Institutional Federal Compliance Report 2021

______________________________________________________________________________________________ STATE OF NEW YORK • 69 CUNY investments at June 30, 2017, measured at the NAV were as follows (amounts in millions): Redemption Unfunded Frequency Redemption Investment Type Fair Value Commitments (If Currently Eligible) Notice Period Multi-strategy funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24 $ —00000 Monthly, Quarterly T-10, 60-90 days Global equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 —00000 Semi-Monthly, 45 days, N/A Quarterly Variable annuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 —00000 Monthly 30 Days Event-driven hedge funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 —00000 Quarterly, Annually 45-65 days Limited partnership . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 3 Illiquid, N/A N/A Privately offered partnership . . . . . . . . . . . . . . . . . . . . . . . . . . 8 —00000 Daily T-10 Private investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1 Illiquid N/A Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 81 $ 4

The multi-strategy funds category includes invest- ments in: (1) hedge funds that invest in a diversified group of investment strategies utilizing both long and short positions in an unlimited range of financial instruments throughout the world; (2) hedge funds that invest in providing consistent long-term appre- ciation of assets through active investment in a diver- sified portfolio of underlying funds; and (3) a multiple common trust fund, which is a master fund of multiple strategically weighted global portfolios, which are tied to different underlying asset classes including global equities, commodities, inflation-linked and other types of fixed income securities. The weights, however, may vary on a tactical basis according to top-down views by utilizing cash or derivatives in an overlay portfolio. Global equity assets are invested in non-U.S. emerging and frontier markets and in global developed markets. CUNY’s limited partnership investments include private real assets funds which invest in metal and mining companies with a focus in the post-discovery phases of the life cycle of four commodities (gold, copper, potash and coking coal), and in primarily North American upstream oil and gas operating com- panies at varying stages of development. The variable annuity category includes investments via a life insur- ance contract/group variable annuity invested in a public limited partnership that invests in Master Limited Partnerships (MLP). The returns on the vari- able annuity match the returns on the underlying investment less the annuity expenses. The event-driven hedge funds category includes investments in three hedge fund limited partnerships that focus on event- driven situations that attempt to extract value by using multiple strategies, including distressed and other credit investing, merger arbitrage, long/short equity investments and convertible securities globally. The privately offered partnership category includes a global fixed income fund, which invests primarily in global debt instruments. The private investments category includes two private investments: (1) a fund that invests primarily in a portfolio of venture capital firms that are diversified by geography, sector (information tech- nology, communications, healthcare and life sciences),

and stage (from early to late stage companies) as both direct investments and investments managed by other firms; and (2) floating rate residential mortgage-backed securities rated CA by Moody’s and CCC by Standard & Poor’s. Retirement System—New York State and Local Retirement System The financial statements of the New York State and Local Retirement System (System) are prepared using the accrual basis of accounting. Investments are reported at fair value. Stocks traded on a national or international exchange are valued at quoted market value. Investments that do not have an established market are reported at estimated fair value as deter- mined by the general partner or by the investment manager. The System trades in foreign exchange con- tracts in the normal course of its investing activities in order to manage exposure to market risks. Such contracts, which are generally for a period of less than one year, are used to purchase and sell foreign currency at a guaranteed future price. These contracts are recorded at market value using foreign currency exchange rates. The System is exposed to various investment risks, which are discussed in the remainder of this Note. Custodial Credit Risk Equity and fixed income investments owned directly by the System which trade in the United States markets are generally held at the System’s custodian, in sep- arate accounts, in the name of the Comptroller of the State of New York in Trust for the Common Retire- ment Fund. These securities are typically held in elec- tronic form by the Depository Trust Company (DTC) and its subsidiaries, acting as an agent of the System’s custodian bank. Securities held directly by the System which trade in markets outside the U.S. are held by a subsidiary of the System’s custodian bank in the local market, by a bank performing custodial services in the local market acting as an agent for the System’s custodian bank, or, in some foreign markets, by a DTC subsidiary or an organization similar to DTC, which