Institutional Federal Compliance Report 2021

______________________________________________________________________________________________ STATE OF NEW YORK • 73 CUNY investments at June 30, 2018, 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 26 $ —00000 Monthly, Quarterly T-10, 60-90 days Global equity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 —00000 Semi-Monthly, 45 days, N/A Quarterly Hedge funds (equities) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 —00000 Quarterly, Annually 45-65 days Global fixed income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 —00000 Daily T-10 days Limited partnership . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 1 Illiquid, N/A N/A Private investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 1 Illiquid N/A Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 72 $ 2

Retirement System—New York State and Local Retirement System

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 various instruments including, but not limited to, non-U.S. emerging and frontier markets, common and preferred stock, stock warrants and rights, debt securities, swaps, options and futures. CUNY’s limited partnership investments include private real assets funds which invest in metal and mining companies with a focus in the post-dis- covery phases of the life cycle of four commodities (gold, copper, potash, and coking coal), and in pri- marily North American upstream oil and gas operating companies at varying stages of development. The event-driven hedge funds category includes invest- ments 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 global fixed income category invests primarily in global debt instruments in a private partnership. The private investments category includes a private invest- ment in a fund that invests primarily in a portfolio of venture capital firms that are diversified by geography, sector (information technology, communications, healthcare and life sciences), and stage (from early to late stage companies) and via both direct investments and investments managed by other firms.

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 con- tracts, which are generally for a period of less than one year, are used to purchase and sell foreign cur- rency at a guaranteed future price. These contracts are recorded at market value using foreign currency exchange rates. The System is exposed to various invest- ment 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 separate accounts, in the name of the Comptroller of the State of New York in Trust for the Common Retirement Fund. These securities are typically held in electronic form by the Depository Trust Company (DTC) and its sub- sidiaries, 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 holds the securities in electronic format. Indirectly held fixed income invest- ments are held by third party administrators in trust for the fund. Equity investments held indirectly by the System via limited partnerships, commingled investment