2023 Private Credit RFP

Search Presentation

December 2023

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Agenda

I. Private Credit Overview

II. IMRF Current Portfolio and Investment Pacing

III. RFP Search Process

IV. Investment Summaries
V. Appendix

wilshire.com | ©2023 Wilshire Advisors LLC 2

I. Private Credit Overview

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Private Debt Market Opportunity and Growth
16,000

14,000 ~$4
12,000 TRILLION
GAP
• Un-met financing needs for private companies 10,000

USD ($B)
are flowing to alternative sources of capital, 8,000
resulting in a $4 trillion gap that fuels the private 6,000
debt markets1 4,000

2,000

Deposits, All Commercial Banks Loans and Leases in Bank Credit, All Commercial Banks
3.0

Assets under Management ($T)

2.5

• The private debt market opportunity is expected 2.0

to grow to over $2.5 trillion by 20262 1.5

1.0

0.5

1Federal Reserve Bank of St. Louis Economic Data, as of April 2020 0.0
2Preqin January 2022.

wilshire.com | ©2023 Wilshire Advisors LLC 4

Private Credit Overview
STRATEGY PRODUCTS Target Return (1)

• Senior secured term debt (1st lien)

• Uni-tranche debt (1st and 2nd lien)
Direct Lending • Generalist & specialist 6%-8%
• Primarily sponsored deals
• Floating rate
• Mezzanine & unsecured subordinated debt
• Bespoke solutions with equity and/or warrant upside
• Complex and special situations
Opportunistic 8%-17%
• 2nd lien term debt
• Asset backed debt
• Fixed or floating rate

• Distressed for influence/control & turnarounds

Distressed Debt • Distressed debt trading 12%-25%
• Primarily secondary transactions

1Target return is estimated unlevered gross IRR based on Wilshire assessment of manager expectations.
There is no guarantee that any investment will achieve the Target Return.

wilshire.com | ©2023 Wilshire Advisors LLC 5

II. IMRF Current Portfolio and
Investment Pacing

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Private Credit Allocation
Newly-approved private credit allocation is being implemented with current private credit RFP.

Actual Allocation
Interim Allocation (%) Interim Allocation (%) Strategic Target (%)
Asset Class (%) as of
2023 2024 2025
12/31/2022
US Equity 33.5 32.0 31.0 30.0
Non-US Equity 17.5 18.0 18.0 18.0
Private Equity 10.3 10.0 10.0 10.0
Total Growth Assets 61.3 60.0 59.0 58.0
High Yield Bonds 2.2 2.0 2.0 2.0
Bank Loans 3.4 2.5 2.5 2.0
Private Credit 0.4 1.5 2.5 4.0
Total Defensive Growth
6.0 6.0 7.0 8.0
Assets
Core Fixed Income 19.5 20.0 20.0 20.0
Cash 0.3 1.0 1.0 1.0
Total Defensive Assets 19.8 21.0 21.0 21.0
Private Real Estate 9.1 10.0 10.0 10.0
Private Real Assets 0.8 0.5 0.5 0.5
Global Listed Infrastructure 2.9 2.5 2.5 2.5
Total Inflation-Sensitive
12.8 13.0 13.0 13.0
Assets

Total 100.0 100.0 100.00 100.0

Total Privates 20.6 22.0 23.0 24.5

wilshire.com | ©2023 Wilshire Advisors LLC 7

Private Credit Commitment Pacing
IMRF
With annual commitments of $600 million over the next 2 years, and stepping up to $700 million thereafter, IMRF is
expected to reach its 4.0% allocation target to private credit in 2027 and maintain thereafter, additionally allowing for
appropriate vintage year diversification.
Model Input Summary (All figures in $MM) Jun-23 Year 2023 Year 2024 Year 2025 Year 2026
Plan Asset Value as of 06/30/2023 $50,717 Total Fund Market Value 50,717 51,858 53,025 54,218 55,438
Private Credit Target Allocation (2025) 4.0%
Expected Nominal Growth Rate (after plan expenditures) 2.25% Private Credit Target Allocation 761 778 1,326 2,169 2,218
Private Credit Net Asset Value 393 714 1,119 1,535 1,792
Private Credit Allocation
Over/Under Allocated (367) (64) (207) (633) (426)
5%
4%
Private Credit Net Asset Value 0.8% 1.4% 2.1% 2.8% 3.2%
Total Fund Allocation

4%
3% Over/Under Allocated -0.7% -0.1% -0.4% -1.2% -0.8%
3%
2% Existing Commitments
2% Net Asset Value 393 714 817 848 748
1%
Capital Calls 368 198 178 43
1%
0% Expected Distributions 101 171 236 237
Jun- 2023 2024 2025 2026 2027 2028 2029 2030 2031 2032
23 Total Future Commitments - 600 600 700
PC Allocation (no new commitments) Net Asset Value - 301 687 1,044
Capital Calls - 301 425 453
PC Allocation (with new commitments)
Distributions - - 64 158

Private Credit NAV as of Wilshire’s Q2 2023 report. Of the Direct Lending commitments, assumes a 50/50 split to closed-ended and open-ended funds in 2023-2025, and a 100/0 split in 2026 and thereafter.

wilshire.com | ©2023 Wilshire Advisors LLC 8

III. RFP Search Process

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Timeline and Search Process
Time Period RFP Stage
March 2023 IMRF and Wilshire Draft RFP
April 3, 2023 RFP Issued; Quiet Period Begins
May 1, 2023 RFP Responses Due
May 2023 IMRF and Wilshire reviewed all RFP submissions
June 13 – June 30, 2023 IMRF and Wilshire conduct first round interviews
Phase I: 2023 Investment Allocations
July 17 – August 3, 2023 IMRF and Wilshire conduct due diligence meetings with Phase I candidates
August 24, 2023 Phase I Finalists presented to IMRF Investment Committee
Phase II: 2024 Investment Allocations
September – November 2023 IMRF and Wilshire conduct due diligence meetings with Phase II candidates
December 14, 2023 Phase II Finalists presented to IMRF Investment Committee

wilshire.com | ©2023 Wilshire Advisors LLC 10

RFP Search Process
IMRF Private Credit RFP

• A total of 210 responses including 25 MWBE firms.

210 Responses
• 156 products were eliminated in the first evaluation, and 28 firms were
eliminated in the second round, based on quantitative and qualitative
analysis, strategic fit, and relative opportunity set.
54 Virtual first round interviews
• 54 top tier products, including 12 MWBE firms, were interviewed virtually by
IMRF Staff and Wilshire, of which 26 products were selected for virtual or in-
person on-site interviews.
26 Phase I & Phase II on-site
• Phase I: IMRF and Wilshire completed 17 on-site interviews, resulting in 8 interviews
recommendations.
13 Recommendations
• Phase II: IMRF and Wilshire completed 9 on-site interviews, resulting in 5 across Phase I &
recommendations. Phase II

• The 13 recommendations resulting from Phase I and Phase II of the RFP

search process is inclusive of 3 MWBE firms.

wilshire.com | ©2023 Wilshire Advisors LLC 11

IV. Investment Summaries

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AG Direct Lending Evergreen Fund
Investment Type Primary Firm Overview
Target Size (B) / Hard Cap (B) $1.0* / No Cap
Angelo, Gordon & Co. (“Angelo Gordon”, “AG” or the “Firm”) was founded in 1988 by John Angelo and Michael
First Close (M) $70
Gordon to initially focus on strategies with which they had 15 years of prior experience: distressed securities, risk
First Close Date July 2022
arbitrage, and convertible arbitrage. Since then, the Firm has grown into a large alternative investment platform
Final Close Date N/A that manages ~$76 billion across a broad range of credit and real estate strategies. AG’s middle-market direct
Vintage Year 2022 lending strategy has been executed by Twin Brook Capital Partners (“Twin Brook”), a wholly owned subsidiary of
Geographic Focus North America Angelo Gordon, since 2014. Notably, in early November 2023 Angelo Gordon was acquired by TPG Inc. (“TPG”), a
Strategy Direct Lending publicly listed alternative asset manager with ~$214 billion of AUM. Angelo Gordon has over 650 employees
Industry Generalist globally across offices in the U.S., Europe, and Asia, while Twin Brook has a team of over 100 employees
headquartered in Chicago. AG is currently raising AG Direct Lending Evergreen Fund (the “Evergreen Fund” or the
Investment Size (M) $50 – $75
“Fund”) with an initial target of $1 billion, alongside the closed-end AG Direct Lending Fund V (“Fund V”) targeting
Number of Investments TBD $3 billion, to continue its middle-market direct lending strategy.
Investment Period 3 years
Fund Term Evergreen Investment Strategy
GP Commitment Up to $15 million
The Fund will look to make floating-rate senior secured loans to middle-market companies owned by private
Target Return 10% – 13% net IRR equity sponsors. The typical use of proceeds will be change of control leveraged buyouts, add-on acquisitions,
Target Cash Yield 6% – 8% recapitalizations and refinancings and other related activities. The Fund targets opportunities with conservative
Management Fee – Investment Period Tiered, starting at 1.0% on invested capital LTVs, typically less than 50% (4.0x to 4.5x EBITDA leverage). The Fund’s core focus is lending to businesses
Management Fee – Post-Investment Period Tiered, starting at 1.0% on invested capital generating $25 million or less of EBITDA. The Firm structures these loans with an average of two financial
Carry/Hurdle 15% / 7% covenants such as senior leverage, total net leverage covenant, interest coverage, fixed charge coverage, and
maximum capital expenditure covenant. Covenant levels are usually targeted with a 20-25% cushion. Although the
Fund has the ability to use leverage up to 2.5:1, fund level leverage is expected to be between 1.25:1 and 1.5:1,
Key Investment Personnel which is more in line with peers.

Name Title Experience

Madison Capital, Antares Capital, GE Capital, Bank of
Trevor Clark Portfolio Manager
America
Andrew Guyette Co-Chief Credit Officer Madison Capital, MB Financial Bank

Kim Trick Co-Chief Credit Officer JPMorgan Chase

*Initial fundraise target.

wilshire.com | ©2023 Wilshire Advisors LLC. For Financial Advisors Only. 13

Atalaya A4 Fund
Investment Type Primary Firm Overview
Target Size (M) / Hard Cap (M)* $500 / No Cap
First Close (M) $227 Atalaya Capital Management (“Atalaya” or the “Firm”), founded in 2006 by Ivan Zinn, is a $9.4 billion alternative
investment firm based in New York. Mr. Zinn is the CIO and is supported by four investment Partners who he had
First Close Date February 2024
previously worked with at Highbridge/DB Zwirn. Atalaya employs 113 professionals, of which 59 are investment
Final Close Date August 2024 professionals organized by sector/subsector specialty. The investment team is supported by the asset
Vintage Year 2021 management team, technology team, and network of over 50 JV partners aiding in sourcing and origination of
Geographic Focus North America opportunities. The Firm has maintained a core focus on cash flowing assets and opportunistic credit investing
Strategy Opportunistic Credit throughout its lifecycle but has expanded additional capabilities in real estate and equipment leasing strategies.
Industry Financials
Investment Size (M) $30 – $50
Number of Investments 60 – 80
Investment Period 1 year
Fund Term Evergreen Investment Strategy
GP Commitment 2%
Target Return 11% – 13% net IRR Atalaya A4 is an evergreen asset-based credit strategy actively allocating across the broader Atalaya platform. The
strategy was borne out of a single investor SMA launched in 2017. The A4 strategy targets high conviction
Target Cash Yield 8% – 10%
opportunities traditionally accessed by the Atalaya Asset Income Funds and Atalaya Special Opportunities Funds
Management Fee – Investment Period 1.5% on invested capital
with excess capacity. The cross-platform offering combines current income of core specialty finance exposures
Management Fee – Post-Investment Period 1.5% on invested capital with opportunistic, absolute return-oriented investments within specialty finance, real estate, and corporate
Carry/Hurdle 18% / 7% credit. The core specialty finance exposure focuses on senior secured revolving credit facilities to consumer and
small business credit originators, with a focus on repeat counterparties within the Atalaya ecosystem. More
Key Investment Personnel opportunistic specialty finance exposures may include performing asset purchases, non-performing discounted
portfolio purchases, opportunistic investments in origination platforms, and dislocated public market ABS. Other
Name Title Experience opportunistic investments may span both real estate and corporate sectors, including bridge and transitional real
estate lending, mortgage asset portfolio purchases, senior lending to high growth companies, NAV loans, and
HBK, Highbridge/Zwirn, Leonard Green, Donaldson,
Ivan Zinn Founder & CIO secondaries.
Lufkin & Jenrette
Magnetar Capital Management, Highbridge/Zwirn,
David Aidi Partner – Consumer Finance
Merrill Lynch
TTM Capital, Highbridge/Zwirn, Lehman Brothers,
Ray Chan Partner – Commercial Finance
Salomon Brothers, PWC
Rotation Capital, Del Mar Asset Management,
Matt Rothfleisch Partner – Traded Securities
Highbridge/Zwirn, Oak Hill, Bear Stearns
Goldman Sachs, Bernstein Investment Research and
Josh Ufberg Partner – Portfolios
Management

*Target size and close dates apply to A4 Pool 3. Terms assume 3-year investment option.

wilshire.com | ©2023 Wilshire Advisors LLC. For Financial Advisors Only. 14

CapitalSpring Senior Income II
Investment Type Primary Firm Overview
Target Size (M) / Hard Cap (M) $250 / $250
First Close (M) TBD CapitalSpring ("CS” or the “Firm”) was founded in 2005 and today is one of the most active institutional lenders
focused on the franchised restaurant sector in the U.S. The Firm employs 34 individuals, including 21 investment
First Close Date March 2024
professionals with restaurant and franchise-specific expertise in the areas of credit, private equity, law, brand
Final Close Date Q3 2024 management, and structuring. The investment team is complemented by two dedicated operations professionals
Vintage Year 2024 and an 11-person support team. CapitalSpring is headquartered in Nashville and has offices in New York, Los
Geographic Focus North America Angeles, and Atlanta.
Strategy Direct Lending
Industry Restaurants (Primary Focus)
Investment Size (M) $5 — $25
Number of Investments 20 — 25
Investment Period 3 years
Fund Term 5 years Investment Strategy
0.2% of commitments plus 2.0% co-investment in
GP Commitment* CapitalSpring Senior Income II (“Fund II” or “the Fund”) will provide senior secured loans primarily to franchised
each deal
restaurants, with a particular emphasis on the Quick Service and Fast Casual segments. The Fund will also
Target Return 10% — 12% unlevered net IRR opportunistically consider franchised and multi-unit businesses in other verticals. The Fund will continue
Target Cash Yield ~10% CapitalSpring’s senior income strategy that launched in 2018 with CS Adjacent Investment Partners (“Fund I” or
Management Fee – Investment Period 1.0% on invested capital the “Adjacent Fund’), a closed-end fund with $167 million of committed capital, and a $200 million evergreen SMA
Management Fee – Post-Investment Period 1.0% on invested capital (“Parallel SMA”). Importantly, Fund II will exclusively invest in senior loans, unlike the predecessor vehicles which
Carry/Hurdle 10% / 5% also have exposure to junior debt and preferred/common equity via cross-over investments with the Firm’s
flagship strategy.
Key Investment Personnel
Franchised restaurant businesses are generally characterized by simple, formulaic, and proven business models
Name Title Experience operating under established and recognized brands. Consequently, the pattern recognition resulting from the
Richard Fitzgerald Managing Partner Ardshiel, Inc., CIBC Oppenheimer Firm’s extensive experience in this space enables a repeatable, data-driven approach to analyzing and investing in
target businesses with an accuracy and efficiency lacking in generalist firms. The Fund will target a compelling
Todd Foust Partner Goldman Sachs Specialty Lending Group, GE Capital niche within a restaurant sector that is growing, benefits from demographic tailwinds, and has proven remarkably
resilient across macroeconomic cycles. Despite these favorable characteristics, however, franchise restaurants
Erik Herrmann Partner Credit Suisse, Circle Peak Capital remain underbanked and generally out of favor with many investors. By focusing on a sector where capital is
scarce, CapitalSpring will benefit from a fundamentally less efficient market which should accrue to the risk-
adjusted return potential of the Fund.

*Yet to be finalized.

wilshire.com | ©2023 Wilshire Advisors LLC. For Financial Advisors Only. 15

Comvest Credit Partners VII
Investment Type Primary Firm Overview
Target Size (B) / Hard Cap (B) $2.5 / No Cap
First Close (M) TBD Comvest Partners (“Comvest” or the “Firm”), founded in 2000, is a private equity and private credit platform
focused on U.S. based middle-market opportunities. Since its inception, the Firm has grown to manage over $9.6
First Close Date Q4 2023
billion in assets. As of June 2023, the Firm employs over 100 individuals, 60 of which are investment focused,
Final Close Date Q4 2024 across its three offices in West Palm Beach, Chicago, and New York. Comvest has also established a relationship
Vintage Year 2024 with Operating Advisory Group, an external consulting firm which helps bring value to Comvest portfolio
Geographic Focus North America companies. Affiliated Managers Group (“AMG”) purchased a non-controlling minority equity stake in Comvest in
Strategy Direct Lending February 2020.
Industry Generalist
Investment Size (M) $50 – $60
Number of Investments 65 – 75
Investment Period 4 years
Fund Term 7 years Investment Strategy
GP Commitment $50 million
Comvest Credit Partners Fund VII (“Fund VII” or the “Fund”) will focus on providing floating rate, senior secured
Target Return 10% – 11% net IRR
loans to companies operating in the U.S. middle-market. The Fund will target traditional sponsored, non-
Target Cash Yield 6% – 8% traditional (i.e., family office or other non-traditionally accessible entity) sponsored, and non-sponsored
Management Fee – Investment Period 1.5% on invested capital transactions in companies with $15 million to $50 million of EBITDA. Mandate flexibility allows for asset based and
Management Fee – Post-Investment Period 1.5% on invested capital specialty finance transactions that are expected to comprise approximately 20% to 25% of the portfolio. The
Carry/Hurdle 15% / 6% portfolio will be diversified by sector, industry, geography, collateral type, and borrower. Typical Comvest loans
will have a current cash coupon of LIBOR+ 7%-10%, upfront fees, low LTV ratios below 50%, and moderate debt-
Key Investment Personnel to-EBITDA ratios of 3x to 5x. The team will utilize industry networks, its operating advisor group, and a dedicated
sourcing team of five investment professionals to originate deals. The Fund will employ a 1:1 leverage limit at the
Name Title Experience Fund level, although historical use of leverage has been less. Loans will typically include three or more financial
maintenance covenants tailored specifically to the borrower’s profile.
Michael Falk Founder & CEO Commonwealth Associates

Robert O’Sullivan Managing Partner Commonwealth Associates

Greg Reynolds Partner, Co-Head of Direct Lending Cerberus, Heller

Jason Gelberd Partner, Co-Head of Direct Lending Goldman Sachs, Antares

Dan Lee Partner Cerberus, Heller

Tom Goila Partner Goldman Sachs, Antares

wilshire.com | ©2023 Wilshire Advisors LLC. For Financial Advisors Only. 16

PennantPark PCOF IV
Investment Type Primary Firm Overview
Target Size (M) / Hard Cap (M) $400 / $600
First Close (M) $76 PennantPark (the “Firm”) was founded in 2007 and is an independent U.S. middle market credit platform, founded
and 100% controlled by Art Penn and focused on senior debt and opportunistic credit strategies. Today, the Firm
First Close Date December 2022
has $6.1 billion in AUM and the management team consists of Managing Director Art Penn, two Senior Partners
Final Close Date June 2024 and five Partners on the investment side. The entire team consists of 61 individuals across offices in Miami, New
Vintage Year 2022 York, Chicago, Houston and Los Angeles. To-date Pennant Park has raised two senior debt funds and three prior
Geographic Focus North America opportunistic credit funds, as well as two listed business development companies, six separate accounts and six
Strategy Opportunistic Credit middle market CLOs. The Firm is currently in the market with their fourth opportunistic credit fund PCOF IV, L.P.
Industry Generalist (“Fund IVI ” or the “Fund”) with a target of $400 million and a hard cap of $600 million.
Investment Size (M) $4 – $18
Number of Investments 60 – 80
Investment Period 4 years
Fund Term 7 years Investment Strategy
GP Commitment At least 1.0% of committed capital
PCOF IV follows the Opportunistic Credit Strategy, which targets higher yielding floating rate first lien loans,
Target Return 13% – 15% net IRR
second lien loans, mezzanine debt, and associated equity co-investments, between 5-10% of the size of the debt
Target Cash Yield 10% – 12% investment. Depending on the market environment, PennantPark may also pursue secondary market investments
Management Fee – Investment Period 1.5% on invested capital where they have an information edge due to prior investment or diligence. Given the flexibility to pursue
Management Fee – Post-Investment Period 1.5% on invested capital investments across the capital structure and in both primary and secondary markets, the Opportunistic Credit
Carry/Hurdle 15% / 8% strategy is intended to be an all-weather fund with the ability to execute on the most attractive investments given
any market conditions. The Firm aims to serve as a value-add lending partner and the strategy emphasizes capital
Key Investment Personnel preservation and downside protection by working with a network of 700 private equity sponsors and underwriting
companies with low debt multiples. The Firm’s highly diversified portfolios avoid the oil & gas industry and focus
Name Title Experience on loans in their key industries of expertise, namely healthcare, government services, business services,
software/technology, and consumer. Target fund-level leverage is 1.00x.
Apollo, UBS Investment Bank, Bankers Trust, Lehman,
Art Penn Managing Partner
Drexel Burnham
Apollo, UBS Investment Bank, JP Morgan, Bankers
José Briones Senior Partner
Trust
Wilton Ivy Partners, UBS Investment Bank, Bankers
Sal Giannetti Senior Partner
Trust, Chase Securities

wilshire.com | ©2023 Wilshire Advisors LLC. For Financial Advisors Only. 17

V. Appendix: Managers Under
Consideration and Market
Overview

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Recommended Managers – Direct Lending
Manager Name Proposed Product Name MWBE Geography Vehicle Liquidity Net Return Target Cash Yield Target* Use of Leverage Cap Phase I / Phase II

Target Net IRR: 10% above

Risk Free Rate (RFR)
AshGrove Capital AshGrove Specialty Lending Fund II No Europe Commingled Fund Closed-end 8-9% Unlevered Phase I
implying a current target
net return of 12%
Unlevered: 8% Net IRR Unlevered: 8%
Separately Managed Unlevered, 1.0x, and
Jefferies Jefferies Direct Lending Fund II No North America Open-ended 1.0x levered: 11% 1.0x levered: 11% Phase I
Account 2.0x sleeves available
2.0x levered: 14% 2.0x levered: 14%

MC Credit Partners MC Credit Fund IV Yes North America Commingled Fund Closed-end Net IRR - 10% - 12% 8% ~1.0x Phase I

Angelo Gordon AG Direct Lending Evergreen No North America Commingled Fund Open-ended 10-13% Net IRR 6-8% 2.5x Phase II

CapitalSpring CapitalSpring Senior Income II No North America Commingled Fund Closed-end To be discussed ~10% 1x Phase II
7-10% avg. coupon with
11-12% gross yield based
Comvest Comvest Credit Partners VII No North America Commingled Fund Open-ended 10-11% Net IRR 1x Phase II
on current market
conditions

Based on data provided from RFP responses.

*Annual Cash Yield Target unless otherwise indicated.

wilshire.com | ©2023 Wilshire Advisors LLC 19

Recommended Managers – Opportunistic
Manager Name Proposed Product Name MWBE Geography Vehicle Liquidity Net Return Target Cash Yield Target* Use of Leverage Cap Phase I / Phase II

Global (not focused on 13% to 15% Net IRR

Crayhill Crayhill Principal Strategies Fund III Yes Commingled Fund Closed-end 7-8% Unlevered Phase I
Asia or EM) 1.4x to 1.5x Net ROI
15-20% Net IRR Unlevered and 1x
MGG MGG Structured Solutions Fund II No North America Commingled Fund Closed-end 5-10% Phase I
1.5x Net ROI sleeves available
EUR 10.0% - 12.0% (Net
IRR)
Pemberton Pemberton Strategic Credit Fund III No Europe Commingled Fund Closed-end >12% 1.0x Phase I
USD 12.0% - 14.0% (Net
IRR)
Atalaya Atalaya A4 Fund Pool 2 No North America SMA Open-ended 11-13% Net IRR 70% of returns Unlevered Phase II
Pennant Park Credit Opportunities
Pennant Park No North America Commingled Fund Closed-end 13% to 15% Net IRR 12% 1.0x Phase II
Fund IV

Based on data provided from RFP responses.

*Annual Cash Yield Target unless otherwise indicated.

wilshire.com | ©2023 Wilshire Advisors LLC 20

Recommended Managers – Distressed / Special Situations
Manager Name Proposed Product Name MWBE Geography Vehicle Liquidity Net Return Target Cash Yield Target* Use of Leverage Cap Phase I / Phase II

Alchemy Special Opportunities Mid-teens Net IRR; >1.7x

Alchemy No Europe Commingled Fund Closed-end NA Unlevered Phase I
Fund V Net ROI
Global (not focused on 13-15% Net IRR; 1.75x Net
Strategic Value Partners Strategic Value Capital Solutions II Yes Commingled Fund Closed-end NA 0.4x Phase I
Asia or EM) ROI

Based on data provided from RFP responses.

*Annual Cash Yield Target unless otherwise indicated.

wilshire.com | ©2023 Wilshire Advisors LLC 21

Investment Themes
North America Alternatives
Buyout
REGIONAL CONTEXT LOCAL OPPORTUNITIES Growth
Venture
• Digital Economy • Ecommerce
Innovation • Financial Products • Democratization of Alternatives Senior Direct Lending
• Life Science • Healthcare and Pharmaceuticals
Distressed Credit
Opportunistic Credit
• Environmental Initiatives • Sustainable Products
ESG • Diversity and Inclusion • Energy Transition Alt Yield
• Geopolitical Tensions • Education and Housing
Real Estate
Natural Resources
• Supply Chain Challenges • Industrial Onshoring
Infrastructure
Geopolitics • Deglobalization • Security and Defense
• Currency and Commodities • Increasing Uncertainty Macro / CTA
Equity Hedge
• Interest Rates • Real Assets Marketable Credit
Inflation • Valuations • Special Situations
• Income and Financial Inequality • Floating Rate and Alt Yield Event Driven
Relative Value

Highly Favorable Neutral Unfavorable

Represents the current opinion of Wilshire as of the date of preparation and is subject to change without notice. Wilshire assumes no duty to update any such statements. Favorable Cautious

wilshire.com | ©2023 Wilshire Advisors LLC 22

US Private Credit Investment Themes
Sector Investment Opportunity Rationale

• Limited availability of debt financing from banks due to the regional banking crisis and decreased risk appetite has provided direct lenders with an
opportunity to secure more attractive pricing and terms​
• A continued upstream movement of traditional middle-market lenders has created favorable risk/return potential for lower-market, sector-focused
Senior Direct Lending groups and non-sponsored lenders – or those focused on complex transactions – which have negotiating power in price and deal structuring​
• Macro-economic uncertainty and heightened volatility raise the probability of an economic downturn, emphasizing the need for heightened due
diligence, risk controls and leverage cost; thus, increasing relative attractiveness of senior capital

• The current macroeconomic backdrop confers highly favorable tailwinds for opportunistic credit investors amid the fallout from the regional banking
crisis, allowing opportunistic lenders to secure loans at more attractive prices with more attractive terms
• Inflation has given rise to pockets of dislocation across public and private markets
Opportunistic Credit • Opportunistic credit investors benefit from a supply/demand imbalance as more borrowers face challenges with dislocations in out-of-favor
industries/geographies, specific timing constraints, hesitancy of lenders due to nontraditional collateral, or the need for more flexibly structured
solutions that take into account borrower-specific circumstances
• These strategies tend to provide high current income with upside convexity, where market disruption and complexity provide upside optionality, but are
not completely reliant on capital appreciation relative to distressed strategies

• The impact of structural and cyclical shifts resulting from the pandemic, a high inflationary environment, geo-political tensions, and a slowdown in global
growth should prove advantageous and provide compelling investment opportunities over the near and long-term within the for-control distressed debt
space​
Distressed Debt • The strong US dollar represents short term headwinds within the American industrial industry, as domestic producers struggle to compete globally, but in
the medium-to-long-term a push towards onshoring and supply chain resiliency represent considerable tailwinds​
• 50% of all publicly-listed companies were unprofitable in 2022, though historically high cash balances held by firms could help mitigate some of the
impacts of increased interest expenses​
• Larger, experienced distressed debt managers like Oaktree and Carlyle are dominating fundraising, raising 60% of all capital over the past decade​

wilshire.com | ©2023 Wilshire Advisors LLC 23

U.S. Senior Direct Lending Outlook: Favorable
Highly Leveraged Loan Volume (B)1 Highly
HighlyLeveraged
LeveragedLoan
LoanAverage
AverageDebt Multiples1,2
DebtMultiples 1 Private Equity Dry Powder32
250 1486.1
6.0x 1600
5.0 5.2 5.2 5.1 5.3 5.3
200 4.7 4.9 4.7 5.0 4.7 4.7 1400
5.0x 4.4 4.5
3.9 1200
150 4.0x 1000
3.0x 800
100
600
2.0x
50 400
1.0x 200
0 0.0x 0

1Q23

2Q23
2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

Jun-04
Aug-05
Oct-06

Jun-11
Aug-12
Oct-13

Jun-18
Aug-19
Oct-20
Dec-00

Dec-07

Dec-14

Dec-21
Feb-02
Apr-03

Feb-09
Apr-10

Feb-16
Apr-17

Feb-23
Regional Influences Local Considerations Industry / Sector Outlook
+ Fall out from bank retrenchment and regional banking crisis • Favorable premium for sector specialist and non-sponsored
resulting in less supply of capital lenders, although more competitors entering the non-
± Heightened yield and senior secured position; however, sponsored market Sector Investment Opportunity
uncertain macro-outlook and potential risk of downturn • Fixed versus floating rate debt
- Slow down in private equity deal making and higher cost of • Continued upstream movement of traditional middle-market Senior Direct Lending
borrowing resulting in reduced demand for capital lenders
• Importance of structuring and duration on given current macro-
outlook

1 S&P LCD, as of September 15, 2023.

2 SOFR+225 and higher

3 Preqin Private Equity Dry Powder, as of September 15, 2023.

wilshire.com | ©2023 Wilshire Advisors LLC 24

U.S. Opportunistic Credit Outlook: Highly Favorable
Highly Leveraged Loan Volume1 Highly Leveraged Loan Average Debt Multiples1 Weighted Average Absolute Institutional Rate1
8x 10%
250
3-Month LIBOR Institutional Spread
200 6x 5.2 5.2 5.1 5.3 5.3 8%
4.9 4.7 5.0 5.0 4.7 4.7
4.4 4.5 4.7 6%
150 3.9
4x
100 4%
2x 2%
50

0 0%
0x

1Q18
4Q12

3Q13

2Q14

1Q15

4Q15

3Q16

2Q17

4Q18

3Q19

2Q20

1Q21

4Q21

3Q22

2Q23
1H23

2Q23
2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022
Regional Influences Local Considerations Industry / Sector Outlook

+ Fall out from the regional banking crisis resulting in banks • Favorable complexity premium for tailored solutions; interest,
unable to extend more asset-based loans fees, and upside optionality facilitating multiple return sources
+ Specialization as prerequisite for traditionally non-banked or • Floating rate debt structures mitigating interest rate sensitivity Sector Investment Opportunity
otherwise overlooked sectors and assets • Short-duration strategies and high amortization features
Opportunistic
+ Pockets of market dislocation due to high interest rates mitigating interest rate and credit (i.e., repayment) risk
creating attractive secondary credit opportunities
± Weakening credit conditions driving demand for creative
financing solutions
± Inflationary environment potential headwind for cash interest
borrowers unable to adequately service debt
- Stressed businesses becoming distressed by underestimating
default risk

1 S&P LCD, *as of September 15, 2023.

wilshire.com | ©2023 Wilshire Advisors LLC 25

U.S. Distressed Credit Outlook: Neutral
Leveraged Loan: Par Amount Outstanding1 Percent of Issuers in Default2 Aggregate Distressed Debt Fundraising and Dry Powder ($B)3
$1600B 12%
$100
$1400B 9.6%
10% $80
$1200B
8% $60
$1000B 6.3%
$800B 6% 5.3% $40
4.3%
$600B $20
4%
$400B 2.3% 2.3% 2.4% $0
1.8% 1.9% 1.9% 1.7%
1.5%1.2%1.3%
1.2% 1.3% 1.0%1.3%

2021

2023*
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

2022
2% 0.8%
$200B 0.4%0.5%
$0B 0% Aggregate Capital Raised ($B) Dry Powder ($B)
YE 2003 YE 2007 YE 2011 YE 2015 YE 2019 6/30/2023 YE 2003 YE 2007 YE 2011 YE 2015 YE 2019 6/30/2023

Regional Influences Local Considerations Industry / Sector Outlook

+ Unprecedented, though slowing, leverage levels and outstanding debt • Favorable complexity premium
+ Deterioration of credit quality in loan issuance • Fixed versus floating rate debt
+ Higher cost of capital due to interest rate hikes and pull back of • Expectation of broad market stress as opposed to sectors in decline
Sector Investment Opportunity
liquidity from the Federal Reserve • Liquid versus illiquid distressed debt opportunities
+ Slowing global GDP growth • Distressed trading opportunities versus loan-to-own Non-Control Distressed Debt
± Default rates are likely to increase towards long-term average, but are • Non-performing loan opportunities
now expected to remain below prior recessionary default peaks • Historic levels of cash on corporate balance sheets slowed the For-Control Distressed Debt
± Substantial levels of illiquid credit since GFC, with little historical immediate impact of higher interest rates
precedent from a credit cycle standpoint • 50% of all publicly-listed companies were unprofitable in 2022
- Median management fee for distressed managers is the highest in the
private credit space, rising from 1.6% to 2% between 2015 and 2023

1Morningstar LTSA US Leveraged Loan Index, Pitchbook as of June 30, 2023.

2 Morningstar LTSA US Leveraged Loan Index, Pitchbook as of June 30, 2023.
3 Preqin as of September 12, 2023. *YTD

wilshire.com | ©2023 Wilshire Advisors LLC 26

Europe Senior Direct Lending Outlook: Neutral
Sponsored
Highly Leveraged
vs. Non-Sponsored
Loan Volume (B)1(B)1
Volume Highly Leveraged
Pro FormaLoan
Debt/EBITDA
Average Debt
Ratios1
Multiples1 Private Equity Dry Powder2
€ 150
Sponsored Non-Sponsored First Lien/EBITDA Second Lien/EBITDA Other Debt/EBITDA € 1,750
7.0x
€ 1,500 1612
6.0x
€ 100 € 1,250
5.0x
4.0x € 1,000
3.0x € 750
€ 50
2.0x € 500
1.0x € 250
€0 0.0x €0

2013
2006
2007
2008
2009
2010
2011
2012

2014
2015
2016
2017
2018
2019
2020
2021
2022

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020

2022
2013

2014

2015

2016

2017

2018

2019

2020

2021

2022
Regional Influences Local Considerations Industry / Sector Outlook
+ Continued bank retrenchment. Drop in banks share of the • Favorable complexity premium
primary lending market. • Fixed versus floating rate debt
+ Significant improvement in economics as the macroeconomic • Increase in non-sponsored versus sponsored direct lending Sector Investment Opportunity
headwinds are exacerbating the banks reluctance to lend to • Sector-focused lending versus generalist approach
European SMEs. • Defensive-oriented sectors should exhibit resilience in the event Senior Direct Lending
+ Private equity dry powder and robust M&A activity further of a downturn
enhanced by compressed valuations. • Continued upstream movement of traditional middle-market
+ Historically low interest rates, however, we are currently lenders
experiencing a rising rate environment
± Uncertain macro-outlook and potential risk of a recession
± High concentration of deal flow amongst the (very large) top
tier managers, with long term experience through the cycles
and a strong track record.

1 S&P LCD, *as of December 31, 2022.

2 Preqin Private Equity Dry Powder, *as of February 10, 2023.

wilshire.com | ©2023 Wilshire Advisors LLC 27

Europe Opportunistic Credit Outlook: Favorable
European Par-Amount Leveraged Loans Outstanding in Secondary
Annual Buyout Loan Volume & Count (B)1 Pro Forma Debt/EBITDA Ratios1
Market1
€60B 80 $350B Europe (Morningstar European LL Index)
Volume Deal Count* 7.0x First Lien/EBITDA Second Lien/EBITDA Other Debt/EBITDA
70 $300B
60 6.0x
$250B
€40B 50 5.0x
$200B
40 4.0x
$150B
€20B 30 3.0x
$100B
20 2.0x
10 1.0x $50B
€0B 0 0.0x $0B

2014
2008
2009
2010
2011
2012
2013

2015
2016
2017
2018
2019
2020
2021
2022
2014
2010
2011
2012
2013

2015
2016
2017
2018
2019
2020
2021
2022

2008

2018
2006
2007

2009
2010
2011
2012
2013
2014
2015
2016
2017

2019
2020
2021
2022
Regional Influences Local Considerations Industry / Sector Outlook

+ Continued bank retrenchment.
+ The COVID-19 pandemic and the war in Ukraine has refocused
banks' lending to core assets and sponsors, reducing the
supply of available capital in the market for SMEs. This is also
highlighted the need for flexible capital.
+ Pockets of market dislocation creating attractive secondary
credit opportunities
+ Large opportunity set of leveraged loans provides primary
opportunities, in addition to the secondary side that has also
continued to provide a healthy turnover of loans in Europe in
times of market stress.
± Rising rate and inflationary environment potential headwind
for cash interest borrowers unable to adequately service debt.
• Favorable complexity premium for tailored solutions; interest,
fees, and upside optionality facilitating multiple return sources
• Floating rate debt structures mitigating interest rate sensitivity Sector Investment Opportunity
• Short-duration strategies and high amortization features
Opportunistic
mitigating interest rate and credit (i.e., repayment) risk
• Less competitive non-sponsored market
• Defensive-oriented sectors where defaults and correlations are
low relative to broad credit markets

1 S&P LCD, *as of December 31, 2022.

wilshire.com | ©2023 Wilshire Advisors LLC 28

Europe Distressed Credit Outlook: Highly Favorable
Volume of Defaults vs. Restructurings Based on Sr. Par Issue1 Global Distressed Debt / Special Sits Dry Powder (B)2

€50B € 200
Defaults Restructurings
€40B € 150
€30B
€ 100
€20B
€ 50
€10B

€0B €0

2023 YTD
2016
2010

2011

2012

2013

2014

2015

2017

2018

2019

2020

2021

2022
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
Regional Influences Local Considerations Industry / Sector Outlook
+ Attractive historical risk-adjusted returns • Favorable complexity premium
+ Unprecedented leverage levels and outstanding debt • Fixed versus floating rate debt
+ The Eurozone remains fragmented in nature with varying governing • Short-term and long-term distressed debt opportunities
bodies and regulatory constraints. • Broad market stress as opposed to sectors in secular decline
+ Post COVID-19 improved banking capitalization throughout the • Liquid versus illiquid distressed debt opportunities
Sector Investment Opportunity
Eurozone is expected to continue creating non-core, non-performing • Distressed trading opportunities versus loan-to-own
loan sell-offs favorable to distressed debt investors • Non-performing loan opportunities Distressed Debt
+ Persistent inflation leading to consecutive rate hikes by the ECB • Industrial and manufacturing sectors placing a significant emphasis on
translating into slowly increasing default rates supply chain resiliency through onshoring and digitalization
+ The combination of disruption in supply chains and the inflationary • Pullback in tech valuations and discretionary spending creates
pressures from the energy crisis will continue to challenge highly discounted opportunities
levered companies, leading to financial stress and distress, which can
create opportunities for distressed investors in the continent.
+ The scaling back of government stimulus packages and COVID-19 loans
reaching maturity, will coincide with an inability to refinance and banks
lifting moratoria imposed by governments
± Substantial fiscal stimulus, strong labor market and strong consumer
balance sheets lowering odds of a deep recession.

1 Source: S&P LCD, as of December 31, 2022. 2 Source: Preqin, as of February 2023.

wilshire.com | ©2023 Wilshire Advisors LLC 29

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