2018-19 Comprehensive Annual Financial Report

2018-19

Comprehensive Annual Financial Report

Fiscal Year Ended June 30, 2019

Working for You

California Public Employees' Retirement System A Component Unit of the State of California

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COMPREHENSIVE ANNUAL FINANCIAL REPORT Fiscal Year Ended June 30, 2019

Prepared through the joint efforts of CalPERS team members. Available online at calpers.

California Public Employees' Retirement System A Component Unit of the State of California

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2018-19 IN NUMBERS

Where We Stand

$373 billion

Net position (PERF)

2 million+

members

1.5 million

Total covered lives (health)

712,000+

Retirees & beneficiaries

$24.2 billion

Annual pension benefit payments (PERF)

6.7%

Net rate of return (PERF)

2,890

Contracted employers

70.2%

Funded (as of June 30, 2018) (PERF)

$33.9 billion

Invested in California based companies & projects

$23.5 billion

Economic activity generated by California pension payments (FY 2017-18)

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Table of Contents

Introductory Section............................................... 1

Professional Awards............................................................................. 2 Chief Executive Officer's Letter of Transmittal ..................................... 3 About CalPERS.................................................................................... 7 Board of Administration ........................................................................ 10 Organizational Chart ? Executive Team............................................... 12 Consultant & Professional Services ..................................................... 13

Financial Section .................................................... 15

Independent Auditor's Report .............................................................. 16 Management's Discussion & Analysis (MD&A).................................... 19

Financial Section: Basic Financial Statements............................... 39

Statement of Fiduciary Net Position ? Fiduciary Funds ....................... 40

Statement of Changes in Fiduciary Net Position ? Fiduciary Funds .... 42

Statement of Net Position ? Proprietary Funds.................................... 44

Statement of Revenues, Expenses, and Changes in Net Position ? Proprietary Funds ..............................................................................

45

Statement of Cash Flows ? Proprietary Funds .................................... 46

Notes to the Basic Financial Statements ............................................. 47

Financial Section: Required Supplementary Information .............. 75

Schedules of Changes in Net Pension Liability/(Asset) and Related Ratios.................................................................................................

76

Schedules of Plan Contributions .......................................................... 82

Schedule of Investment Returns .......................................................... 84

Schedule of Claims Development Information ..................................... 85

Financial Section: Other Supplementary Information .................... 87 Administrative Expenses ? All Funds ................................................... 88 Investment Expenses ? Investment Management Fees ...................... 89 Investment Expenses ? Performance Fees ......................................... 92 Investment Expenses ? Other Investment Expenses .......................... 93 Consultant and Professional Services Expenses ? All Funds.............. 96

Investment Section................................................. 99

Chief Investment Officer's Letter.......................................................... 100

Summary of Investments ? PERF........................................................ 101

Portfolio Comparisons ? PERF ............................................................ 101

Asset Allocation ? PERF ...................................................................... 102

Portfolio of California Investments at Fair Value ? PERF..................... 102

Largest Stock & Bond Holdings at Fair Value ? PERF......................... 103

Schedule of Commissions & Fees ....................................................... 104

Private Equity Management Fees & Profit Sharing ? PERF

106

I.n..v..e..s.t.m...e..n..t..P...e..r.f.o..r.m...a..n..c..e...?...L..R...F........................................................................................................................ 111

Investment Performance ? JRF II ........................................................ 111

Investment Performance ? CERBTF.................................................... 112

Investment Performance ? HCF........................................................... 113

Investment Performance ? LTCF ......................................................... 113

Actuarial Section .................................................... 115

Actuarial Certifications ......................................................................... 116

Actuarial Methods & Assumptions........................................................ 118

Summary of Funding Progress ............................................................ 121

Exhibit A: Funding Progress ? Unfunded Liability & Funded Ratios .... 122

Exhibit B: Funding Progress ? Solvency Test ...................................... 123

Exhibit C: Sample Pay Increase Assumptions for Individual Members 125

Exhibit D: Sample Non-Economic Assumptions................................... 126

Exhibit E: Single Life Retirement Values.............................................. 135

Exhibit F: Schedule of Active Member Valuation Data ......................... 135

Exhibit G: Members in Valuation .......................................................... 136

Exhibit H: Schedule of Retirees & Beneficiaries Added to and Removed from Rolls ..........................................................................

139

Exhibit I: Analysis of Financial Experience........................................... 140

Statistical Section................................................... 145

Introduction .......................................................................................... 146

Changes in Fiduciary Net Position ? Retirement Programs................. 146

Changes in Fiduciary Net Position ? OPEB Plan................................. 149

Changes in Fiduciary Net Position ? Custodial Funds ........................ 150

Public Employees' Retirement System Membership & Retirement Data ...................................................................................................

151

Public Employees' Retirement Fund Program Data............................. 153

Public Agency Employers..................................................................... 162

Legislators' Retirement System Membership & Retirement Data ........ 180

Legislators' Retirement System Program Data .................................... 181

Judges' Retirement System Membership & Retirement Data.............. 184

Judges' Retirement System Program Data.......................................... 185

Judges' Retirement System II Membership & Retirement Data........... 188

Judges' Retirement System II Program Data....................................... 189

Statistical Section: Other Programs................................................. 193 Health Care Fund................................................................................. 194 Contingency Reserve Fund.................................................................. 195 Long-Term Care Fund .......................................................................... 196 Health Benefits Program Data ............................................................. 197 Defined Contribution Plans .................................................................. 205 Long-Term Care Program Data............................................................ 206

Index of Tables, Charts & Lists ............................. 207

Glossary of Acronyms .......................................................................... 214

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