STATE OF RHODE ISLAND INVESTMENT COMMISSION MEETING DATA AT April 30, 2010 May 26, 2010 MEETING MEMBERS OF THE STATE INVESTMENT COMMISSION Hon. Frank T. Caprio, Chair Ms. Rosemary Booth Gallogly Mr. J. Michael Costello Mr. Thomas P. Fay Mr. Robert R. Gaudreau, Jr. Mr. Robert Giudici Dr. Robert J. McKenna Ms. Marcia Reback Mr. Andrew K. Reilly
48
Embed
STATE OF RHODE ISLAND INVESTMENT COMMISSION MEETING … · the plan performance was 1.41% against its 1.07% index. International Equity-0.85%: 0.69%: Total Fund Composite* 1.41%.
This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript
STATE OF RHODE ISLAND INVESTMENT COMMISSION MEETING
DATA AT April 30, 2010
May 26, 2010 MEETING
MEMBERS OF THE STATE INVESTMENT COMMISSION
Hon. Frank T. Caprio, Chair
Ms. Rosemary Booth Gallogly Mr. J. Michael Costello Mr. Thomas P. Fay Mr. Robert R. Gaudreau, Jr. Mr. Robert Giudici Dr. Robert J. McKenna
Ms. Marcia Reback Mr. Andrew K. Reilly
STAFF SUMMARY
RHODE ISLAND STATE INVESTMENT COMMISSIONSTAFF SUMMARY ANALYSIS
PORTFOLIO HIGHLIGHTSApril 30, 2010
PORTFOLIO PERFORMANCE
April
The ERSRI portfolio posted a 1.20% gain for the month of April, Apr-10 Calendarag y g -ainst the polic index of 1.07%. Domestic Equities ained 2.55%, inter ERSRI Performance By Asset Class YTDnational equities were down 0.85%, and the fixed income asset class returned 1.03%. Domestic Equity 2.55% 8.85%
If we factor out PE & RE investments, due to the way they are monitored, Fixed Income 1.03% 2.68%the plan performance was 1.41% against its 1.07% index. International Equity -0.85% 0.69%
Total Fund Composite* 1.41% 4.98%
Calend o atear Year t D Manager Summary Apr-10 CYTDDOMESTIC EQUITY
For the four months ending April 30, 2010, the portfolio is up 4.87% Shott 0.01% 0.04%against the policy index of 4.50%. Domestic equities were up 8.85%, inter- SSgA S&P 500 1.59% 7.09%national equities were up 0.69%, while fixed income generated a return of 2.68%. Russell Overlay 0.03% 0.09%
Wellington Technical Eq -0.59% 2.04%
Fiscal Year to Date Russell 2000 Index 5.63% 14.99%
Total Domestic Equity 2.55% 8.85%
For the Fiscal Year ended June 30, 2010, the fund has gained 21.19%,against the policy index of 19.88%. FIXED INCOME
Brown Bros TIPS 2.47% 3.07%
Index Performance Summary - April 30, 2010 Brown Bros Core 1.14% 2.85%Calendar Fidelity 1.03% 3.06%
Market Indices Apr-10 YTD Taplin Canida & Habacht 1.93% 4.20%Domestic Equity Fixed Income Cash Acct 0.01% 0.04%S & P 500 1.58% 7.05% Mackay Shield 1.25% 5.07%DJ Wilshire 5000 2.16% 8.23%Russell 2000 5.66% 15.01% Total Fixed Income 1.03% 2.68%Policy Index 1.07% 4.57%
INTERNATIONAL EQUITYInternational EquityMSCI ACWI -0.81% 0.83% Total International Equity -0.85% 0.69% Fixed Income *Total Fund Composite includes all classes ex PE & REBC AGG 1.04% 2.84% Real Estate NCREIF 0.08% -1.78%
Market Valuation Report
Market Values
The total portfolio value increased in April by $64.0 million to $7.04billion. This compares with an increase in value of $289 million for thesame period in 2009. The Domestic Equity Market values increased by $67.4million; Fixed Income increased by $1.4 million, including transfersout of $16.0 million; while International Values decreased by $10.6million, including transfers out of $0.13 million. The Cash Accounts decreased by $1.3
million including transfers out of $1.3 million, and Alternative Investments decreased by $4.2 million, including transfers out of $3.8 million. The Real Return Pool
increased by $9.5 million including transfers in of $0.00 million. The overlay accountincreased by $1.8 million.
April 30, 2010
May 05 - April 10
$3
$4
$5
$6
$7
$8
$9
M-05 O-05 M-06 A-06 J-07
J-07
N-07 A-08 S-08 F-09 J-09
D-09
(billi
ons)
Cash Flow
April pension payroll of $70.4 million was greater than the $48.4 million in contributions and wire transfers received by $22.0 million.To meet pension and other obligations, a transfer from long-term investments of $21.3 million was necessary.
Alternative Investments
At this time the alternative investment asset class has unfunded commitments of approximately $294.6 million oncommitments of $1,276 million.
* Difference in actual investment allocation versus target allocation policy is offset by the notional overlay provided by the Russell Implementation account.
US Equity 38%
International Equity 18%
US Fixed Income 24%
Real Return 6%
Real Estate 3%
Private Equity 10%
Russell Implementation* 1%
Cash 0%
US Equity
International Equity
US Fixed Income
Real Return
Real Estate
Private Equity
Russell Implementation*
Cash
RHODE ISLAND STATE INVESTMENT COMMISSIONSHORT TERM CASH INVESTMENTS AT:
April 30, 2010
Sovereign Bank0.17%
Fidelity6.53%
BlackRock26.34%
Citizens Bank28.39%
Webster Bank21.84%
Oppenheimer Inc
2.79%
Washington Trust13.95%
CP0% CD
14%
Agency3%
Money Mkt33%
PIP50%
Repo0%
GID0%
REPO = Repurchase AgreementGID = Government Insured DepositCP = Commercial PaperCD = Certificate of DepositCoD = Collateralized DepositAgency = US Government Agency
Sovereign Bank0.17%
Fidelity6.53%
BlackRock26.34%
Citizens Bank28.39%
Webster Bank21.84%
Oppenheimer Inc
2.79%
Washington Trust13.95%
CP0% CD
14%
Agency3%
Money Mkt33%
PIP50%
Repo0%
GID0%
State of Rhode IslandOffice of the General Treasurer
Short-Term Investments
Issuer Credit RatingsApr-10
Issuer Ratings S-T Debt Rating L-T Debt Rating Credit OutlookType of Month End %
1 Repurchase Agreement2 Commercial Paper3 Certificate of Deposit4 Collateralized Deposit5 US Agency Discount Note6 Government Money Market7 Government Insured Deposit
Ratings Definitions
Moody's Short-Term Debt Ratings: S&P Short-Term Credit Ratings:P-1 - Prime-1 have a superior ability for repayment of sr. S-T debt obligations A-1 - Highest rated, strong capacity to meet obligationsP-2 - Prime-1 have a strong ability for repayment of sr. S-T debt obligations A-2 - Somewhat more susceptible to adverse effects of changes in financial conditions, satisfactoryP-3 - Prime-1 have an acceptable ability for repayment of sr. S-T debt obligations A-3 - Exhibits adequate protection parametersNP - Not Prime B - Significant speculative characteristics, faces major ongoing uncertainties
C - Vulnerable to non-paymentD - Payment defaultModifiers:+ or - show relative standing within the category.
Moody's Issuer Rating Symbols:Aaa - Offer exceptional financial security (high-grade)Aa - Offer excellent financial security (high-grade)A - Offer good financial securityBaa - Offer adequate financial security S&P Outlook Definitions:Ba - Offer questionable financial security Positive - A rating may be raisedB - Offer poor financial security Negative - A rating may be loweredCaa - Offer very poor financial security Stable - A rating is not likely to changeCa - Offer extremely poor financial security Developing - May be raised or loweredC - Lowest rated class, usually in default NM - Not meaningfulModifiers:1 - Higher end of letter rating category2 - Mid-range of letter rating category3 - Lower end of letter rating category
S&P Long-Term Debt Ratings:AAA - Highest rating, extremely strongAA - Differs slightly from highest rating, very strongA - Somewhat more susceptible to adverse effects of change in economic condition, strongBBB - Exhibits adequate protection parameters
Moody's Long-Term Debt Ratings: BB, B, CCC, CC, C - Have significant speculative characteristics. BB least speculative, C highest degree.Aaa - Best Quality D - Payment defaultAa - High Quality Modifiers:A - Posess many favorable investment attributes + or - show relative standing within the category.Baa - Medium-grade obligationsBa - Posess speculative elementsB - Generally lack characteristics of desirable investmentsCaa - Poor standingCa - Speculative in a high degreeC - Lowest rated class of bondsModifiers:1 - Higher end of letter rating category2 - Mid-range of letter rating category3 - Lower end of letter rating category
PERFORMANCE
40 FOUNTAIN ST. 8TH FLOOR, PROVIDENCE, RHODE ISLAND 02903 TEL 401.222.2287 FAX 401.222.6141
State of Rhode Island and Providence Plantations Office of the General Treasurer
Frank T. Caprio General Treasurer
May 19, 2010
State Investment Commission State of Rhode Island, State House Providence, Rhode Island This is to certify that the amounts so listed below belong to the credit of the Employees’ Retirement, State Police and Judiciary Retirement Systems, and the Municipal Employees’ Retirement System of the State of Rhode Island at the close of business on April 30, 2010.
Employees' Retirement System of Rhode Island Composite Reporting Investment Valuation
April 30, 2010 Class
Cash/Short Term Investments 624,726,107 Equities - Domestic 2,710,869,861 Equities - International 1,238,268,653
Fixed Income - Government $911,018,192 Fixed Income - Corporate $639,677,534
Total Fixed Income 1,550,695,726 Alternative Investments 676,397,398 Real Estate 238,192,709 Total Fund Investments 7,039,150,454 Plan Allocation State Employees & Teachers 83.52% 5,878,908,254 Municipal Employees 15.15% 1,066,595,433 State Police 0.84% 59,001,005 Judicial 0.49% 34,645,762 Total Fund Investments 100.00% 7,039,150,454
The amount listed for alternative investments designation is illiquid and does not have a readily determinable market value. It is based on appraisals only. Respectfully submitted, Vincent Izzo, Cash Manager
MKT VAL % of FUND 1 Month 3 Months YTD FYTD 1 Year 2 Years 3 Years 5 Years ITD Incept DateDOMESTIC EQUITYIndex
Total Plan Ex PE & RE 4.98% 4.57% 0.41% 1.41% 1.07% 0.34% 6,975,129,920 (20,838,000) 7,039,150,454 84,858,534 Total Plan 4.87% 4.50% 0.37% 1.20% 1.07% 0.13% *Policy Index: (Effective 04/1/09) 36% Russell 3000 Effective 11/1/09 Moved TIPS from Fixed Income to Real Return. The history remains in Fixed Income.22% BC Agg
17.5% MSCI World Free Ex USA
10% CPI + 4%
7.5% S&P 500 + 3%
Current Month
ERSRI Monthly Market Value Report With Time Weighted Returns
Valuation Change
Calendar YTD
Geo's sic report5/19/2010
1
State of Rhode IslandRATES OF RETURN - TotalPeriods Ending April 30, 2010
Fund Index Excess Fund Index ExcessBenchmark Value (000)Net Flow
(000)
Provided by State Street Investment AnalyticsPage 7
U.S. EQUITYSSGA S&P 500 INDEX FUND S&P 500 1.59 1.58 0.01 7.09 7.05 0.04 1,799,915 0SHOTT CAPITAL S&P 500 0.01 1.58 -1.57 0.04 7.05 -7.01 1,518 0WELLINGTON TECHNICAL EQUITY RUSSELL 3000 -0.59 2.16 -2.75 2.04 8.23 -6.19 157,175 0RUSSELL 2000 INDEX FUND RUSSELL 2000 5.63 5.66 -0.03 14.99 15.01 -0.02 753,148 0
TOTAL US EQUITY RUSSELL 3000 2.55 2.16 0.39 8.85 8.23 0.62 2,711,756 0
INTERNATIONAL EQUITYTHE BOSTON COMPANY MSCI AC WORLD ex US (GROSS) -0.81 0.83 218 0GOLDMAN SACHS MSCI AC WORLD ex US (GROSS) -0.81 0.83 156 -14MONDRIAN MSCI AC WORLD ex US (GROSS) -0.81 0.83 223 0MSCI ACWI EX US INDEX FUND MSCI AC WORLD ex US (NET) -0.85 -0.88 0.03 0.69 0.69 0.00 1,237,562 0
TOTAL INTERNATIONAL EQUITY MSCI AC WORLD ex US (GROSS) -0.85 -0.81 -0.04 0.69 0.83 -0.14 1,238,646 4
U.S. FIXED INCOMEPYRAMIS GLOBAL ADVISORS BC MBS 1.03 0.60 0.43 3.06 2.15 0.91 446,049 0BROWN BROTHERS HARRIMAN - CORE CITIGROUP BIG 1.14 0.98 0.16 2.85 2.54 0.31 347,230 0TAPLIN, CANIDA & HABACHT BC CREDIT 1.93 1.67 0.26 4.20 3.99 0.21 349,796 293MACKAY SHIELDS, LLC CSFB GLOBAL HIGH YIELD 1.25 2.32 -1.07 5.07 6.90 -1.83 159,699 0FIXED INCOME CASH ACCOUNT 91 DAY T-BILL 0.01 0.01 0.00 0.04 0.02 0.02 361,441 -15,986
TOTAL US FIXED INCOME BC AGGREGATE 1.03 1.04 -0.01 2.68 2.84 -0.16 1,664,215 -15,693
State of Rhode IslandRATES OF RETURN - TotalPeriods Ending April 30, 2010
TOTAL PLANTOTAL PLAN TOTAL PLAN BENCHMARK 1.20 1.07 0.13 4.87 4.50 0.37 7,039,150 -21,200TOTAL PLAN ex PE RE TOTAL PLAN BENCHMARK ex PE RE 1.41 1.07 0.34 4.98 4.57 0.41 6,124,332 -16,992
State of Rhode IslandTOTAL PLAN
CUMULATIVE PERFORMANCE REPORT
PERIODS: April 30, 2007 - April 30, 2010Index: TOTAL PLAN BENCHMARK
Provided by State Street Investment AnalyticsPage 1
State of Rhode IslandUS EQUITY POOLS PUBLIC GT 1BILL (SSC)PERIOD ENDING March 31, 2010
TOTAL RETURN
Page 7Provided by State Street Investment Analytics
-11%
-2%
7%
16%
25%
34%
43%
52%
61%
UÚ UÚ
UÚ
UÚ
UÚ
UÚ
UÚ
UÚ
UÚ
State of Rhode IslandTOTAL PLAN
RISK VS. RETURN
April 30, 2005 - April 30, 2010Benchmark: TOTAL PLAN BENCHMARK
Provided by State Street Investment AnalyticsPage 1
RISK INFORMATION RISK STATISTICS
Portfolio ReturnBenchmark ReturnReturn DifferencesPortfolio Standard DeviationBenchmark StandardTracking Error
Historic BetaR-squaredJensen's AlphaSharpe RatioTreynor RatioInformation Ratio
0.914.824.600.22
11.2612.211.84
0.980.370.172.140.12
ASSET ALLOCATION
State of Rhode IslandAsset Allocation
4/30/2010
US Equity38.5%
Real Return
Real Estate3.4%
Private Equity9.7% Russell
1.5%
Cash5.3%
Physical Allocation
US Equity38.1%
Real Return5.7%
Real Estate3.4%
Private Equity9.8%
Russell
0.0%Cash2.9%
Notional Allocation
US Equity36.0%Real Return
10.0%
Real Estate5.0%
Private Equity7.5%
Russell 0.0%
Cash2.0%
Policy Allocation
* Difference in actual investment allocation versus target allocation policy is offset by the notional overlay provided by the Russell Implementation account.
US Equity38.5%
International Equity17.6%
US Fixed Income18.5%
Real Return5.6%
Real Estate3.4%
Private Equity9.7% Russell
1.5%
Cash5.3%
Physical Allocation
US Equity38.1%
International Equity17.4%
US Fixed Income22.6%
Real Return5.7%
Real Estate3.4%
Private Equity9.8%
Russell
0.0%Cash2.9%
Notional Allocation
US Equity36.0%
International Equity17.5%
US Fixed Income22.0%
Real Return10.0%
Real Estate5.0%
Private Equity7.5%
Russell 0.0%
Cash2.0%
Policy Allocation
State of Rhode IslandAsset Allocation
4/30/2010
2.5%
0.1%
‐3.5%
‐4.4%
‐1.6%
2.2%
1.4%
3.3%
1.5%
‐0.3%
0.3%
‐4.4%
‐1.6%
2.2%
0.0%
0.9%
US Equity International Equity US Fixed Income Real Return Real Estate Private Equity Russell Implementation*
* Difference in actual investment allocation versus target allocation policy is offset by the notional overlay provided by the Russell Implementation account.
Overlay Difference
Physical Difference
PolicyNotional Allocation
Physical Allocation*
2.5%
0.1%
‐3.5%
‐4.4%
‐1.6%
2.2%
1.4%
3.3%
1.5%
‐0.3%
0.3%
‐4.4%
‐1.6%
2.2%
0.0%
0.9%
US Equity International Equity US Fixed Income Real Return Real Estate Private Equity Russell Implementation*
Cash
Deviations from Target Allocation
Physical Difference Overlay Difference
Domestic EquitySSGA S&P 500 INDEX FUND 1,799.92 25.57%WELLINGTON TECHNICAL EQUITY 157.17 2.23%SHOTT CAPITAL 1.52 0.02%RUSSELL 2000 INDEX FUND 753.15 10.70%
TOTAL DOMESTIC EQUITY 2,711.76 38.52%International Equity
MSCI ACWI EX US INDEX FUND 1,237.56 17.58%TAX RECLAIMS 0.60 0.01%SSGA TRANSITION ACCOUNT 0.49 0.01%
TOTAL INT'L EQUITY 1,238.65 17.60%Domestic Fixed Income
BROWN BROTHERS HARRIMAN - CORE 347.23 4.93%PYRAMIS GLOBAL ADVISORS 446.05 6.34%MACKAY SHIELDS, LLC 159.70 2.27%TAPLIN, CANIDA & HABACHT 349.80 4.97%
TOTAL FIXED-INCOME 1,302.77 18.51%Alternative Investments
Real Estate 238.19 3.38%Pacific Corp Group 676.62 9.61%
TOTAL ALTERNATIVE INVESTMENTS 914.82 13.00%Real Return Pool
BROWN BROTHERS HARRIMAN - TIPS 394.96 5.61%
TOTAL REAL RETURN POOL 394.96 5.61%Cash
CASH EQUIVALENTS 12.76 0.18%FIXED INCOME CASH ACCOUNT 361.44 5.13%
Other Russell Implementation Services 101.99 1.45%
TOTAL ASSETS 7,039.15 100.00%
Mandate
ASSET ALLOCATION REPORT
(Millions $)
PassivePassive
Style
STIF, Yield+
ClosedClosed
Opportunistic Core
Enhanced EquityTactical Equity
STIF, Yield+
Mortgages
TIPS
April 30, 2010
High YieldCorporates
Real EstatePrivate Equity
Passive
Actual
Historical Asset AllocationState of Rhode Island
April 30, 2010
International Equity International Equity International Equity
International Equity International Equity
US Fixed Income US Fixed Income US Fixed IncomeUS Fixed Income US Fixed Income
Russell Implementation* Russell Implementation* Russell Implementation* Russell Implementation* Russell Implementation*
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Target Current 1 Yr Ago 3 Yrs Ago 5 Yrs Ago
State of Rhode IslandMANAGER ALLOCATION ANALYSIS
CURRENT MANAGER ALLOCATION
PERIOD ENDING 04/30/2010
Provided by State Street Investment AnalyticsPage 4
CURRENTPERIOD
ONE YEARAGO ALLOC. FUND
1 BROWN BROTHERS 395.0 356.1 19.2
PYRAMIS GLOBAL ADVISORS 446.0 411.8 21.7
FIXED INCOME CASH 361.4 63.6 17.6
TAPLIN, CANIDA & HABACHT 349.8 277.1 17.0
BROWN BROTHERS 347.2 321.9 16.9
MACKAY SHIELDS, LLC 159.7 119.4 7.8
2,059.2 1,549.9 100.0TOTAL
State of Rhode IslandMANAGER ALLOCATION ANALYSIS
CURRENT MANAGER ALLOCATION
PERIOD ENDING 04/30/2010
Provided by State Street Investment AnalyticsPage 3
CURRENTPERIOD
ONE YEARAGO ALLOC. FUND
RUSSELL 2000 INDEX FUND 753.1 27.8
TRANSITION ACCOUNT 47.9 0.0
SSGA S&P 500 INDEX FUND 1,799.9 1,274.0 66.4
PIMCO 317.7 0.0
WELLINGTON MANAGEMENT 0.2 0.0
NORTHPOINTE CAPITAL 0.1 0.0
SSGA - CORE 0.1 0.0
SHOTT CAPITAL 1.5 1.3 0.1
WELLINGTON TECHNICAL 157.2 127.2 5.8
2,711.8 1,768.3 100.0TOTAL
State of Rhode IslandMANAGER ALLOCATION ANALYSIS
CURRENT MANAGER ALLOCATION
PERIOD ENDING 04/30/2010
Provided by State Street Investment AnalyticsPage 6
CURRENTPERIOD
ONE YEARAGO ALLOC. FUND
MSCI ACWI EX US INDEX 1,237.6 100.0
TRANSITION ACCOUNT 5.3 0.0
GOLDMAN SACHS 0.2 7.4 0.0
MONDRIAN 0.2 1.5 0.0
THE BOSTON COMPANY 0.2 3.8 0.0
1,238.2 17.9 100.0TOTAL
CASH FLOW
CASH FLOW ANALYSIS - INCOME & EXPENSES
Employees Retirement System
FISCAL YEAR 2010 FY 2009-10Actual Actual Actual Actual Actual Actual Actual Actual Actual Actual Projected ProjectedJuly August September October November December January February March April May June TOTAL2009 2010
Actual Actual Actual Actual Actual Actual Actual Actual Actual Actual Projected ProjectedJuly August September October November December January February March April May June TOTAL2009 2010
Investments, Private Equity, Securities Lending, and Cash Accounts,
FISCAL YEAR 2010 INVESTMENT MANAGER FEES, PROFESSIONAL FEES & OPERATING EXPENSES
ERSRI & MERSRI ACCRUAL BASIS
Actual Actual Actual Actual Actual Actual Projected Projected Projected Projected Projected Projected ProjectedJul 09 Aug Sept Oct Nov Dec Jan 10 Feb 10 Mar 10 Apr 10 May 10 June 10 TOTAL
State of Rhode Island Alternative Investment Unfunded CommittmentApril 2010
Partnership Investment Total CommitmentERSRIRemaining
Commitment
Alta BioPhama Partners III 15,000,000.00$ 2,250,000.00$ Alta Partners VIII 15,000,000.00$ 6,000,000.00$ Apollo Investment Fund IV 15,000,000.00$ 41,214.94$ Apollo Investment Fund VI 20,000,000.00$ 2,591,629.62$ Apollo VII 25,000,000.00$ 17,029,488.00$ Aurora Equity Partners II** 15,000,000.00$ 38,917.00$ Aurora Equity Partners III** 15,000,000.00$ 769,174.00$ Avenue Special Situations Fund III 15,000,000.00$ -$ Avenue Special Situations Fund IV 20,000,000.00$ -$ Avenue V 20,000,000.00$ -$ Bain X 25,000,000.00$ 16,812,500.00$ Birch Hill Equity Partners III* 17,686,800.00$ 1,243,283.27$ Blackstone Capital Partners III ** 20,000,000.00$ 924,045.00$ Blackstone Capital Partners IV ** 25,000,000.00$ 2,052,524.00$ Blackstone Capital Partners V** 20,000,000.00$ 3,326,147.04$ Castile III 5,000,000.00$ 2,025,000.00$ Catterton Partners V 15,000,000.00$ 513,013.00$ Catterton Partners VI 15,000,000.00$ 4,807,018.00$ Centerbridge 15,000,000.00$ 3,922,800.00$ Charterhouse Capital Partners VIII* 19,941,000.00$ 4,219,574.36$ Coller International Capital IV** 15,000,000.00$ 2,100,000.00$ Coller International Capital V 15,000,000.00$ 6,787,500.00$ Constellation III 15,000,000.00$ 7,847,081.83$ CVC European Equity Partners lll 20,000,000.00$ 899,966.29$ CVC European Equity Partners IV* 21,935,100.00$ 2,799,493.91$ CVC 5 26,588,000.00$ 21,005,246.46$ Fenway Partners Capital Fund II 15,000,000.00$ 348,826.00$ Fenway III 15,000,000.00$ 3,963,217.00$ First Reserve Fund X 20,000,000.00$ 1.63$ First Reserve Fund XI 20,000,000.00$ 4,816,913.29$ Focus Ventures III 15,000,000.00$ 3,525,000.00$ Granite Global Ventures II 15,000,000.00$ 675,000.00$ Granite Global Ventures III 15,000,000.00$ 6,000,000.00$ Green Equity Investors IV 15,000,000.00$ 356,765.63$ Green Equity Investors V 20,000,000.00$ 12,507,127.76$ Harvest Partners III 15,000,000.00$ 364,023.61$ Kayne Anderson Energy Fund III 15,000,000.00$ 2,237,545.10$ Kayne Anderson Energy Fund IV 15,000,000.00$ 7,350,000.53$ Leapfrog Ventures II 10,000,000.00$ 2,155,000.00$ Leeds Weld Equity Partners IV 10,000,000.00$ 75,360.41$ Lighthouse Capital Partners V 11,250,000.00$ 787,500.00$ Lighthouse Capital Partners VI 15,000,000.00$ 3,374,999.99$ LNK Partners 12,500,000.00$ 6,510,169.51$
Matlin Patterson Glb. Opp. Fund (CSFB) 15,000,000.00$ -$ MHR Institutional Partners III 20,000,000.00$ 7,477,953.00$ Nautic Partners V 20,000,000.00$ 842,506.02$ Nautic Partners VI 20,000,000.00$ 12,486,342.34$
5/19/2010 april10unfundedaltsic
State of Rhode Island Alternative Investment Unfunded CommittmentApril 2010
Partnership Investment Total CommitmentERSRIRemaining
Commitment
Nordic Capital Fund III* 11,032,000.00$ 179,833.33$ Nordic Capital Fund V* 19,429,912.17$ 0.09$ Nordic Capital Fund VI* 19,941,000.00$ 1,157,805.60$ Nordic VII 19,941,000.00$ 14,359,876.28$ OCM Opportunities Fund II 12,000,000.00$ -$ OCM Principal Opportunities Fund 5,000,000.00$ -$ Palladin III 10,000,000.00$ 5,630,347.00$ Parthenon Investors 15,000,000.00$ -$ Parthenon Investors ll 20,000,000.00$ 1,362,393.00$ Perseus VII 15,000,000.00$ 3,839,551.00$ Point 406 10,000,000.00$ 4,610,000.00$ Point Judith II 5,000,000.00$ 2,150,451.32$ Providence Equity Partners III 15,000,000.00$ 1,935,458.51$ Providence Equity Partners IV 25,000,000.00$ 1,779,320.79$ Providence Equity Partners V 25,000,000.00$ 2,171,825.00$ Providence Equity Partners VI 25,000,000.00$ 12,268,311.00$ SKM Equity Fund II** 10,000,000.00$ 1,735,947.00$ Thomas McNerney & Partners 15,000,000.00$ 1,537,500.00$ Thomas McNerney & Partners 2 15,000,000.00$ 7,612,500.00$ TPG Partners II 10,000,000.00$ 308,515.00$ TPG Partners IV 15,000,000.00$ 1,210,207.00$ TPG Partners V 20,000,000.00$ 3,838,143.00$ TPG VI 20,000,000.00$ 16,334,248.00$ Trilantic 11,098,351.00$ 6,176,933.54$ VS&A Communication Partners III 15,000,000.00$ 7,978.00$ W Capital Partners 15,000,000.00$ 1,143,000.00$ W Capital Partners II 15,000,000.00$ 7,765,631.00$
Washington & Congress Capital Partners** 15,000,000.00$ 305,637.24$ Wellspring Capital Partners III 20,000,000.00$ 120,955.00$ Wellspring Capital Partners IV 20,000,000.00$ 4,978,440.00$ Willis Stein & Partners 5,000,000.00$ -$ WLR 8,000,000.00$ 4,172,099.00$
Total Alternative Investments 1,276,343,163.17$ 294,552,775.25$
*transactions occur in foreign currence** fees NOT affecting unfunded commitment
5/19/2010 april10unfundedaltsic
State of Rhode Island Real Estate Investment Unfunded CommittmentApril 2010
o
Real Estate Partnership InvestmentERSRI Remaining
Commitment
AEW 35,000,000.00$ 19,444,782.62$ Fillmore East Fund I 10,000,000.00$ 0.08$ Fremont Strategic Property Partners II 15,000,000.00$ 1,873,108.00$ GMAC Commerical Realty Partners II 15,000,000.00$ 2,155,117.00$ Heitman Advisory Corporation -$ JPMorgan Fleming Asset Mgmt. Strat. Pr 50,000,000.00$ -$ JPMorgan Alternative Property Fund 20,000,000.00$ -$ LaSalle Income & Growth Fund IV 15,000,000.00$ 397,937.57$ L&B Real Estate Counsel -$ Magna Hotel 4,000,000.00$ 2,709,898.00$ Morgan Stanley Prime Property Fund 35,000,000.00$ -$ Prudential Real Esate Investors (PRISA) 50,000,000.00$ -$ Prudential Real Esate Investors (PRISA) I 15,000,000.00$ 1,017,000.00$ RREEF America REIT II Fund 35,000,000.00$ -$ Starwood Hospitality Fund I 10,000,000.00$ -$ TA Realty Fund VIII 15,000,000.00$ -$ Tri Continential Fund VII 15,000,000.00$ 428,467.00$ Walton Street Real Estate Fund V 20,000,000.00$ 0.18$ Westbrook Real Estate Fund VI 16,401,663.00$ 79,399.00$ Westbrook Real Estate Fund VII 16,500,000.00$ 1,499,999.40$
391,901,663.00$ 29,605,708.85$
SHORT TERM INVESTMENTS
RI SIC GUIDELINE COMPLIANCE REPORT
INVESTMENTS AS OF:
REPO = Repurchase AgreementCP = Commercial PaperGID = Government Insured DepositCD = Certificate of DepositCoD = Collateralized DepositAgency = US Government Agency
Vendor CP CD Agency Money Mkt PIP Repo GID Total ($)Guidelines-Total/Vendor 25%/10% 50%/20% 75%/35% 75%/35% 75%/35% 100%/20% 75%/35%Bank RI 0 0 0 0 0 0 0 0
CLEAN WATER CCDL 1998B ‐$ ‐$ ‐$ CLEAN WATER CCDL 1994 (A) 6,045.63$ 12,366.53$ 8,363.14$ 0.30$ 0.0436%CAP DEV. OF 1997 SERIES A 11,163.32$ 22,728.69$ 15,403.66$ 0.56$ 0.0442%CLEAN WATER CCDL 2002 B ‐$ ‐$ ‐$ CLEAN WATER 2004 SERIES A 647,337.30$ 622,335.34$ 638,156.32$ 23.30$ 0.0444%CLN WATER CCDL 2005 SER E 51,676.53$ 26,676.08$ 42,508.72$ 1.57$ 0.0449%CAP DEV. OF 1997 SERIES A ‐$ ‐$ ‐$ RI POLLUT. CONT 94 SER. A ‐$ ‐$ ‐$ CCDL99A 1999A 278,017.11$ 243,989.84$ 265,534.71$ 9.71$ 0.0445%POL. CTRL CCDL 2006 SER C 232,465.55$ 233,203.76$ 232,731.30$ 8.49$ 0.0444%CLEAN WATER 2007 SERIES A 499,234.17$ 499,232.90$ 499,223.13$ 18.21$ 0.0444%RI POLLUTION CONTROL 2008 B 699,026.59$ 698,456.81$ 698,802.87$ 25.49$ 0.0444%G.O. NOTE 1991 SER. B 3,783.52$ 3,783.51$ 3,783.43$ 0.14$ 0.0450%BOND CCDL 1994 SERIES A 173,800.75$ 173,800.31$ 173,796.91$ 6.34$ 0.0444%BOND CCBL96A 256,496.72$ 256,496.07$ 256,491.05$ 9.36$ 0.0444%CAP DEV OF 1997 SERIES A 344.34$ 344.34$ 344.33$ 0.01$ 0.0353%CCDL 1998B 1,745,749.68$ 1,745,745.25$ 1,745,711.08$ 63.69$ 0.0444%MMG099 1999 2,839.88$ 2,839.87$ 2,839.82$ 0.10$ 0.0428%BOND CAPITOL CCDL2000A 948,940.19$ 948,937.78$ 948,919.21$ 34.62$ 0.0444%MULTI‐MODAL GEN OBL 2000 2,811.63$ 2,811.62$ 2,811.57$ 0.10$ 0.0433%CCDL 2004 SERIES A 7,068,623.61$ 7,068,605.66$ 7,068,467.31$ 257.87$ 0.0444%BOND CCDL 2005 SERIES C 16,006,666.52$ 16,006,625.87$ 16,006,312.59$ 583.94$ 0.0444%BOND CCDL 2005 SERIES E 2,420,191.79$ 2,420,185.64$ 2,420,138.27$ 88.29$ 0.0444%BOND CCDL 2006 SERIES B 22,596.97$ 22,596.91$ 22,596.47$ 0.82$ 0.0442%BOND CCDL 2006 SERIES C 6,343,709.55$ 6,343,693.45$ 6,343,569.28$ 231.43$ 0.0444%GO BND‐NTAX 2007 SERIES A 595,834.54$ 595,833.03$ 595,821.36$ 21.74$ 0.0444%GO BND‐TAX 2007 SERIES B 3,997,131.56$ 3,997,121.41$ 3,997,043.18$ 145.82$ 0.0444%NON‐TAX GO BND 2008 SERIES B 11,542,825.08$ 9,542,784.61$ 11,209,236.51$ 409.94$ 0.0445%TAXABLE GO BND 2008 SERIES C 8,495,936.25$ 8,495,914.67$ 8,495,748.39$ 309.94$ 0.0444%
Bond Proceeds Fund Totals 62,053,248.78$ 59,987,109.95$ 61,694,354.61$ 2,251.78$ 0.044%
TANS PROCEEDS 85,566,907.89$ 85,616,028.55$ 85,566,907.89$ 49,120.66$ 0.6984%
Grand Totals 494,239,340.22$ 468,399,076.31$ 533,911,844.99$ 173,242.93$ 0.394%
State of Rhode IslandShort Term Cash Monthly Performance
Performance for April 01, 2010 to April 30, 2010
$459,401,510
$150,000,000
$200,000,000
$250,000,000
$300,000,000
$350,000,000
$400,000,000
$450,000,000
$500,000,000
Short‐Term InvestmentsMaturity Schedule
$459,401,510
$9,000,000$0 $0 $0
$0
$50,000,000
$100,000,000
$150,000,000
$200,000,000
$250,000,000
$300,000,000
$350,000,000
$400,000,000
$450,000,000
$500,000,000
Under 30 Days 31‐60 Days 61‐90 Days 91‐120 Days Over 120 Days
Short‐Term InvestmentsMaturity Schedule
SPECIAL FUNDS
Fund Name Gain/Loss Total Market Value
Abraham Touro Fund 37,132$ 2,000,972$ ( Fidelity Balanced Fund)
Totals 37,132$ 2,000,972$
April 30, 2010INVESTMENT SUMMARYABRAHAM TOURO FUND