2022 Annual Comprehensive Financial Report

At year-end, the State Treasurer’s LEOSSA Trust was invested as follows: State Treasurer’s Short Term Investment Fund (STIF) 0.11%, which is reported as cash and cash equivalents; State Treasurer’s Bond Index Fund (BIF) 32.86% and BlackRock’s MSCI ACQI EQ Index Non-Lendable Class B Fund (EIF) 67.04%. At June 30, 2022 the State Treasurer’s BlackRock’s MSCI ACWI EQ Index Non-Lendable Class B Fund (EIF) equities were split with 60.68% in domestic securities and 39.32% in international securities. Level of the fair value hierarchy Ownership of the STIF is determined on a fair market valuation basis as of the fiscal year end in accordance with STIF operating procedures. STIF investments are valued by the custodian using Level 2 inputs which in this case involves inputs other than quoted prices included within Level 1 that are either directly or indirectly observable for the asset or liability. The STIF is valued at $1 per share. Ownership of the BIF is determined monthly at fair value using the same Level 2 inputs as the STIF and is based upon units of participation. Units of participation are calculated monthly based upon inflows and outflows as well as allocations of net earnings. The BlackRock’s MSCI ACWI EQ Index Non-Lendable Class B Fund, authorized under G.S. 147-69.2(b)(8), is a common trust fund considered to be comingled in nature. The Fund’s fair value is the number of shares times the net asset value as determined by a third party. At June 30, 2022 the fair value of the Fund was $27.23031 per share. Fair value for this BlackRock fund is determined using Level 1 inputs which are directly observable, quoted prices (unadjusted) in active markets for identical

assets or liabilities. Valuation technique

North Carolina Department of State Treasurer’s OPEB Trust and LEOSSA Trust investments are measured using the market approach: using prices and other relevant information generated by market transaction involving identical or comparable assets or liabilities.

37t