2011 Annual TCRS Report - Tennessee Department of Treasury

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TABLE OF CONTENTS INTRODUCTORY SECTION GFOA Certificate of Achievement ........................................................................................................................................... 1 Public Pension Standards Award .......................................................................................................................................... 2 Chairman of the Board’s Letter ............................................................................................................................................... 3 Letter of Transmittal ................................................................................................................................................................. 4 Administration and Mission .................................................................................................................................................. 6 The Council on Pensions and Insurance ............................................................................................................................... 7 The Board of Trustees ............................................................................................................................................................... 9 Professional Consultants ....................................................................................................................................................... 11 Treasury Department Executive Staff ................................................................................................................................... 13 Organization Chart ................................................................................................................................................................ 14 FINANCIAL SECTION Independent Auditor’s Report .............................................................................................................................................. 15 Management’s Discussion and Analysis ............................................................................................................................ 17 Financial Statements: Statements of Plan Net Assets ....................................................................................................................................... 22 Statements of Changes in Plan Net Assets .................................................................................................................. 24 Notes to the Financial Statements ................................................................................................................................. 26 Required Supplementary Information: Schedules of Funding Progress ..................................................................................................................................... 39 Schedules of Employer Contributions .......................................................................................................................... 39 Supporting Schedules: Schedules of Administrative Expenses ........................................................................................................................ 40 Schedules of Investment Expenses ................................................................................................................................ 42 Schedules of Expenses for Consultants ........................................................................................................................ 44 INVESTMENT SECTION Report by Investment Consultant ......................................................................................................................................... 45 Letter from TCRS Chief Investment Officer ......................................................................................................................... 46 Statutory Investment Authority ............................................................................................................................................ 47 Investment Performance Review .......................................................................................................................................... 48 Asset Allocation ...................................................................................................................................................................... 49 Largest Holdings .................................................................................................................................................................... 50 Investment Summary .............................................................................................................................................................. 51 Schedules of Investment Fees and Commissions ............................................................................................................... 52 (continued)
TABLE OF CONTENTS (CONTINUED) ACTUARIAL SECTION Actuarial Introduction ........................................................................................................................................................... 55 Actuary’s Certification Letter ................................................................................................................................................ 56 Summary of Actuarial Assumptions and Methods ........................................................................................................... 58 Actuarial Data ......................................................................................................................................................................... 60 Actuarial Balance Sheet ......................................................................................................................................................... 61 Short-Term Solvency Test ...................................................................................................................................................... 62 Summary of Accrued and Unfunded Accrued Liabilities ................................................................................................. 63 Selected Actuarial Funding Information ............................................................................................................................. 64 Analysis of Financial Experience ......................................................................................................................................... 65 Plan Summary ......................................................................................................................................................................... 66 Services for Active and Retired Members ............................................................................................................................ 68 Sample Benefit Calculations ................................................................................................................................................. 69 Major Legislative Improvements .......................................................................................................................................... 70 STATISTICAL SECTION Statistical Introduction ........................................................................................................................................................... 71 Historical Fair Value .............................................................................................................................................................. 72 Analysis of Member and Employer Reserves ..................................................................................................................... 73 Schedules of Changes in Net Assets .................................................................................................................................... 74 Schedules of Benefit Expenses .............................................................................................................................................. 75 Schedules of Active Members ................................................................................................................................................ 76 Schedules of Retired Members .............................................................................................................................................. 79 Retired Members by Geographical Distribution ................................................................................................................. 83 Average Benefit Payments Schedule .................................................................................................................................... 84 Retired Members on Payroll and Prior Service Established ............................................................................................. 85 Treasury Retirement Installment Plan ................................................................................................................................. 86 Refund Activity and Political Subdivision Participation ................................................................................................. 87 Historical Employer Contribution Rates ............................................................................................................................. 88 Schedules of Principal Participating Employers ................................................................................................................ 89 Introduction to Political Subdivision Participation ........................................................................................................... 90 Optional Provisions for Political Subdivisions .................................................................................................................. 91 Political Subdivision Participants ........................................................................................................................................ 92
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T E N N E S S E E C O N S O L I D A
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ACTUARIAL SECTION The Lorraine Mote
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S T A T I S T I C A L S E C T I O N
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2011 Annual TCRS Report - Tennessee Department of Treasury

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