2019 Comprehensive Annual Financial Report (CAFR)

or short term fixed income investments as detailed in G.S. 147-69.2(b) (1-6) and (8). Funds deposited are held in the State Treasurer’s Equity Index Fund, 61.13%, Bond Index Fund, 33.66%, and the Short Term Investment Fund, 5.21%. At June 30, 2019, the Plan assets totaled $23,133,424. A separate report was not issued for the Plan. The Plan’s investment policy, adopted by the City Council in April 2017, allows for investment in instruments authorized by G. S. 159-30 as well as investments available to the North Carolina State Treasurer when managing funds with the same purpose. The investment policy may be amended by a majority vote of Council members. The following was the City Council’s adopted asset allocation policy as of June 30, 2019: Target Long-TermExpected Asset Class Allocation Real Rate of Return

Equity IndexFund Bond IndexFund

60.0% 40.0% 100.0%

4.46% 0.64%

Total

Investments in the Bond Index Fund with concentrations of more than 5% of the total portfolio represented the “Mortgages” sector. For the year-ended June 30, 2019, the annual money-weighted rate of return on Plan investments, net of investment expense, was 6.73%. The money-weighted rate of return expresses investment performance, net of investment expense, adjusted for the changing amounts actually invested. Investments are valued at fair market value. The projected long-term investment returns and inflation assumptions are developed through review of current and historical capital markets data, sell-side investment research, consultant whitepapers, and historical performance of investment strategies. Best estimate ranges of expected future real rates of return are developed for each major asset class. These projections are combined to produce the long-term expected rate of return by weighting the expected future real rates of return by the target asset allocation percentage and by adding expected inflation. The target allocation and best estimates of arithmetic real rates of return for each major asset class as of June 30, 2019 are summarized in the table above. The long-term nominal rates of return underlying the real rates of return are 10-year geometric compounded annualized figures. The real rates of return are calculated from nominal rates by multiplicatively adjusting for a long-term inflation assumption of 2.19%. All rates of return and inflation are annualized. Net OPEB Liability of the City The components of the net OPEB liability of the City at June 30, 2019 were as follows:

Total OPEB liability

$ 137,588,257

Plan fiduciary net position City's net OPEB liability

23,133,424

$ 114,454,833

Plan fiduciary net position as a percentage of the total OPEB liability

16.81%

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