CAFR - West Virginia Consolidated Public Retirement Board

Consolidated Public Retirement Board

Pension Trust Funds of the State of West Virginia

(A Component Unit of the State of West Virginia)

2018

Comprehensive Annual Financial Report

Serving Those Who Serve

West Virginia

Fiscal Years Ended June 30, 2018 and June 30, 2017

West Virginia Consolidated Public Retirement Board

Pension Trust Funds of the State of West Virginia

COMPREHENSIVE ANNUAL FINANCIAL REPORT

For the Fiscal Years Ended June 30, 2018 and 2017

The West Virginia Consolidated Public Retirement Board Administers the Following Retirement Systems: Public Employees' Retirement System Teachers' Retirement System

State Police Death, Disability, and Retirement System State Police Retirement System

Deputy Sheriff Retirement System Judges' Retirement System

Emergency Medical Services Retirement System Municipal Police Officers & Firefighters Retirement System

Teachers' Defined Contribution Retirement System

Contact Information: Jeffrey E. Fleck, Executive Director

4101 MacCorkle Avenue, S.E. Charleston, WV 25304-1636 (304) 558-3570 or (800) 654-4406

CPRB@

WEST VIRGINIA CONSOLIDATED PUBLIC RETIREMENT BOARD

TABLE OF CONTENTS Page

Introductory Section Letter of Transmittal .................................................................................................................................................. 3 Organization Chart ..................................................................................................................................................... 6 Board of Trustees ....................................................................................................................................................... 7 Staff and Advisors......................................................................................................................................................8 Certificate of Achievement for Excellence in Financial Reporting ........................................................................... 9

Financial Section Independent Auditor's Report .................................................................................................................................. 13 Management's Discussion and Analysis..................................................................................................................15 Basic Financial Statements Statement of Fiduciary Net Position - Pension Funds .......................................................................................... 21 Statement of Changes in Fiduciary Net Position - Pension Funds ....................................................................... 23 Notes to Financial Statements .............................................................................................................................. 25 Required Supplementary Information Schedules of Net Pension Liability and Changes in Net Pension Liability .......................................................... 77 Schedules of Contributions...................................................................................................................................80 Schedules of Investment Returns ......................................................................................................................... 82 Notes to Required Supplementary Information .................................................................................................... 83 Supplementary Information Schedule of Administrative Expenses .................................................................................................................. 87 Schedule of Payments to Consultants...................................................................................................................88

Investment Section Report on Investment Activity ................................................................................................................................. 91 Investment Background, Philosophy, and Objectives .............................................................................................. 95 Investment Pool Objectives, Financial Highlights, and Performance Equity Pool ........................................................................................................................................................... 99 Short-term Fixed Income Pool ........................................................................................................................... 105 Fixed Income Pool..............................................................................................................................................107 TIPS Pool ........................................................................................................................................................... 111 Special Purpose Pool .......................................................................................................................................... 113 Private Markets Pool .......................................................................................................................................... 115 Hedge Fund Pool ................................................................................................................................................ 119 Individual Retirement System Asset Allocation and Performance Public Employees' Retirement System ............................................................................................................... 121 Teachers' Retirement System ............................................................................................................................. 123 State Police Death, Disability, and Retirement Fund ......................................................................................... 125 State Police Retirement System..........................................................................................................................127 Deputy Sheriffs' Retirement System .................................................................................................................. 129 Judges' Retirement System ................................................................................................................................ 131 Emergency Medical Services Retirement System .............................................................................................. 133 Municipal Police Officers & Firefighters Retirement System............................................................................135

Actuarial Section Overview ................................................................................................................................................................ 139 Public Employees' Retirement System Actuary's Certification Letter ............................................................................................................................. 141 Summary of Actuarial Methods and Assumptions ............................................................................................. 143 Schedule of Active Member Valuation Data ...................................................................................................... 147 Schedule of Funding Progress ............................................................................................................................ 147 Solvency Test ..................................................................................................................................................... 147 Schedule of Retirees and Beneficiaries .............................................................................................................. 148 Changes in Unfunded Actuarial Liability...........................................................................................................148

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