2021 Comprehensive Annual Financial Report

1 Office of the New York State Comp-trollerThomas P. DiNapoliOffice of the New York State ComptrollerThomas P. DiNapoliNew York State and local retirement system A pension trust fund of the State of New York2021 For Fiscal Year Ended March 31, 2021 Comprehensive Annual Financial REPORTNYSLRS1921 2021A Century of Pension SecurityNYSLRSNYSLRSNew York State and local retirement SystemPrepared by the staff of the New York State and local retirement SystemEmployees retirement SystemPolice and Fire retirement system A pension trust fund of the State of New YorkFor Fiscal Year Ended March 31.

2 20212021 Comprehensive Annual Financial REPORT2 Contents New York State and local retirement SystemCONTENTSINTRODUCTIONP rofessional Awards ..9 Letter of Transmittal ..11 Administrative Organization ..20 Advisory Committees ..20 New York State and local retirement system Organization Chart ..25 Overview of the New York State and local retirement system ..26By the Numbers ..31 Members and Retirees ..31 Retirees in New York State ..32 Annual Benefit Payments Within New York State ..33 Annual Benefit Payments Within the United States ..34 Annual Benefit Payments Outside the United States.

3 34 Contents 2021 Comprehensive Annual Financial Report3 FINANCIALI ndependent Auditors Report ..37 Management s Discussion and Analysis (Unaudited) ..39 Basic Financial Basic Statement of Fiduciary Net Position ..44 Combining Basic Statement of Changes in Fiduciary Net Position ..45 Notes to Basic Financial Statements ..46 Required Supplementary Information (Unaudited) ..74 Schedule of Changes in the Employers Net Pension Liability and Related Ratios (Unaudited) ..74 Schedule of Employer Contributions (Unaudited) ..78 Schedule of Investment Returns (Unaudited).

4 78 Notes to Required Supplementary Information (Unaudited) ..79 Other Supplementary Information (Unaudited) ..80 Schedule of Administrative Expenses (Unaudited) ..80 Schedule of Investment Expenses (Unaudited) ..81 Schedule of Consulting Fees (Unaudited) ..82 Independent Auditors Report on Internal Control Over Financial Reporting and on Compliance and Other Matters Based on an Audit of Financial Statements Performed in Accordance with Government Auditing Standards ..83 CONTENTS CONTINUED4 Contents New York State and local retirement SystemINVESTMENT Overview of Investments.

5 87 Corporate Governance ..100 Investment Results ..104 Investment Summary ..105 Asset Allocation March 31, 2021 ..106 Public Equity Performance ..107 Public Equity Fund of Fund Performance ..109 Domestic Equity Portfolio Ten Largest Holdings ..110 Fixed Income Portfolio and Comparison ..111 Fixed Income Performance ..112 Fixed Income Portfolio Ten Largest Holdings ..113 Real Estate Portfolio ..114 Alternative Investments Summary ..115 Public Equity Management Fees ..116 Public Equity Commissions Internally Managed ..117 Public Equity Commissions Externally Managed.

6 118 Global Fixed Income Management Fees ..121 Long-Term Domestic Bond Transactions Internally Managed ..122 Long-Term Domestic Bond Transactions Externally Managed ..123 Short-Term Domestic Bond Transactions Internally Managed ..124 Real Estate Management and Incentive Fees (Expensed) ..125 Real Estate Management and Incentive Fees (Capitalized) ..126 Private Equity Management Fees (Expensed) ..127 Private Equity Management Fees (Capitalized) ..128 Private Equity Fee, Expense and Carried Interest Analysis ..129 Opportunistic/Absolute Return Strategies Funds Management and Incentive Fees (Expensed).

7 130 Opportunistic Funds Management Fees (Capitalized) ..131 Real Assets Management Fees (Expensed) ..132 Real Assets Management Fees (Capitalized) ..133 Credit Management Fees (Expensed).. 134 Consultant and Advisor Fees ..135 CONTENTS CONTINUEDC ontents 2021 Comprehensive Annual Financial Report5 ACTUARIAL Statement of the Actuary ..139 Actuarial Cost Method and Valuation ..141 Elements of the Actuarial Valuation ..143 Actuarial Valuation Balance Sheets ..147 local Government Employers Final Contribution Rates for Select Plans ..149 Contribution Rate Trends for local Governments.

8 151 Employer Contributions ..154 Historical Trends (Rates as a Percentage of Salary, 1977 2022) ..156 Changes in Contributions ..157 Assets and Accrued Liabilities ..158 Solvency Test ..159 Schedule of Active Member Data ..160 Schedule of Retired Members and Beneficiaries ..161 CONTENTS CONTINUED6 Contents New York State and local retirement SystemSTATISTICALS chedule of Additions to Fiduciary Net Position ..165 Schedule of Investment Income/(Loss) ..166 Schedule of Deductions from Fiduciary Net Position ..167 Schedule of Total Changes in Fiduciary Net Position.

9 168 Service Retirees ERS ..170 Service Retirees Retirees ERS ..174 Disability Retirees PFRS ..176 New Option Selections ..178 Option Selections Total Payments ..179 Average Pension Benefits Paid During Year Shown ..180 Average Benefit Pay Types ..181 New Benefits Service Retirements by Age and Service ..183 New Benefits Accidental and Ordinary Death ..184 Combined system Participants ..185 Membership by Age and Years of Service ..186 Membership by Tier ..187 Membership by Status ..188 Number of Employers ..189 Total Membership by Employer Type ..190 Average Salary by Employer Type.

10 191 Members and Salaries by Plan ERS ..192 Members and Salaries by Plan PFRS ..194 Retirees and Beneficiaries by Age ..196 Retirees and Beneficiaries ERS ..197 Retirees and Beneficiaries PFRS ..198 local Government Salaries and Billings ERS ..199 local Government Salaries and Billings Recorded 2012 2021 ..20320-Year Summary ..204 Notes to 20-Year Summary ..206 CONTENTS CONTINUEDI ntroductionSince January 1, 1921, NYSLRS employees have made it their mission to ensure that members of the New York State and local retirement system receive responsive, expert service.