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California Public Employees" Retirement System

A Component Unit of the State of California

A Solid Foundation for the Future2017-18

Comprehensive Annual Financial Report

Fiscal Year Ended June 30, 2018

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COMPREHENSIVE ANNUAL FINANCIAL REPORT

Fiscal Year Ended June-30,-2018

Prepared through the joint efforts of CalPERS' team members. Available online at www.calpers.ca.govCalifornia Public Employees' Retirement System

A Component Unit of the State of California

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1.9 million+

members

1.5 million

Total covered lives (health)

2,892

Contracted employers

8.6%

Net rate of return (PERF)

70.1%

Funded (2017) (PERF)

$34 billion Invested in California based companies & projects $22.9 billion

Annual pension benet payments (PERF)

$354 billion

Total fund market value (PERF)

Lower Discount Rate

Change in discount rate to 7%

through a three-year phase-in (assumed rate of return)

New Asset Allocation

Adopted new strategic asset

allocation eective July 1, 2018

Shorter Amortization

Shortened the amortization period

for employers to pay their unfunded liability (beginning with 2019 valuations)

2017-18

IN NUMBERS

Investing for the

Long Term

We"ve Strengthened the Fund

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Introductory Section

1

Professional Awards2

About CalPERS7

Board of Administration10

Organizational Chart ‚ Executive Staff12

Consultant & Professional Services13

Financial Section

15

Financial Section: Basic Financial Statements37

Statement of Fiduciary Net Position - Fiduciary Funds38 Statement of Changes in Fiduciary Net Position ‚ Fiduciary Funds40 Statement of Net Position ‚ Proprietary Funds42 Statement of Revenues, Expenses, and Changes in Net Position ‚Proprietary Funds43

Statement of Cash Flows ‚ Proprietary Funds44

Notes to the Basic Financial Statements45

Financial Section: Required Supplementary Information 73 Schedules of Changes in Net Pension Liability/(Asset) and RelatedRatios74

Schedules of Plan Contributions79

Schedule of Investment Returns81

Schedule of Claims Development Information82

Financial Section: Other Supplementary Information83

Administrative Expense - All Funds84

Investment Expense ‚ Investment Management Fees85

Investment Expense ‚ Performance Fees88

Investment Expense ‚ Other Investment Expenses89 Consultant and Professional Services Expenses ‚ All Funds 92

Investment Section

95

Summary of Investments ‚ PERF97

Portfolio Comparisons ‚ PERF97

Asset Allocation ‚ PERF98

Portfolio of California Investments at Fair Value ‚ PERF98 Largest Stock & Bond Holdings at Fair Value ‚ PERF99

Schedule of Commissions & Fees100

Private Equity Management Fees & Profit Sharing ‚ PERF102

Investment Performance ‚ LRF107

Investment Performance ‚ JRF II107

Investment Performance ‚ CERBTF108

Investment Performance ‚ HCF109

Investment Performance ‚ LTCF109

Actuarial Section

111

Actuarial Certifications112

Actuarial Methods & Assumptions114Summary of Funding Progress117 Exhibit A: Funding Progress ‚ Unfunded Liability & Funded Ratios118

Exhibit B: Funding Progress ‚ Solvency Test119

Exhibit C: Sample Pay Increase Assumptions for Individual Members121

Exhibit D: Sample Non-Economic Assumptions122

Exhibit E: Single Life Retirement Values131

Exhibit F: Schedule of Active Member Valuation Data131

Exhibit G: Members in Valuation132

Exhibit H: Schedule of Retirees & Beneficiaries Added to andRemoved from Rolls135

Exhibit I: Analysis of Financial Experience136

Statistical Section141

Introduction142

Changes in Fiduciary Net Position ‚ Retirement Programs142 Changes in Fiduciary Net Position ‚ OPEB Plan145

Changes in Fiduciary Net Position

Custodial Fund146

Public EmployeesRetirement System Membership & RetirementData147

Public EmployeesRetirement Fund Program Data149

Public Agency Employers158

LegislatorsRetirement System Membership & Retirement Data176

LegislatorsRetirement System Program Data177

JudgesRetirement System Membership & Retirement Data 180

JudgesRetirement System Program Data181

JudgesRetirement System II Membership & Retirement Data184

JudgesRetirement System II Program Data185

Statistical Section: Other Programs189

Health Care Fund190

Contingency Reserve Fund191

Long-Term Care Fund192

Health Benefits Program Data193

Defined Contribution Plans201

Long-Term Care Program Data202

Compliance Section

203

Chief Compliance Officer's Letter204

Culture of Compliance205

Integrated Assurance Model: Three Lines of Defense206 Fiscal Year 2017-18 Ethics and Compliance Program InitiativesHighlights207

Enterprise Compliance Branch207

Embedded Compliance Program208

Summary210

Index of Tables, Charts & Lists

211

Glossary of Acronyms218Introductory Section

1

Professional Awards2

About CalPERS7

Board of Administration10

Organizational Chart ‚ Executive Staff12

Consultant & Professional Services13

Financial Section

15

Financial Section: Basic Financial Statements37

Statement of Fiduciary Net Position - Fiduciary Funds38 Statement of Changes in Fiduciary Net Position ‚ Fiduciary Funds40 Statement of Net Position ‚ Proprietary Funds42 Statement of Revenues, Expenses, and Changes in Net Position ‚Proprietary Funds43

Statement of Cash Flows ‚ Proprietary Funds44

Notes to the Basic Financial Statements45

Financial Section: Required Supplementary Information73 Schedules of Changes in Net Pension Liability/(Asset) and RelatedRatios74

Schedules of Plan Contributions79

Schedule of Investment Returns81

Schedule of Claims Development Information82

Financial Section: Other Supplementary Information83

Administrative Expense - All Funds84

Investment Expense ‚ Investment Management Fees85

Investment Expense ‚ Performance Fees88

Investment Expense ‚ Other Investment Expenses89 Consultant and Professional Services Expenses ‚ All Funds92

Investment Section

95

Summary of Investments ‚ PERF97

Portfolio Comparisons ‚ PERF97

Asset Allocation ‚ PERF98

Portfolio of California Investments at Fair Value ‚ PERF98 Largest Stock & Bond Holdings at Fair Value ‚ PERF99

Schedule of Commissions & Fees100

Private Equity Management Fees & Profit Sharing ‚ PERF 102

Investment Performance ‚ LRF107

Investment Performance ‚ JRF II107

Investment Performance ‚ CERBTF108

Investment Performance ‚ HCF109

Investment Performance ‚ LTCF109

Actuarial Section

111

Actuarial Certifications112

Actuarial Methods & Assumptions114Summary of Funding Progress117 Exhibit A: Funding Progress ‚ Unfunded Liability & Funded Ratios118

Exhibit B: Funding Progress ‚ Solvency Test119

Exhibit C: Sample Pay Increase Assumptions for Individual Members 121

Exhibit D: Sample Non-Economic Assumptions122

Exhibit E: Single Life Retirement Values131

Exhibit F: Schedule of Active Member Valuation Data131

Exhibit G: Members in Valuation132

Exhibit H: Schedule of Retirees & Beneficiaries Added to andRemoved from Rolls135

Exhibit I: Analysis of Financial Experience136

Statistical Section

141

Introduction142

Changes in Fiduciary Net Position ‚ Retirement Programs142 Changes in Fiduciary Net Position ‚ OPEB Plan145

Changes in Fiduciary Net Position

Custodial Fund146

Public EmployeesRetirement System Membership & RetirementData147

Public EmployeesRetirement Fund Program Data149

Public Agency Employers158

LegislatorsRetirement System Membership & Retirement Data176

LegislatorsRetirement System Program Data177

JudgesRetirement System Membership & Retirement Data180

JudgesRetirement System Program Data181

JudgesRetirement System II Membership & Retirement Data184

JudgesRetirement System II Program Data185

Statistical Section: Other Programs189

Health Care Fund190

Contingency Reserve Fund191

Long-Term Care Fund192

Health Benefits Program Data193

Defined Contribution Plans201

Long-Term Care Program Data202

Compliance Section

203

Chief Compliance Officer's Letter204

Culture of Compliance205

Integrated Assurance Model: Three Lines of Defense206 Fiscal Year 2017-18 Ethics and Compliance Program InitiativesHighlights207

Enterprise Compliance Branch207

Embedded Compliance Program208

Summary210Index of Tables, Charts & Lists211

Glossary of Acronyms218Table of Contents

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354 Billion

Assets (PERF)

1.9Million +

Members

1.5Million

Covered lives (health)

Defining the

PATH FORWARD

INTRODUCTORY SECTION

SECTION HIGHLIGHTS2 Professional Awards

3 Chief Executive Officer's Letter of Transmittal

7 About CalPERS

10 Board of Administration

12 Organizational Chart € Executive Staff

13 Consultant & Professional Services

PROFESSIONAL AWARDS

CERTIFICATE OF ACHIEVEMENT FOR EXCELLENCE

IN FINANCIAL REPORTINGThe Government Finance Officers Association of theUnited States and Canada awarded a Certificate ofAchievement for Excellence in Financial Reporting toCalPERS for our Comprehensive Annual Financial Reportfor the fiscal year ended June'30,'2017. This was the 22nd

year that CalPERS has achieved this prestigious award. To be awarded a Certificate of Achievement, a government must publish an easily readable and efficiently organized comprehensive annual financial report that satisfies both generally accepted accounting principles and applicable legal requirements. We believe our current Comprehensive Annual Financial Report continues to meet the Certificate of Achievement Program-s

requirements.PUBLIC PENSION STANDARDS AWARDThe Public Pension Coordinating Council awarded aPublic Pension Standards Award for Funding andAdministration to CalPERS for the fiscal year endedJune'30,'2018. This is the 16

th consecutive year thatCalPERS has achieved this prestigious award. In order tobe awarded a Public Pension Standards Award, a publicpension program must meet professional standards forplan design and administration as set forth in the PublicPension Standards. A Public Pension Standards Award isvalid for a period of one year. Introductory Section

2 | Introductory Section | CalPERS Comprehensive Annual Financial Report, Fiscal Year Ended June 30, 2018

CHIEF EXECUTIVE OFFICER'S LETTER OF TRANSMITTAL

November 16, 2018

Members of the CalPERS Board of Administration:

I am pleased to present the California Public Employees' Retirement System (CalPERS or the System) Comprehensive Annual Financial Report (CAFR) for the fiscal year ended

June'30,'2018.

This past fiscal year marks multiple accomplishments achieved under the first year of the new five-year

2017-22 Strategic Plan

, which lays the foundation for meeting our investment, retirement, and health benefit needs for the years ahead. Beginning with our investment returns, I am pleased to report our earnings are above our 7'percent goal with an

8.6'percent net return on investments. Solid returns came from

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