Discount Rate Discussion Scott Terando, CalPERS Chief Actuary Monday, September 18, 2017 Stanford Institute for Economic Policy Research

annualized return Since 1988 Today: $335 billion in assets 11.20% 8.83% 4.39% 6.60% 8.40% 2016/17 Portfolio Return 5-yr Annualized Return 10-yr Annualized Return 20-yr annualized return annualized return Since 1988

CalPERS Historical Allocation Discount Rate,10yr Rolling Return, and 10yr US Treasury Yield

Deciding the Discount Rate Review Capital Market Assumptions Incorporate Experience Study Life expectancy rates Changing workplace demographics Wage, job growth 

Terminated Agency Pool Discount Rate Immunized discount rate Includes termination liabilities as of valuation date Life expectancy, demographics, wage growth Applies market-based discount rate to value termination liabilities 10-year and 30-year Treasury Bonds Matches duration of liabilities at termination date