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

2. 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

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

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

5. 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