COG Comprehensive Annual Financial Report

Investments in the Bond Index Fund with concentrations of more than 5% of the total portfolio represented the “Industrial” and “Mortgages” sectors. For the year-ended June 30, 2018, the annual money-weighted rate of return on Plan investments, net of investment expense, was 6.75%. 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, 2018 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, 2018 were as follows:

Total OPEB liability Plan fiduciary net position City's net OPEB liability

$

150,712,342 20,553,581 130,158,761

$

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

13.64%

38oo