978

NCREIF Property Index 100.00

Total Private Equity Policy

Allocation Mandate Weight (%)

Oct-2016

Russell 2000 + 4% 100.00

Total Core Real Estate Policy

Allocation Mandate Weight (%)

Jan-1978

NCREIF Fund Index-ODCE (VW) (Net) 100.00

Total MLP Policy

Allocation Mandate Weight (%)

Jan-1996

Alerian MLP Index 100.00

Total Non-Core Real Estate Policy

Allocation Mandate Weight (%)

Sep-2018

NCREIF Property Index 100.00

Benchmark History

Investment Policy Benchmarks

As of June 30, 2020

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Report Statistics Definitions and Descriptions

Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period.

Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio'snon-systemic return, or its historical performance not explained by movements of the market.

Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk.

Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to theproduct’s performance.

Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multipleshows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against.

Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance

Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negativequarterly set of returns. A higher factor is indicative of a riskier product.

Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period.

Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return.

Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher theInformation Ratio, the more the manager has added value to the portfolio.

Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index.

R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance hashistorically moved in the same direction as the appropriate benchmark.

Return - Compounded rate of return for the period.

Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. Ahigher value demonstrates better historical risk-adjusted performance.

Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period.

Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fundto date. It is a good measure of performance before the end of a fund’s life

Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark.

Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk freerate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance.

Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance.

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Disclosures

AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client.

AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated.

This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions.

The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services.

Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves.

This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live.

This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results.

This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages.

This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof.

This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results.

Page 241 of 292

CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENO

Clients first.

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Composite Market Value Market Allocation Min % Allocation Low Rebalance Point Target Allocation High Rebalance Point Max % Allocation

Cash and Equivalents $158,713,061 0.9% 0.0% 0.0% 0.0% 0.0% 0.0%

Fixed Income $3,785,601,998 20.7% 17.0% 19.5% 22.0% 24.5% 27.0%

U.S. Equity $8,429,354,741 46.0% 36.5% 40.0% 43.5% 47.0% 50.5%

International Equity $3,144,486,820 17.2% 14.0% 16.5% 19.0% 0.2% 24.0%

Real Estate $1,188,478,228 6.5% 5.0% 7.8% 9.0% 10.3% 11.5%

Private Capital $1,623,413,248 8.9% 4.5% 5.5% 6.5% 7.5% 8.5%

Grand Total 18,330,048,096            100.0%

Composite $ Below Min Min $ Allocation Low Rebalance Point Target Market Value

High Rebalance 

Point Max $ Allocation $ Above Max

Cash and Equivalents $0 $0 $0 $0 $0 $158,713,061

Fixed Income $3,116,000,000 $3,574,000,000 $4,033,000,000 $4,491,000,000 $4,949,000,000

U.S. Equity $6,690,000,000 $7,332,000,000 $7,974,000,000 $8,615,000,000 $9,257,000,000

International Equity $2,566,000,000 $3,024,000,000 $3,483,000,000 $39,000,000 $4,399,000,000

Real Estate $917,000,000 $1,430,000,000 $1,650,000,000 $1,888,000,000 $2,108,000,000

Private Equity $825,000,000 $1,008,000,000 $1,191,000,000 $1,375,000,000 $1,558,000,000 $65,413,248

Composite* MTD QTD YTD FYTD

Oklahoma Teachers Total Fund 4.37% 3.80% 4.73% 9.83%

Domestic Equity 6.79% 6.55% 3.76% 14.67%

International Equity 6.31% 4.53% 0.31% 13.14%

Fixed Income 1.55% 0.73% 10.40% 2.99%* Net of Fee Returns

Asset Allocation vs Policy Targets & Recent Performanceas of November 05, 2020

Page 243 of 292

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Composites & Accounts Market Value MTD QTD YTD FYTD

Oklahoma Teachers' Total Fund              18,330,048,096  3.80 0.00 4.73 9.83

Cash 158,713,061                   0.00 0.00 0.00 0.00

Domestic Equity 8,429,292,433             6.55 6.79 3.76 14.67

Active Mid Cap 988,709,373             9.59 7.42 5.35 16.92

WELLINGTON MID CAP 670,824,272           7.47 7.71 19.02 15.66

HOTCHKIS & WILEY MID CAP 317,885,101           7.31 13.80 ‐19.22 19.69

Small Cap 1,814,777,516          8.16 6.16 ‐1.08 16.50

SHAPIRO CAP SMALL CAP 807,964,540           4.73 5.69 ‐9.65 17.16

GENEVA CAPITAL 263,925,006           7.57 10.53 17.57 12.66

WASATCH ADV SMALL CAP 285,848,205           8.12 10.90 21.80 18.45

FRONTIER CAP SMALL CAP 192,171,060           6.34 11.45 ‐14.36 14.50

NEUMEIER POMA SMALL CAP 264,868,705           6.96 8.34 ‐0.07 17.87

Cap Weighted Index 3,075,986,776          5.82 7.31 9.00 15.11

RUSSELL 1000 2,035,549,633       7.48 4.90 11.40 14.82

RUSSELL MIDCAP 1,040,437,142       6.98 7.67 ‐‐ 15.69

Non‐Cap Weighted Index 2,549,818,768          5.19 6.39 1.34 12.07

SCI BETA US HFE MBMS 6F 2,549,818,768       6.39 5.19 1.34 12.07

International Equity 3,143,637,225             4.53 6.31 0.31 13.14

Int'l Large Cap 2,215,920,098          4.86 7.01 ‐0.84 12.14

ALLIANZ INTL 1,077,358,679       6.73 4.60 ‐4.67 10.70

WELLINGTON INTL  641,657,634           7.07 5.72 15.48 18.12

CAUSEWAY CAPITAL 496,903,785           7.54 4.31 ‐10.29 8.12

Int'l Small Cap 927,717,127             3.75 4.66 3.27 15.59

WASATCH INTL 395,667,399           6.82 6.39 17.63 20.42

WELLINGTON INTL 264,400,038           6.47 4.68 ‐5.27 13.65

SSGA EMSC 267,263,831           0.00 ‐0.76 ‐5.48 10.88

Fixed Income 3,785,601,998             0.73 1.55 10.40 2.99

Active Duration 877,018,740             ‐1.23 2.11 23.12 ‐0.80

HOISINGTON INVESTMENT 877,018,740           2.11 ‐1.23 23.12 ‐0.80

Core Plus Fixed Income 2,908,583,258          1.34 1.39 7.82 4.19

LOOMIS SAYLES CORE PLUS FD 999,346,215           1.66 1.99 10.96 4.63

LORD ABBETT CORE PLUS FD 945,525,919           1.12 1.01 5.56 3.85

MACKAY SHIELDS CORE PLUS FD 963,711,124           1.37 0.98 7.03 4.08

Investment Portfolio ReturnsNet of Fee as of November 05, 2020

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Cash 158,713,060.99       0.9% 0.0% ‐                            158,713,061 CashFixed Income 3,785,601,998         20.7% 22.0% 4,032,610,581        (247,008,583) Fixed Income

HOISINGTON INVESTMENT 877,018,740            4.8% 4.1% 756,114,484            120,904,256 Duration

LOOMIS SAYLES CORE PLUS 999,346,215            5.5% 6.0% 1,092,165,366         (92,819,150) Core Plus

LORD ABBETT CORE PLUS 945,525,919            5.2% 6.0% 1,092,165,366         (146,639,446) Core Plus

MACKAY SHIELDS CORE PLUS 963,711,124            5.3% 6.0% 1,092,165,366         (128,454,242) Core Plus

Public Equity 11,573,841,561       63.1% 62.5% 11,456,280,060      117,561,501 Public Equity

Domestic Equity 8,429,354,741         46.0% 43.5% 7,973,570,922        455,783,819 Domestic Equity

Large Cap 4,585,430,709         25.0% 23.3% 4,268,609,950        316,820,759 Large Cap

NT RUSSELL 1000 2,035,549,633         11.1% 9.3% 1,704,694,473         330,855,160 Passive

SCI BETA US HFE MBMS 2,549,818,768         13.9% 14.0% 2,566,206,733         (16,387,966) Factor

Mid Cap 2,029,146,516         11.1% 10.6% 1,940,693,842        88,452,674 Mid Cap

WELLINGTON MID CAP 670,824,272            3.7% 2.6% 485,173,461            185,650,812 Growth

HOTCHKIS & WILEY MID CAP 317,885,101            1.7% 2.6% 485,173,461            (167,288,359) Value

RUSSEL MIDCAP 1,040,437,142         5.7% 5.3% 970,346,921            70,090,221 Core

Small Cap 1,814,777,516         9.9% 9.6% 1,764,267,129        50,510,387 Small Cap

SHAPIRO CAP SMALL CAP 807,964,540            4.4% 4.7% 864,490,893            (56,526,353) Core

GENEVA CAPITAL 263,925,006            1.4% 1.2% 224,944,059            38,980,947 Growth

WASATCH ADV SMALL CAP 285,848,205            1.6% 1.2% 224,944,059            60,904,146 Growth

FRONTIER CAP SMALL CAP 192,171,060            1.0% 1.2% 224,944,059            (32,772,999) Value

NEUMEIER POMA SMALL CAP 264,868,705            1.4% 1.2% 224,944,059            39,924,646 Value

International Equity 3,144,486,820         17.2% 19.0% 3,482,709,138        (338,222,318) International Equity

Int'l Large Cap 2,215,920,098         12.1% 11.9% 2,176,693,211        39,226,886 Int'l Large Cap

ALLIANZ INTL 1,077,358,679         5.9% 6.2% 1,131,880,470         (54,521,791) Factor

WELLINGTON INTLGR EQ 641,657,634            3.5% 2.9% 522,406,371            119,251,263 Growth

CAUSEWAY CAPITAL 496,903,785            2.7% 2.9% 522,406,371            (25,502,586) Value

Int'l Small Cap 928,566,723            5.1% 7.1% 1,306,015,927        (377,449,204) Int'l Small Cap

WASATCH INTL 395,667,399            2.2% 1.8% 326,503,982            69,163,418 Core

WELLINGTON INTL 264,400,038            1.4% 1.8% 326,503,982            (62,103,943) Core

SSGA EMSC 267,263,831            1.5% 1.8% 326,503,982            (59,240,151) Emerging Market

Real Estate 1,188,478,228         6.5% 9.0% 1,649,704,329        (461,226,101) Real Estate

Core RE 726,902,650            4.0% 4.5% 824,852,164            (97,949,514) Core RE

AEW CORE PROPERTY TRUST 325,318,373            1.8% 1.5% 274,950,721            50,367,652 Core

L&B CORE INCOME 85,589,231               0.5% 1.5% 274,950,721            (189,361,490) Core

HEITMAN AMERICA REAL ESTATE 315,995,046            1.7% 1.5% 274,950,721            41,044,325 Core

Non Core RE 461,575,577            2.5% 4.5% 824,852,164            (363,276,587) Non Core RE 844,100,000           

AMERICAN STRATEGIC VALUE 72,334,586               0.4% Value Add 93,750,000          

ANGELO GORDON X 22,548,333               0.1% Value Add ‐ Global 60,000,000          

ARTEMIS REAL ESTATE III 7,675,962                 0.0% Value Add 50,000,000          

DUNE REAL ESTATE III 42,806,697               0.2% Value Add 53,750,000          

DUNE REAL ESTATE IV 14,859,482               0.1% Value Add 60,000,000          

FCP REALTY 16,617,607               0.1% Value Add 35,000,000          

GREENOAK US II 30,830,892               0.2% Value Add 50,000,000          

GREENOAK US III 23,379,536               0.1% Value Add ‐ Constr. 60,000,000          

HARBERT EUROPEAN REAL ESTATE V 18,822,232               0.1% Value Add ‐ Europe 44,100,000          

HARVEY PARKWAY BUILDING 7,300,000                 0.0% Value Add

INVESCO STRATEGIC OPPS 13,954,742               0.1% Value Add ‐ Global 60,000,000          

L&B GOLDEN DRILLER 74,729,970               0.4% Senior Housing 75,000,000          

LANDMARK REAL ESTATE VII 12,300,585               0.1% Value Add 35,000,000          

Lyrical‐OTRS Realty Partner IV 60,539,057               0.3% Value Add 53,750,000          

STARWOOD OPPORTUNITY X 18,051,625               0.1% Value Add 53,750,000          

STARWOOD OPPORTUNITY XI 24,824,271               0.1% Value Add 60,000,000          

Private Capital 1,623,413,248         8.9% 6.5% 1,191,453,126        431,960,122 Private Capital 2,112,500,000       

Private Equity 1,332,680,420         7.3% Private Equity 1,587,500,000       

LEGACY LP 11,338,561               0.1% Legacy 97,500,000          

FRANKLIN PARK 1,321,341,859         7.2% Fund of Funds 1,490,000,000     

Private Debt 290,732,828            1.6% Private Debt 525,000,000           

PIMCO BRAVO III 183,979,199            1.0% Debt ‐ Mtge 175,000,000        

PIMCO BRAVO II 47,019,241               0.3% Debt ‐ Mtge 150,000,000        

PIMCO BRAVO 491,122                    0.0% Debt ‐ Mtge 100,000,000        

PIMCO COF II 59,243,266               0.3% Debt ‐ Credit 100,000,000        Grand Total 18,330,048,096       100.0% 100.0%

Portfolio vs SAA Policy and Targetsas of November 05, 2020

Composites & Accounts Market Value% of 

fundTarget % Target ($) Over  (Under) Mandate Style Committed Capital

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Chapter 8 – Strategic Planning Policy

1. The principles that the Board has adopted for strategic planning are:

A. Review Schedule

a. The TRS Strategic Plan (the “Plan”) will be a continuous 5 year 5-year plan.

The Board and Staff will jointly conduct an extensive review of the Plan

biennially in odd numbered calendar years (ideally at the Board retreat).

b. Additional updates to the plan may also be made on an annual basis that will be

updated annually through the cooperative efforts of the Board and Staff with

updates to the Plan being adopted by the Board no later than October 1 of each

year.

c. All Plan updates will be communicated to Staff and other parties, as

appropriate, to effectuate the provisions of the Plan.

B. Input from TRS Staff and other interested parties will be solicited throughout the year.

C. B. Discussions of new initiatives or significant changes in direction for TRS that arise

during regular Board meetings from time to time will be held in abeyance and

incorporated into the agenda for the next strategic planning session unless the matters

are urgent and discussion cannot be delayed.

D. When the strategic plan has been updated it will be communicated to Staff and to other

stakeholders.

E. C. Each year, progress under the plan will be provided in the form of a written report

to the Board for its review and evaluation.

F. D. The Board’s consensus view of progress under the plan will be one factor in the

performance assessment of the Executive Director, who will use the strategic planning

progress as a factor when assessing performance of the other members of Executive

Staff.

2. The roles and responsibilities for strategic planning outlined below reflect the Board’s

directive that the Executive Director takes the lead with planning and that the Board serves

in an oversight role. The Executive Director is responsible for:

A. Coordinating with the Board Chair so that the Board and the senior staff work together

to review and update the Goals and Objectives of the Plan.

B. Creating strategies that align with the Board’s priorities and managing Staff’s

implementation of the plan Plan.

C. Calculating costs and estimating timetables so that reasonable operating budgets can

be set.

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D. Assigning responsibility to staff and others through Actions Plans that include

timelines and budgets.

E. C. Closely monitoring progress under the plan Plan and promptly informing the Board

of any obstacles impeding progress.

F. D. Preparing annual progress reports for the Board and organizing an annual strategic

planning session for the purpose of updating the plan Plan in accordance with the

Review Schedule.

G. E. Seeking input from the Board and Staff staff and stakeholders about key strategic

issues prior to the annual planning session including:.

a. Calculating costs and estimating timetables so that reasonable operating

budgets can be set,

b. Identifying business risks, opportunities and needs for TRS, and

c. Preparing white papers and other research to assist the Board in the discussion

of strategic issues.

H. Identifying business risks, opportunities and needs for TRS.

I. Preparing white papers and other research to assist the Board in the discussion of

strategic issues.

J. Informing the Board of any issues that should be dealt with in the strategic plan.

3. The Members of the Board are responsible for:

A. Reaching consensus and adopting the initial Plan strategic plan for TRS, including the

Vision, Mission, Core Values, Goals and Objectives.

B. Identifying the critical success factors for the overall plan Plan.

C. Approving the method for performance measurement, including metrics and

benchmarks, in order to evaluate progress under the strategic plan Plan.

D. Approving an operational budget that takes into account the upcoming year’s activities

under the strategic plan Plan.

E. Reaching consensus and providing input to staff on the strategic planning process.

F. Monitoring the implementation of the strategic plan.

G. E. Assessing TRS’s strengths and weaknesses as well as the opportunities and

challenges in its environment during the session to update the strategic plan Plan.

H. F. Annually evaluating progress in meeting Goals and Objectives.

Page 248 of 292

I. Updating the plan annually by adding and deleting Objectives.

Chapter 11 – Class Action Securities Litigation Policy

Purpose

This policy establishes guidelines for monitoring and participating in class action securities

litigation. The Board of Trustees (the “Board”) of the Teachers’ Retirement System of Oklahoma

(the “System”) recognizes the importance of appropriate monitoring of and/or participation in class

action securities litigation in fulfilling its constitutional and statutory fiduciary duty to administer

the System for the exclusive benefit of the Members and their beneficiaries.

As an institutional investor, the System may, from time to time, suffer losses caused by alleged

violations of federal and state securities laws relating to fraud, disclosure obligations and/or

breaches of fiduciary or other duties. In cases where a class action lawsuit is filed to recover

damages for violations of securities and other laws, the System may have the opportunity to

participate in the litigation. This policy provides guidelines for monitoring litigation and for

determining the appropriate participation by the System.

This Class Action Securities Litigation Policy is intended to be applied and interpreted in

compliance with applicable law and in harmony with the mission statement, policies and

guidelines of the System as approved by the Board from time to time.

Guidelines

Monitoring Class Action Filings

The System shall monitor the filing and settlement of securities class actions to determine whether

the System may be a class member in any such litigation. Monitoring may be done by staff, the

custodian, by retaining one or more law firms and/or a securities litigation consultant. Staff shall

make a determination of the System’s level of interest in the litigation, based on its own

monitoring, or based on a recommendation from a firm or service that is monitoring securities

litigation on the System’s behalf.

System staff, working with the custodian, outside counsel and/or securities litigation consultant,

will monitor pending cases where the System is a member of the class, file appropriate paperwork

as required, and evaluate proposed settlements. To the extent that staff finds a proposed settlement

inadequate to the interests of the System, staff shall make a recommendation to the Board to file

legal objections.

Staff shall report to the Board, at least annually, on new class action litigation, pending class action

claims, and litigation resolved or closed since the previous report, including the dollar amount of

settlements received during the year.

Active Class Monitoring

Where the potential amount the System could recover in a case is sufficiently large and the case

has merit, staff shall determine whether the System should actively participate in the litigation. In

Page 249 of 292

doing so, the System shall weigh the materiality of the potential financial loss that gave rise to the

litigation against the expected costs and benefits of the litigation options available. The litigation

options generally are:

• Monitor litigation as a member of the class.

• Monitor litigation as a member of the class, but object to an unreasonable settlement.

• Participate as lead plaintiff of the class or co-lead plaintiff with one or more other investors.

• Pursue separate legal action apart from the class.

Three tests may be considered when determining a course of action. An affirmative response to

all questions could result in a recommendation to the Board to pursue either lead or co-lead plaintiff

status, or a separate legal action apart from the class. From a general perspective, a negative

response to any of the three individual questions will likely result in the System assuming a passive

role in the class action suit:

Test:

1. Does the potential financial loss to the System that gave rise to the litigation exceed 5

million dollars calculated by both the FIFO (First In First Out) and LIFO (Last In First Out)

methods?

2. Does the System have a superior legal basis for serving as lead plaintiff compared to other

institutional holders?

3. Does the expected benefit from assuming lead plaintiff status, or pursuing a separate legal

action, materially outweigh the benefit of participating as a passive member of the class

and adequately compensate the System for the risks and costs incurred?

The System will, with the assistance of portfolio monitoring firm or service, review all class action

litigation to establish whether the System is a member of the class. Where the potential financial

loss is less than 5 million dollars, the System will become a member of the class, file appropriate

paperwork to establish a claim, and monitor the litigation.

For each case where the potential financial loss as calculated by both the FIFO and LIFO methods

is 5 million dollars or greater, System staff will prepare a summary report of the research

performed by the firm or service that is monitoring securities litigation consistent with the

established tests. A recommendation to the Board to pursue lead plaintiff status, co-lead plaintiff

status, or a separate legal action will include a detailed analysis of expected costs and benefits, an

analysis of the size of the System’s holding relative to other investors, and other supporting

rationale. The Board’s decision to seek lead plaintiff status will be based upon the totality of the

circumstances. The referenced dollar loss thresholds are guidelines and not intended to be the sole

factor in any such determination. As an integral part of this review process, the System may retain

one or more law firms to review the matter. The firm shall report its findings to the System with

a written recommendation as to whether or not the System should actively monitor the case, seek

lead plaintiff status, seek co-lead plaintiff status, or pursue separate legal action. When the Board

Page 250 of 292

determines that the System should seek designation as lead plaintiff, co-lead plaintiff, or opt out

of a class action, the System shall appoint special counsel to the matter.

If the System determines not to participate in the litigation, active monitoring of the litigation may

include regular reports from counsel to staff regarding the status of a case, settlement discussions

and/or the proceedings.

Where the potential recovery is not significant, the staff shall monitor the litigation to take the

steps necessary to insure that the System will share in any recovery.

Participation in Settlement

Staff shall develop and implement procedures for ensuring the timely submission of claims on

behalf of the System in all appropriate securities class action settlements.

Reports to Board

Staff shall report to the Board as necessary, but at least semi-annually, to keep the Board fully

informed of those cases that are being monitored or in which the System is actively participating.

Staff shall keep the Board apprised of any unusual or extraordinary events as they occur.

Retention of Outside Counsel

The Board may retain one or more consultants to serve as Securities Monitoring and Litigation

Counsel (Counsel), monitoring consultant, or in another capacity, as necessary to advise and/or

represent the System in class action securities litigation matters. When the Board determines that

the System should seek designation as lead plaintiff, co-lead plaintiff, or opt out of a class action,

the Board shall appoint special counsel to the matter. In instances where the Board has a Portfolio

Monitoring Agreement with the appointed law firm, a separate contract shall be executed specific

to the litigation.

Page 251 of 292

Teachers’ Retirement System of Oklahoma

Oliver Hodge Building

2500 N. Lincoln Boulevard, 5th Floor

Oklahoma City, OK 73105

405.521.2387

RULE IMPACT STATEMENT

A. BRIEF DESCRIPTION OF PURPOSE OF PROPOSED PERMANENT RULES:

These rules are proposed to comply with the statutory responsibility of the Board of

Trustees in establishing rules and regulations for the administration of the System and the

transaction of its business (70 O.S. § 17-101 et seq.). These rules are necessary to comply with

amendments and new enactments to Title 70 of the Oklahoma Statutes passed in the 2020

legislative session and for efficiency of day to day operations of TRS.

TITLE 715. TEACHERS’ RETIREMENT SYSTEM

CHAPTER 1. ADMINISTRATIVE OPERATIONS

715:1-1-4 is being revoked in its entirety due to the System’s move to new headquarters on/about

November 1, 2020, and as an unnecessary rule.

715:1-1-8 is being amended as the Board of Trustees is no longer charged with approving

retirements of the System.

715:1-1-15 is being amended to update the age requirement for distributions for a member or

member’s beneficiary under Section 401(a)(9) of the Internal Revenue Code.

B. CLASS OF PERSON(S) AFFECTED (CLASS BEARING COST OF RULES):

The class of person(s) affected by the proposed rules is the membership of the Teachers’

Retirement System of Oklahoma.

C. CLASS OF PERSON(S) BENEFITTED BY PROPOSED RULES:

The class of person(s) benefitted by the proposed rules is the membership of the

Teachers’ Retirement System of Oklahoma.

D. DESCRIPTION OF ECONOMIC IMPACT UPON AFFECTED CLASS OF

PERSONS OR POLITICAL SUBDIVISIONS:

The proposed rules will provide a more efficient administration of the System, resulting

in a positive economic impact upon affected classes of persons or political subdivisions. The

proposed rules will not have an adverse effect on small business.

E. COST TO AGENCY, EFFECT ON STATE, INCLUDING A PROJECTED NET

LOSS OR GAIN IN SUCH REVENUES:

None.

Page 252 of 292

F. ECONOMIC IMPACT THAT IMPLEMENTATION OF THE RULES WILL

HAVE ON POLITICAL SUBDIVISIONS AND WHETHER THE IMPLEMENTATION

WILL REQUIRE THE SUBDIVISION’S COOPERATION IN IMPLEMENTING OR

ENFORCING THE RULE:

None. The proposed rules will not have an adverse effect on small business.

G. LESS COSTLY OR INTRUSIVE METHODS:

None.

H. DATE IMPACT STATEMENT PREPARED:

November 9, 2020.

715:1-1-4. Administrative office [REVOKED]

The Teachers' Retirement System has office space located in the Oliver Hodge Education

Building, 2500 N. Lincoln Boulevard, Oklahoma City, Oklahoma 73105. The mailing address for

correspondence is TRS, P. O. Box 53524, Oklahoma City, OK 73152. The main telephone number

is (405) 521-2387. The toll-free telephone number for calls originating outside the Oklahoma City

local calling area is 1-877-738-6365. Members are encouraged to visit the Retirement Office, or

make written inquiries regarding any matter pertaining to their retirement accounts.

[Source: Amended at 18 Ok Reg 49, eff 10-3-00 (emergency); Amended at 18 Ok Reg 3152, eff 7-12-01; Amended

at 20 Ok Reg 2596, eff 7-11-03; Amended at 29 Ok Reg 853, eff 8-1-12; Amended at __ Ok Reg ___, eff 9-11-20

(emergency)]

715:1-1-8. Payment of salaries payrolls and claims [Amended]

(a) The Executive Director is authorized to approve and pay all payrolls for the regular

personnel and extra help of TRS, as provided in the budget approved by the Board of Trustees. In

the absence of the Executive Director, the Deputy Executive Director of Operations may approve

payrolls. The Executive Director, Chief Financial Officer, and Certified Procurement Officer must

comply with the law in making purchases of supplies, printing materials and equipment. In the

event of the absence of the Executive Director, the Chief Financial Officer may also sign for

approval of claims.

(b) The retired member payroll shall be paid when approved by the Chief Financial Officer

and the Executive Director, or in the event of an absence, the General Counsel may approve for

one. The Board of Trustees shall then make final approval at the next regular meeting following

the date on which the checks were mailed to retired members. The Executive Director and TRS

staff must comply with the Oklahoma Central Purchasing Act and associated policies and

procedures in making purchases of supplies, printing materials and equipment. Internal approval

of claims shall be made in compliance with the TRS Procurement Policy as approved by the State

Purchasing Director from time to time.

[Source: Amended at 28 Ok Reg 978, eff 5-26-11; Amended at 33 Ok Reg 1102, eff 8-25-16; Amended at __ Ok Reg

___, eff 9-11-20 (emergency)]

Page 253 of 292

715:1-1-15. Distribution Rules [Amended]

(a) Notwithstanding any other provision of the administrative code, all benefits paid from the

retirement system (other than the tax-sheltered annuity program) shall be distributed in accordance

with the requirements of Section 401(a)(9) of the Internal Revenue Code and Treasury Regulations

§ 1.401(a)(9)-1 through § q1.401(a)(9)-9, even if the member has not submitted the appropriate

notice. These provisions override any distribution options that are inconsistent with Internal

Revenue Code Section 401(a)(9).

(b) In furtherance of this section, the Board of Trustees and its designee will apply the

following provisions:

(1) The entire interest of each member:

(A) will be distributed to such member not later than the required beginning

date; or

(B) will be distributed beginning not later than the required beginning date, in

accordance with Treasury regulations over the life of such member or over the lives

of such member and a designated beneficiary (or over a period not extending

beyond the life expectancy of such member or the life expectancies of such member

and a designated beneficiary).

(2) If distribution of the member's interest has begun in accordance with subparagraph

(1)(B) and the member dies before his or her entire interest has been distributed to the

member, the remaining amount shall be distributed at least as rapidly as under the method

of distribution being used under subparagraph (1)(B) as of the date of the member's death.

(3) If a member dies before distribution of the member's benefits begins under

subparagraph (1)(B), and if any portion of the member's interest is payable to or for the

benefit of a designated beneficiary for the beneficiary's lifetime or for a period not to

exceed the beneficiary's life expectancy, the distribution must begin no later than December

31 of the calendar year immediately following the calendar year in which the member died.

However, if the designated beneficiary is the surviving spouse of the member:

(A) the date on which the distribution is required to begin shall not be earlier

than the date on which the member would have attained age 70 1/2 (age 72 for

distributions required to be made after December 31, 2019, with respect to a

member who would have attained age 70½ after December 31, 2019), and

(B) if the surviving spouse dies before the distribution to such spouse begins,

subparagraph (1)(B) shall be applied as if the surviving spouse were the member.

(4) For benefit payments to beneficiaries that are not covered by paragraph (3), if the

member dies before distribution of the member's interest has begun in accordance with

subparagraph (1)(B), the member's entire interest must be distributed within 5 years after

the member's death.

(5) For purposes of this section, the term "required beginning date" means April 1 of

the calendar year following the later of:

(A) the calendar year in which the employee reaches age 70 1/2 (age 72 for

distributions required to be made after December 31, 2019, with respect to a

member who would have attained age 70½ after December 31, 2019), or

(B) the calendar year in which the employee retires.

(6) For purposes of determining benefits, the life expectancy of a member, a member's

spouse or a member's beneficiary shall not be recalculated after benefits commence.

Page 254 of 292

(7) The amount of benefits payable to a member's beneficiary may not exceed the

maximum determined under the incidental death benefit requirement of Internal Revenue

Code Section 401(a)(9)(G).

[Source: Added at 11 Ok Reg 4783, eff 9-12-94 through 7-14-95 (emergency)1; Added at 12 Ok Reg 3283, eff 7-27-

95; Amended at 22 Ok Reg 2649, eff 7-11-05]

Page 255 of 292

Teachers’ Retirement System of Oklahoma

Oliver Hodge Building

2500 N. Lincoln Boulevard, 5th Floor

Oklahoma City, OK 73105

405.521.2387

RULE IMPACT STATEMENT

A. BRIEF DESCRIPTION OF PURPOSE OF PROPOSED PERMANENT RULES:

These rules are proposed to comply with the statutory responsibility of the Board of

Trustees in establishing rules and regulations for the administration of the System and the

transaction of its business (70 O.S. § 17-101 et seq.). These rules are necessary to comply with

amendments and new enactments to Title 70 of the Oklahoma Statutes passed in the 2019

legislative session.

TITLE 715. TEACHERS’ RETIREMENT SYSTEM

CHAPTER 10. GENERAL OPERATIONS

SUBCHAPTER 1. MEMBERSHIP PROVISIONS

715:10-1-4 is being amended for consistency with 70 O.S. Section 17-103 providing non-

classified optional personnel must be regularly employed for more than a year prior to joining

the Teachers’ Retirement System.

SUBCHAPTER 9. SURVIVOR BENEFITS

715: 10-9-1 is being amended for consistency with the actuarially assumed rate of return adopted

by the Board of Trustees of the Teachers’ Retirement System of Oklahoma pursuant to 70 O.S.

Section 17-106 (18).

SUBCHAPTER 11. WITHDRAWAL FROM MEMBERSHIP AND REFUND OF

DEPOSITS

715: 10-11-1 is being amended for consistency with the actuarially assumed rate of return adopted

by the Board of Trustees of the Teachers’ Retirement System of Oklahoma pursuant to 70 O.S.

Section 17-106 (18).

SUBCHAPTER 19. TAX SHELTERED ANNUITY PROGRAM

Subchapter 19 is being revoked in its entirety as the Legislature amended 70 O.S. Section 17-102.3

by HB 2553 in the 2018 Legislative Session and the Board of Trustees of the Teachers’ Retirement

System voted to terminate the 403(b) Program effective January 29, 2021.

715: 10-19-1 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

Page 256 of 292

715: 10-19-2 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-3 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-4 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-5 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-7 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-8 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-9 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-11 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018)

providing for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C.

Section 403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’

Retirement System of Oklahoma to terminate the Program effective January 29, 2021.

715: 10-19-12 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018)

providing for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C.

Section 403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’

Retirement System of Oklahoma to terminate the Program effective January 29, 2021.

7l5: 10-19-13 is being revoked due to the amendment to 70 O.S. Section 17-102.3 (2018) providing

for the termination of the Tax-Sheltered Annuity Program administered under 26 U.S.C. Section

Page 257 of 292

403(b) and the October 21, 2020, resolution of the Board of Trustees of the Teachers’ Retirement

System of Oklahoma to terminate the Program effective January 29, 2021.

B. CLASS OF PERSON(S) AFFECTED (CLASS BEARING COST OF RULES):

The class of person(s) affected by the proposed rules is the membership of the Teachers’

Retirement System of Oklahoma.

C. CLASS OF PERSON(S) BENEFITTED BY PROPOSED RULES:

The class of person(s) benefitted by the proposed rules is the membership of the

Teachers’ Retirement System of Oklahoma.

D. DESCRIPTION OF ECONOMIC IMPACT UPON AFFECTED CLASS OF

PERSONS OR POLITICAL SUBDIVISIONS:

The proposed ruled will provide a more efficient administration of the System, resulting

in a positive economic impact upon affected classes of persons or political subdivisions. The

proposed rules will not have an adverse effect on small business.

E. COST TO AGENCY, EFFECT ON STATE, INCLUDING A PROJECTED NET

LOSS OR GAIN IN SUCH REVENUES:

None.

F. ECONOMIC IMPACT THAT IMPLEMENTATION OF THE RULES WILL

HAVE ON POLITICAL SUBDIVISIONS AND WHETHER THE IMPLEMENTATION

WILL REQUIRE THE SUBDIVISION’S COOPERATION IN IMPLEMENTING OR

ENFORCING THE RULE:

None. The proposed rules will not have an adverse effect on small business.

G. LESS COSTLY OR INTRUSIVE METHODS:

None.

H. DATE IMPACT STATEMENT PREPARED:

November 9, 2020.

715:10-1-4. Optional TRS membership [Amended]

The following employees are eligible to be members of the Teachers' Retirement System

at their option:

(1) "Non-classified optional personnel" employees regularly employed by the public,

state-supported educational institutions in Oklahoma for more than one (1) year working

at least twenty (20) hours or more per week at a rate of compensation comparable to other

persons employed in similar positions and receive payment for service by a school or state

warrant, recorded on a warrant register with standard payroll deductions, and receive

benefits generally provided to regular employees.

Page 258 of 292

(2) Any member absent from the teaching service who is eligible to continue

membership under special provisions of 70 O.S. 17-116.2, provided that such employee

continues to be employed by a governmental agency.

(3) A visiting professor from another state or nation.

(4) Classified and Non-Classified members employed after retirement. (See OAC

715:10-17-13).

(5) Full-time, non-classified optional personnel who previously have opted out of TRS

under OAC 715:10-11-2 may revoke their election and return to TRS participation.

Providing, however, that such member is not eligible to redeposit the account withdrawn

under OAC 715:10-11-2 or purchase credit for service performed after termination of

membership and re-instatement of membership.

[Source: Amended at 11 Ok Reg 4785, eff 9-12-94 through 7-14-95 (emergency)1; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 16 Ok Reg 743, eff 10-5-98 through 7-14-99 (emergency)2; Amended at 16 Ok Reg 3567, eff

9-13-99; Amended at 20 Ok Reg 2247, eff 3-5-03 (emergency); Amended at 20 Ok Reg 2596, eff 7-11-03; Amended

at 21 Ok Reg 3091, eff 8-21-03 through 7-14-04 (emergency)3; Amended at 21 Ok Reg 3099, eff 8-12-04; Amended

at 29 Ok Reg 855, eff 8-1-12]

715:10-9-1. Return of contributions when death occurs before retirement [Amended]

Upon the death of a member, who has not retired, the designated beneficiary on file with

TRS prior to the member’s death, or estate (if there is no designated beneficiary, or if the

designated beneficiary predeceases the member) shall receive the member's total contributions,

plus one hundred percent (100%) of all interest earned through the end of the fiscal year. Interest

shall cease to accumulate with the payment of any portion of the member's contributions and

interest to any beneficiary. Interest on death claims shall bear a rate equivalent to that of the

actuarially assumed rate of return for the System as determined by the Board of Trustees from time

to time, be calculated according to the following schedule:

(1) July 1, 1968, through June 30, 1977, four and one-half percent (4 1/2%),

compounded annually.

(2) July 1, 1977, through June 30, 1981, seven percent (7), compounded annually.

(3) July 1, 1981, through June 30, 2019, eight percent (8%), compounded annually. (4)

July 1, 2019 to present through June 30, 2020, seven and one-half percent (7 1/2%),

compounded annually.

(5) July 1, 2020 to present (until changed by the Board of Trustees), seven percent

(7%), compounded annually.

See OAC 715:10-9-7, if the member and beneficiary were divorced before death.

[Source: Amended at 17 Ok Reg 204, eff 9-8-99 (emergency); Amended at 17 Ok Reg 3071, eff 7-13-00; Amended

at 19 Ok Reg 2729, eff 7-11-02; Amended at 36 Ok Reg 1260, eff 8-11-19; Amended at __ Ok Reg ___, eff 9-11-20

(emergency)]

715:10-11-1. Withdrawal from membership by an eligible person [Amended]

Any member who terminates employment in the public schools of Oklahoma may voluntarily

withdraw from membership in TRS under the following conditions:

(1) 70 O.S. §17-105 provides that members who leave Oklahoma public education

employment are eligible to withdraw the contributions made to their TRS account four (4)

months after termination. A former employee may submit application for the proceeds of

Page 259 of 292

the account after the last day physically worked. There are no exceptions to this waiting

period.

(2) Written verification from the school's payroll department of a member's termination

of employment and/or non-resumption of teaching contract must be on file before

processing the Application for Withdrawal.

(3) The years of membership shall be calculated as follows:

(A) For withdrawal purposes - from the date of the first contribution of the

current membership to the date of withdrawal, except that member accounts closed

in compliance with OAC 715:10-7-3 will be from the date of the first contribution

to the date the account is closed.

(B) For payment of interest purposes - from the date of the first contribution of

the current membership to the date of withdrawal, except that member accounts

closed in compliance with OAC 715:10-7-3 will be from the date of the first

contribution to the date the account is closed.

(4) Interest rate on withdrawals shall bear a rate equivalent to that of the actuarially

assumed rate of return for the System as determined by the Board of Trustees from time to

time, be paid as follows calculated according to the following schedule:

(A) July 1, 1968 through June 30, 1977 - four and one-half percent (4 1/2%),

compounded annually.

(B) July 1, 1977 through June 30, 1981 - seven percent (7%), compounded

annually.

(C) As of July 1, 1981, through June 30, 2019 - eight percent (8%), compounded

annually.

(D) As of July 1, 2019, to present June 30, 2020 - seven and one-half percent (7

1/2%), compounded annually.

(E) July 1, 2020 to present (until changed by the Board of Trustees), seven

percent (7%), compounded annually.

(5) Interest payment on withdrawals shall be paid as follows:

(A) If termination occurs within sixteen (16) years from the date membership

began, fifty (50) percent (50%) of the total accrued interest shall be paid.

(B) With For members with at least sixteen (16) years but less than twenty-one

(21) years of membership, sixty (60) Percent percent (60%) of the total accrued

interest shall be paid.

(C) With For members with at least twenty-one (21) years but less than twenty-

six (26) years of membership, seventy-five (75) percent (75%) of the total accrued

interest shall be paid.

(D) With For members with at least twenty-six (26) years of membership, ninety

(90) percent (90%) of the total accrued interest shall be paid.

(6) A person whose membership has not terminated due to five (5) years of absence

from Oklahoma public education employment, but who has applied to withdraw all

accumulated contributions, shall not have membership terminated until the withdrawal

payment has been processed.

(7) Effective July 1, 1990, no member is eligible to withdraw contributions made on a

pre-tax basis, unless the employee has terminated employment in the public schools for a

period of four months.

Page 260 of 292

[Source: Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)1 ; Amended at 14 Ok Reg 3216, eff

7-25-97; Amended at 19 Ok Reg 2729, eff 7-11-02; Amended at 21 Ok Reg 3091, eff 8-21-03 through 7-14-04

(emergency)2; Amended at 21 Ok Reg 3099, eff 8-12-04; Amended at 29 Ok Reg 862, eff 8-1-12; Amended at 36 Ok

Reg 1261, eff 8-11-19; Amended at __ Ok Reg ___, eff 9-11-20 (emergency)]

715:10-19-1. Authority for program [REVOKED]

The TRS Tax-Sheltered Annuity Program ("Program") is designed to meet the

requirements of section 403(b) of the Internal Revenue Code ("Code") and the federal regulations

that have been promulgated to implement Code Section 403(b), specifically including Treasury

Regulations Sections 1.403(b)-1 through 1.403(b)-11. The Program is administered by the Board

of Trustees. However, the Board can retain a third-party to administer the Program, including

providing investment options. Code Section 403(b)authorizes tax-sheltered annuity programs,

setting forth requirements that must be followed. Failure to follow these requirements may cause

penalties to be imposed on the individual member or cause the tax-sheltered status of the Oklahoma

Teachers' Retirement System program to be disallowed. Changes to Code Section 403(b) by

Congress or changes to the federal regulations usually affect the Program's administration;

therefore, this Program will change as often as Congress amends or revises Code Section 403(b)

and as changes are made to related federal regulations. Title 70 O.S. 17-108 allows members of

Teachers' Retirement System of Oklahoma ("TRS") to participate in the Program. However, in

making deposits to this Program, the member and the employing school must comply with all

applicable aspects of the Internal Revenue Code. The provisions of the Program described in this

Subchapter 19 are effective as of January 1, 2009, except as otherwise noted in this Subchapter.

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency); Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-2. General description [REVOKED]

The following is a general description of the Program available from TRS. (Where the term

"TRS" is used in this subchapter, the term includes, where appropriate, a third-party administrator

or other service provider selected by TRS to perform services with respect to the Program.) The

member should be aware that tax-sheltered annuity plan investment options are also offered by

many major insurance companies through the member's employing Oklahoma public school.

(1) The Program's primary purpose is to enable eligible members to contribute to a

supplemental retirement program in preparation for retirement.

(2) An eligible employer makes salary reduction contributions on behalf of a member

to the Program at the election of that member. Employers cannot require contributions to

the Program as a condition of employment. However, an employer may establish an auto

enrollment feature in accordance with federal law. The member's employer deducts tax

sheltered contributions from the member's salary and forwards the deductions to TRS. TRS

places the monies in the member's Program account. The accounts are debited or credited

with earnings according to the member's investment selection. Statements are mailed to the

member's home address on a quarterly basis.

Page 261 of 292

(3) Each participating member receives an immediate vested and nonforfeitable

interest in the amounts credited to his or her Program account. The member is precluded

from selling, assigning, or pledging his or her funds in the Program account to another

person or party, except to designate a beneficiary in the event of death. However, TRS will

honor qualified domestic relations orders within the meaning of 70 O.S. 17-109, OAC

715:10-25-1 et seq, and Code Section 414(p).

(4) Member accounts may be assessed investment management fees by TRS for

services rendered by TRS.

(5) Monies in this Program are not insured in the same manner as deposits are insured

with various privately operated financial institutions, (i.e. FDIC). TRS may establish a

recordkeeping account for each member by TRS. Deposits are kept separate from the

member's regular retirement account. TRS may select investment options, including a Tax-

Sheltered Annuity Program default fund, and may establish procedures related to the

transfer of funds among investment options, including mapping instructions and black-out

periods. TRS has in general delegated investment authority to each member to select

among investment options determined by TRS.

(6) Money deposited in the Program will not be matched by the State of Oklahoma.

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)2 ; Amended at 14 Ok Reg 3216, eff

7-25-97; Amended at 19 Ok Reg 2729, eff 7-11-02; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended

at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-3. Eligible employees [REVOKED]

To participate in the Program, a member must be an active employee of a qualifying

educational organization within the meaning of section 170(b)(1)(A)(ii) of the Internal Revenue

Code which normally maintains a regular faculty, curriculum, and a regular organized body of

students in attendance at the place where its educational activities are conducted. University

regents or trustees and members of boards of education are not eligible to participate in the

Program since they are elected or appointed. Employees of the Oklahoma Teachers' Retirement

System are also not eligible to participate in the Program. Retired members who are employed

full-time or part-time by a public school in Oklahoma are eligible to participate in the Program.

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)2 ; Amended at 14 Ok Reg 3216, eff

7-25-97; Amended at 15 Ok Reg 48, eff 9-4-97 (emergency); Amended at 15 Ok Reg 3481, eff 7-15-98; Amended at

27 Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-4. Program requisites [REVOKED]

The Internal Revenue Service has ruled that money deposited in the Program may be tax

sheltered, provided the following steps are taken:

(1) A board of education or other governing board of an eligible employer adopts a

resolution making the Program available to its employees. Once this action is taken, this

Page 262 of 292

subchapter and 70 O.S. 17-108 shall be deemed to be part of the employer's written plan

document under Treasury Regulations § 1.403(b)-3(b)(3).

(2) The member signs an amended contract with the board of education or governing

board for the express purpose of making elective deferrals to the Program. This is done by

either taking a reduction in salary or waiving a salary increase. The salary reduction

agreement must be entered into prior to the date contributions are to commence and may

only apply to amounts earned by the member after the agreement is effective. Nothing in

this section shall be construed to prohibit an employer from implementing auto enrollment

pursuant to federal law.

(3) An eligible employer permitting any TRS member to contribute to the Program

must permit all eligible TRS members to contribute to the Program in accordance with

section 403(b)(12)(A)(ii) of the Internal Revenue Code and the Income Tax Regulations

thereunder.

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 19 Ok Reg 2729, eff 7-11-02; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended

at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-5. Contributions [REVOKED]

After a member enters into the salary reduction agreement (completing an amended

contract and any other payroll requirement specified by the eligible employer), the eligible

employer shall make payroll deductions in lieu of the member receiving cash compensation on a

monthly basis in accordance with the agreement. The eligible employer shall submit the

contributions for all members in the school district to the TRS service provider in the manner

prescribed by the service provider.

(1) All contributions to the Program must be salary reductions. Members cannot make

direct payments to the Program. If the contributions are not salary reductions, tax-deferral

will not be possible. As a result, the Program will only accept employer payments of salary

reduction contributions for members. Nothing in this provision prohibits a member from

making a rollover contribution to the Program.

(2) Employers should forward salary reduction contributions in a timely manner, but

in no event later than fifteen (15) business days following the end of the month in which

the amount would have otherwise been paid to the member. Employers are also responsible

for ensuring that members do not contribute more than the maximum amount allowed by

federal tax law. Salary reduction agreements are limited under the Internal Revenue Code,

as described in the following:

(A) The amount of salary reduction contributions made in a member's taxable

year under the Program, and any other plans, contracts, or arrangements of the

employer, may not exceed the amount of the limitation in effect under Internal

Revenue Code Section 402(g)(1), as increased by Internal Revenue Code Sections

402(g)(4), 402(g)(7) and 414(v), for such taxable year.

Page 263 of 292

(B) Contributions to the Program and to any other section 403(b) plan (or, if

required by Internal Revenue Code Section 415 and the Income Tax Regulations

thereunder, to any other defined contribution plan) made in a calendar year (unless

another twelve (12) month period ending within the calendar year is elected) with

respect to an employee may not exceed limitations under Code Section 415(c) for

such calendar year. The limitation on annual additions set forth in Internal Revenue

Code 415(c) for any calendar year is the lesser of: (i) Forty Thousand Dollars

($40,000), adjusted for cost-of-living to the extent provided under section 415(d)

of the Code; or (ii) one hundred percent (100%) of the Participant's Includible

Compensation.

(C) For purposes of this Section, "annual addition" has the meaning provided in

section 415(c) of the Code, as modified by sections 415(l)(1) and 419A(d)(2) of the

Code. In general, section 415(c) of the Code defines the annual addition as the sum

of the following amounts credited to a member's accounts for any calendar year

under this Program and to any section 403(b) plan (or, if required by section 415 of

the Code and the Income Tax Regulations thereunder, to any other defined

contribution plan): (1) employer contributions; (2) employee contributions; and (3)

forfeitures. Annual additions shall not include: (1) any elective deferrals made by a

member who is age fifty (50) or older in accordance with, and subject to, section

414(v) of the Code; (2) excess elective deferrals distributed in accordance with

section 1.402(g)-1(e)(2) of the Income Tax Regulations; or (3) rollover

contributions.

(D) "Includible compensation" means a member's compensation received from

the employer that is includible in the member's gross income for federal income tax

purposes (computed without regard to Internal Revenue Code Section 911) for the

most recent period that is a year of service. Includible compensation also includes

any amount contributed or deferred by the employer at the election of the member

that would be includible in the gross income of the member but for the rules of

section 125, 132(f)(4), 402(e)(3), 402(h)(1)(B), 402(k), or 457(b) of the Code. The

amount of Includible compensation is determined without regard to any community

property laws. Includible compensation does not include any amounts "picked-up"

by the employer within the meaning of Internal Revenue Code 414(h). Includible

compensation includes differential pay as defined in Internal Revenue Code Section

414(u). Includible compensation includes any compensation described in

paragraphs (E) or (F), provided the compensation is paid by the later of two and

one-half (2 ½) months after the member's severance from employment with the

employer or the end of the calendar year in which the member has a severance from

employment with the employer.

(E) Any payment that would have been paid to the member prior to a severance

from employment if the member had continued in employment with the employer

Page 264 of 292

and that is regular compensation for services outside the member's regular working

hours (such as overtime or other similar payments).

(F) A payment for unused accrued bona fide sick, vacation, or other leave, but

only if the member would have been able to use the leave if employment had

continued and the payment would have been included in the definition of

compensation if it was paid prior to the member's severance from employment.

(3) Each member shall specify in the salary reduction agreement the dollar amount or

percentage by which the member's salary is to be reduced by the employer. Each such

agreement shall be legally binding and irrevocable as to the amounts earned while it is in

effect. A member may change the salary reduction agreement during the member's taxable

year. A member may terminate the agreement with respect to amounts not yet earned. Any

member who wishes to change the amount contributed to the Program must complete a

new amended contract. Contributions can be stopped at any time.

(4) Employers are required to report salary reduction contributions made to the

Program on the federal Form W-2. Employers should mark the "deferred compensation"

block in the correct box of the W-2 and should put the amount of the contribution and the

appropriate code in the specified box of the Form W-2.

(5) Employers should not withhold federal and state income taxes on salary reduction

contributions made to the Program. No other withholdings, including regular contributions

to TRS and FICA taxes, should be affected or decreased by salary reduction contributions

to the Program.

(6) Any active or retired member may roll over to the Program an eligible rollover

distribution as defined in section 402(c)(4) of the Internal Revenue Code from other section

403(b) plans or eligible retirement plans within the meaning of section 402(c)(8)(B) of the

Internal Revenue Code subject to limitations in the Internal Revenue Code and/or pertinent

sections of the Income Tax Regulations. An eligible rollover distribution means any

distribution of all or any portion of a member's benefit under another eligible retirement

plan, except that an eligible rollover distribution does not include (1) any installment

payment for a period of 10 years or more, (2) any distribution made as a result of an

unforeseeable emergency or other distribution which is made upon hardship of the

employee, or (3) for any other distribution, the portion, if any, of the distribution that is a

required minimum distribution under section 401(a)(9) of the Internal Revenue Code. An

eligible retirement plan means an individual retirement account described in section 408(a)

of the Code, an individual retirement annuity described in section 408(b) of the Code, a

qualified trust described in section 401(a) of the Code, an annuity plan described in section

403(a) or 403(b) of the Code, or an eligible governmental plan described in section 457(b)

of the Code, that accepts the eligible rollover distribution. Written verification that the

rollover is an eligible rollover distribution from an eligible retirement plan must be received

by TRS before any such monies will be accepted. Such rollover contributions shall be made

Page 265 of 292

in the form of cash only, not in-kind. A separate rollover account will be established for

these rollovers.

(7) The minimum allowable salary reduction contribution is Two Hundred Dollars

($200) per taxable year of the member.

(8) The Internal Revenue Code has set limits on the amount a member can exclude

from his or her income for tax purposes. It is each member's and his or her employer's

responsibility to ensure that contributions do not exceed the maximum limitations set forth

in the Internal Revenue Code. TRS does not compute the maximum allowable contribution

for Program participants and TRS is prohibited from entering into hold harmless

agreements with participating members or employers.

(9) If TRS is notified of any excess deferral (within the meaning of Internal Revenue

Code Section 402(g)), the excess deferral plus attributable income will be accounted for

separately under Code Section 403(c) and if instructed will distribute the excess deferral

plus interest to the member on or before April 15 of the year following the year of deferral.

In the event of such a distribution, TRS will furnish the member with a Form 1099R with

respect to the distribution of the excess deferral and attributable income. If distributed by

April 15, the member should include the excess deferral refund in the member's gross

income for the year the excess deferral was made and refund of the attributable income in

the year distributed. The employee may have to file an amended income tax return for the

year the excess contribution was made. If the excess contribution is not distributed by April

15, the distribution may not occur until a regular distribution would occur, and the

employee must include the refund in the employee's gross income for the year of deferral

and the year of distribution. In this case the excess deferral is taxed twice.

(10) A plan-to-plan transfer from another section 403(b) plan to this Program may be

made on behalf of an active member if the following conditions are satisfied:

(A) The member is an employee of the employer for the transferring plan;

(B) The transferor plan provides for transfers; and

(C) The member whose assets are being transferred has an accumulated benefit

immediately after the transfer that is at least equal to the accumulated benefit of

that member immediately before the transfer.

(11) To the extent any amount transferred is subject to any distribution restrictions under

section 1.403(b)-6 of the Treasury Regulations, the Program shall impose restrictions on

distributions to the member whose assets are being transferred that are not less stringent

than those imposed on the transferor plan. In addition, if the transfer does not constitute a

complete transfer of the member's interest in the section 403(b) plan, the Program shall

treat the amount transferred as a continuation of a pro rata portion of the member's interest

in the section 403(b) plan.

Page 266 of 292

(12) Notwithstanding any provisions of this subchapter, contributions, benefits and

service credit with respect to qualified military service shall be provided in accordance

with the Uniformed Services Employment and Reemployment Rights Act of 1994, as

amended, and section 414(u) of the Internal Revenue Code. For this purpose, a member

whose employment is interrupted by qualified military service under section 414(u) of the

Internal Revenue Code or who is on a leave of absence for qualified military service under

section 414(u) of the Internal Revenue Code may elect to make additional salary reduction

contributions upon resumption of employment with the employer up to the maximum

amount of salary reduction contributions that the member could have elected during that

period if the member's employment with the employer had continued (at the same level of

compensation) without the interruption or leave, reduced by the salary reduction

contributions, if any, actually made for the member during the period of the interruption or

leave. Except to the extent provided under section 414(u) of the Internal Revenue Code,

this right applies for five (5) years following the resumption of employment (or, if sooner,

for a period equal to three (3) times the period of the interruption or leave).

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)2 ; Amended at 14 Ok Reg 3216, eff

7-25-97; Amended at 15 Ok Reg 48, eff 9-4-97 (emergency); Amended at 15 Ok Reg 3481, eff 7-15-98; Amended at

19 Ok Reg 2729, eff 7-11-02; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282,

eff 5-27-10]

715:10-19-7. Methods of computing maximum Program contribution [REVOKED]

(a) The maximum amount salary reduction contributions to the Program for any calendar year

shall not exceed the applicable dollar amount in Internal Revenue Code Section 402(g)(1) for the

year. The applicable dollar amount is Sixteen Thousand Five Hundred Dollars ($16,500) for 2009

for all elective deferrals made by a member. The applicable dollar amount limit is adjusted for

cost-of-living after 2009 to the extent provided under Internal Revenue Code Section 402(g).

(b) A member who will attain age fifty (50) or older by the end of the calendar year may elect

to make an additional amount of salary reduction contributions to the Program in excess of the

applicable dollar amount under Internal Revenue Code Section 402(g)(1). The maximum dollar

amount of the age fifty (50) catch-up salary reduction contributions for a calendar year is Five

Thousand Five Hundred Dollars ($5,500) for 2009 for all elective deferrals made by a member.

The maximum dollar amount of age fifty (50) catch-up salary reduction contributions is adjusted

for cost-of-living after 2009 to the extent provided under Internal Revenue Code Section 414(v).

(c) A special catch-up provision allows members who have more than fifteen years of service

with their employer to make additional contributions up to Three Thousand Dollars ($3,000) per

year. However, aggregate contributions of all years above the limits may not exceed Fifteen

Thousand Dollars ($15,000). In addition a member can no longer make catch-up contributions

under this special catch-up provision once his or her prior years' contributions to any tax-sheltered

annuity exceed Five Thousand Dollars ($5,000) multiplied by the years of service (as defined in

section 403(b)(4) of the Internal Revenue Code) with the employer.

Page 267 of 292

(d) Salary reduction contributions in excess of the applicable dollar amount in Internal

Revenue Code Section 402(g)(1) for the year shall be allocated first to the special catch-up

provision under subparagraph (c) (if applicable) and next as an age fifty (50) catch-up contribution

under subparagraph (b).

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 18 Ok Reg 50, eff 10-3-00 (emergency); Amended at 18 Ok Reg 3152, eff 7-12-01; Amended

at 19 Ok Reg 2729, eff 7-11-02; Amended at 25 Ok Reg 2598, eff 7-11-08; Amended at 27 Ok Reg 131, eff 10-2-09

(emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-8. Distributions [REVOKED]

(a) Distributions from members' accounts must be made in accordance with the Internal

Revenue Code. TRS will distinguish pre-'87 and post-'86 account balances. Both account balances

will be distributed in accordance with the applicable Internal Revenue Code provisions as they

pertain to individual retirement accounts or annuities. The post-'86 account balance will include

earnings after 1986 on the pre-'87 account balance. TRS will adjust each balance as required under

IRS rules and regulations.

(b) Distribution of deposits made, or income earned, after December 31, 1988, will not be made to members except under one of the following circumstances:

(2) Attainment of age fifty-nine and one-half (59 1/2).

(3) Death.

(4) Disability within the meaning of section 72(m)(7) of the Internal Revenue Code.

(5) Severance from employment (with the member's employer). However, a

severance from employment also occurs on any date on which a member ceases to be

an employee of an educational organization, even though the member may continue

to be employed by a related employer that is another unit of the State or local

government that is not an educational organization or in a capacity that is not

employment with an educational organization (e.g., ceasing to be an employee

performing services for an educational organization but continuing to work for the same

state or local government employer).

(6) Retirement.

(7) Financial hardship (this distribution does not include accumulated earnings).

(8) Transfer to another section 403(b) plan in accordance with subsection (n) of

this section.

(9) Qualified reservist distribution under Code Section 72(t).

(10) Pursuant to a qualified domestic relations order.

(c) Distributions from this tax-sheltered annuity program are subject to federal and state

income taxes. Certain distributions may also be subject to penalties and/or excise taxes

under the Internal Revenue Code. Members should seek tax advice prior to requesting

distributions.

(d) Upon filing a properly executed distribution request application, a portion or all of a

member's tax-sheltered annuity balance that qualifies under Internal Revenue Code regulations,

may be distributed. Distributions, other than required minimum distributions and hardship

withdrawals, are subject to a mandatory federal withholding of twenty percent (20%).

(Distribution of these deposits shall not affect membership status.)

Page 268 of 292

(e) Members who have attained age fifty-nine and one-half (59 ½) are eligible to withdraw

all or any portion of their deposits, subject to the provisions of subsection (h) of this section.

(f) Members who have not attained age fifty-nine and one-half (59 ½) and who have not

had a severance from employment (retired or terminated employment) may withdraw only

contributions made prior to January 1, 1989, unless a financial hardship exists. (See OAC

715:10-19-9.) Notwithstanding the foregoing sentence, a member may transfer his or her

Program account to another section 403(b) plan subject to and in accordance with subsection

(n) of this section. In addition, the restrictions of this section do not apply to amounts held in

a separate rollover account.

(g) Members who roll over their Program accounts to another section 403(b) plan may

transfer these funds back to the Program at a later time subject to and in accordance with

paragraph 6 of OAC 715:10-19-5.

(h) Upon severance from employment, a member may elect one of the following

annuity distribution options subject to Internal Revenue Code requirements, including Code

Section 403(b)(10), Code Section 401(a)(9), and the incidental death benefit requirements of

Code Section 401(a):

(1) Minimum distribution option under Code Section 401(a)(9), with the post-

1986 deferrals and all post-1986 earnings subject to the current Internal Revenue

Service distribution rules and the pre-1987 account balance subject to the prior

applicable Internal Revenue Service distribution rules.

(2) Lump sum surrender option, payable only to the member.

(3) Partial lump sum, where the member selects a specified lump sum payable to

the member.

(4) A nontransferable fixed or variable annuity issued by an insurance company

providing for periodic payments to a member and his/her beneficiary.

(i) The beneficiary(ies) designated on a member’s regular retirement account also shall serve

as beneficiary(ies) for the Program account, unless otherwise designated by the member.

(j) In the calendar year following the calendar year of the member’s death, if the member dies

before distribution of the member’s account, the member’s account shall be paid to his or her

designated beneficiary in a lump sum. Alternatively, if the designated beneficiary with respect to

the member’s account is a natural person, at the designated beneficiary’s election, distribution can

be made in annual installments with the distribution period determined under this paragraph.

(k) If the designated beneficiary is the member’s surviving spouse, the distribution period is

equal to the beneficiary’s life expectancy using the single life table in section 1.401(a)(9)-9, A-1,

of the Income Tax Regulations for the spouse’s age on the spouse’s birthday for that year. If the

designated beneficiary is not the member’s surviving spouse, the distribution period is the

beneficiary’s life expectancy determined in the year following the year of the member’s death

using the single life table in section 1.401(a)(9)-9, A-1, of the Income Tax Regulations for the

beneficiary’s age on the beneficiary’s birthday for that year, reduced by one for each year that has

elapsed after that year.

(l) In the event there is no designated beneficiary, or if the member’s estate or trust or a

charitable organization is the designated beneficiary, the entire account balance must be distributed

by the fifth year following the member’s death. For any year, a beneficiary can elect distribution

Page 269 of 292

of a greater amount (not to exceed the amount of the remaining account balance) in lieu of the

amount calculated under this paragraph.

(m) In no event shall any distribution begin later than the later of (i) April 1 of the year

following the calendar year in which the member attains age seventy and one-half (70 ½) or (ii)

April 1 of the year following the year in which the member retires or otherwise has a severance

from employment. If distributions commence in the calendar year following the later of the

calendar year in which the member attains age seventy and one-half (70 ½) or the calendar year in

which the severance from employment occurs, the distribution on the date that distribution

commences must be equal to the annual installment payment for the year that the member has a

severance from employment and an amount equal to the annual installment payment for the year

after severance from employment must also be paid before the end of the calendar year of

commencement. For purposes of this paragraph, annual installment payments through the year of

the member’s death are calculated as the amount payable each year equal to a fraction of the

member’s account balance equal to one divided by the distribution period set forth in the Uniform

Lifetime Table at section 1.401(a)(9)-9, A-2, of the Income Tax Regulations for the member’s age

on the member’s birthday for that year. If the member’s age is less than age seventy (70), the

distribution period is twenty-seven and four-tenths (27.4) plus the number of years that the

member’s age is less than age seventy (70). At the member’s election, this annual payment can be

made in monthly or quarterly installments. The account balance for this calculation (other than the

final installment payment) is the account balance as of the end of the year prior to the year for

which the distribution is being calculated. For any year, the member can elect distribution of a

greater amount (not to exceed the amount of the remaining account balance) in lieu of the amount

calculated using this formula. Notwithstanding anything to the contrary in this Section, distribution

of elective deferrals made prior to January 1, 1987 (but not any interest accumulated with respect

thereto) need not commence until April 1 of the calendar year following the calendar year in which

the Participant attains age seventy-five (75).

(n) A plan-to-plan transfer from the Program to another section 403(b) plan may be made on

behalf of an active member if the following conditions are satisfied:

(1) The member is an employee of the employer for the receiving plan;

(2) The receiving plan provides for the receipt of transfers;

(3) The member whose assets are being transferred has an accumulated benefit

immediately after the transfer that is at least equal to the accumulated benefit of that member

immediately before the transfer;

(4) The receiving plan provides that, to the extent any amount transferred is subject

to any distribution restrictions under section 1.403(b)-6 of the Income Tax Regulations,

the receiving plan shall impose restrictions on distributions to the member whose

assets are being transferred that are not less stringent than those imposed on the Program;

and

Page 270 of 292

(5) If the transfer does not constitute a complete transfer of the member's interest in

the Program, the receiving plan shall treat the amount transferred as a continuation of a

pro rata portion of the member's interest in the Program.

(o) Permissive Service Credit Transfers.

(1) If a member is also a member in a tax-qualified defined benefit governmental

plan (as defined in section 414(d) of the Code) that provides for the acceptance of

plan-to-plan transfers with respect to the member, then the member may elect to have

any portion of the member's account transferred to the defined benefit governmental

plan. A transfer under this section may be made before the member has had a severance

from employment.

(2) A transfer may be made under this section only if the transfer is either for

the purchase of permissive service credit (as defined in section 415(n)(3)(A) of the

Code) under the receiving defined benefit governmental plan or a repayment to which

section 415 of the Code does not apply by reason of section 415(k)(3) of the Code.

(3) In addition, if a plan-to-plan transfer does not constitute a complete transfer of

the member's or Beneficiary's interest in the transferor plan, the Program shall treat the

amount transferred as a continuation of a pro rata portion of the member's or

Beneficiary's interest in the transferor plan (e.g., a pro rata portion of the member's or

Beneficiary's interest in any after-tax employee contributions).

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1; Amended at 12 Ok Reg 3285, eff 7-27-95; Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)2; Amended at 14 Ok Reg 3216, eff 7-25-97; Amended at 15 Ok Reg 48, eff 9-4-97 (emergency); Amended at 15 Ok Reg 3481, eff 7-15-98; Amended at 19 Ok Reg 2729, eff 7-11-02; Amended at 20 Ok Reg 382, eff 10-16-02 (emergency); Amended at 20 Ok Reg 2596, eff 7-11-03; Amended at 22 Ok Reg 2255, eff 6-25-05; Amended at 25 Ok Reg 2598, eff 7-11-08; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-9. Withdrawals for financial hardship [REVOKED]

(a) Financial hardship is defined as an immediate and heavy financial need experienced by the

member, resulting from a sudden and unexpected illness or accident of the member or of a

dependent of the member, loss of the member's property due to casualty, or other similar

extraordinary and unforeseeable circumstances arising as a result of events beyond the control of

the member. The circumstances that constitute a financial hardship will depend upon the relevant

facts and circumstances of each case, but, in any case, payment may not be made to the extent that

such financial hardship is or may be relieved:

(1) through reimbursement or compensation by insurance or otherwise;

(2) by liquidation of the member's assets, to the extent the liquidation of these assets would

not itself cause severe financial hardship;

(3) by cessation of salary reduction contributions under the Program; or

(4) by other distributions and nontaxable (at the time of the loan) loans from plans

maintained by the employer, by any other employer, the employer(s) of the member's

spouse, or by borrowing from commercial sources on reasonable commercial terms, in an

amount sufficient to satisfy the need.

Page 271 of 292

(b) Specific needs that are deemed to satisfy the requirements of a hardship withdrawal

include, but are not limited to:

(1) Medical expenses incurred by the member, the member's spouse or dependents

which are not covered by insurance or other reimbursement;

(2) Costs directly related to the purchase of a principal residence for the member

(excluding mortgage payments);

(3) Payment of tuition, related educational fees, and room and board expenses, for the

next twelve (12) months of post-secondary education for the member, or the member's

spouse or dependents; or

(4) Payments necessary to prevent the eviction of the employee from the employee's

principal residence or foreclosure on the mortgage of that residence.

(c) Withdrawal amounts are permitted only to the extent reasonably necessary to satisfy the

financial hardship. Withdrawal of credited earnings in the member's account is not permitted.

(d) The participating employer is responsible for the determination of hardship, in accordance

with procedures established under the employer's plan.

(e) Distributions made via a hardship withdrawal request may be subject to an early

distribution penalty of ten percent (10%).

(f) A member who receives a hardship withdrawal is required to cease salary reduction

contributions for six (6) months following the withdrawal.

(g) In lieu of the provisions of this section, an employer may prescribe hardship withdrawal

requirements.

[Source: Amended at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Amended at 12 Ok Reg 3285, eff

7-27-95; Amended at 13 Ok Reg 3899, eff 8-5-96 through 7-14-97 (emergency)2 ; Amended at 14 Ok Reg 3216, eff

7-25-97; Amended at 19 Ok Reg 2729, eff 7-11-02; Amended at 22 Ok Reg 2255, eff 6-25-05; Amended at 27 Ok

Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-11. Rollovers from Program to other eligible retirement plans [REVOKED]

(a) Notwithstanding any other provision of the administrative code, a member, a member's

spouse, a member's former spouse who is the alternate payee under a qualified domestic order, as

defined in OAC 715:10-25-1, may elect at the time and in the manner prescribed by TRS, to have

all or a portion of an eligible rollover distribution (as defined in Internal Revenue Code 402(c)(4)

from the Program paid directly to another eligible retirement plan as defined under Internal

Revenue Code 402(c)(8)(B) and the regulations thereto. In addition, a designated beneficiary other

than a surviving spouse may elect to roll over an eligible rollover distribution directly from the

Program to an individual retirement plan that has been established on behalf of the beneficiary as

an inherited individual retirement plan, subject to and in accordance with section 408(d)(3)(C) of

the Internal Revenue Code.

Page 272 of 292

(b) The following definitions shall apply for purposes of the words and phrases used in this

Section:

(1) an "eligible rollover distribution" includes any distribution of all or any portion of

the tax-sheltered annuity benefit to the credit of a member, a member's spouse, a member's

former spouse who is the alternate payee under a qualified domestic order, as defined in

OAC 715:10-25-1, or a deceased member's designated beneficiary except that an eligible

rollover distribution does not include the following:

(A) any distribution that is one of a series of substantially equal periodic

payments, paid not less frequently than annually, made for the life or life

expectancy of the member or the member and the member's spouse.

(B) any distribution that is one of a series of substantially equal periodic

payments for a specified period of ten years or more.

(C) any distribution to the extent such distribution is required under Internal

Revenue Code Section 401(a)(9).

(D) any distributions during a year that are reasonably expected to total less than

$200.

(2) an "eligible retirement plan" includes an individual retirement account or annuity

described in Internal Revenue Code Sections 408(a) or (b), a qualified trust described in

Internal Revenue Code 401(a), an annuity program described in Internal Revenue Code

Sections 403(a) or 403(b), or an eligible governmental plan described in Internal Revenue

Code 457(b) that is willing to accept the distributee's eligible rollover distribution. In

addition, an eligible retirement plan includes a Roth IRA under Internal Revenue Code

Section 408A. However, in the case of a distribution to a beneficiary who at the time of the

member's death was neither the spouse of the member nor the spouse or former spouse of

the member who is an alternate payee under a domestic relations order, a direct rollover is

payable only to an individual retirement account or individual retirement annuity that has

been established on behalf of the Beneficiary as an inherited IRA (within the meaning of

section 408(d)(3)(C) of the Code).

(c) Eligible rollover distributions may be paid to not more than two eligible retirement plans,

as selected by the distributee, when a direct rollover is elected.

Source: Added at 11 Ok Reg 4409, eff 7-14-94 through 7-14-95 (emergency)1 ; Added at 12 Ok Reg 3285, eff 7-27-

95; Amended at 27 Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-12. The Oklahoma Teachers' Deferred Savings Incentive Plan Fund [REVOKED]

(a) The Oklahoma Teachers' Deferred Savings Incentive Plan Fund, established and funded

pursuant to Enrolled House Bill 1428 of the first session of the 47th Oklahoma State Legislature,

shall be used for payment by TRS of matching contributions into the Program accounts of active,

contributing TRS members. Accounts eligible to receive matching contributions are those

maintained by TRS in accordance with section 403(b) of the Internal Revenue Code.

Page 273 of 292

(b) TRS shall hold and invest funds in the Oklahoma Teachers' Deferred Savings Incentive

Plan Fund in the same manner determined by the Board of Trustees.

(c) If the Oklahoma Teachers' Deferred Savings Incentive Plan Fund is insufficiently funded

to fully pay such contributions in any month, payments shall be suspended until sufficient monies

are available.

[Source: Added at 17 Ok Reg 204, eff 9-8-99 (emergency); Added at 17 Ok Reg 3071, eff 7-13-00; Amended at 27

Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

715:10-19-13. Contributions from the Oklahoma Teachers' Deferred Savings Incentive Plan

Fund into Program accounts of active contributing TRS members [REVOKED]

Provided funds in the Oklahoma Teachers' Deferred Savings Incentive Plan Fund are

sufficient to fully fund such contributions, TRS shall contribute $25.00 per month into the Program

account of each active contributing TRS member who contributes at least $25.00 per month into

his or her Program account maintained pursuant to section 403(b) of Internal Revenue Code.

Source: Added at 17 Ok Reg 204, eff 9-8-99 (emergency); Added at 17 Ok Reg 3071, eff 7-13-00; Amended at 27

Ok Reg 131, eff 10-2-09 (emergency); Amended at 27 Ok Reg 1282, eff 5-27-10]

Page 274 of 292

M E M O R A N D U M TO: TRS Board of Trustees FROM: Tom Spencer, Executive Director DATE: November 6, 2020 RE: Stinnett Recommendation in “Governance Audit” for the Board to begin a “Self-

Assessment” Process ------------------------------------------------------------------------------------------------------------------------------------ At the board meeting on July 22, 2020, Stinnett presented its report and findings in a “Governance Audit.” Stinnett made several findings and recommendations. One of the recommendations was as follows:

“The Board should consider adopting a formal policy statement within the Trustee Policy manual requiring an annual assessment be performed. A self-assessment tool may be designed to facilitate this process.”

Stinnett laid out the justification for encouraging the Board of Trustees to annually “take stock” of how they themselves are performing and satisfying their fiduciary duties.

BUSINESS IMPACT Conducting self-assessments can provide much value to the organization by revealing questions or concerns that may need the Board's attention, serve as a springboard for Board and Committee improvements, provides an opportunity for clarifying mutual Board and staff expectations and demonstrates to staff and others that accountability is a serious organizational value.

In its management response, the TRS Staff committed to bring this topic back to the Board with an example of how a self-assessment could be done. Attached to this memo is a Board Self-Assessment Questionnaire to demonstrate a useful tool in conducting a self-assessment of the Board. If adopted, each trustee would fill out the questionnaire each year. Again, if adopted, the Staff would recommend that the Governance Committee read the responses, and at a minimum, put together a summary document with the assistance of staff if so desired.

Page 275 of 292

BOARD SELF-ASSESSMENT QUESTIONNAIRE

Name __________________________

Date ___________________________

1. Board Structure Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Does the Board as a whole possess the right skills and background for the current issues facing the organization?

Are the criteria to be a Trustee appropriate for the current issues facing the organization?

Is the identification, selection and nomination process for Directors appropriate?

Does the Board have the right Committee structure?

Is the annual review of the Board, its Committees and Directors satisfactory?

Does the Board exhibit strong relationships and trust among Directors?

2. Board Meetings Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Does the Board have the appropriate number of meetings per year?

Page 276 of 292

2. Board Meetings Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Does the Board receive adequate materials in advance of meetings of the Board?

Are you satisfied with the content of Board meetings?

Are you satisfied with the quality of the presentations to the Board?

Is there sufficient time at Board meetings for the presentation and full discussion of the subjects covered?

Is the time at Board meetings utilized effectively?

Does the Board have open and constructive deliberations?

Is the Board well prepared for Board meetings?

Is the delegation of business from the Board to its Committees appropriate?

Do Committee reports give the appropriate amount of information to the Board?

Is there sufficient time/opportunity for outside Directors to meet independently?

Page 277 of 292

3. Key Responsibilities

Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Is the Board adequately involved in determination of the Organization’s strategic initiatives and direction?

Does the Board agree on a common vision and mission for the Organization?

Is the Board effective in monitoring management’s implementation of the Organization’s strategy?

Is the Board effective in reviewing annual operating plans?

Is the Board effective in monitoring the Organization’s operating/financial performance?

Does the Board effectively participate in management development and succession planning?

Does the Board exercise adequate oversight of the Organization’s Code of Business Conduct?

Are you satisfied with the CEO performance review process?

Is the Board knowledgeable about competitive factors and market forces facing the Organization?

Page 278 of 292

3. Key Responsibilities

Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Is the Board appropriately involved in merger and acquisition discussions and does the Board monitor management’s execution?

Is the Board prepared to handle a crisis situation?

Does the Board ensure that management has implemented effective control systems and procedures for identifying and managing the major risks faced by the organization?

Does the Board ensure appropriate governance practices are established and implemented?

4. Management Relations

Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Does the Board encourage a culture of candid communication and disciplined decision making?

Are there open lines of communication and constructive interaction between Trustees and management?

Is the Board both sufficiently challenging and supportive of management?

Page 279 of 292

4. Management Relations

Yes, Without Qualification

Yes, But Could Be Improved

Partially, But Needs Improvement

Comments/Suggestions

Does the Board foster a performance-oriented culture that rewards performance and innovation?

Does the Board feel that visits to the organization’s facilities are sufficient to inform the Board adequately?

5. Priority Setting: I believe the Board should focus on the following priorities for the upcoming year.

A.

B

C.

6. Is (are) there any other change(s) that would improve the Board’s effectiveness that you would suggest?

A.

B.

Page 280 of 292

CLIENT SERVICES PERFORMANCE METRICS THROUGH OCTOBER 2020

Avg. time to complete = 7.58 Hrs.

70%

28%

2%

INFORMATION CENTER PERFORMANCE OCTOBER 2020

TOTAL CALLS QUEUED THROUGH THE OTRS

MAIN LINE : 7189

TOTAL E-MAILS RECEIVED THROUGH OTRS WEB LINK:

520

PORTAL CLIENTSWITH CONFIRMED PINs:

8109

INCOMINGE-MAILS: 392

TOTAL E-MAILS RECEIVED THROUGH OTRS WEB LINK:

520

1980 Calls Routed Through Menu Options.

7189 Calls Answered. Average Speed of Answer: 20 seconds.Target Speed: 20 Seconds

179 Callers Abandoned in Queue. Average Abandon Time: 20 seconds.

CONFIRMED PORTAL PINs9/30/2020: 36,197October 2020 + 387 Total Confirmed: 36,584

INCOMINGE-MAILS: 415

Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20

Num

ber o

f Cal

ls

INCOMING CALLS SERVED THROUGH TRS MAIN NUMBER

Total Incoming Answered Routed Abandoned

0

100

200

300

400

500

600

700

800

Num

ber o

f Req

uest

sESTIMATE REQUESTS THROUGH OCTOBER 2020

New Requests Completed Outstanding

Page 281 of 292

Count Benefit Total

Average

Benefit

Average Years

of Service

Average

Age

Disability 3 $5,356.55 $1,785.52 17.11 56.67

Early 16 $18,416.77 $1,151.05 15.05 60.31

Normal 155 $287,984.39 $1,857.96 22.47 63.96

Total 174 $311,757.71 $1,791.71 21.69 63.50

185 ($262,323.79) $1,417.97 23.99 81.38

Monthly Retirement Status ReportFrom 11/1/2020 to 11/30/2020

New Retirements

Terminated Annuities

Page 282 of 292

HR STATUS REPORT November 12, 2020

HR STATUS REPORT

• New Hires (October 2020):

n/a

• Resignations/Terminations/Retirements (October 2020):

n/a

• Promotions/Transfers/Salary Adjustments/Changes (October 2020):

Employee: 341597 Title from: Data Management Analyst Title to: Retirement Planning Consultant (Withdrawals) Salary: from $41,671 to $44,000 Effective: 10/1/2020

MISCELLANEOUS PAYMENTS

• Performance-Based Pay Adjustments

Under OMES/HCM, Merit Rule 260:25-7-27 permits the head of a state agency to award performance-based pay adjustments to employees who receive an overall rating of “meets standards” or better ontheir performance evaluation (PMP).

TRS provided a one-time lump-sum payment of $1,000 for an overall rating of “meets standards” and$1,500 for “exceeds standards” for the evaluation period ending 6/30/2020. Only employees hired priorto 11/1/2019 were eligible. Part-time employees were paid on a prorated basis.

As a result, 34 employees received the stipend and a total of $42,437.50 was paid by the agency.

• Severance Payments:

n/a

NEW HIRES, RESIGNATIONS, RETIREMENTS OR OTHER CHANGES PENDING

• Business Analyst – new hire effective 11/6/2020 (Jan Board Report)

• Data Management Analyst recruitment in progress.

• Legislative and Policy Director recruitment in progress.

Page 283 of 292

Employer ReportingAnalysis of Employee and Employer Contributions Received

0 0

4

0 0 0 0 0 0 0 0 0

4

0

5

10

15

July Aug Sept Oct Nov Dec Jan Feb Mar Apr May June TOTAL

Number of Delinquent Reports FY21

$0

.00

$0

.00

$6

3,5

14

.70

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$6

3,5

14

.70

$0

$200,000

$400,000

$600,000

$800,000

$1,000,000

July Aug Sept Oct Nov Dec Jan Feb Mar Apr May June TOTAL

Estimated Delinquent Funds FY21

$7

3,5

02

,63

6.7

1

$4

4,3

53

,79

4.2

1

$5

8,2

42

,60

9.5

3

$1

76

,09

9,0

40

.45

$6

5,3

12

,82

6.8

0

$4

8,7

48

,33

9.0

1

$6

2,2

95

,90

8.6

3

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$0

.00

$1

76

,35

7,0

74

.44

$0

$200,000,000

$400,000,000

$600,000,000

$800,000,000

$1,000,000,000

July Aug Sept Oct Nov Dec Jan Feb Mar Apr May June TOTAL

Comparison of Contributions ReceivedFor Two Months Ended Sep. 30,2019 and Sep. 30, 2020

2020 2021

Page 284 of 292

FY-2020 YTD FY-2021 YTDActual Actual Increase Increase

Expenditures Expenditures (Decrease) (Decrease)Object of Expenditure 10/31/2019 10/31/2020 Amount Percentage

Personnel ServicesSalary and Longevity Pay Expenses 838,973 849,598 10,625 1.3%Taxes, Benefits, and Other Expenses 408,197 371,891 (36,306) -8.9%

Subtotal Personnel Services 1,247,170 1,221,489 (25,681) -2.1%Professional Services

Investment Consultant Expenses 290,119 298,823 8,704 3.0%Investment Manager Alternatives Expense 50,000 81,250 31,250 62.5%Investment Custodian Expenses 0 7,000 7,000 0.0%Pension Commission Expenses 0 12,537 12,537 0.0%

Subtotal Investment Expenses 340,119 399,610 59,491 17.5%Legal Services - Special Projects 8,103 0 (8,103) 0.0%Legal Services - Attorney General 0 0 0 0.0%Administrative Hearings 0 0 0 0.0%Auditing Services 31,319 55,500 24,181 77.2%Actuarial Services 17,150 19,757 2,607 15.2%Medical Hearings 2,700 4,700 2,000 74.1%Communications Firm 0 0 0 0.0%Contract Lobbyist 0 0 0 0.0%Disability Retirement Management 0 0 0 0.0%Miscellaneous Services 22,939 15,730 (7,209) -31.4%

Subtotal Professional Services 82,211 95,687 13,476 16.4%Total Professional Services 422,330 495,297 72,967 17.3%

Travel and Per Diem ExpensesNon-Employee Travel Expenses 5,551 0 (5,551) 0.0%Employee Training 7,263 486 (6,777) -93.3%Employee Travel Expenses 5,968 69 (5,899) 0.0%

Subtotal Travel and Per Diem Expenses 18,782 555 (18,227) -97.0%Administrative Expenses

Postage 10,741 41,153 30,412 283.1%Printing and Binding Contracts 0 9,806 9,806 0.0%Informational Services 8,150 11,636 3,486 42.8%Rent and Maintenance 53,849 41,893 (11,956) -22.2%Office Supplies 4,261 2,756 (1,505) -35.3%Equipment 0 0 0 0.0%Office Relocation 0 0 0 0.0%Miscellaneous Administrative Expenses 4,396 4,206 (190) -4.3%

Subtotal Administrative Expenses 81,397 111,450 30,053 36.9%Data Processing Expenses

Professional Services 134,979 108,822 (26,157) -19.4%Telecommunication Services 1,871 2,034 163 8.7%Rent and Maintenance 2,979 2,937 (42) -1.4%Office Supplies 0 0 0 0.0%Equipment - Telecommunications 14,868 9,479 (5,389) -36.2%Informational Services 0 2,417 2,417 0.0%

Subtotal Data Processing Expenses 154,697 125,689 (29,008) -18.8%

Total Expenses 1,924,376 1,954,480 30,104 1.6%Total Investment Expenses Only 340,119 399,610 59,491 17.5%Total Data Processing Expenses Only 154,697 125,689 (29,008) -18.8%Total except Investment & Data Processing Expenses 1,429,560 1,429,181 (379) 0.0%

Thursday, November 12, 2020

SCHEDULE IComparison of Actual Expenditures Fiscal Year 2020 and Fiscal Year 2021

4 Months Ended October 31, 2020

Page 285 of 292

4 Months 4 Months Over OverFY-2021 YTD FY-2021 YTD (Under) (Under)

Object of Expenditure Budget Actual Amount PercentagePersonnel Services

Salary and Longevity Pay Expenses 1,047,076 849,598 (197,478) -18.9%Taxes, Benefits, and Other Expenses 504,417 371,891 (132,526) -26.3%

Subtotal Personnel Services 1,551,493 1,221,489 (330,004) -21.3%Professional Services

Investment Consultant Expenses 398,432 398,432 0 0.0%Investment Manager Alternatives Expense 108,336 108,334 (2) 0.0%Investment Custodian Expenses 14,000 7,000 (7,000) -50.0%Pension Commission Expenses 17,500 12,537 (4,963) -28.4%

Subtotal Investment Expenses 538,268 526,303 (11,965) -2.2%Legal Services - Special Projects 33,336 0 (33,336) 0.0%Legal Services - Attorney General 2,500 0 (2,500) 0.0%Administrative Hearings 2,500 0 (2,500) 0.0%Auditing Services 120,470 55,500 (64,970) -53.9%Actuarial Services 26,668 19,757 (6,911) -25.9%Medical Hearings 5,000 4,700 (300) -6.0%Communications Firm 33,336 0 (33,336) 0.0%Contract Lobbyist 0 0 0 0.0%Disability Retirement Management 16,668 0 (16,668) 0.0%Miscellaneous Services 6,820 15,730 8,910 130.6%

Subtotal Professional Services 247,298 95,687 (151,611) -61.3%Total Professional Services 785,566 621,990 (163,576) -20.8%

Travel and Per Diem ExpensesNon-Employee Travel Expenses 22,300 0 (22,300) 0.0%Employee Training 13,449 486 (12,963) -96.4%Employee Travel Expenses 16,676 69 (16,607) -99.6%

Subtotal Travel and Per Diem Expenses 52,425 555 (51,870) -98.9%Administrative Expenses

Postage 65,400 41,153 (24,247) -37.1%Printing and Binding Contracts 38,666 9,806 (28,860) -74.6%Informational Services 12,991 11,636 (1,355) -10.4%Rent and Maintenance 70,980 41,893 (29,087) -41.0%Office Supplies 10,634 2,756 (7,878) -74.1%Equipment 76,250 0 (76,250) -100.0%Office Relocation 40,000 0 (40,000) 0.0%Miscellaneous Administrative Expenses 23,160 4,206 (18,954) -81.8%

Subtotal Administrative Expenses 338,081 111,450 (226,631) -67.0%Data Processing Expenses

Professional Services 602,300 108,822 (493,478) -81.9%Telecommunication Services 3,552 2,034 (1,518) -42.7%Rent and Maintenance 40,925 2,937 (37,988) -92.8%Office Supplies 832 0 (832) 0.0%Equipment - Telecommunications 19,600 9,479 (10,121) -51.6%Informational Services 1,560 2,417 857 54.9%

Subtotal Data Processing Expenses 668,769 125,689 (543,937) -81.3%

Total Expenses 3,396,334 2,081,173 (1,316,018) -38.7%Total Investment Expenses Only 538,268 526,303 (11,965) -2.2%Total Data Processing Expenses Only 668,769 125,689 (543,937) -81.3%Total except Investment and Data Processing Expenses 2,189,297 1,429,181 (760,116) -34.7%

Thursday, November 12, 2020

SCHEDULE IIComparison of FY2021 Budget to Actual Expenses

4 Months Ended October 31, 2020 Year to Date Comparison

Page 286 of 292

Communications

AT&T OneNet phone service charges 336.26$ Bancfirst Remote deposit scanner service charges - August 2020 17.96 Cox Communications Cable charges - September 49.52 Oklahoman Advertising Job ad placement - Oklahoman 1,299.00 JP Morgan Chase Bank, NA Account analysis bank fees 705.70Office of Management and Enterprise Services Server, disk storage, scanning & network support, IT consulting 37,330.40Thomson West Legal information services subscription 307.35T-Mobile Cell phones and cell service for teleworking 269.14

40,315.33

Contingency, Maintenance, Insurance, Rent, Etc.

Amazon Marketplace Office/kitchen supplies/IT accessories 25.99 Azeus Convene, Inc. Board meeting software subscription 5,625.00 Compsource Mutual Insurance Co. TRS' share - firefighters' insurance premiums 159.00 DCAM Fleet Management Vehicle rentals for presentations 68.64 Department of Libraries Records storage: August 310.20 Emricks Van & Storage Co. Moving services - surplus furniture and office supplies 390.00 FedEx Freight Shipping - Medical Board packets 50.23 GMEI LEI Renewal - Bond Managers 91.00 ImageNet Consulting, LLC Desktop Printer Maintenance - August - September 2020 810.22 Office of Management and Enterprise Services Insurance premiums - worker's compensation annual billing 5,804.33 Oklahoma Bar Association Job Advertisement - Legislative Liaison 195.00 Standley Systems, LLC Copier Leases - July - September 2,598.51 Staples Office supplies/paper 2,049.47 Summit Business Systems Letter opener machine maintenance 122.38

18,299.97

CLAIMS FOR AUTHORIZED EXPENDITURESOCTOBER 31, 2020

Page 287 of 292

Professional Services, Workers Comp Insurance

C.B. Pettigrew, DO Medical Board requested exams 1,100.00$ Dathan D. Jay, MD Medical Board - October 2020 300.00 Eide Bailly, LLP Audit Services - FY2020 26,000.00 Gabriel, Roeder, Smith, & Co. Actuarial services - September 2020 5,825.00 Ghost, Inc. August Social Media Retainer 1,200.00 J. P. Livingston, MD Medical Board - September - October 2020 600.00 Office of Management and Enterprise Services Interagency mail/postage/printing 8,698.27 Peyton Osborne, MD Medical Board - October 2020 300.00 State Auditor and Inspector NEPC Admin. Svcs. - TRS' share 7/1 - 9/30/2020 12,536.81 Stinnett & Associates LLC Internal Audit services: September 2020 11,416.50 The Meadows Document destruction 45.00

68,021.58

Investment Expenditures

Andco Investment Consulting svcs. - September 99,607.53 Meketa Investment Group Private market admin. svcs. - September 27,083.33

126,690.86

Salaries and Fringe Benefits

Salaries Administrative department 43,430.34 Salaries Finance/Accounting department 32,367.92Salaries Client Services department 93,854.61Salaries Investment department 19,740.63Salaries IT department 6,873.75Longevity Payroll 2,400.00Excess Benefit Allowance 1,408.97FICA/MQFE Social Security and Medicare 14,192.93Oklahoma State Deferred Savings Incentive Plan Savings incentive plan and administrative fee 1,035.65Oklahoma Group Insurance Employee health, dental, and life 38,898.40Teachers' Retirement System of Oklahoma Employees' retirement contributions 42,546.98

296,750.18

Grand Total 550,077.92$

OCTOBER 31, 2020CLAIMS FOR AUTHORIZED EXPENDITURES

Page 288 of 292

Deputy Executive Director of Operations Report

November 2020 Board Meeting

October was the month of big challenges. We spent much of October planning for the move to

the new building while minimizing interruptions to operations and customer service. That being

said, there was some reduction in staffing levels for a few days due to the ice storm.

Fortunately, we have been teleworking since March and were prepared to handle this for those

with power at home. The network in the building was down for a day, but we were able to work

since the servers are in the data center and the phones are cloud based.

The workflow statistics reflect productivity was not affected by the network and weather

disruptions. The overall number of workflows worked is down by just 50 out of almost 2,700.

This minor difference could also be due to less requests due to people not having power and

dealing with other issues. The processing of estimates requests, which are generated prior to

applications to retire, is also within the target threshold.

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GENERAL COUNSEL REPORT NOVEMBER 2020 SARAH GREEN

1. Harvey Parkway Building

a. All rents are current

b. Prospective tenants for floors 6 and 2

2. Rulemaking

a. Permanent Rulemaking – in process

3. Misc.

a. Federal/External Grant Matching – still awaiting AG Opinion

b. Conducted interviews for Legislative and Policy Director

c. Finalized Starwood documents

d. Reviewing Franklin Park co-investment fund/structure

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M E M O R A N D U M

TO: The Board of Trustees of TRS

FROM: Tom Spencer, Executive Director

DATE: November 11, 2020

RE: Monthly Report for October 21, 2020 through November 9, 2020 -------------------------------------------------------------------------------------------------------------------- Here are a few of the highlights of my activities since my last report to the Board at the October meeting.

1. Investments (Office Building) The main work on the build-out of our space is completed. Weare moving “mostly” over a three-day period beginning Monday November 16 throughNovember 18. We are trying to choreograph the move to minimize downtime for calls and otherwork.

2. Personnel (Legislative & Policy Director) We heard from many impressive applicants forthis position. We were all gratified at the quality of their experience and academicaccomplishments. Sarah, Kim and I interviewed eight (8) candidates over 2 days and greatlyenjoyed our conversations with all of them. At the time I’m writing this, we have not yet made adecision or made an offer yet. But I am optimistic about our ultimate selection.

3. Legislation (House Interim Study) I testified at Interim Study ng of the House Banking,Financial Services and Pensions committee on October 28. The title was “Market Analysis forFuture COLAs.” Each director of the five (5) retirement systems gave an overview of thefinancial and actuarial condition of the funds. We had some good discussions and Rep. Wallaceand I had some interesting exchanges about the wisdom and continued viability of providing thededicated revenue to TRS. I made my point that the only reason we have made such impressivestrides in the last 20 years is because of the dedicated revenue. I was asked why we dropped ourinvestment return assumption as well. Finally, I told the committee members that reasonableCOLAs are fine, but they must be paid for in a reasonable manner.

4. 403(b) Wind down – We have emailed out the Assignment of our contract with VOYA to theparticipating employers. We have received several back.

5. CommunicationI was the main presenter at a statewide Zoom webinar put on by the OREA on Tuesday. Ibrought them up to speed on our current actuarial and financial condition. There were about 100OREA members who tuned in.

6. Information Technologya. TRS Website Changes – The TRS website is moving to the new Adobe platform onDecember 2, 2020. As I indicated at the last meeting, our website will be on a much moremodern platform, be more stable and will give us an opportunity to give it a face-lift. The main

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website, www.ok.gov, was moved a week or so ago. You can really tell the difference in the performance and ease of navigation. We paid nothing for this initial move. b. Cyber Security – This is technically an audit issue. We are getting more responsiveness onthe requests of Stinnett that certain matters in the audit are being addressed.

7. Board Meetings – As you all know, there is no existing law permitting us to have “Virtual”meetings any longer. We have no idea whether the Legislature will extend that law or not. I havereserved space at the “Credit Union House” for the January and February meetings. It is not evena mile north of the State Capitol. We have had one or two functions there and it is a very nicevenue. This will allow us to have plenty of room to spread out which I think will make folks alittle more comfortable.

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