2017 Comprehensive Annual Financial Report

2017

Comprehensive Annual Financial Report

For Fiscal Year Ended March 31, 2017

NYSLRS N YSL RS New York State and Local Retirement System

A pension trust fund of the State of New York Office of the New York State Comptroller Thomas P. DiNapoli

2017 Comprehensive Annual Financial Report

For Fiscal Year Ended March 31, 2017 New York State and Local Retirement System

Employees' Retirement System Police and Fire Retirement System A pension trust fund of the State of New York

Prepared by the staff of the

NYSLRS N YSL RS New York State and Local Retirement System

Contents

Introduction

Professional Awards.............................................................................................................................. 9 Letter of Transmittal ........................................................................................................................... 11 Administrative Organization.................................................................................................................. 17

Advisory Committees.............................................................................................................. 17 New York State and Local Retirement System Organization Chart........................................................ 22 Overview of the New York State and Local Retirement System....................................................................... 23 By the Numbers................................................................................................................................. 27 Members and Retirees............................................................................................................. 27 Retirees in New York State........................................................................................................ 28 Annual Benefit Payments Within New York State............................................................................ 29 Annual Benefit Payments Within the United States......................................................................... 30 Annual Benefit Payments Outside the United States........................................................................ 30

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Financial

Independent Auditors' Report............................................................................................................... 33 Management's Discussion and Analysis (Unaudited)................................................................................... 35 Basic Financial Statements................................................................................................................... 40

Combining Basic Statement of Fiduciary Net Position...................................................................... 40 Combining Basic Statement of Changes in Fiduciary Net Position........................................................ 41 Notes to Financial Statements ................................................................................................... 42 Required Supplementary Information (Unaudited)..................................................................................... 70 Schedule of Changes in the Employers' Net Pension Liability and Related Ratios (Unaudited).................... 70 Schedule of Employer Contributions (Unaudited)........................................................................... 72 Schedule of Investment Returns (Unaudited)................................................................................. 73 Notes to Required Supplementary Information (Unaudited).............................................................. 73 Other Supplementary Information.......................................................................................................... 74 Schedule of Administrative Expenses........................................................................................... 74 Schedule of Investment Expenses............................................................................................... 75 Schedule of Consulting Fees...................................................................................................... 76 Independent Auditors' Report on Internal Control...................................................................................... 77

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Investment

Overview of Investments...................................................................................................................... 81 Investment Results............................................................................................................................. 92 Investment Summary.......................................................................................................................... 93 Asset Allocation -- March 31, 2017......................................................................................................... 94 Global Equity Performance................................................................................................................... 95 Domestic Equity Portfolio -- Ten Largest Holdings...................................................................................... 98 Fixed Income Portfolio and Comparison................................................................................................... 99 Fixed Income Performance.................................................................................................................. 100 Fixed Income Portfolio -- Ten Largest Holdings......................................................................................... 101 Real Estate Portfolio........................................................................................................................... 102 Alternative Investments Summary......................................................................................................... 103 Domestic Equity Management Fees....................................................................................................... 104 Domestic Equity Commissions -- Internally Managed................................................................................. 105 Domestic Equity Commissions -- Externally Managed................................................................................ 106 International Equity Management Fees................................................................................................... 108 International Equity Commissions -- Internally Managed............................................................................ 109 International Equity Commissions -- Externally Managed........................................................................... 110 Global Fixed Income Management Fees.................................................................................................. 113 Long-Term Domestic Bond Transactions -- Internally Managed..................................................................... 114 Long-Term Domestic Bond Transactions -- Externally Managed.................................................................... 115 Short-Term Domestic Bond Transactions -- Internally Managed.................................................................... 116 Real Estate Management and Incentive Fees (Expensed)............................................................................. 117 Real Estate Management and Incentive Fees (Capitalized)........................................................................... 118 Private Equity Management Fees (Expensed)........................................................................................... 119 Private Equity Management Fees (Capitalized).......................................................................................... 120 Private Equity -- Fee, Expense and Carried Interest Analysis........................................................................ 121 Absolute Return Strategy Management and Incentive Fees.......................................................................... 122 Opportunistic Funds Management and Incentive Fees (Expensed)................................................................. 123 Opportunistic Funds Management and Incentive Fees (Capitalized)............................................................... 124 Real Assets Management Fees (Expensed)............................................................................................... 125 Consultant and Advisor Fees................................................................................................................ 126

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Actuarial

Statement of the Actuary.................................................................................................................... 129 Actuarial Cost Method and Valuation..................................................................................................... 131 Elements of the Actuarial Valuation....................................................................................................... 133 Actuarial Valuation Balance Sheets........................................................................................................ 137 Local Government Employers' Final Contribution Rates for Select Plans.......................................................... 139 Contribution Rate Trend for Local Governments........................................................................................ 141 Employer Contributions...................................................................................................................... 144 Historical Trends (Rates as a Percentage of Salary, 1974 ? 2018).................................................................... 146 Changes in Contributions.................................................................................................................... 147 Assets and Accrued Liabilities............................................................................................................... 148 Solvency Test................................................................................................................................... 149 Schedule of Active Member Data.......................................................................................................... 150 Schedule of Retired Members and Beneficiaries ....................................................................................... 151

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Statistical

Schedule of Additions to Fiduciary Net Position........................................................................................ 155 Schedule of Investment Income/(Loss).................................................................................................... 156 Schedule of Deductions from Fiduciary Net Position.................................................................................. 157 Schedule of Total Changes in Fiduciary Net Position................................................................................... 158 Service Retirees -- ERS....................................................................................................................... 160 Service Retirees -- PFRS..................................................................................................................... 162 Disability Retirees -- ERS.................................................................................................................... 164 Disability Retirees -- PFRS................................................................................................................... 166 New Option Selections....................................................................................................................... 168 Option Selection -- Total Payments....................................................................................................... 169 Average Pension Benefits Paid During Year Shown..................................................................................... 170 Average Benefit Pay Types................................................................................................................... 171 New Benefits -- Service Retirements by Age and Service............................................................................ 173 New Benefits -- Accidental and Ordinary Death........................................................................................ 174 Combined System Participants.............................................................................................................. 175 Membership by Age and Years of Service................................................................................................ 176 Membership by Tier........................................................................................................................... 177 Membership by Status........................................................................................................................ 178 Number of Employers........................................................................................................................ 179 Membership by Employer Type............................................................................................................ 180 Average Salary by Employer Type.......................................................................................................... 181 Members and Salaries by Plan -- ERS..................................................................................................... 182 Members and Salaries by Plan -- PFRS................................................................................................... 184 Retirees and Beneficiaries by Age.......................................................................................................... 186 Retirees and Beneficiaries -- ERS.......................................................................................................... 187 Retirees and Beneficiaries -- PFRS......................................................................................................... 188 Local Government Salaries and Billings -- ERS.......................................................................................... 189 Local Government Salaries and Billings -- PFRS........................................................................................ 191 Contributions Recorded, 2008 ? 2017..................................................................................................... 193 20-Year Summary.............................................................................................................................. 194 Notes to 20-Year Summary.................................................................................................................. 196

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Contents | New York State and Local Retirement System

Introduction

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