Fresno City Council
January 27, 2022

City of Fresno Fire and Police Retirement System
A Pension Trust Fund of the City of Fresno (California)

ANNUAL COMPREHENSIVE

FINANCIAL REPORT
FOR FISCAL YEARS ENDED JUNE 30, 2021 AND 2020
Issued by:

Robert T. Theller
Retirement Administrator
Kathleen Riley Brown
Assistant Retirement Administrator
2828 Fresno Street Suite 201, Fresno, CA 93721-1327
(559) 621-7080 / [email protected]
www.CFRS-CA.org

TABLE OF CONTENTS
Introduction Section
Letter of Transmittal .................................................................................................................................................................................. i
City of Fresno Fire and Police Retirement System Board Members ........................................................................................................ ix
City of Fresno Retirement Administrative Staff ........................................................................................................................................ x
Administration of the System .................................................................................................................................................................... xi
Organizational Structure ............................................................................................................................................................................ xii
Professional Services and Consultants ...................................................................................................................................................... xiii
Investment Portfolio Managers ................................................................................................................................................................. xiv Certificate of Achievement for Excellence in Financial Reporting .......................................................................................................... xv Financial Section
Independent Auditor’s Report ................................................................................................................................................................... 2 Management’s Discussion and Analysis ................................................................................................................................................... 4 Basic Financial Statements
Statement of Fiduciary Net Position ......................................................................................................................................................... . 18 Statement of Changes in Fiduciary Net Position ....................................................................................................................................... 19 Notes to the Basic Financial Statements ................................................................................................................................................... . 20 Required Supplementary Information
Schedule of Changes in the Net Pension Liability ............................................................................................................................... 58 Schedule of Employer Contributions ................................................................................................................................................... 60 Schedule of Investment Returns .......................................................................................................................................................... . 60 Notes to the Required Supplementary Information ............................................................................................................................. . 61 Other Supplementary Information
Schedule of Administrative Expenses .................................................................................................................................................. 63 Schedule of Investment Management Expenses .................................................................................................................................. 64 Schedule of Payments to Consultants .................................................................................................................................................. . 64 Investment Section
Investment Report from the Retirement Administrator ............................................................................................................................. 66 Investment Consultant’s Report ................................................................................................................................................................ 71 Investment Results (Gross and Net of Fees) ............................................................................................................................................. 73 Target Asset Allocation and Actual Asset Allocation ............................................................................................................................... 75 Largest Stock and Bond Holdings ............................................................................................................................................................. 77 Brokerage Commission Recapture ............................................................................................................................................................ 78 Schedule of Commissions ......................................................................................................................................................................... 78 Investment Summary ................................................................................................................................................................................. 79 City of Fresno Fire and Police Retirement System
Actuarial Section
Actuarial Certification Letter .................................................................................................................................................................... . 81 Summary of Actuarial Assumptions and Funding Method ....................................................................................................................... 84 Probabilities of Separation Prior to Retirement ........................................................................................................................................ . 86 Schedule of Active Member Valuation Data ............................................................................................................................................. 87 Schedule of Retirees and Beneficiaries Added to or Removed from Rolls ............................................................................................... 88 Solvency Test ............................................................................................................................................................................................ 89 Actuarial Analysis of Financial Experience .............................................................................................................................................. 90 Schedule of Funding Progress ................................................................................................................................................................... 90 Major Benefit Provisions of the Retirement System ................................................................................................................................. 91 History of Employer Net Contribution Rates ............................................................................................................................................ 93 Statistical Section
Statistical Section Review.......................................................................................................................................................................... 96 Schedule of Changes in Fiduciary Net Position ........................................................................................................................................ 97 Schedule and Graph of Additions by Source ............................................................................................................................................. 98 Schedule and Graph of Deductions by Type ............................................................................................................................................. 99 Membership Information
Schedule of Average Benefit Payments ............................................................................................................................................... 100 Retirees by Type of Benefit .................................................................................................................................................................. 101 Schedule and Graph of Pension Benefit Payments Deductions by Type ............................................................................................. 102 Schedule and Graph of Active Vested, Active Non-Vested and Deferred Membership History ......................................................... 103 Schedule and Graph of Retirees Pension Benefit Payments by Type of Benefit ................................................................................. 104 Summary of Active Participants and Retirees ...................................................................................................................................... 105 Member and City Contribution Rates .................................................................................................................................................. 106 Economic Assumptions and Funding Method ..................................................................................................................................... 107 Benefits and Withdrawals Paid ............................................................................................................................................................ 108 Average Monthly Benefits to Retirees ................................................................................................................................................. 109 Expectation of Life (Age and Service Retirees) .................................................................................................................................. 110 Expectation of Life (Disabled Retirees) ............................................................................................................................................... 110 Compliance Section
Independent Auditor’s Report on Internal Control .................................................................................................................................... 112 Over Financial Reporting and on Compliance
and Other Matters Based on an Audit of
Financial Statements Performed in Accordance
With Government Auditing Standards
City of Fresno Fire and Police Retirement System

MISSION STATEMENT
To protect and provide System benefits through the highest quality delivery of service for our members and the employer, prudently fulfilling our fiduciary duties of investment and conservation of Trust assets.

BOARD AND STAFF COMMITMENT
We promise to carry out our Mission through a competent, professional, impartial and open decision-making process. In providing benefits and services, all persons will be treated fairly, with courtesy and respect. Assets will be invested and administered to balance the need to control risk with superior performance. We expect excellence in all activities. We will also be accountable and act in accordance with the law.

GOALS
• To create an environment in which Board Members can
maximize their performance as trustees.
• To improve business processes and our delivery of services provided to members and retirees.
• To improve communications with members, retirees and the employer.
• To attract, develop and retain competent and professional staff. • To achieve and maintain superior investment performance on a risk controlled basis measured by the Public Fund Universe.

City of Fresno Fire and Police Retirement System
The Fire and Police
Retirement System was
established on July 1,
1955 and is maintained
and governed by Articles 3
and 4 of the Fresno
Municipal Code.

The Fire and Police
Retirement System (the
System) provides
retirement allowances to
all full-time sworn safety
members employed by the
City of Fresno.

INTRODUCTION
i Letter of Transmittal
ix City of Fresno Fire and Police Retirement System Board Members x City of Fresno Retirement Administrative Staff
xi Administration of the System
xii Organizational Structure
xiii Professional Services and Consultants
xiv Investment Portfolio Managers
xv Certificate of Achievement for Excellence in Financial Reporting Letter of Transmittal
Robert T. Theller, Esq.

RETIREMENT ADMINISTRATOR
Dear Board Members:

As Retirement Administrator of the City of Fresno Fire and Police Retirement System (the System), it is with great pleasure that I submit the Annual Comprehensive Financial Report (ACFR) for the fiscal years ended June 30, 2021 and 2020.

The fiscal year 2021 began with the country and the world firmly in the midst of a worldwide pandemic. Our lives and lifestyles changed, where working and learning from home became the “new normal,” and in-person communication was replaced by virtual meetings. In addition to the issue of public health came a great deal of economic uncertainty that would remain through much of the first half of the fiscal year.

But as the year progressed, some positive news came at the end of 2020 with the development and initial dissemination of COVID-19 vaccines and additional legislation that provided billions in pandemic-related stimulus. The second half of the fiscal year saw significant progress in managing the virus through vaccinations and medical protocols. This progress allowed both the federal government and several states to continue to push forward with reopening after relaxing many of itheir pandemic-related constraints. The overall global financial market, driven by progress on the vaccine rollout, accommodating monetary policy, fiscal stimulus, strong corporate earnings growth, and the reopening of the economy, ended the fiscal year with a strong performance by equities and bonds also held up reasonably well. The System itself posted its largest overall return ever with 30.8% return gross of fees. As we head into the new fiscal year, fears of inflation have begun to rise, as mismatches between supply and demand began pushing up consumer prices. The path of inflation is still unclear and could depend on economic policy decisions yet to be made.

Despite the tremendous challenges of the past year, the System is currently fully funded on both a market fair value and actuarial valuation basis at 138.8 percent and 121.6 percent, respectively. From a long-term perspective, the System is positioned to provide a solid rate of return that is equal to or better than the respective asset classes market indices even as we enter yet another year of uncertainties in the global economic and financial markets. The Retirement Board (the Board) has carefully managed the investment portfolio throughout global pandemic, and we remain confident that new investment opportunities will arise and the Board, with the required amount of due diligence and vigilance, will position the System’s investments for future long-term growth.

City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 i The System’s returns for the last two years have been mixed at 30.81 percent and 1.62 percent for the fiscal years ended June 30, 2021 and 2020, respectively. Noticeably, the returns are well above the System’s assumed rate of return of 7.00 percent effective June 30, 2021, and well below the assumed rate of return of 7.00 percent effective June 30, 2020.

In fiscal year 2021, the System’s gross of fee returns provided by its custodian, Northern Trust, when compared to other institutional investors and weighted policy benchmarks, were favorable. The System’s gross of fees one-year return was

30.81 percent, 3.59 percent above its policy benchmark return of 27.22 percent; and outperforming its actual weighted benchmark by 1.24 percent; also outperforming its actuarial interest rate assumption of 7.00 percent by 23.81 percent in Fiscal Year 2021. The five-year annualized gross of fees return of 11.89 percent was 4.89 percent above its actuarial interest rate assumption of 7.00 percent and above its policy benchmark return of 10.85 percent by 1.04 percent. The System’s ten- year annualized gross of fees return at 9.33 percent exceeded its policy benchmarks of 8.62 percent by 0.71 percent and also exceeded its actuarial interest rate assumption by 2.33 percent for the same period.

The System remains highly funded and well positioned to serve our members and retirees. As illustrated by the System’s 10, 15 and 25-year long-term gross of fees returns of 9.33 percent, 7.76 percent, and 8.37 percent, respectively, as of June 30, 2021, the System has the ability to achieve its long-term objectives over extended periods. Meanwhile, the System’s actuarial and fair value funding status continues to be the highest of any public safety pension defined benefit plan in California.

The Annual Comprehensive Financial Report (ACFR)
The Annual Comprehensive Financial Report (ACFR) of the City of Fresno Fire and Police Retirement System for fiscal years ended June 30, 2021 and 2020, is submitted herewith. Information contained in this report is designed to provide a complete and accurate review of the years' operations. Responsibility for both the accuracy of the data, and the completeness and fairness of the presentation, rests with the management of the System. For a general overview of the City of Fresno Fire and Police Retirement System’s finances, please refer to the Management’s Discussion and Analysis in the Financial Section of this report. The ACFR consists of six sections:

The Introduction Section contains our Mission Statement, a Letter of Transmittal, a description of the System’s management and organizational structure, a listing of the professional services providers, and the Government Finance Officers Association’s Certificate of Achievement for Excellence in Financial Reporting.

The Financial Section contains the opinion of the independent auditor, Brown Armstrong Accountancy Corporation, Management’s Discussion and Analysis, the Basic Financial Statements of the System, the Required Supplementary Information and the Other Supplementary Information.

The Investment Section includes an Investment Report from the Retirement Administrator, a letter from the System’s Investment Consultant, NEPC, LLC, (NEPC) recapping the fiscal year investment results and activities, along with performance and asset allocation information. Investment Consultant returns may differ slightly from the custodian's book of record due to rounding methodology.

City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 ii The Actuarial Section includes the certification letter produced by the independent actuary, The Segal Company, along with supporting schedules and information.

The Statistical Section contains significant detailed data pertaining to the System.

The Compliance Section contains the Independent Auditor’s 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.

I trust that you and the members of the System will find this ACFR helpful in understanding the System and our commitment to financial integrity and member services.

THE FIRE AND POLICE RETIREMENT SYSTEM AND ITS SERVICES
The Fire and Police Retirement System was established on July 1, 1955, under Charter Section 910 and is governed by Articles 3 and 4 of Chapter 3 of the City of Fresno Municipal Code. Effective August 27, 1990, the City of Fresno (the City) added a Second Tier that includes all full-time sworn Fire, Police, and Airport Safety personnel hired on or after that date.

The System provides retirement allowances to all full-time sworn safety members employed by the City of Fresno. In accordance with the provisions of the City of Fresno Municipal Code, the System provides lifetime retirement, disability, and death benefits to its safety members.

The Fire and Police Retirement Board is responsible for establishing policies governing the administration of the System, making benefit determinations, and managing the investment of the System’s assets. The Board operates under the authority vested in Articles 3 and 4 of Chapter 3 of the City of Fresno Municipal Code and the California Pension Protection Act of 1992. Article XVI, Section 17(b) of the Constitution of the State of California provides that the “members of the Retirement Board of a public retirement system shall discharge their duties...solely in the interest of, and for the exclusive purpose of providing benefits to, participants and their beneficiaries, minimizing employer contributions thereto, and defraying reasonable expenses of administering the System. A Retirement Board’s duty to its participants and their beneficiaries shall take precedence over any other duty.” Section 17(a) further provides that the Board has...“the sole and exclusive responsibility to administer the System in a manner that will assure prompt delivery of benefits and related services to the participants and their beneficiaries.” The Retirement Board is also responsible for the prudent investment of member and employer contributions and defraying reasonable expenses of administration.

The Retirement Board has five (5) members: two (2) management employees who are appointed by the Mayor and confirmed by the City Council, one (1) employee who is elected by the sworn Fire Department members of the System, and one (1) employee who is elected by the Police and Airport Safety Officers of the System, both of which serve a four-year term. The fifth and final member of the Board shall be a qualified elector of the County of Fresno, not connected with its government, appointed by the previously designated four members. The Board oversees the Retirement Administrator and staff in the performance of their duties in accordance with the City of Fresno Municipal Code and the Board’s Rules, Regulations and Policies.

City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 iii Major Initiatives
The Board, jointly with the City of Fresno Employees Retirement System Board (the Boards), renewed service provider agreements with Foley & Lardner, investment legal counsel; Saltzman & Johnson, general legal counsel; and The Segal Company, actuarial service provider; and continued education and evaluations related to all investment classes, especially Alternative investments.

During Fiscal Year 2020, the Boards authorized a European direct lending manager search through its investment consultant, NEPC. Staff and NEPC conducted investment due diligence of several firms and recommended the selection of Arcmont Asset Management (Arcmont) of London, England. Due to travel restrictions and work-from-home status as a result of the COVID-19 pandemic, Staff were able to conduct operational due diligence via video conference meetings in October 2020, and found from an operational standpoint, that Arcmont is a well-run organization, and recommended after a review of all pertinent legal documents, background investigations of key personnel that the Boards select Arcmont Asset Management to manage a European direct lending fund with a commitment of up to $150 million. The Boards approved the recommendation for Arcmont in October 2020 and funded the initial capital call in March 2021.

During fiscal year 2021, the Boards approved a new asset allocation, four-year pacing plan, and updated the existing investment policy statement (IPS) effective July 2021; and authorized an additional Core Real Estate commitment to Carlyle.

Changes to the strategic asset allocation include reducing public equity, while increasing liquid and illiquid fixed income, adjusting exposure to various real asset strategies, and creating a new composite entitled Diversifying/Thematic Assets. With the adoption of the new asset allocation, the Boards also authorized a private real estate manager search. Staff/NEPC identified three managers who fit the criteria and conducted investment due diligence with Bain Capital, Kayne Anderson and Alidade, recommending the Boards move forward with the due diligence review of three proposed managers. Following the initial investment review process, the Boards chose to conduct a full legal review of pertinent legal documents, investment due diligence, operational due diligence, and background investigations of key personnel at Kayne Anderson and Alidade.

Selection of these firms and capital investments are expected in fiscal year 2022.

Effective January 1, 2017, the IRS eliminated its staggered five-year remedial amendment cycle system for individually designed qualified retirement plans and no longer accepts applications for determination letters. The System's letter of determination was effective through January 31, 2019. The IRS' current determination letter program, in general, provides that a plan sponsor that maintains a qualified plan, with a favorable determination letter, may continue to rely on the determination with respect to any plan provision, until such time that the plan provision subsequently is amended or affected by a change in law. The Boards retained the services of the law firm of Ice Miller, LLP (Ice Miller) to assist with a review of our plan documents and applicable statutes in effect through 2013, and any plan amendments or changes to provisions made after January 1, 2014. Based on their initial review, since the date of the plan's favorable determination letter May 26, 2014, the plan has been timely amended to comply with the changes required to be tax qualified under Internal Revenue Code § 401 (a). Staff began work with Ice Miller in 2019 to review the Retirement Systems' plan provisions for continued IRS Compliance. The proposal from Ice Miller to participate in the IRS Comply Now program included updating of the Systems’ plan provisions to incorporate certain distribution provisions and new provisions required by the Setting Every Community Up for Retirement Enhancement (SECURE) and Coronavirus Aid, Relief and Economic Security (CARES) Acts. Comply City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 iv Now reports detailing the changes to be considered were presented to the Boards during fiscal year 2021. However, submission to the IRS Comply Now program is delayed due to review of additional provisions to be considered. Ice Miller expects to submit the request to the IRS during Fiscal Year 2022.

With the ongoing challenges posed by COVID-19 during fiscal year 2021, the Retirement Benefits Staff continued to ramp up their communication efforts with both employees and retirees of the System. Aggressive efforts deployed helped to maximize enrollment in the Member Direct module initially implemented in January 2016. Participation in Member Direct has continually increased every fiscal year. In addition, Retirement Counselors successfully met and counseled Members regarding prospective retirements via Zoom. Although face-to-face in person meetings are preferable, Staff provided all the necessary information and support that the Members needed by answering individual questions to assist Members in making their retirement decisions to retire during the Fiscal Year.

With the assistance of its actuary and staff, the Board completed the annual actuarial valuations for June 30, 2021 and 2020, and Governmental Accounting Standards Board (GASB) Statement No. 67, which redefines pension liability and expense for financial reporting purposes only. In accordance with Actuarial Standards of Practice (ASOP) 51, the System's actuary has identified and assessed risks that may be reasonably anticipated to significantly affect the System's future financial condition, which helps intended users of the actuarial findings gain a better understanding of risks inherent in the measurements of pension obligations and actuarially determined pension plan contributions.

Professional Services
Professional Services Consultants and Investment Portfolio Managers are retained by the Board to provide professional services essential to the effective and efficient operation of the System. See listings on pages xiii and xiv.

An opinion from the Independent Auditor and a certification letter from the Actuary are included in this report along with a summary investment report from the Board’s Investment Consultant. The Consultants and Investment Managers retained by the Board are listed in the following section of this report.

Certificate of Achievement
The Government Finance Officers Association of the United States and Canada (GFOA) awarded a Certificate of Achievement for Excellence in Financial Reporting to the City of Fresno Fire and Police Retirement System for its annual comprehensive financial report for the fiscal year ended June 30, 2020. The Certificate of Achievement is a prestigious national award recognizing excellence in the preparation of public employee retirement system annual comprehensive financial reports.

To be awarded a Certificate of Achievement for Excellence in Financial Reporting, a government entity must publish an easily readable and efficiently organized annual comprehensive financial report. This report must satisfy both generally accepted accounting principles and applicable legal requirements.

City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 v A Certificate of Achievement for Excellence in Financial Reporting is valid for a period of one year only. The System has received a Certificate of Achievement for the last twenty-one consecutive years. We believe that our current annual comprehensive financial report continues to meet the Certificate of Achievement Program’s requirements and we are submitting it to the GFOA to determine its eligibility for another certificate. For Fiscal Year 2020, the System submitted a Popular Annual Financial Report (PAFR) to the GFOA. The System received from the GFOA an Award for Outstanding Achievement in Popular Annual Financial Reporting. The PAFR provides System membership with condensed and concise information in an easier to read format than is presented in the ACFR.

Actuarial Funding Status and Net Pension Liability
The System’s funding objective is to meet long-term benefit promises by retaining a well-funded plan status and obtaining superior investment returns while minimizing employer contributions. The Board’s objective for employer contributions is to establish a rate as a level percent of member payroll. The greater the level of overall plan funding, the larger the ratio of assets accumulated compared to the actuarial accrued liability and the greater the level of investment potential. The advantage of a well-funded plan is that the benefits earned by participants are funded during their working careers and not by future generations of taxpayers.

The June 30, 2021 actuarial valuation is presented in this ACFR. As of June 30, 2021, the funded ratio of the Fire and Police Retirement System was 121.6 percent. The ratio of the valuation value of assets to actuarial accrued liabilities was 116.3 percent as of the June 30, 2020, valuation. The funding ratios as of June 30, 2021 and 2020, if measured using the market fair value of assets instead of the actuarial valuation value of assets are 138.8 percent and 111.5 percent, respectively. The funded ratios were determined by using the actuarial value of the assets in accordance with actuarial standards.

The actuarial accrued liability of the System at June 30, 2021, for funding purposes, amounted to $1,395,140,000; the actuarial valuation value of assets amounted to $1,695,906,219 and the market fair value of assets (including non-valuation reserves) amounted to $2,090,370,123. At June 30, 2020, the actuarial valuation value of assets amounted to $1,547,641,320; the market fair value of assets (including non-valuation reserves) amounted to $1,635,299,813.

Under the Governmental Accounting Standards Board (GASB) Statement No. 67 Financial Reporting methodology, the net pension liability of the System as of June 30, 2021 indicates a surplus of $453,848,985; while on an actuarial funding basis the valuation value of assets basis reflects a surplus of $300,766,219 and a funding ratio of 121.6 percent. At June 30, 2020, the net pension liability of the System indicated a surplus of $69,669,369 and a funding ratio of 116.3 percent. For financial reporting purposes, the Plan Fiduciary Net Position as a percentage of the Total Pension Liability is 127.73% and 104.45% as of June 30, 2021 and 2020, respectively.

The Board engages an independent actuarial consulting firm to conduct annual actuarial valuations of the System. The purpose of the actuarial valuation is to reassess the magnitude of the benefit commitments. This is compared to the assets expected to be available to support those commitments. Recommendations are presented to the Board for consideration. The Segal Company is the System’s independent actuarial consultant. The Actuarial Section of this report contains a more detailed discussion of funding.

City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 vi Accounting System & Reports
The management of the System is responsible for establishing and maintaining an internal control structure designed to ensure that System assets are protected from loss, theft, or misuse. Responsibility for the accuracy, completeness, and fair presentation of the information, and all disclosures, rests with the management of the System.

The accounting firm of Brown Armstrong Accountancy Corporation provides financial audit services. The financial audit ensures that the System’s financial statements are presented in conformity with accounting principles generally accepted in the United States of America (GAAP) and are free of material misstatement. The internal controls are designed to provide reasonable but not absolute assurance that these objectives are met. The System recognizes that even sound internal controls have their inherent limitations. Internal controls are reviewed to ensure that the System’s operating policies and procedures are being adhered to and that the controls are adequate to ensure accurate and reliable financial reporting and to safeguard the System’s assets. The objective is to provide a reasonable, rather than absolute, assurance that the financial statements are free of any material misstatements given the prudent need to ensure that the cost of a control should not exceed the benefits to be derived. We believe that the System's internal controls adequately safeguard assets.

This report has been prepared in accordance with Generally Accepted Accounting Principles for State and Local Governments (GAAP) as established by the Governmental Accounting Standards Board (GASB). The System’s transactions are reported on the accrual basis of accounting. Revenues are taken into account when earned, regardless of the date of collection. Expenses are recorded when the corresponding liabilities are incurred, regardless of when the payment is made.

Investments
Article XVI, Section 17(c) of the Constitution of the State of California, provides that “the members of the Retirement Board of a public pension or retirement system shall discharge their duties... with the care, skill, prudence, and diligence under the circumstances then prevailing that a prudent person acting in a like capacity and familiar with these matters would use in the conduct of an enterprise of a like character and with like aim.” By permitting further diversification of investments within a fund, the prudent expert standard may enable a fund to reduce overall risk and increase returns. A summary of the asset allocation can be found in the investment section of this report and in Note 2 – Summary of Significant Accounting Policies (see section Investment).

The prudent expert rule permits the Board to establish an investment policy based upon professional advice and counsel and allows for delegation of investment authority to professional investment advisors. The Investment Objectives and Policy Statement of the Board outline the responsibility for the investment of the fund and the degree of risk that is deemed appropriate for the fund. Investment advisors are to execute the policy in accordance with the Board policy and guidelines.

For the fiscal years ended June 30, 2021 and 2020, the System’s investments provided a 30.81 percent and 1.62 percent gross of fees rate of return, respectively, as reported by the custodian, Northern Trust.

City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 vii City of Fresno Fire and Police Retirement System l Introduction Letter of Transmittal Continued
Acknowledgments
The compilation of this report reflects the combined effort of the System’s staff under the leadership of the Board. It is intended to provide complete and reliable information as a basis for making management decisions, as a means of determining compliance with legal provisions, and as a means of determining responsible stewardship of the funds of the System.

On behalf of the Board, I would like to express my appreciation for the dedication and efforts of my staff members, Kathleen Riley Brown, Yvonne Timberlake, Chad Jacobs, Alberto Magallanes, Karen Espiritu, Cristina Jurado, Pattie Laygo, Andrea Ketch, Phillip Carbajal, Patricia Basquez, Joan Taketa, Ohn Viengsay, Katie Baroni, Stanton Perkins, Tracy Gonzales and the Board's consultants, for their assistance in the preparation of this report and for their ongoing commitment to serve the Board and the members of the System. I also would like to thank the Board members for their support in accomplishing the many tasks and goals over the past year.

Respectfully Submitted,
Robert Theller
Robert T. Theller, Esq.

Retirement Administrator
December 1, 2021
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 viii Retirement Board Members
As of June 30, 2021
Chair
Jonathan Lusk
Re-Elected June 2018
Term Expires June 2022
Represents Fire Members
Vice Chair
John Jensen
Re-Elected June 2020
Term Expires June 2024
Represents Police Members
Lynn Bennink
Appointed June 2017
Term Continuous
Outside Member Appointed by the Retirement Board
Brad Driscoll
Appointed March 2020
Term Continuous
Outside Member Appointed by the Retirement Board
Donald Gross
Appointed May 2019
Term Continuous
Appointed by the Mayor and Confirmed by the Fresno City Council City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 ix Retirement Administrative Staff
Robert T. Theller, Esq.

Retirement Administrator
Pattie Laygo Tracy Gonzales Chad Jacobs Stanton Perkins Retirement Office Manager Senior Administrative Clerk Investment Officer Programmer/Analyst IV Financial Services (From left to right)
Karen Espiritu
Senior Accountant Auditor
Alberto Magallanes
Retirement Accounting Manager
Kathleen Riley-Brown
Assistant Retirement Administrator
Cristina Jurado
Accountant Auditor I
Benefit Services (From left to right)
Patti Basquez
Senior Retirement Counselor
Andrea Ketch
Retirement Benefits Manager
Yvonne Timberlake
Assistant Retirement-Administrator
Onh Viengsay
Retirement Counselor II
Phillip Carbajal
Retirement Counselor II
Joan Taketa
Retirement Counselor II
Katie Baroni (not pictured)
Retirement Counselor I
City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 x Administration of the System
Administration
The Administrative Section is responsible for the administration of the City of Fresno Fire and Police Retirement System, including the risk management of the investment activities in accordance with the policies, regulations, and general guidelines of the Retirement Board. It is also responsible for interfacing with the investment managers, the investment consultant, the actuary, legal counsel, custodial bank, and any other consultants authorized by the Board. (See pages xiii and xiv for professional services and consultants and investment portfolio managers and page 78 for a schedule of brokerage commissions.)
Member Services
This section is responsible for providing all benefit services to the members of the System. This includes benefit calculations, investigation of claims for disability retirement, preparation of data to support applications for retirement, preparation of the retiree payroll, membership counseling, and membership training.

Financial Services
This section is responsible for planning, organizing and directing all fiscal activities of the Retirement Systems. This includes the preparation and publication of the Annual Financial Reports, monthly or quarterly financial report and information to the Board, and all other financial records and reports including financial statements, control and balancing of payroll and members' contributions and reconciliation of investments.

Investment Officer
This position is responsible for monitoring compliance with the Board’s Investment Objectives and Policy Statement and assists and coordinates in the management and administration of the System's investment program. This includes the planning and development of investment strategies.

Retirement Office Manager
This position is responsible for providing administrative and clerical support services for the Board and the retirement staff.

City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 xi Organizational Structure
City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 xii Professional Services and Consultants
Custodial Bank

NORTHERN TRUST
Chicago, Illinois
General Legal Advisor
SALTZMAN and JOHNSON LAW CORPORATION
San Francisco, California
Tax Counsel

ICE MILLER LLP
Indianapolis, Indiana
Investment Legal Advisor

FOLEY & LARDNER LLP
Boston, Massachusetts
Operational Due Diligence - Background Investigations

CHARLES LEVENBERG, LLC
Boulder, Colorado
Investment Consultant

NEPC, LLC
Boston, Massachusetts
Actuary

THE SEGAL COMPANY
San Francisco, California
Medical Advisor
BENCHMARK, AN EXAMWORKS COMPANY, INC.

Sacramento, California
Independent Auditor

BROWN ARMSTRONG ACCOUNTANCY CORPORATION
Bakersfield, California
City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 xiii Investment Portfolio Managers

DOMESTIC EQUITY
Large Cap
Northern Trust Asset Management, Denver, CO
Small Cap
Eagle Asset Mgmt., Inc., St. Petersburg, FL
Kennedy Capital Mgmt. Inc., St. Louis, MO

INTERNATIONAL & EMERGING

MARKETS
International
BlackRock, San Francisco, CA
Baillie Gifford & Co., Edinburgh, Scotland
Principal Global Investors, DesMoines, IA
Emerging Market
Acadian Asset Mgmt. LLC, Boston, MA
Axiom Int'l Investors, LLC, Boston, MA

FIXED INCOME
Core Fixed Income
Dodge & Cox, San Francisco, CA
Prudential Investment Mgmt., Inc., Newark, NJ
High Yield
Loomis Sayles, Boston, MA

REAL ESTATE
Private Real Estate Investments
Core
JP Morgan Asset Mgmt., New York, NY
The Carlyle Group, Washington, D.C.

Value Add
Oaktree Capital Management, Los Angeles, CA
PCCP, LLC, Los Angeles, CA
PIMCO BRAVO III, Newport Beach, CA
Blue Vista Capital Management, Chicago, IL
Artemis Real Estate Partners, Chevy Chase, MD
Brookfield Asset Management, New York, NY

ALTERNATIVES
Private Debt/Credit
Arcmont Asset Mgmt, London, United Kingdom
Crescent Capital, Los Angeles, CA
Monroe Capital, Chicago, IL
PIMCO COF II, Newport Beach, CA
Infrastructure
JP Morgan IIF, New York, NY
Ullico UIF, Silver Spring, MD
Private Equity
Pantheon Ventures, San Francisco, CA
City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 xiv City of Fresno Fire and Police Retirement System l Introduction Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 xv To protect and provide
system benefits through
the highest quality
delivery of service for our
members and the
employer, prudently
fulfilling our fiduciary
duties of investment and
conservation of Trust
assets.

FINANCIAL
2 Independent Auditor's Report
4 Management's Discussion and Analysis
18 Basic Financial Statements
20 Notes to the Basic Financial Statements
58 Required Supplementary Information
63 Other Supplementary Information
Independent Auditor’s Report
City of Fresno Fire and Police Retirement System l FINANCIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 2 City of Fresno Fire and Police Retirement System l FINANCIAL Independent Auditor's Report Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 3 Management's Discussion and Analysis
We are pleased to provide this overview and analysis of the financial activities of the City of Fresno Fire and Police Retirement System (the System) for the fiscal years ended June 30, 2021 and 2020. We encourage readers to
consider the information presented here in conjunction
with additional information that we have furnished in the Letter of Transmittal beginning on page i of this report.

Financial Highlights
The System’s net position restricted for pension benefits is for payment of pension benefits to participants and their beneficiaries and all of the net position is restricted to meet the System’s ongoing obligations.

At the close of the fiscal year 2021, the assets of the System exceed its current liabilities by $2,090,370,123; as of fiscal year-end 2020, the assets of the System exceeded its liabilities by $1,635,299,813; and as of fiscal year-end 2019, the assets of the System exceeded its liabilities by $1,647,799,602.

The System’s net position restricted for pension benefits increased by $455,070,310 or 27.83 percent for fiscal year 2021; for the prior fiscal year 2020, total net position decreased by $12,499,789 or 0.76 percent; and for the
prior fiscal year 2019, total net position increased by $45,214,008 or 2.82 percent, all primarily as a result of the performance of the global investment markets.

The System’s funding objective is to meet long-term
benefit obligations through contributions and investment income. As of June 30, 2021, the date of the last actuarial valuation, the funded ratio for the System was 121.6
percent. In general, this indicates that for every dollar of benefits due we have approximately $1.22 of assets
available for payment as of that date.

As of June 30, 2020, the date of the previous annual
actuarial valuation, the funded ratio for the System was 116.3 percent; and as of June 30, 2019, the date of the previous annual actuarial valuation, the funded ratio for the System was 117.0 percent.

Additions to Fiduciary Net Position
Additions for the fiscal year 2021 increased $471,774,150 or 834.39 percent over the prior year from $56,541,372 to $528,315,522, which includes member contributions of
$10,256,470, employer contributions of $26,314,815, a
net investment income gain of $491,507,487 and net
securities lending income of $236,750.

Fiscal year 2020 additions decreased $56,532,018 or

50.00 percent over the prior year from $113,073,390 to
$56,541,372, which included member contributions of
$10,011,831, employer contributions of $22,324,019, a
net investment income gain of $23,823,204 and net
securities lending income of $382,318.

For fiscal year 2019 additions decreased $44,750,028 or

28.35 percent over the prior year from $157,823,418 to
$113,073,390, which included member contributions of
$9,597,068, employer contributions of $20,604,377, a net investment income gain of $82,431,446 and net securities lending income of $440,499.

Deductions from Fiduciary Net Position
Deductions for the fiscal year 2021 increased $4,204,051 or 6.09 percent over the prior fiscal year from
$69,041,161 to $73,245,212.

Fiscal year 2020 deductions increased $1,181,779 or 1.74 percent over the prior fiscal year from $67,859,382 to
$69,041,161.

City of Fresno Fire and Police Retirement System l FINANCIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 4 Fiscal year 2019 deductions increased $3,078,770 or 4.75 percent over the prior fiscal year from $64,780,612 to
$67,859,382.

The current year increase in deductions is due primarily to an increase in the number of retirees and a modest
increase in the Post Retirement Supplemental Benefit
(PRSB) payments for calendar year 2021.

Schedule and Graph of Additions By Source
For Fiscal Years Ended June 30, 2021, 2020 and 2019 (In Thousands) 2019 2020 2021
Employer Contributions $ 20,604 $ 22,324 $ 26,315
Employee Contributions 9,597 10,012 10,256
Investment Income 82,872 24,205 491,745
TOTAL $ 113,073 $ 56,541 $ 528,316
Employer Contributions Employee Contributions
Investment Income
2019 2020 2021
$0
$40,000
$80,000
$120,000
$160,000
$200,000
$240,000
$280,000
$320,000
$360,000
$400,000
$440,000
$480,000
$520,000
$560,000
City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 5 Schedule and Graph of Deductions By Type
For Fiscal Years Ended June 30, 2021, 2020 and 2019 (In Thousands) 2019 2020 2021
Benefit Payments $ 62,991 $ 65,020 $ 68,027
PRSB 2,122 1,964 1,680
Refunds of Contributions 849 218 1,255
Administrative Expenses 1,897 1,839 2,283
TOTAL $ 67,859 $ 69,041 $ 73,245
Administrative Expenses Refunds of Contributions
PRSB Benefit Payments
2019 2020 2021
$0
$10,000
$20,000
$30,000
$40,000
$50,000
$60,000
$70,000
$80,000
City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 6 Overview of the Financial Statements
The following discussion and analysis are intended to
serve as an introduction to the System’s financial
statements, which are comprised of these components:

Statement of Fiduciary Net Position – The
Statement of Fiduciary Net Position presents the major
categories of assets and liabilities and their related value as of the System’s fiscal years ended June 30, 2021 and 2020. “Net Position Restricted for Pension Benefits”
represents funds available to pay benefits and it is a point in time or a snapshot of account balances as of the fiscal year-end. It indicates the assets available for future payments to retirees and any current liabilities. Increases and decreases in Net Position Restricted for Pension
Benefits, when analyzed over time, may serve as an
indicator of whether the System’s financial position is improving or deteriorating. Other factors, such as market conditions, should also be considered in measuring the
System’s overall health.

Statement of Changes in Fiduciary Net Position
– This Statement of Changes in Fiduciary Net Position
provides information about the financial activities during the reporting period that increased and decreased the Net Position Restricted for Pension Benefits.

The two statements above include all assets and liabilities, using the full accrual basis of accounting, which is similar to the accounting method used by most private sector
companies. All of the current year’s additions and
deductions are taken into account regardless of when the cash is received or paid. All investment gains and losses are shown at trade date, not settlement date. In addition, both realized and unrealized gains and losses are shown on investments.

Both statements are in compliance with Governmental
Accounting Standards Board (GASB) Pronouncements.

These pronouncements require certain disclosures and
require State and Local governments to report using the full accrual basis of accounting. The System complies
with all material requirements of these pronouncements.

Notes to the Basic Financial Statements - The
Notes to the Basic Financial Statements are an integral part of the basic financial statements and provide
additional information that is essential to acquire a full understanding of the information and data provided in the two statements discussed above. The notes include
further discussion and details regarding the System’s key policies, programs, investments and activities that
occurred during the year.

Required Supplementary Information – The
Required Supplementary Information presents historical
trend information concerning the changes in net pension liability, employer contributions and investment returns, and includes notes that explain factors that significantly affect trends in the amounts reported, such as changes of benefit terms, changes in the size or composition of the population covered by the benefit terms, or the use of
different assumptions over time. The information is based on actuarial valuations prepared for the pension plan. The actuarial valuation report includes additional actuarial information that contributes to the understanding of the changes in the net pension liability of the defined benefit pension plan over the past ten years as presented in the schedule. The actuarial information is based upon
assumptions made regarding future events at the time the valuations are performed and is derived for both financial reporting and funding purposes.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 7 Other Supplementary Information – The Other
Supplementary Information, presented immediately
following the required supplementary information,
includes schedules pertaining to the System’s
administrative expenses, investment management fees and other investment related expenses, and payments to
consultants and other professional services providers.

The System’s funding ratio at June 30, 2021, was 121.6
percent, which means the System’s fund has
approximately $1.22 available for each $1.00 of liability.

The Statement of Fiduciary Net Position and the
Statement of Changes in Fiduciary Net Position report
information about the System’s financial activities during the reporting periods that increased and decreased the Net Position Restricted for Pension Benefits.

Financial Analysis Net Position
As previously noted, net position restricted for pension benefits may serve over time as a useful indication of the System’s financial position. The System's assets
exceeded its liabilities at the close of the fiscal year 2021 by $2,090,370,123. All of the net position restricted for pension benefits is available to meet the System’s
ongoing obligations to plan participants and their
beneficiaries.

In fiscal year 2021, the System’s restricted fiduciary net position, representing assets available to pay current and future member pension benefits, increased by 27.83
percent due to strong performance of the investment
markets; while in 2020, the System’s restricted fiduciary net position decreased by 0.76 percent largely due to
declines in the global investment markets; and also, due to strong investment performance in 2019, the System’s
restricted fiduciary net position increased by 2.82 percent (See Table 1).

In order to determine whether the $2.090 billion in net position will be sufficient to meet future obligations, the System’s independent actuary performed an actuarial
valuation as of June 30, 2021. The result of this valuation determines what future contributions by plan members
and the City of Fresno are needed to pay all expected
future benefits. The valuation takes into account the
Board’s (the Board) funding policy which includes a
provision to smooth the impact of market volatility by
spreading each year’s gains or losses over five years.

There has been extreme volatility in the various
economies of the world and throughout the global
financial markets over the past twenty to twenty-five
years, therefore, it is of utmost importance to examine the System’s investment returns with a long-term view rather than a short-term focus which tends to distort the
perception of how well the investments have actually
performed. As an example, you cannot isolate the high
returns during the Tech Bubble in the 1990’s without
including the Tech Bubble corrections in the early 2000’s.

Historical long-term performance rates of returns
demonstrate that the System has been able to meet or
exceed its actuarial assumed rate of return of 7.00 percent over long periods. As of June 30, 2021, the System’s 25- year annualized return is 8.37 percent and its 20-year
annualized return is 7.70 percent.

Despite volatility in the stock market, management and
the System’s actuary concur that the System remains in a very strong financial position to meet its obligations to the plan participants and beneficiaries. The System’s current financial position is a result of a very sound and carefully managed investment and risk management program.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 8 Table 1 – Fire and Police Retirement System Fiduciary Net Position Restricted For Pension Benefits
As of June 30, 2021, 2020 And 2019
FY 2021 FY 2021
FY 2021 FY 2020
Increase/
(Decrease)
Amount
Increase/
(Decrease)
Percent
Current and Other Assets $ 162,080,979 $ 73,736,050 $ 88,344,929 119.81% Investments at Fair Value 2,068,561,597 1,633,470,664 435,090,933 26.64% Total Assets $ 2,230,642,576 $ 1,707,206,714 $ 523,435,862 30.66% Total Liabilities 140,272,453 71,906,901 68,365,552 95.08% Net Position Restricted for Pension Benefits $ 2,090,370,123 $ 1,635,299,813 $ 455,070,310 27.83% FY 2020 FY 2020
FY 2020 FY 2019
Increase/
(Decrease)
Amount
Increase/
(Decrease)
Percent
Current and Other Assets $ 73,736,050 $ 147,619,240 $ (73,883,190) (50.05%) Investments at Fair Value 1,633,470,664 1,614,051,932 19,418,732 1.20% Total Assets $ 1,707,206,714 $ 1,761,671,172 $ (54,464,458) (3.09%) Total Liabilities 71,906,901 113,871,570 (41,964,669) (36.85%) Net Position Restricted for Pension Benefits $ 1,635,299,813 $ 1,647,799,602 $ (12,499,789) (0.76%) Total Assets Total Liabilities
FY 2021 FY 2020 FY 2019
$0
$500,000,000
$1,000,000,000
$1,500,000,000
$2,000,000,000
$2,500,000,000
City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 9 Capital Assets
The System’s investment in capital assets decreased from $689,560 to $553,904 (net of accumulated depreciation)
between fiscal years 2020 and 2021 after decreasing from $828,412 to $689,560 (net of accumulated depreciation)
between fiscal years 2019 and 2020. This investment in capital assets includes office equipment, furniture,
software, and technology infrastructure. The total
decrease in the System's investment in capital and
intangible assets as of June 30, 2021 and 2020 was
attributed to additional capital assets and the annual
depreciation expense which netted to $(135,656) and
$(138,852), respectively. These changes in both fiscal years were primarily due to the costs incurred for the
development of software to program and install an
upgrade to our original pension administration system that was originally installed in 1997, which was implemented effective July 1, 2015. For additional, more detailed, information related to the System's capital assets, please refer to Note 12 - Capital Assets on page 54.

Reserves
Reserves are not required, nor recognized, under
accounting principles generally accepted in the United
States of America (GAAP). The reserves are not shown
separately on the Statement of Fiduciary Net Position, but they equate to and are accounts within the net position restricted for pension benefits and are vital to the
System’s operations. They are established from
contributions and the accumulation of investment income, after satisfying investment and administrative expenses.

Investments of the System are stated at fair value instead of at cost, which includes the recognition of unrealized gains and losses in the current period.

The System’s major reserve accounts, described in Note 5 – Net Position Restricted for Pension Benefits, include Active Member (Employee) Reserve, Employer Advance/
Retired Reserve, DROP Reserve, PRSB Reserve and City
Surplus Reserve.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 10 Deferred Retirement Option Program (DROP) Reserve
represents funds reserved for Deferred Retirement Option Program benefits accumulated by active members and
retirees. DROP is an alternate method of receiving
retirement benefits. It is a voluntary program as described by the conditions and requirements of the City of Fresno Municipal Code Section 3-353. A DROP account is a
nominal, bookkeeping account established within the
System for each DROP participant. Monthly amounts
credited to DROP accounts include an amount which
represents the service retirement allowance which the
member would have received if the member had retired
on the date the member commenced DROP participation
and interest credited at the five year average interest rate as adopted by the Retirement Board (the Board) in
accordance with the City of Fresno Municipal Code
requirements.

Post Retirement Supplemental Benefit (PRSB) Reserve
represents surplus earnings that have been allocated but not distributed to eligible participants in accordance with the City of Fresno Municipal Code Section 3-354. PRSB
is a supplemental benefit distributed to eligible
participants in accordance with the City of Fresno
Municipal Code Section 3-354, if and only if distributable actuarial surplus is available to provide such a benefit.

Actuarial surplus means the amount by which the
actuarial value of the System’s assets exceeds one
hundred and ten percent (110%) of the System’s actuarial accrued liabilities.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 11 City Surplus Reserve represents the portion of
distributable actuarial surplus that has been allocated but not used as a reduction to offset or eliminate the City of Fresno’s (the City) pension contributions in accordance with the conditions and requirements of the City of Fresno Municipal Code Section 3-354 Post-Retirement
Supplemental Benefits. The City Surplus Reserve
Account accrues interest at the average gross rate of
return earned by the System’s entire investment portfolio for each of the three prior fiscal years, including realized and unrealized gains and losses and as reduced by all
investment related expenses.

Table 2 shows that the vast majority of reserves are
generated from Employer Advance/Retired reserves.

DROP reserves represent funds credited for participants who elected to participate in the Deferred Retirement
Option Program. PRSB Reserve presents that portion of
distributable actuarial surplus that has been allocated for PRSB but not yet distributed to eligible participants.

Additions to and deductions from PRSB occur when
surpluses and allocations occur, respectively. The City Surplus reserve represents that portion of distributable actuarial surpluses and accrued interest, reduced by
required City normal pension contributions. The City
Surplus Reserve Account shall be drawn upon in
subsequent years if needed to reduce or eliminate the
City’s annual pension contribution requirement.

The City Surplus Reserve Account shows positive
balances for fiscal years 2021, 2020 and 2019 due to
estimated surplus allocations available to the City for offsetting the City’s contributions for fiscal years 2021, 2022 and 2023. The City’s normal contribution rate for fiscal years 2021 and 2020 also included adjustments for economic and non-economic actuarial assumption
changes including the assumed rate of return which is

7.00 percent effective July 1, 2018.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 12 Table 2 – Fire and Police Retirement System’s Reserves
As of June 30, 2021, 2020, and 2019 (In Thousands)
FY 2021 FY 2020 FY 2019
Employer Advance/Retired Reserves $ 1,731,836 $ 1,288,740 $ 1,314,392 Active Member (Employee) Reserves 204,428 195,375 186,720 DROP Reserves 151,995 148,782 144,291
PRSB Reserves 1,487 1,728 2,084
City Surplus Reserves 624 675 313
Net Position Restricted for Pension Benefits $ 2,090,370 $ 1,635,300 $ 1,647,800 FY 2021 FY 2020 FY 2019

Employer Adv/Ret
Active Member (Employee)

DROP PRSB
City Surplus
$0
$250,000
$500,000
$750,000
$1,000,000
$1,250,000
$1,500,000
$1,750,000
City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 13 System’s Activities
Attributable in part to the continued growth and volatility in global economic and financial markets, the System’s
net position increased $455,070,310 for the fiscal year 2021 resulting in a 27.83 percent increase in the fiduciary net position restricted for pension benefits for the fiscal year ended June 30, 2021. Primarily attributable to the volatility in the global financial markets in fiscal year 2020, the System’s fiduciary net position decreased
$12,499,789 for the fiscal year resulting in a 0.76 percent decrease in the fiduciary net position restricted for
pension benefits for the fiscal year ended June 30, 2020; the System’s fiduciary net position increased $45,214,008 resulting in a 2.82 percent increase in the fiduciary net position restricted for pension benefits for the fiscal year ended June 30, 2019.

Key elements of the additions to and deductions from
Fiduciary Net Position for fiscal years 2021, 2020 and
2019 are described in the sections below.

Additions to the System’s Fiduciary Net
Position
The reserves needed to finance retirement benefits are
normally accumulated through the collection of employer and employee contributions and through earnings on
investment income net of investment expense. Total
additions for the fiscal year ended June 30, 2021 totaled $528,315,522.

For the fiscal year ended June 30, 2021, overall additions had increased by $471,774,150 or 834.39 percent
primarily due to the performance of the investment
markets; for fiscal year 2020, overall additions had
decreased by $56,532,018 or 50.00 percent primarily due to lower than anticipated performance in the global
investment markets; for fiscal year 2019, overall additions had decreased by $44,750,028 or 28.35 percent from the
prior fiscal year. The investment section of this report reviews the details of the results of investment activity for the fiscal year ended June 30, 2021.

Deductions from the System’s Fiduciary Net
Position
The System was created to provide lifetime retirement
annuities, survivor benefits and permanent disability
benefits to qualified members and their beneficiaries. The cost of such programs includes recurring benefit
payments, as designated by the System, refunds of
contributions to terminated employees, and the cost of
administering the System.

Deductions from the fiduciary net position for the fiscal year ended June 30, 2021, totaled $73,245,212 which was an increase of $4,204,051 or 6.09 percent over the prior fiscal year 2020. Deductions from the fiduciary net
position for the fiscal year ended June 30, 2020, totaled $69,041,161 which was an increase of $1,181,779 or 1.74 percent over the prior fiscal year 2019. The fiscal year ended June 30, 2019 had deductions from the fiduciary
net position totaling $67,859,382, which was an increase of $3,078,770 or 4.75 percent over the prior fiscal year 2018. The current year increase in benefits paid resulted primarily from a modest increase in PRSB payments for
calendar year 2021 and the normal increase in the number of new retirees receiving benefits.

The System’s increases in total expenses have closely
paralleled inflation and the growth in the membership and services provided. The System has consistently met its Administrative Expense Budget. There are no material
variances between planned expenses and actual expenses.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 14 Changes in Fiduciary Net Position (Condensed)
For Fiscal Years Ended June 30, 2021, 2020 and 2019
FY 2021 FY 2021
Increase/
(Decrease)
Increase/
(Decrease)
FY 2021 FY 2020 Amount Percent
Additions
Employer Contributions $ 26,314,815 $ 22,324,019 $ 3,990,796 17.88% Employee Contributions 10,256,470 10,011,831 244,639 2.44% Net Investment Income * 491,744,237 24,205,522 467,538,715 1,931.54% Total Additions $ 528,315,522 $ 56,541,372 $ 471,774,150 834.39% Deductions
Retiree Benefit Payments $ 68,027,466 $ 65,019,584 $ 3,007,882 4.63% Post Retirement Supplemental Benefit (PRSB) 1,680,059 1,964,344 (284,285) (14.47%) Refunds of Contributions 1,255,390 217,962 1,037,428 475.97% Administrative Expenses 2,282,297 1,839,271 443,026 24.09% Total Deductions $ 73,245,212 $ 69,041,161 $ 4,204,051 6.09% Changes in Net Position 455,070,310 (12,499,789) 467,570,099 3,740.62% Net Position Restricted for Pension Benefits
Beginning of the Year 1,635,299,813 1,647,799,602 (12,499,789) (0.76%) End of the Year $ 2,090,370,123 $ 1,635,299,813 $ 455,070,310 27.83% * Net of investment expense of $16,497,809 and $15,650,520 for June 30, 2021 and 2020, respectively.

FY 2020 FY 2020
Increase/
(Decrease)
Increase/
(Decrease)
FY 2020 FY 2019 Amount Percent
Additions
Employer Contributions $ 22,324,019 $ 20,604,377 $ 1,719,642 8.35% Employee Contributions 10,011,831 9,597,068 414,763 4.32% Net Investment Income * 24,205,522 82,871,945 (58,666,423) (70.79%) Total Additions $ 56,541,372 $ 113,073,390 $ (56,532,018) (50.00%) Deductions
Retiree Benefit Payments $ 65,019,584 $ 62,990,700 $ 2,028,884 3.22% Post Retirement Supplemental Benefit (PRSB) 1,964,344 2,122,442 (158,098) (7.45%) Refunds of Contributions 217,962 848,993 (631,031) (74.33%) Administrative Expenses 1,839,271 1,897,247 (57,976) (3.06%) Total Deductions $ 69,041,161 $ 67,859,382 $ 1,181,779 1.74% Changes in Net Position (12,499,789) 45,214,008 (57,713,797) (127.65%) Net Position Restricted for Pension Benefits
Beginning of the Year 1,647,799,602 1,602,585,594 45,214,008 2.82% End of the Year $ 1,635,299,813 $ 1,647,799,602 $ (12,499,789) (0.76%) * Net of investment expense of $15,650,520 and $16,012,333 for June 30, 2020 and 2019, respectively.

City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 15 City of Fresno Fire and Police Retirement System l FINANCIAL Management's Discussion and Analysis Continued
System’s Fiduciary Responsibilities
The System’s Board and management staff are fiduciaries of the pension trust fund. Under the California Constitution, the assets must be used exclusively for the benefit of plan participants and their beneficiaries.

Requests for Information
This financial report is designed to provide the Retirement Board, our membership, taxpayers, investment managers, and creditors with a general overview of the City of Fresno Fire and Police Retirement System’s finances, and to show accountability for the funds it receives. Questions concerning any of the information provided in this report, or requests for additional financial information should be addressed to:

City of Fresno Fire and Police Retirement System
2828 Fresno Street Suite 201
Fresno, California 93721-1327
Respectfully submitted,
Robert Theller
Robert T. Theller, Esq.

Retirement Administrator
December 1, 2021
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 16

THIS PAGE INTENTIONALLY LEFT BLANK
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 17 Basic Financial Statements
Statement of Fiduciary Net Position
As of June 30, 2021 and 2020
2021 2020
ASSETS
Cash (Note 7) $ 2,691,523 $ 1,804,337
Collateral Held for Securities Lent (Note 9) 96,292,191 65,582,976 Receivables
Receivables for Investments Sold 37,897,704 1,685,631 Interest and Dividends 2,881,435 2,996,706
Other Receivables 21,641,983 809,376
Total Receivables 62,421,122 5,491,713
Prepaid Expenses — —
Total Current Assets 161,404,836 72,879,026
Investments at Fair Value (Note 6 and Note 7) and NAV
Domestic Equity 756,804,394 599,330,006
International Developed Market Equities 322,127,104 278,817,237 Government Bonds 81,879,287 73,174,015
Corporate Bonds 208,732,683 179,530,643
Alternatives 334,062,192 266,776,428
Real Estate 254,209,598 161,635,856
International Emerging Market Equities 79,062,676 57,459,201 Short-Term Investments 31,683,663 16,747,278
Total Investments 2,068,561,597 1,633,470,664
Capital Assets Net of Accumulated Depreciation (Note 12) 553,904 689,560 Other Assets 122,239 167,464
Total Assets 2,230,642,576 1,707,206,714

LIABILITIES
Collateral Held for Securities Lent (Note 9) 96,292,191 65,582,976 Payable for Investments Purchased 20,455,548 4,057,124 Other Liabilities 1,931,178 1,456,973
Payable for Foreign Currency Purchased 21,593,536 809,828 Total Liabilities 140,272,453 71,906,901
Net Position Restricted for Pension Benefits (Note 5) $ 2,090,370,123 $ 1,635,299,813 The accompanying notes to the basic financial statements on pages 20 - 57 are an integral part of this statement.

City of Fresno Fire and Police Retirement System l FINANCIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 18 Statement of Changes in Fiduciary Net Position
For Fiscal Years Ended June 30, 2021 and 2020
2021 2020

ADDITIONS
Contributions (Note 3)
Employer $ 26,314,815 $ 22,324,019
Employee 10,256,470 10,011,831
Total Contributions 36,571,285 32,335,850
Investment Income
Net Appreciation/(Depreciation) in Fair Value of Investments 482,149,077 10,919,219 Interest 10,225,801 13,066,761
Dividends 15,483,580 14,297,993
Other Investment Related 87,710 73,226
Total Investment Income 507,946,168 38,357,199
Less: Investment Expense (16,438,681) (14,533,995)
Total Net Investment Income 491,507,487 23,823,204
Securities Lending Income
Securities Lending Earnings (Note 9) 295,878 1,498,843 Less: Securities Lending Expense (59,128) (1,116,525) Total Net Securities Lending Income 236,750 382,318
Total Additions 528,315,522 56,541,372

DEDUCTIONS
Benefit Payments 68,027,466 65,019,584
Post Retirement Supplemental Benefits (Note 11) 1,680,059 1,964,344 Refunds of Contributions 1,255,390 217,962
Administrative Expense 2,282,297 1,839,271
Total Deductions 73,245,212 69,041,161
Changes in Net Position 455,070,310 (12,499,789)

NET POSITION RESTRICTED FOR PENSION BENEFITS
BEGINNING OF YEAR 1,635,299,813 1,647,799,602
END OF THE YEAR $ 2,090,370,123 $ 1,635,299,813
The accompanying notes to the basic financial statements on pages 20 - 57 are an integral part of this statement.

City of Fresno Fire and Police Retirement System l FINANCIAL Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 19 Notes to the Basic Financial Statements
1 Significant Provisions of the
Retirement System
The City of Fresno Fire and Police Retirement System
(the System) was established on July 1, 1955, under
provisions of the City of Fresno Ordinance Number 4611, and Charter Section 910, and is maintained and governed by Articles 3 and 4 of Chapter 3 of the Municipal Code of the City of Fresno (the City) but not under the control of the City Council. The System is a single-employer,
contributory, defined benefit pension plan. The System is a public employee retirement system that provides
lifetime retirement, disability, and death benefits to the safety members employed by the City of Fresno, which
includes all full time sworn fire, police and airport safety personnel.

The System is administered by the Fire and Police
Retirement Board (Board) which operates under the
authority vested in Articles 3 and 4 of Chapter 3 of the City of Fresno Municipal Code and the California Pension Protection Act of 1992 which provides that “the members of the Retirement Board of a public retirement system
shall discharge their duties…solely in the interest of, and for the exclusive purpose of providing benefits to
participants and their beneficiaries, minimizing employer contribution thereto, and defraying reasonable expenses of administering the System."
The Fire and Police Retirement Board does not operate
under the control of the City Council. The Board has the sole and exclusive responsibility to administer the System in a manner that will assure prompt delivery of benefits and related services to the members and their
beneficiaries.

Fiduciary oversight of the Fire and Police Retirement
System is vested with the Board, which consists of five (5) members: two (2) management employees who are
appointed by the Mayor and confirmed by the City
Council, one (1) employee who is elected by the sworn
Fire Department members of the System, and one (1)
employee who is elected by the Police and Airport Safety Officers of the System; both elected members serve a
four-year term. The fifth and final member of the Board is a qualified elector of the County of Fresno, not
connected with its government, elected by the previously designated four members and serves at the pleasure of the Board.

The Board, in conjunction with the Employees Retirement Board, appoints, directs and oversees a Retirement
Administrator. The Retirement Administrator is
responsible for the overall management and
administration of the Employees and Fire and Police
Retirement Systems in accordance with the direction,
policy and goals set by the Boards and for providing
highly responsible and complex administrative support to the Boards. The Retirement Administrator serves at the pleasure of the Boards.

Working closely with the Boards, the Retirement
Administrator and his staff develop investment and
benefits policies, coordinate member services and
programs, and develop long-term strategies that fulfill the Systems’ mission and goals.

The Board oversees the Retirement Administrator and
staff in the performance of their duties in accordance with the City of Fresno Municipal Code and the Board’s Rules, Regulations and Policies.

City of Fresno Fire and Police Retirement System l FINANCIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 20 Membership and Benefit Eligibility
The Fire and Police Retirement System is one System
with two tiers. Effective August 27, 1990, the City of Fresno (the City) added the Fire and Police Second Tier for all full time sworn fire, police and airport safety personnel hired on or after that date (and closed the Fire and Police First Tier to new entrants). Both tiers are governed by the City of Fresno Municipal Code. The
provisions of Tier 1 are set forth in Article 3 of Chapter 3, while the Tier 2 provisions are stated in Article 4.

All permanent sworn Fire and Police personnel of the City of Fresno are eligible to participate in the plan.

Temporary Public Safety employees are not eligible to
participate in the plan. Employees become eligible for membership on their first day of full-time regular
employment, and members become fully vested after
earning 5 years of service credit.

Total participants of the System were comprised
of the following at June 30, 2021 and 2020:
2021 2020
Active Members
Vested 845 805
Non-Vested 240 291
Total Active Members 1,085 1,096
Retirees and Beneficiaries of Deceased
Retirees, Currently Receiving Benefits 1,125 1,106
Inactive Vested Members 90 85
Total Retirees and Inactive Members 1,215 1,191
Grand Total 2,300 2,287
Benefit Provisions
The System provides lifetime retirement, disability, and death benefits to all eligible permanent sworn Fire, Police and Airport personnel employed by the City of Fresno.

The retirement (pension) benefits the member will receive are based upon a combination of age at retirement, years of credited service, final average monthly salary, tier and the option selected by the participant. Death and
disability benefits are additionally based upon whether the disability was service connected and whether the death
occurred before or after retirement.

Members' contributions, including interest, are 100
percent vested at all times. Employer contributions do not become vested until completion of 10 years of credited
service under the First Tier and five years of credited service under the Second Tier when they become 100
percent vested, but are not payable until the member
attains the age of 50 under both tiers. Contributions are made by the members and the employer at rates
recommended by the System’s actuary and adopted by the
Retirement Board.

Member Retirement Benefits
Members of Tier 1, hired prior to August 27, 1990, are
eligible to retire once they attain the age of 65 regardless of service or at age 50 and have acquired 10 or more years of retirement service credit. The Tier 1 benefit is
calculated pursuant to the provisions of Section 3-333 of the City of Fresno Municipal Code. The monthly
allowance for a member with at least 20 years of service who retires from active status is equal to 55 percent of final compensation plus 2 percent of final compensation for each year of service in excess of 20 years completed after age 50. For Tier 1, final average compensation
consists of the final highest consecutive 36 months of
compensation earnable calculated using the rate of pay
actually earned by the member in effect at the time of
retirement. Some members can elect to have their final
compensation based on a rank average.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 21 Members of Tier 2, hired on or after August 27, 1990, are eligible to retire once they attain the age of 65 regardless of service or at age 50 and have acquired 5 or more years of retirement service credit. The Tier 2 benefit is
calculated pursuant to the provisions of Section 3-411 of the City of Fresno Municipal Code. The monthly
allowance for a member who is age 55 or older is equal to

2.70 percent of final compensation times years of accrued retirement service credit. The maximum monthly
retirement allowance is 75 percent of final compensation.

For Tier 2, final average compensation consists of the
highest consecutive 36 months of compensation earnable
during any 36 months of service before the date of
retirement.

The member may elect an unmodified retirement
allowance, or choose an optional retirement allowance.

The unmodified retirement allowance provides the highest monthly benefit and a 66 2/3 percent continuance to an
eligible surviving spouse or domestic partner. An eligible surviving spouse is one married to the member one year
prior to the effective retirement date for members retiring on or before the effective date (February 10, 2000) of Ordinance No. 2000-5. For members retiring after the
effective date of Ordinance 2000-5, an eligible surviving spouse or domestic partner is one married to or registered with the member on or before the date of retirement.

There are four optional retirement allowances the member may choose. Each of the optional retirement allowances
requires a reduction in the unmodified retirement
allowance in order to allow the member the ability to
provide certain benefits to a surviving spouse, domestic partner, or named beneficiary having an insurable interest in the life of the member.

The City of Fresno contributes to the retirement plan
based upon actuarially determined contribution rates
adopted by the Board. Employer contribution rates are
adopted annually based upon recommendations received
from the Retirement System’s actuary after the
completion of the annual actuarial valuation. The average employer contribution rate as of June 30, 2021 for
2020-2021 (based on the June 30, 2019 valuation) was

22.81 percent of compensation.

All members are required to make contributions to the
Retirement System. The average member contribution
rate as of June 30, 2021 for 2020-2021 (based on the June 30, 2019 valuation) was 8.89 percent of compensation.

Deferred Retirement Option Program
(DROP)
DROP is an optional voluntary program that allows a
member to have his or her retirement benefits deposited in a special account within the System while the member
continues to work in his or her current position. It is a voluntary method of receiving a distribution of retirement benefits; it is not an additional retirement benefit.

DROP may not be beneficial to all members. Each
member must determine how the DROP option will affect
the member’s retirement benefits prior to making an
election to enter the DROP.

The member’s retirement benefits are determined as of
the date of entry into the DROP option and accumulate in the member’s DROP account while the member continues
to work. Members entering DROP, after January 27,
2011 in accordance with ordinances that amended
sections of the City of Fresno Municipal Code, continue making employee contributions.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 22 Eligibility: Any member who is eligible for a service
retirement and is age 50 with a minimum of 5 years of
service.

Participation Period: The maximum participation period is ten years. Because the participation period cannot be
extended, the member must retire at its conclusion;
however, the member may end participation in DROP and
terminate employment with the City and begin retirement at any time prior to the end of the ten-year period.

DROP Account: A DROP account is set up for each
participant; the monthly amount credited to DROP
accounts include an amount which represents the service retirement allowance which the member would have
received if the member had retired on the date the
member commenced DROP participation. Interest is also
credited to the DROP account monthly at a rate which is set annually by the Retirement Board. The rate is based on the prior five-year moving average of net market
returns of the System's investments in accordance with the City of Fresno Municipal Code requirements. The Board
is authorized to reduce the annual interest crediting rate up to 3 percent, if necessary, to maintain DROP’s cost
neutrality.

A DROP account is a nominal, bookkeeping account
established within the System for each DROP participant.

Upon termination of DROP participation and retirement
from the City, a member receives the amounts credited to their DROP account, including interest. In addition, the member will also begin receiving his or her monthly
retirement allowance in the amount being credited to their DROP account. The member may select a method of
withdrawing the money from his or her DROP account
from the options provided.

DROP Reserves which represent funds reserved for
DROP benefits accumulated by active members and
retirees were $151,994,981 and $148,781,892 as of June
30, 2021 and 2020, respectively.

Terminated Member Benefits
If a member terminates before earning five years of
credited service, the member forfeits the right to receive his or her service retirement benefit and is entitled to withdraw refundable contributions made, together with
accumulated interest. If the member enters a reciprocal retirement system within 180 days (6 months) of
terminating employment with the City of Fresno and
elects to leave their accumulated contributions on deposit with the System, then the member will receive a deferred retirement allowance when eligible.

Death and Disability Benefits
Death benefits are based upon whether the death occurred before or after retirement. Disability benefits are based upon final average salary, years of credited service and whether the member is over or under age 50 and whether
the permanent incapacity is found to be service connected (caused by the job) or ordinary (injury or illness not
caused by their job) disability. There is no minimum
service requirement before benefits are payable for
service-connected disability. However, in order to receive ordinary disability benefits, the member must have
completed at least 10 years of service.

Cost-of-Living Benefits
Cost-of-living adjustment (COLA) increases for the First Tier retirees are determined by the increases attached to ranks of active safety employees for those having retired under the rank-average option. For those retired under the 3-year average, cost-of-living is based on the percentage of change in the weighted mean average monthly
compensation attached to all ranks of members, as
compared with the prior fiscal year and limited to a
maximum of 5 percent per year.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 23 Tier 1 cost-of-living adjustments (COLA) depend on the
type of method chosen by the employee at retirement. If the employee chose the Career Rank method, the COLA
is a recalculation of his/her retirement based on the new salaries adopted for the current year. If the method chosen by the retiree is the final 3-year method, the COLA is
based on the change in the weighted mean average
compensation attached to all ranks in the department with a cap of five percent (5%) per year. Any excess over the 5% is banked for use in years when the COLA calculation is less than 5%.

Cost-of-Living Adjustment (COLA) increases for the Tier 2 retirees will be determined by the change in the
Consumer Price Index (CPI) with a maximum of 3
percent per year. Provisions for the COLA increases are outlined in the City of Fresno Municipal Code and
changes may be made only by code amendment.

Tier 2 COLAs are based on the change in the CPI (for all Urban Wage Earners and all Clerical Workers – U.S. City Average) as provided in the City of Fresno Municipal
Code. Retirement staff research the percentage change in CPI and propose that percent to the Fire and Police
Retirement Board as the COLA to be adopted for the
following fiscal year. This procedure must be completed by the end of April each year for implementation in
January of the following calendar year. The COLA is
limited to a three percent (3%) maximum change per year and any excess over 3 percent is banked for the retiree for use in a year where the percent of CPI change is less than 3 percent.

The Board adopted the annual COLA adjustment,
pursuant to Section 3-411, 2.31 percent, January 1, 2021,

1.8 percent, January 1, 2020, 2.2 percent, effective
January 1, 2019.
2 Summary of Significant
Accounting Policies
Reporting Entity
The Retirement System, with its own governing board, is an independent governmental entity separate and distinct from the City of Fresno. The System’s annual financial statements are included in the City of Fresno Annual
Financial Report as a pension trust fund.

Basis of Accounting
The System’s financial statements are prepared using the accrual basis of accounting and in accordance with
accounting principles generally accepted in the United
States of America (GAAP), under which revenues are
recognized when earned and deductions are recorded
when the liability is incurred. Employer and employee
contributions are recognized as revenue when due.

Contributions are recorded in the period the related
salaries are earned and become measurable. Investment
income is recognized when it is earned. The net
appreciation in fair value of investments held by the
System is recorded as an increase to investment income
based on the valuation of investments at fiscal year end, which includes both realized and unrealized gains and
losses on investments. Retirement benefits and refunds are recognized when due and payable under the terms of
the plan and per Sections 3-322 and 3-324 of the City of Fresno Municipal Code. Other expenses are recognized
when the corresponding liabilities are incurred.

Securities lending transactions are accounted for in
accordance with Governmental Accounting Standards
Board (GASB) Statement No. 28, Accounting and
Financial Reporting for Securities Lending Transactions, which establishes reporting standards for securities
lending transactions. In accordance with Statement No. 28, cash received as collateral on securities lending
City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 24 transactions and investments made with that cash are
reported as assets and liabilities resulting from these transactions and are both reported in the Statement of
Fiduciary Net Position. In addition, the costs of securities lending transactions are reported as an expense in the
Statement of Changes in Fiduciary Net Position.

Investments
The System is authorized by the City of Fresno Municipal Code and the policies of the Retirement Board to invest in any form or type of investment deemed prudent by the
Board and does so through its Investment Objectives and Policy Statement which establishes and outlines the
responsibilities of the various parties that are associated with managing assets of the Retirement System,
consistent with applicable sections of the City of Fresno Municipal Code, Federal laws and Article XVI, Section
17(c) of the Constitution of the State of California which provides that “the member of the Retirement Board of a
public pension or retirement system shall discharge their duties with the care, skill, prudence, and diligence under the circumstances then prevailing that a prudent person acting in a like capacity and familiar with these matters would use in the conduct of an enterprise of a like
character and with like aim.”
System investments are reported at fair value. Fair value is the amount that the System can reasonably expect to
receive for an investment in a current sale between a
willing buyer and seller, that is, other than in a forced or liquidation sale. Fair value for investments of publicly traded securities is stated at fair value based upon closing sales prices reported on recognized securities exchanges on the last business day of the period or for listed
securities having no sales reported and for unlisted
securities, based upon last reported bid prices. All
purchases and sales of securities are accounted for on a trade date basis and dividends declared but not received are accrued on the ex-dividend date. Short-term
investments are reported at cost, which approximates fair value. Securities traded on national or international
exchanges are valued at the last reported sales price at current exchange rates. Investments in both bonds and
mortgage backed pass-through certificates are carried at fair value.

Cost values, as shown, are derived from Master Custodial Transaction Records. The fair value of real estate
investments is based on independent appraisals.

Investments that do not have an established market are
reported at estimated fair values.

The asset allocation policy set by the Board, in
conjunction with the Employees Retirement Board, is
outlined in the Boards’ Investment Objectives and Policy Statement. Plan assets are managed with a long-term
objective of achieving and maintaining a fully funded
status for the benefits provided by the System. The table on the following page provides the Boards’ adopted asset allocation policy as of June 30, 2021 and 2020.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 25 Asset Allocation Policy
As of June 30, 2021 and 2020
Asset Class FY 2021 FY 2020
Domestic Equity
Large Cap 15.8% 15.8%
Small Cap 7.2% 7.2%
International Equity
Developed Markets 19.0% 19.0%
Emerging Markets 6.0% 7.0%
Fixed Income
Core Fixed Income 10.0% 10.0%
High Yield Bonds 5.0% 5.0%
Real Estate
Core Real Estate 11.0% 11.0%
Value Add Real Estate/REITs 4.0% 4.0%
Alternatives
Infrastructure 4.0% 4.0%
MLPs 5.0% 5.0%
Private Equity 5.0% 4.0%
Private Debt 8.0% 8.0%
Short-Term Investments 0.0% 0.0%
100% 100%
Estimates
The preparation of financial statements in accordance
with generally accepted accounting principles (GAAP)
requires the System administrator to make estimates and assumptions that affect certain amounts and disclosures.

Accordingly, actual results may differ from those
estimates.

Reclassifications
Certain amounts presented in the prior year's data has
been reclassified to be consistent with the current year's presentation. Such reclassifications had no effect on
previously reported fiduciary net position.

Implementation of New Accounting
Pronouncements
For the year ended June 30, 2021, the Board adopted and the System implemented all applicable new GASB
pronouncements. The most recent pronouncements,
effective for fiscal year ended June 30, 2021, are provided below.

GASB Statement No. 84 - Fiduciary Activities, was
issued in January 2017. This Statement establishes
criteria for identifying fiduciary activities of all state and local governments. The focus of the criteria generally is on (1) whether a government is controlling the assets of the fiduciary activity and (2) the beneficiaries with whom a fiduciary relationship exists. Separate criteria are
included to identify fiduciary component units and
postemployment benefit arrangements that are fiduciary
activities. The System has determined that this standard is not applicable, and thus has no material impact on the System's financial statements.

GASB Statement No. 90 - Majority Equity Interests, was
issued in August 2018. The primary objectives of this
Statement are to improve the consistency and
comparability of reporting a government’s majority equity interest in a legally separate organization and to improve the relevance of financial statement information for
certain component units. It defines a majority equity
interest and specifies that a majority equity interest in a legally separate organization should be reported as an
investment if a government’s holding of the equity
interest meets the definition of an investment. The
System has determined that this standard is not applicable, and thus has no material impact on the System's financial statements.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 26 GASB Statement No. 98 - The Annual Comprehensive
Financial Report , was issued in October 2021. This
Statement establishes the term annual comprehensive
financial report and its acronym ACFR. That new term
and acronym replace instances of comprehensive annual
financial report and its acronym in generally accepted
accounting principles for state and local governments.

The requirements of this Statement are effective for fiscal years ending after December 15, 2021. The System has
made the decision to early implement this requirement,
effective for the fiscal year ended June 30, 2021.
3 Contributions
Authority to Collect
The responsibility for both City and employee
contributions to the System is mandated by the City of
Fresno Municipal Code Sections 3-319, 3-324, and 3-405.

Contributions are made by the members and the employer
at rates recommended by the System’s independent
actuary and adopted by the Board.

All active members are required to make contributions to the System. Employee contribution rates vary in Tier 1 according to entry age and are designed to provide
funding for approximately one-third of the retirement
benefits. The Tier 1 average member contribution rate as of June 30, 2021 for 2020-2021 (based on the June 30,
2019 valuation) was 0.00% of compensation for members
not in the DROP Program. The Tier 1 average member
contribution rate as of June 30, 2020 for 2019-2020
(based on the June 30, 2018 valuation) was 0.00% of
compensation.

Employee contribution rates in Tier 2 are established at nine percent (9%) of pensionable base pay.

The City’s contribution rates are designed to provide
funding for the remaining regular retirement and cost-of- living benefits, as well as all disability and survivors’ benefits.

The aggregate employer contribution rate as of June 30, 2021 for 2020-2021 (based on the June 30, 2019
valuation) was 22.82% of compensation. The aggregate
employer contribution rate as of June 30, 2020 for
2019-2020 (based on the June 30, 2018 valuation) was

19.59% of compensation.

One of the funding objectives of the System is to establish contribution rates which, over time, will remain level as a percentage of payroll unless the System benefit provisions are changed.

Funding Status & Method
Comprehensive Actuarial Funding Policy and Actuarial
Cost Methodology for Funding Purposes
The Board adopted a Comprehensive Actuarial Funding
Policy on November 7, 2012. For the Fire & Police
Retirement System, that policy included a change in
actuarial cost methodology from the aggregate Entry Age Normal funding method used for funding purposes to the
individual Entry Age Normal (EAN) method as this
individual EAN method is used by a substantial majority of the retirement systems in California and nationwide.

More importantly, the Board made this change in actuarial cost methodology due to the adoption of GASB
Statements No. 67 and 68 which substantially revises the financial reporting requirements for governmental pension plans and their sponsors.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 27 Goals of the Actuarial Funding Policy:
• To achieve long-term full funding of the cost of
benefits provided by the System;
• To seek reasonable and equitable allocation of the
cost of benefits over time; and
• To minimize any volatility of the City’s contribution to the extent reasonably possible, consistent with
other policy goals.

Funding Requirements and Policy
Components
The System’s annual funding requirement is comprised of a payment of the Normal Cost and a payment on the
Unfunded Actuarial Accrued Liability (UAAL) if
applicable. The Normal Cost and the amount of the
payment on UAAL are determined by three components
of the Board’s funding policy: 1) Actuarial Cost Method – the techniques used to allocate the cost/liability of
retirement benefits to a given period; 2) Asset Smoothing Method – the techniques that spread the recognition of
investment gains or losses over a period of time for the purposes of determining the Actuarial Value of Assets
used in the actuarial valuation process; and 3)
Amortization Policy – the decisions on how, in terms of duration and pattern, to fund the difference between the Actuarial Accrued Liability and the Actuarial Value of
Assets in a systematic manner.

Using the Asset Smoothing Method, the investment gains
or losses of each valuation period, as a result of
comparing the actual market return to the expected market return, are recognized in level amounts over five (5) years in calculating the Actuarial Value of Assets.

As of June 30, 2021, the System does not have an
Unfunded Actuarial Accrued Liability (UAAL). The
Board’s Amortization Policy sets forth the amortization procedures for funding any UAAL or amortization and
allocation of any available surplus in the System.

Any new UAAL as a result of actuarial gains or losses
identified in the annual valuation as of June 30 will be amortized over a period of fifteen (15) years. Any new UAAL as a result of any change in actuarial assumptions or methods will be amortized over a period of twenty-five (25) years. The amortization period for any increase in UAAL as a result of any amendments to the System will
be amortized over a period of fifteen (15) years, while any increase in UAAL resulting from a temporary retirement
incentive will be funded over a period not to exceed five (5) years. UAAL shall be amortized over
“closed” (separate) amortization periods so that the
amortization period for each layer decreases by one year with each actuarial valuation.

UAAL is amortized as a level percentage of payroll so
that the amortization amount in each year during the
amortization period shall be expected to be a level
percentage of covered payroll, taking into consideration the current assumption for general payroll increase.

If an overfunding status exists (i.e., the Valuation Value of Assets exceeds the Unfunded Actuarial Accrued
Liability (UAAL), the System is considered to have a
surplus in the System as of a point in time), such actuarial surplus and any subsequent surpluses will be amortized
over an “open” amortization period of twenty-five (25)
years.

This amortization period of twenty-five years shall be
applicable to the provisions in the City of Fresno
Municipal Code Sections relating to the amortization
period used in the calculation of the Post Retirement
Supplement Benefit (PRSB). Any prior Unfunded
Actuarial Accrued Liability (UAAL) amortization layers
will be considered fully amortized, and any subsequent
City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 28 UAAL will be amortized over fifteen (15) years as the
first of a new series of amortization layers.

The System uses a five year smoothing of market gains
and losses to derive the actuarial value of assets. For the fiscal year ended June 30, 2021, the actuarial value of assets was $1.696 billion with a funded percentage of
121.6 percent on a valuation value of assets.

The progress being made towards meeting the System’s
funding objective through June 30, 2021 is illustrated in the Schedule of Funding Progress shown below and in the Actuarial Section on page 90.

Schedule of Funding Progress
For The Three Years Ending June 30, 2021
(Dollars in Millions)
(1) (2) (3) (4) (5) (6)
Actuarial
Valuation
Date
Actuarial
Valuation
Value of
Assets
Actuarial
Accrued
Liability
(AAL)
Percentage
Funded (1)/(2)
Prefunded /
(Unfunded AAL)
(2)–(1)
Annual
Covered
Payroll
Prefunded /
(Unfunded
AAL)
Percentage of
Covered Payroll
[(2) - (1)] / (5)
2021 $1,696 $1,395 121.6% $301 $120 250.3%
2020 $1,548 $1,331 116.3% $217 $118 183.6%
2019 $1,495 $1,278 117.0% $217 $115 188.8%
Funding Policy
The City currently funds, at a minimum, the amounts
recommended by the actuary and approved by the
Retirement Board. Such amounts are determined using
the individual entry age normal funding method applied to the projected benefits in determining the Normal Cost and Actuarial Accrued Liability. If there is a positive
(Surplus) or negative (Unfunded) difference between the Valuation of Assets and the Actuarial Accrued Liability (AAL), the amortization policy determines the
amortization of the Unfunded Actuarial Accrued Liability (UAAL) on a level percentage of payroll needed to fund
the UAAL or the amount of available surplus which
would be distributable in any given year. This method
produces an employer contribution rate consisting of
amounts for (a) normal cost and (b) amortization of any unfunded (UAAL) or prefunded (PAAL) actuarial
accrued liability.

These minimum contributions are recognized currently in the Statement of Changes in Fiduciary Net Position.

Employees' contributions are funded and recognized
currently through payroll deductions in amounts
recommended by the actuary. Costs of administering the System are charged against System assets.

Total contributions to the System for fiscal year 2021
totaled $36,571,285. Employees (members in both tiers) contributed $10,256,470 and the City made (basic and
cost-of-living adjustments (COLA)) contributions of
$26,314,815. For fiscal year 2020, total contributions to the system totaled $32,335,850. Employees (members in
both tiers) contributed $10,011,831 and the City made
(basic and cost-of-living adjustments (COLA))
contributions of $22,324,019.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 29 First Tier
Contributions aggregating $845,704 ($650,944 net
employer and $194,760 employee) were made in fiscal
year 2021, based on an actuarial valuation determined as of June 30, 2019, which became effective for the year
ended June 30, 2021. For fiscal year 2021, the employer contribution rate was set at 29.55 percent; however, only a cash contribution of $650,944 was required from the City due to the difference between actual and the estimated
June 30, 2019 surplus allocated to the City in the June 30, 2018 valuation for offsetting the City’s contributions for the 2019/2020 plan year. Based on the June 30, 2019
actuarial valuation, the employer contributions represent

22.82 percent of the fiscal year 2021 covered payroll.

Although the June 30, 2019 actuarial valuation shows the employee contribution rate of 0.00 percent for Tier 1
because there are no new Tier 1 members, the actual
employee contributions represent 5.92 percent of covered payroll for those active members participating in DROP.

Contributions aggregating $1,081,974 ($880,191 net
employer and $201,783 employee) were made in fiscal
year 2020, based on an actuarial valuation determined as of June 30, 2018, which became effective for the year
ended June 30, 2020. For fiscal year 2020, the employer contribution rate was set at 27.77 percent; however, only a cash contribution of $880,191 was required from the City due to the difference between actual and the estimated
June 30, 2018 surplus allocated to the City in the June 30, 2017 valuation for offsetting the City’s contributions for the 2018/2019 plan year. Based on the June 30, 2018
actuarial valuation, employer and employee contributions represented 19.59 percent and 0.00 percent, respectively, of the fiscal year 2020 covered payroll.

Second Tier
Contributions aggregating $35,725,581 ($25,663,871 net
employer and $10,061,710 employee) were made in fiscal
year 2021, based on an actuarial valuation determined as of June 30, 2019, which became effective for the year
ended June 30, 2021. For fiscal year 2021, the employer contribution rate was set at 25.79 percent; however, only a cash contribution of $25,663,871 was required from the
City due to the difference between actual and the
estimated June 30, 2019 surplus allocated to the City in the June 30, 2018 valuation for offsetting the City’s
contributions for the 2019/2020 plan year. Employer and employee contributions represented 22.90 percent and

9.00 percent, respectively, of the fiscal year 2021 covered payroll.

Contributions aggregating $31,253,876 ($21,443,828 net
employer and $9,810,048 employee) were made in fiscal
year 2020, based on an actuarial valuation determined as of June 30, 2018, which became effective for the year
ended June 30, 2020. For fiscal year 2020, the employer contribution rate was set at 23.29 percent; however, only a cash contribution of $21,443,828 was required from the
City due to the difference between actual and the
estimated June 30, 2018 surplus allocated to the City in the June 30, 2017 valuation for offsetting the City’s
contributions for the 2018/2019 plan year. Employer and employee contributions represented 19.61 percent and

9.00 percent, respectively, of the fiscal year 2020 covered payroll.

The City’s normal contributions to the Fire and Police
Retirement System for 2021 were estimated in accordance with actuarially determined requirements computed
through an actuarial valuation performed as of June 30, 2019, and are shown on the following page:

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 30 Actuarial Rates as a Percentage of Pensionable Payroll
Effective Effective
FY 21 FY 20
Employer Normal (First Tier) 29.55% 27.77%
Employer Normal (Second Tier) 25.79% 23.29%
Normal Cost
FY 2021
Tier 1 Tier 2 Total
Employee Contributions $ 194,760 $ 10,061,710 $ 10,256,470 Employer Contribution Rate 29.55 % 25.79 %
Employer Contributions $ 871,055 $ 28,897,352 $ 29,768,407 Prior Year Contribution (Surplus)/Shortfall (220,111) (3,233,481) (3,453,592) Net Employer Contributions $ 650,944 $ 25,663,871 $ 26,314,815 Pensionable Payroll $ 3,292,605 $ 112,048,671 $ 115,341,276 FY 2020
Tier 1 Tier 2 Total
Employee Contributions $ 201,783 $ 9,810,048 $ 10,011,831 Employer Contribution Rate 27.77 % 23.29 %
Employer Contributions $ 1,246,352 $ 25,468,648 $ 26,715,000 Prior Year Contribution (Surplus)/Shortfall (366,161) (4,024,820) (4,390,981) Net Employer Contributions $ 880,191 $ 21,443,828 $ 22,324,019 Pensionable Payroll $ 4,488,121 $ 109,354,437 $ 113,842,558 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 31 4 Net Pension Liability
The components of the net pension liability of the System are as follows:

Schedules of Changes in the System’s Net Pension Liability (GASB 67) As of June 30, 2021 and 2020
(In Thousands)
As of As of
June 30, 2021 June 30, 2020
Total Pension Liability $1,636,521 $1,565,630
Plan Fiduciary Net Position ($2,090,370) ($1,635,299)
Net Pension Liability/(Surplus) ($453,849) ($69,669)
Plan Fiduciary Net Position as a percentage of the total pension liability 127.73% 104.45% The net pension liability was measured as of June 30, 2021 and 2020, and determined based upon the total pension liability (on a GASB 67 basis) from actuarial valuations as of June 30, 2021 and 2020, respectively.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 32 Actuarial Assumptions
Key Methods and Assumptions Used in Valuation
of Total Pension Liability
The total pension liability as of June 30, 2021 was determined by an actuarial valuation as of June 30, 2021, using the following actuarial assumptions, applied to all periods included in the measurement:

Valuation Date June 30, 20211
Actuarial Experience Study 3 Year Period Ending June 30, 2018 Actuarial Cost Method Entry Age Normal Actuarial Cost Method Normal Cost and Actuarial Accrued Liability are calculated on an individual basis and are based on costs allocated as a level percentage of compensation.

Actuarial Assumptions
Inflation: 2.75%
Salary Increases: 4.00% to 12.75%, varying by service, including inflation Discount Rate: 7.00%, net of pension plan investment expense, including inflation Other assumptions: See June 30, 2021 funding valuation for the service retirement rates after they have been adjusted to treat DROP participation as service retirement.

Mortality Rates: Healthy Members • Pub-2010 Safety Healthy Retiree Amount-Weighted Mortality Table (separate tables for males and females), projected generationally with the two- dimensional mortality improvement scale MP-2018. Beneficiaries •Pub-2010 General Healthy Retiree Amount Weighted Mortality Table (separate tables for males and females) times 105%, projected generationally with the two-dimensional mortality improvement scale MP-2018.

Disabled Members • Pub-2010 Safety Disabled Retiree Amount-Weighted Mortality Table (separate tables for males and females), projected generationally with the two- dimensional mortality improvement scale MP-2018. The Pub-2010 mortality tables and adjustments as shown above reasonably reflect the mortality experience as of the measurement date. These mortality tables were adjusted to future years using the generational projection to reflect future mortality improvement between the measurement date and those years.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 33 1 Actuarially determined contribution rates are calculated as of June 30, two years prior to the end of the fiscal year in which contributions are reported. As such, the actuarial valuation dated, June 30, 2021 and 2020, will impact the contribution rates for the fiscal years ended June 30, 2023 and 2022.

The valuation interest rate is 7.00 percent; total salary scale increases range between 4.00% to 12.75% (include

2.75 percent for inflation plus 0.50 percent across the board salary increase plus merit and promotion increases based on completed years of service) were based on the
June 30, 2018 Experience Analysis and Economic
Assumptions Reports.

Actuarial valuations of an ongoing plan involve estimates of the fair value of reported amounts and assumptions
about the probability of occurrence of events far into the future. Examples include assumptions about future
employment, mortality, inflation and investment returns.

Amounts determined regarding the funded status of the
plan and the annual required contributions of the
employer are subject to continual revisions as actual
results are compared with past expectations and new
estimates are made about the future.

GASB Statement No. 67 addresses accounting and
financial reporting requirements for pension plans and
redefines pension liability and expense for financial
reporting purposes, and does not apply to contribution
amounts for pension funding purposes.

When measuring pension liability under GASB Statement
No. 67, the actuary uses the same actuarial cost method (Entry Age method) and the same type of discount rate
(expected return on assets) as the System uses for
funding. Note that, unrelated to the investment return assumption, the new rules use a version of the Entry Age method where the Total Pension Liability (TPL) for
financial reporting purposes must be fully accrued by the time a member either enters DROP or is expected to elect the DROP. This is in contrast to the version of the Entry Age method used for funding, where the Actuarial
Accrued Liability (AAL) does not have to be fully
accrued until members retire from employment after
participation in the DROP. Under GASB Statement No.
67, active members who are expected to enroll in the
DROP in the future would report a Service Cost that is
higher than the Normal Cost used for funding, while
members already in the DROP would report no Service
Cost even though their Normal Cost continues to accrue.

Long-Term Expected Real Rate of Return
The long-term expected rate of return on the System’s
investments was determined using a building-block
method in which expected future real rates of return
(expected returns, net of pension plan investment expense and net of inflation) are developed for each major asset class. This information is 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 and
deducting expected investment expenses and a risk
margin. The target allocation and projected arithmetic real rates of return for each major asset class, after deducting inflation, but before deducting investment expenses, used in the derivation of the long-term expected investment
rate of return assumption are summarized in the table on the following page.

The actual asset class target allocations from the Board’s current adopted Asset Allocation Target Policy will be
utilized in the Analysis of Actuarial Experience during the period July 1, 2015 through June 30, 2018 and for the
Review of Economic Actuarial Assumptions for the June
30, 2021 Actuarial Valuation.

The actual asset class target allocations from the Board’s current adopted Asset Allocation Target Policy will be
utilized in the Analysis of Actuarial Experience during the period July 1, 2015 through June 30, 2018 and for the
Review of Economic Actuarial Assumptions for the June
30, 2020 Actuarial Valuation.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 34 Asset Class/Target Allocation/Long-term Expected
Real Rate of Return Table
As of June 30, 2021 As of June 30, 2020
Asset Class
Target
Asset
Allocation
Weighted Average
Long-Term Expected
Real Rate of Return*
(Arithmetic)
Target
Asset
Allocation
Weighted Average
Long-Term Expected
Real Rate of Return*
(Arithmetic)
Large Cap U.S. Equity 15.8% 5.44% 15.8% 5.44%
Small Cap U.S. Equity 7.2% 6.18% 7.2% 6.18%
Developed International Equity 19.0% 6.54% 19.0% 6.54%
Emerging Market Equity 6.0% 8.73% 6.0% 8.73%
Private Equity 5.0% 9.27% 5.0% 9.27%
Domestic Fixed Income 10.0% 1.42% 10.0% 1.42%
High Yield Bonds 5.0% 3.64% 5.0% 3.64%
Private Debt/Direct Lending 8.0% 5.54% 8.0% 5.54%
Midstream Energy 5.0% 6.24% 5.0% 6.24%
Real Estate 15.0% 4.60% 15.0% 4.60%
Private Real Assets - Infrastructure/Land 4.0% 4.89% 4.0% 4.89% Total 100.0% 100.0%
* Based on June 30, 2018 Economic Study Assumptions.

Mortality Rates
Mortality rates used in the latest actuarial valuation are based on the Pub-2010 mortality tables. For healthy
members the Pub-2010 Safety Healthy Retiree Amount-
Weighted Mortality Table (separate tables for males and females) is used, projected generationally with the two- dimensional mortality improvement scale MP-2018. For
beneficiaries the Pub-2010 General Healthy Retiree
Amount-Weighted Mortality Table (separate tables for
males and females) times 105% is used, projected
generationally with the two-dimensional mortality
improvement scale MP-2018. For members that are
disabled, the Pub-2010 Safety Disabled Retiree Amount-
Weighted Mortality Table (separate tables for males and females) is used, projected generationally with the two- dimensional mortality improvement scale MP-2018.

Discount Rate
The discount rate used to measure the total pension
liability was 7.00 percent as of June 30, 2021 and 2020.

The projection of cash flows used to determine the
discount rate assumed plan member contributions will be made at the current contribution rate and that employer contributions will be made at rates equal to the actuarially determined contribution rates. For this purpose, only
employer contributions that are intended to fund benefits for current plan members and their beneficiaries are
included. Projected employer contributions that are
intended to fund the service costs for future plan members and their beneficiaries, as well as projected contributions from future plan members, are not included. Based on
those assumptions, the pension plan's fiduciary net
position was projected to be available to make all
projected future benefit payments for current plan
members. Therefore, the long-term expected rate of return on the System’s investments was applied to all periods of projected benefit payments to determine the total pension liability as of both June 30, 2021 and June 30, 2020.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 35 The table below presents the net pension liability of the Retirement System calculated using the discount rate of

7.00 percent, as of June 30, 2021 and 2020, as well as
what the System’s net pension liability would be if it were calculated using a discount rate that is 1.00 percent lower or 1.00 percent higher than the current rate:

Sensitivity of Net Pension Liability to Changes in the Discount Rate As of June 30, 2021 and 2020 (In Thousands)
1% Current 1%
Decrease Discount Rate Increase
Net Pension Liability/(Surplus) 6.00% 7.00% 8.00%
June 30, 2021 ($228,661) ($453,849) ($634,724)
1% Current 1%
Decrease Discount Rate Increase
Net Pension Liability/(Surplus) 6.00% 7.00% 8.00%
June 30, 2020 $146,017 ($69,669) ($242,897)
5 Net Position Restricted for
Pension Benefits
Net position restricted for pension benefits is segregated into Active Members Reserve (members’ accumulated
contributions) and reserves established by the Board for various benefit payments.

Reserves are established by the System from member and
employer contributions and the accumulation of
investment income after satisfying investment and
administrative expenses. Note: The reserves do not
represent the present value of assets needed, as
determined by actuarial valuation, to satisfy retirements and other benefits as they become due.

The System’s major reserves are as
follows:

ACTIVE MEMBER (EMPLOYEE) RESERVES
represent the total accumulated member contributions.

Additions include member contributions and investment
earnings; deductions include refunds of member
contributions and transfers to Employer Advance/Retired Reserves.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 36

EMPLOYER ADVANCE/RETIRED RESERVES
represent the total accumulated employer contributions
for future retirement payments to current active members and vested terminated members, and the total
accumulated transfers from Active Member Reserves and
investment earnings, less payments to retirees and
transfers to the DROP Reserve. Additions include
contributions from the employer, transfers from Active
Member Reserve, and investment earnings; deductions
include payments to retirees and transfers to the DROP
Reserve.

DEFERRED RETIREMENT OPTION PROGRAM
(DROP) RESERVE represents funds reserved for
Deferred Retirement Option Benefits accumulated by
members and retirees.

POST RETIREMENT SUPPLEMENTAL
BENEFIT (PRSB) RESERVE represents surplus
earnings that have been allocated but not distributed to eligible participants in accordance with the City of Fresno Municipal Code Section 3-354 Post-Retirement
Supplemental Benefit.

CITY SURPLUS RESERVE represents surplus
earnings that have been allocated but not used as a
reduction to offset or eliminate the City’s pension
contributions in accordance with the conditions and
requirements of the City of Fresno Municipal Code
Section 3-354 Post-Retirement Supplemental Benefit.

Interest is allocated at an actuarially determined interest rate as approved by the Board and is credited monthly to the Active Member Reserve and the Employer Advance/
Retired Reserves. Active members in the Deferred
Retirement Option Program accrue interest on their
accumulated DROP accounts monthly at an interest rate
annually adopted by the Board.

The amount of reserves for the years ended June 30, 2021 and 2020, consisted of the following:

Reserves Table as of FY 2021 and FY 2020
(In Thousands)
2021 2020
Employer Advance/Retired Reserves $ 1,731,836 $ 1,288,740 Active Member (Employee) Reserves 204,428 195,375
DROP Reserves 151,995 148,782
PRSB Reserves 1,487 1,728
City Surplus Reserves 624 675
Net Position Restricted for Pension Benefits $ 2,090,370 $ 1,635,300 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 37 6 Fair Value Measurements
In accordance with GASB Statement No. 72, Fair Value
Measurement and Application, which addresses
accounting and financial reporting issues related to fair value measurements and disclosures. The System’s
investments are measured and reported within the fair
value hierarchy established by generally accepted
accounting principles. The fair value hierarchy, which has three levels, is based on the valuation inputs used to
measure an asset’s fair value and gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

The three levels of the fair value hierarchy are as follows:

Level 1: Inputs are based on quoted prices for identical assets or liabilities in an active market that the System can access. An active market for the asset or liability is one in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing
information on an ongoing basis. A quoted price in an
active market usually provides the most reliable evidence of fair value and is generally used without adjustment if available. This classification includes public equities with observable market prices.

Level 2: Inputs that are observable either directly or indirectly but are not Level 1 inputs. Level 2 inputs
include quoted prices for similar instruments, broker
quotes, or observable inputs that directly impact value such as interest rates, prepayment speeds, and credit risk.

Pricing inputs, including broker quotes, are generally
those other than exchange quoted prices in active markets, and fair values are determined through the use of models or other valuation methodologies. For investments in
funds where there is an ability to redeem such investments at the Net Asset Value (NAV) per share (or its equivalent) at the measurement date or in the near term, the fair value of the investment is generally categorized as Level 2.

Level 3: Inputs that are unobservable. Level 3 inputs are generally used in situations where there is little, if any, market activity for the investment. These inputs into the determination of fair value require significant
management judgment or estimation. Due to the inherent
uncertainty of these estimates, these values may differ significantly from the values that would have been used had a ready market for these investments existed.

Investments that are included in this category generally include public entities and other fixed income securities where there is an inability to redeem such investments at the NAV per share (or its equivalent) at the measurement date or in the near term.

The tables on the following pages show the fair value
leveling of the System’s investments as of June 30, 2021 and 2020.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 38 Fair Value Measurements Using
Investment Type June 30, 2021
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
Significant Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Investments by Fair Value Level
Debt Securities
Asset Backed Securities $ 25,171,919 $ — $ 25,171,919 $ — Commercial Mortgage-Backed 13,488,401 — 13,488,401 — Corporate Bonds 142,218,148 — 141,700,131 518,017
Corporate Convertible Bonds 4,916,532 — 4,916,532 — Government Agencies 3,927,321 — 3,819,063 108,258
Government Bonds 20,820,521 — 20,820,521 —
Government Mortgage Backed Securities 50,027,694 — 50,027,694 — Gov't-issued Commercial Mortgage-Backed 4,224,768 — 4,224,768 — Municipal/Provincial Bonds 2,878,984 — 2,878,984 —
Non-Government Backed C.M.O.s 3,586,117 — 3,366,728 219,389 Total Debt Securities 271,260,405 — 270,414,741 845,664 Equity Securities
Consumer Discretionary 87,030,029 87,030,029 — —
Consumer Staples 27,336,854 27,336,854 — —
Energy 118,692,483 118,692,483 — —
Financials 100,306,501 100,306,501 — —
Health Care 53,294,158 53,294,158 — —
Industrials 95,483,807 95,483,807 — —
Information Technology 100,369,815 100,369,815 — —
Materials 42,482,341 42,348,351 — 133,990
Miscellaneous 1,545,238 500,116 — 1,045,122
Real Estate 13,020,070 13,020,070 — —
Telecommunication Services 32,465,965 32,465,965 — — Utilities 6,100,725 6,100,725 — —
Total Equity Securities 678,127,986 676,948,874 — 1,179,112 Securities Lending 96,292,191 96,292,191 — —
Short-Term Investments 31,683,663 31,683,663 — —
Private Real Estate Holdings 3,358,396 — 3,358,396 —
Total Investments by Fair Value Level $ 1,080,722,641
Investments Measured at the Net Asset Value (NAV)
Commingled Fund - Equities $ 586,816,372
Commingled Fund - Real Estate 177,130,140
Commingled Fund - Infrastructure 72,112,163
Private Real Estate Funds 73,721,062
Private Debt/Private Credit 111,120,614
Private Equity 47,219,932
Total Investments Measured at NAV 1,068,120,283
Total Investments Measured at Fair Value and NAV $ 2,148,842,924 Investment Derivative Instruments*
Deb Securities - Futures $ 16,010,718 $ 16,010,718 $ — $ — Rights/Warrants 146 146 — —
Total Investment Derivative Instruments $ 16,010,864 $ 16,010,864 $ — $ — * Short-term derivative instruments included on page 51 are excluded here.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 39 Fair Value Measurements Using
Investment Type June 30, 2020
Quoted Prices in
Active Markets
for Identical Assets
(Level 1)
Significant Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Investments by Fair Value Level
Debt Securities
Asset Backed Securities $ 16,168,619 $ — $ 16,168,619 $ — Commercial Mortgage-Backed 10,360,786 — 10,360,786 — Corporate Bonds 143,051,962 — 143,051,962 —
Corporate Convertible Bonds 2,618,523 — 2,618,523 — Government Agencies 3,148,623 — 3,148,623 —
Government Bonds 10,709,410 — 10,709,410 —
Government Mortgage Backed Securities 46,573,113 — 46,573,113 — Gov't-issued Commercial Mortgage-Backed 7,036,172 — 7,036,172 — Index Linked Government Bonds 1,878,336 — 1,878,336 — Municipal/Provincial Bonds 3,828,361 — 3,828,361 —
Non-Government Backed C.M.O.s 952,997 — 952,997 —
Total Debt Securities 246,326,902 — 246,326,902 —
Equity Securities
Consumer Discretionary 75,648,466 75,648,466 — —
Consumer Staples 22,584,945 22,584,945 — —
Energy 74,289,855 74,289,834 21 —
Financials 78,602,115 78,602,115 — —
Health Care 48,762,167 48,762,167 — —
Industrials 68,923,858 68,923,858 — —
Information Technology 74,832,617 74,832,617 — —
Materials 25,952,307 25,952,307 — —
Real Estate 10,436,943 10,436,943 — —
Telecommunication Services 38,341,478 38,341,478 — — Utilities 6,485,620 6,485,620 — —
Total Equity Securities 524,860,371 524,860,350 21 —
Securities Lending 65,582,976 65,582,976 — —
Short-Term Investments 16,741,665 11,348,129 5,393,536 — Private Real Estate Holdings 3,358,396 — 3,358,396 —
Total Investments by Fair Value Level $ 856,870,310
Investments Measured at the Net Asset Value (NAV)
Commingled Fund - Equities $ 479,474,345
Commingled Fund - Real Estate 97,907,053
Commingled Fund - Infrastructure 68,754,182
Private Real Estate Funds 60,370,408
Private Debt/Private Credit 116,178,063
Private Equity 15,362,596
Total Investments Measured at NAV 838,046,647
Total Investments Measured at Fair Value and NAV $ 1,694,916,957 Investment Derivative Instruments*
Deb Securities - Futures $ 4,126,659 $ 4,126,659 $ — $ — Deb Securities - Options 4,410 4,410 — —
Short Term Investments - Swaps 5,614 — 5,614 —
Total Investment Derivative Instruments $ 4,136,683 $ 4,131,069 $ 5,614 $ — * Short-term derivative instruments included on page 51 are excluded here.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 40 Commingled equity and real estate funds are valued based on NAV reported by the investment manager, which are
generally calculated based on the last reported sale price of the underlying assets held by such funds. Direct
lending funds are typically structured as limited
partnerships and limited liability companies. Since there is no readily available market for these investments in limited partnerships and limited liability companies, such investments are stated at fair value as estimated in an inactive market. These investments include securities of companies that may not be immediately liquid, such as
private debt securities, real estate or other assets. The valuations of these investments are based upon values
provided by the investment managers, based on the
guidelines established with the investment managers and in consideration of other factors related to the System’s interests in these investments.

Investments that are measured at fair value using the net asset value per share (NAV or its equivalent) as a
practical expedient are not classified in the fair value hierarchy. In these instances where inputs used to measure fair value fall into different levels in the fair value hierarchy, fair value measurements in their entirety are categorized based on the lowest level input that is
significant to the valuation. The System’s assessment of the significance of particular inputs to these fair value measurements requires judgment and considers factors
specific to each asset or liability.

Equity and derivative securities classified in Level 1 are valued using prices quoted in active markets for those
securities. Equity and debt securities classified in Level 2 and Level 3 are using either a bid evaluation or a matrix pricing technique. Bid evaluations may include market
quotations, observable market based inputs and
unobservable inputs (i.e., extrapolated data, proprietary models, and indicative quotes). Matrix pricing is used to value securities based on the securities relationship to benchmark quoted prices. Investment derivative
instruments classified as Levels 2 and 3 are valued using market approaches that consider, as applicable,
benchmark interest rates or foreign exchange rates.

Real estate assets classified in Level 2 are the System’s private real estate investments which are valued using
independent external appraisers. The System’s policy is to perform independent appraisals of the property every
three years. The appraisals include a complete property and market inspection and analysis by designated
Members of the Appraisal Institute (MAI). The appraisals are performed using generally accepted valuation
approaches applicable to the property type. Calculations used in the System’s independent appraisals are generally based on a discounted cash flow analysis.

Investments in Entities That Calculate Net
Asset Value Per Share
The fair value measurement of investments in
commingled equity, real estate and direct lending funds are valued based on the investments’ net asset value
(NAV) per share (or its equivalent) reported by the
investment manager, which are generally calculated based on the last reported sale price of the underlying assets held by such funds. These include funds that are
structured as limited partnerships and limited liability companies.

Since there is no readily available market for investments in limited partnerships and limited liability companies, such investments are stated at fair value as estimated in an inactive market. These investments include securities of companies that may not be immediately liquid, such as
private debt securities and real estate or other assets.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 41 The valuations of these investments are based upon values provided by the investment managers, and in
consideration of other factors, including guidelines
established with those investment managers, related to the System’s interests in these investments.

Such fair value measurements are shown in the tables
below as of June 30, 2021 and 2020.

City Of Fresno Fire and Police Retirement System
Investments Measured at the NAV
As of June 30, 2021
Investment Type Fair Value
Unfunded
Commitments
Redemption
Frequency
(If Currently
Eligible)
Redemption
Notice
Period
Commingled Fund - Equities $ 586,816,372 $ — Daily None Commingled Fund - Real Estate 177,130,140 — Quarterly 45-90 Days Commingled Fund - Infrastructure 72,112,163 — Not Eligible N/A Private Real Estate Funds 73,721,062 35,353,001 Not Eligible N/A Private Debt/Private Credit 111,120,614 152,130,524 Not Eligible N/A Private Equity 47,219,932 57,868,945 Not Eligible N/A Total investments measured at the NAV $ 1,068,120,283 $ 245,352,470 City Of Fresno Fire and Police Retirement System
Investments Measured at the NAV
As of June 30, 2020
Investment Type Fair Value
Unfunded
Commitments
Redemption
Frequency
(If Currently
Eligible)
Redemption
Notice
Period
Commingled Fund - Equities $ 479,474,345 $ — Daily None Commingled Fund - Real Estate 97,907,053 65,508,012 Quarterly 45-90 Days Commingled Fund - Infrastructure 68,754,182 — Not Eligible N/A Private Real Estate Funds 60,370,408 43,137,396 Not Eligible N/A Private Debt/Private Credit 116,178,063 54,218,110 Not Eligible N/A Private Equity 15,362,596 83,105,903 Not Eligible N/A Total investments measured at the NAV $ 838,046,647 $ 245,969,421 On the following page is an explanation of the investment types listed above.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 42 The investment types listed in the tables on the preceding page were measured at the NAV as follows.
(1) Commingled equity funds are highly
liquid and can be redeemed within short-term periods of time. The System’s investments of this type consist of
institutional investment funds - one international
ACWIexUS equity fund that is diversified across
developed and emerging market countries and sectors and two domestic large cap equity index funds (S&P 500
Index and Russell 1000 Index). The fair value of these
investment types has been determined using the NAV per
share of the investments.
(2) Commingled real estate fund: The
System’s two commingled real estate funds are a core
investment strategy designed to deliver a relatively high level of current income combined with moderate
appreciation potential. It is comprised of institutional quality office, retail, residential and industrial investments in major markets throughout the U.S. The redemption
frequency of the real estate fund is quarterly, if liquidity is available, with a notice of redemption 45 days before the end of a quarter.
(3) Commingled fixed income fund: The
System’s commingled fixed income fund is fairly liquid
and can be redeemed within short periods of time. This is an institutional quality fund that invests in high, medium, and low grade instruments such as U.S. treasuries,
investment grade corporates, securitized products, and
derivatives. The fund is designed to provide current
income through tactical positioning. The fair value of these investment types has been determined using the
NAV per share of the investments.

(4) Private real estate funds: The System’s
six private real estate funds are designed to act as a
diversifier and alpha generator to the core real estate portfolio. Investments are made in middle-market assets across various domestic and international regions and
sectors such as industrial, multifamily, office, and retail.

The strategies focus on identifying investments with
pricing dislocations that can be renovated, repurposed, and exited at opportunistic levels. The investment period is generally 3-5 years with a lifespan of 10-12 years.
(5) Private Debt/Private Credit - direct
lending funds: The System’s three direct lending funds
are each invested through a master-feeder structure, on a leveraged basis primarily in senior secured loans of
private U.S. lower-middle-market companies. Strategies
employ a capital preservation focus and structured
investments with strong covenant provisions to reduce
associated risks, underwriting multiple cushions to
provide downside protections. Investment period is
generally 3-5 years with reinvestment of committed
capital.
(6) Commingled infrastructure funds: The
System’s two infrastructure funds invest in core assets that generate long-term stable cash yields, have modest price appreciation, and provide inflation protection.

Types of assets include energy (water, wind, and solar, etc.), transportation (toll roads and bridges, airports, and seaports, etc.), and social (hospitals, prisons, and schools, etc.). Investments are located domestically as well as in the Organization for Economic Co-operation and
Development (OECD) countries internationally. Each
fund has lockup periods of 4 years and, after that initial period, redemptions can be requested on a quarterly basis, if liquidity is available.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 43 (7) Private Equity Funds: The System’s private
equity fund represents investments in privately owned
companies that are not listed on public market exchanges.

They are typically accessed through partnerships and
managed by external general partners.

The System’s one private equity fund is composed of
primaries, secondaries, and co-investments, split between North America and international markets. Most
investments are sourced from the small-to-mid market
investment universe
7 Deposits and Investments
The System’s investment guidelines reflect the duties imposed by an investment standard known as the “prudentexpert rule.” The prudent expert rule establishes a standard for all fiduciaries which includes anyone who has discretionary authority with respect to the System’s investments.

Northern Trust serves as custodian of the System’s investments. The System’s asset classes include U.S. Equity, International Equity, Emerging Market Equity, U.S. Fixed Income, and Real Estate. Any class may be held in direct form, pooled form, or both. The System has fifteen external investment managers, managing eighteen individual portfolios.

Investments as of June 30, 2021 and 2020, consist of the following:

Investments at Fair Value as of June 30, 2021 and 2020
(In Thousands)
2021 2020
Investments at Fair Value
Domestic Equity $ 756,804 $ 599,330
International Developed Market Equities 322,127 278,817 International Emerging Market Equities 79,063 57,459
Government Bonds 81,879 73,174
Corporate Bonds 208,733 179,531
Alternatives 334,062 266,776
Real Estate 254,210 161,636
Short-Term Investments 31,684 16,747
Total Investments at Fair Value $ 2,068,562 $ 1,633,470 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 44 The Board, through its Investment Policy Statement, provides guidelines for investments and established the following target allocations with a minimum and maximum range for each of these asset classes:

Asset Class Minimum Target and Maximum Allocations
FY 2021 FY 2020
Asset Class Minimum Target Maximum Minimum Target Maximum Domestic Equities
Large Cap 10.0% 15.8% 26.0% 10.0 % 15.8 % 26.0 %
Small Cap 2.0% 7.2% 12.0% 2.0 % 7.2 % 12.0 %
International Equities
Developed Markets 14.0% 19.0% 24.0% 14.0 % 19.0 % 24.0 % Emerging Markets 3.0% 6.0% 9.0% 3.0 % 7.0 % 9.0 %
Fixed Income
Core Fixed Income 7.0% 10.0% 15.0% 7.0 % 10.0 % 15.0 % High Yield Bonds 4.0% 5.0% 12.0% 4.0 % 5.0 % 12.0 %
Real Estate
Core Real Estate 7.0% 11.0% 15.0% 7.0 % 11.0 % 15.0 % Value Add Real Estate/REITs 2.0% 4.0% 6.0% 2.0 % 4.0 % 6.0 % Alternatives
Infrastructure 2.0% 4.0% 6.0% 2.0 % 4.0 % 6.0 %
Midstream Energy (MLP's) 2.0% 5.0% 8.0% 2.0 % 5.0 % 8.0 % Private Equity 0.0% 5.0% 10.0% 0.0 % 4.0 % 10.0 %
Private Debt 4.0% 8.0% 12.0% 4.0 % 8.0 % 12.0 %
Short-Term Investments 0.0% 0.0% 0.0% 0.0 % 0.0 % 0.0 % 100% 100%
Allowable securities must meet the reporting
requirements of the Securities and Exchange Commission
and must meet a “prudent expert” standard for investing.

In no case may the System have five percent (5%) or
more of System net position invested in any one
organization.

The Retirement Board’s investment policies and
guidelines permit investment in numerous specified asset classes to take advantage of the non correlated economic behavior of diverse asset classes. The result is a well- diversified portfolio.

Custodial Credit Risk
Custodial credit risk for investments is the risk that, in the event of the failure of the counterparty to a transaction, the System will not be able to recover the value of its investment or collateral securities that are in the
possession of another party. The Retirement System’s
investment securities are not exposed to custodial credit risk since all securities are registered in the System’s name and held by the System’s custodial bank.

Custodial credit risk for deposits is the risk that, in the event of the failure of the depository financial institution, the System will not be able to recover its deposits or will not be able to recover collateral securities that are in the possession of an outside party. Any cash associated with the System’s investment portfolios not invested at the end of a day is temporarily swept overnight to the Northern Trust Collective Short-Term Investment Fund.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 45 That portion of the System’s cash held by the City in a Trust account as part of the City’s cash investment pool totaled $821,321 and $1,540,099 at June 30, 2021 and
2020, respectively. Accordingly, the System’s
investments in the pool are held in the name of the City and are not specifically identifiable.

Disclosure of the legal and contractual provisions of the City’s investment policy and carrying amounts by type of investments may be found in the notes to the City’s
separate Annual Comprehensive Financial Report for the
fiscal year ended June 30, 2021.

Credit and Interest Rate Risk
Credit risk associated with the System’s debt securities is identified by their ratings in the table below. Interest rate risk is the risk that changes in market interest rates will adversely affect the fair value of an investment. The
System has no general policy on credit and interest rate risk. The System limits its investments in below
investment grade bonds and monitors the interest rate risk inherent in its portfolio by measuring the duration of its portfolio. The average duration of the System’s debt
portfolios in years is also listed in the following table:
2021 2020
Type of Investment Fair Value
Credit
Quality Duration Fair Value
Credit
Quality Duration
Asset Backed Securities $ 25,171,920 AA- 2.44 $ 16,168,619 AA+ 2.07 Commercial Mortgage-Backed 13,488,401 A 6.25 10,360,786 A- 6.58 Corporate Bonds 142,218,147 BB 5.77 143,051,962 BB+ 6.71 Corporate Convertible Bonds 4,916,532 CC 5.20 2,618,523 CC 4.43 Fixed Income Derivatives - Futures 16,010,718 — 6.64 4,126,659 — — Fixed Income Derivatives - Options — — — 4,410 — —
Funds - Corporate Bond — — — — — —
Non-Government backed C.M.O.s 3,586,117 CCC+ 2.46 952,997 B- 1.64 Rights & Warrants 146 — — — — —
Convertible Equity 1,039,037 BB+ 11.78 1,288,062 BB+ 14.92 Common Stock 297,952 — — 50,136 — —
Preferred Stock 2,003,713 BB+ — 908,489 BB+ —
Government Agencies 3,927,320 BBB- 7.27 3,148,623 AAA 7.88 Government Bonds 20,820,521 AAA 8.36 10,709,410 AAA 12.33 Gov't Issued Commercial Mortgage Backed Securities 4,224,768 AAA 5.91 7,036,172 AAA 7.30 Government Mortgage Backed Securities 50,027,694 AAA 4.59 46,573,113 AAA 2.44 Municipal/Provincial Bonds 2,878,984 A 9.56 3,828,361 A+ 10.21 Index Linked Government Bonds — — — 1,878,336 AAA 1.34 Total Credit Risk Fixed Income $ 290,611,970 $ 252,704,658 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 46 Per Section 3.5.f.i. of the System’s Investment Policy
Statement, no more than 15 percent of an investment
manager’s fixed income portfolio may be invested in
below investment grade rated securities (BB or B rated
bonds). Therefore, at least 85 percent of the manager’s fixed income portfolio must be invested in investment
grade securities. Intermediate Bond portfolios shall
maintain an average credit quality of A+ or better.

High yield fixed income portfolios, in accordance with
Section 3.5.f.ii. of the System’s Investment Policy
Statement, shall maintain an average credit quality rating equal to or higher than that of the Barclays US Corporate High Yield Index. Based on the Barclays US Corporate
High Yield Index, a high yield manager’s portfolio shall have a constraint of the benchmark weight plus five
percent (5%) in bonds rated Caa1/CCC+ or lower with
non-rated bonds being limited to five percent (5%) of the portfolio with both limits subject to maintaining the
average portfolio credit quality requirement of the
Barclays US Corporate High Yield index. No more than
25 percent of a high yield manager’s portfolio may be
invested in foreign securities; within this limit, a manager may allocate up to 20 percent in emerging market
government securities including both non-U.S. dollar
denominated securities and U.S. dollar denominated
Yankee securities and up to 15 percent of the portfolio may be invested in non-U.S. dollar denominated
securities.

High yield bond portfolios may hold up to the benchmark weight plus five percent (5%) of assets in Rule 144A
bond issues with or without registration rights. No more than 10 percent of the high yield manager’s portfolio may be invested in convertibles or preferreds, and no more
than 20 percent may be invested in securitized bank debt.

No single security and/or issuer can represent more than five percent (5%) of the fair value of a portfolio at the time of purchase, and no single industry can represent
more than 25 percent of the fair value of the account at the time of purchase.

Firms that manage fixed income portfolios will
continually monitor the risk associated with their fixed income investments. They will be expected to report, as a component of their quarterly report, a risk/reward analysis of the management decisions relative to their benchmarks.

Statistics that relate performance variance to effective duration decisions will be included in each quarterly
report.

Concentration Risk
The investment portfolio as of June 30, 2021 and 2020,
contained no concentration of investments in any one
entity (other than those issued or guaranteed by the U.S.

Government) that represented five percent (5%) or more
of the total investment portfolio or fiduciary net position.

Foreign Currency Risk
Foreign Currency Risk is the risk that changes in foreign exchange rates will adversely affect the fair value of an investment or deposit. The System has no general
investment policy with respect to foreign currency risk.

The System’s investment policy guidelines allow
international developed and emerging equity managers to hedge their currency risks in foreign countries through the purchase of derivatives. Used as a defensive measure and in an effort to control the risks associated with
international portfolios, international equity investment managers are permitted to invest in forward currency
contracts, swaps, currency futures, and exchanged-traded index futures that represent broad equity exposure to
countries represented in their respective benchmark index.

The positions shown on the following page represent the System’s exposure to foreign currency risk as of June 30, 2021 and 2020.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 47 Foreign Currency Risk Exposure
As of June 30, 2021
Base Currency Country
Equities /
Fixed Income
Futures -
Domestic
Fixed
Income
Options &
Swaps
Cash & Cash
Equivalents Total
AED United Arab Emirates Dirham
United Arab
Emirates $ 32,135 $ — $ — $ 304 $ 32,439
ARS Argentine Peso Argentina 53,447 — — 23,291 76,738 AUD Australian Dollar Australia 6,407,931 — — — 6,407,931 BRL Brazilian Real Brazil 5,357,310 — — 267,624 5,624,934 CAD Canadian Dollar Canada 13,124,377 — — — 13,124,377 CHF Swiss Franc Switzerland 21,669,790 — — — 21,669,790 CLP Chilean Peso Chile 8,853 — — 763 9,616
CNY Chinese Yuan Renminbi China 7,121,975 — — 88,888 7,210,863 CZK Czech Koruna Czech Republic 4,247 — — — 4,247
DKK Danish Krone Denmark 11,327,150 — — — 11,327,150 EGP Egyptian Pound Egypt 15,247 — — — 15,247
EUR Euro Europe 76,698,735 — — 136,436 76,835,171
GBP British Pound Sterling United Kingdom 30,092,157 — — 224,003 30,316,160 HKD Hong Kong Dollar Hong Kong 48,457,984 — — 125,873 48,583,857 HUF Hungarian Forint Hungary 798,935 — — — 798,935 IDR Indonesian Rupiah Indonesia 1,954,095 — — 1,673 1,955,768 ILS New Israeli Shekel Israel 615,343 — — — 615,343 INR Indian Rupee India 16,952,793 — — 1,117,254 18,070,047 JPY Japanese Yen Japan 46,181,302 — — — 46,181,302 KRW South Korean Won South Korea 26,645,526 — — 60,023 26,705,549 MXN Mexican Peso Mexico 4,346,981 — — 7,835 4,354,816 MYR Malaysian Ringgit Malaysia 391,032 — — 13,035 404,067 NOK Norwegian Krone Norway 805,127 — — — 805,127
PEN Peruvian Nuevo Sol Peru 3,376 — — 1,079 4,455
PHP Philippine Peso Philippines 18,237 (3,757) — 5,649 20,129 PLN Polish Zloty Poland 1,018,583 — — 3,869 1,022,452 QAR Qatari Rial Qatar 7,669 — — 159,421 167,090
SAR Saudi Riyal Saudi Arabia 2,229,721 — — 53,940 2,283,661 SEK Swedish Krona Sweden 7,358,364 — — — 7,358,364 SGD Singapore Dollar Singapore 2,447,274 — — — 2,447,274 THB Thai Baht Thailand 1,458,238 — — 749 1,458,987 TRY Turkish Lira Turkey 89,062 — — — 89,062
TWD New Taiwan Dollar Taiwan 25,286,483 — — 57,909 25,344,392 USD United States Dollar United States 1,207,563,049 16,014,497 (81,475) 63,936,436 1,287,432,507 ZAR South African Rand South Africa 2,985,307 — — 41,209 3,026,516 Total Equities (In USD) 1,569,527,835 16,010,740 (81,475) 66,327,263 1,651,784,363 Total Non-USD Equities (In USD) $ 361,964,786 $ (3,757) $ — $ 2,390,827 $ 364,351,856 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 48 Foreign Currency Risk Exposure
As of June 30, 2020
Base Currency Country
Equities /
Fixed Income
Futures -
Domestic
Fixed
Income
Options &
Swaps
Cash & Cash
Equivalents Total
AED United Arab Emirates Dirham
United Arab
Emirates $ 40,250 $ — $ — $ — $ 40,250
ARS Argentine Peso Argentina 64,352 — — 5,470 69,822 AUD Australian Dollar Australia 6,661,376 — — — 6,661,376 BRL Brazilian Real Brazil 3,730,276 — — 102 3,730,378 CAD Canadian Dollar Canada 11,355,996 — — — 11,355,996 CHF Swiss Franc Switzerland 18,582,582 — — — 18,582,582 CLP Chilean Peso Chile 406,985 — — — 406,985
CNY Chinese Yuan Renminbi China 3,672,827 — — 38,349 3,711,176 CZK Czech Koruna Czech Republic 4,006 — — 123 4,129 DKK Danish Krone Denmark 9,519,666 — — — 9,519,666 EGP Egyptian Pound Egypt 23,248 — — 1,389 24,637
EUR Euro Europe 64,335,672 — — (46,303) 64,289,369 GBP British Pound Sterling United Kingdom 24,791,759 — — — 24,791,759 HKD Hong Kong Dollar Hong Kong 43,215,368 — — 218,634 43,434,002 HUF Hungarian Forint Hungary 196,939 — — 34,450 231,389 IDR Indonesian Rupiah Indonesia 1,251,436 — — — 1,251,436 ILS New Israeli Shekel Israel 455,452 — — — 455,452 INR Indian Rupee India 9,489,174 — — 3,888 9,493,062 JPY Japanese Yen Japan 39,552,879 — — — 39,552,879 KRW South Korean Won South Korea 17,059,555 — — 2,201 17,061,756 MXN Mexican Peso Mexico 1,680,090 — — 17,795 1,697,885 MYR Malaysian Ringgit Malaysia 242,186 — — 689 242,875 NOK Norwegian Krone Norway 600,001 — — — 600,001
PEN Peruvian Nuevo Sol Peru 3,972 — — 1,167 5,139
PHP Philippine Peso Philippines 450,256 — — 10 450,266 PLN Polish Zloty Poland 221,843 — — — 221,843
QAR Qatari Rial Qatar 194,696 — — — 194,696
SEK Swedish Krona Sweden 7,216,874 — — — 7,216,874 SGD Singapore Dollar Singapore 2,499,782 — — — 2,499,782 THB Thai Baht Thailand 669,675 — — — 669,675
TRY Turkish Lira Turkey 1,280,204 — — — 1,280,204
TWD New Taiwan Dollar Taiwan 16,163,291 — — 508 16,163,799 USD United States Dollar United States 993,538,568 4,126,659 10,024 14,866,560 1,012,541,811 ZAR South African Rand South Africa 5,728,129 — — — 5,728,129 Total Equities (In USD) 1,284,899,365 4,126,659 10,024 15,145,032 1,304,181,080 Total Non-USD Equities (In USD) $ 291,360,797 $ — $ — $ 278,472 $ 291,639,269 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 49 Per Section 3.5.e. of the System’s Investment Objectives and Policy Statement, assets in international equity
portfolios shall consist of liquid, publicly traded equity and equity like securities traded on major stock exchanges as well as cash and cash equivalents as necessary.

Securities will be primarily composed of foreign ordinary shares and depository receipts (American Depository
Receipts (ADRs) and Global Depository Receipts (GDRs)
including ADRs and GDRs that are 144A securities).

Securities that are 144A securities, including ADR and
GDR 144A securities, are authorized investments which
in aggregate cannot exceed 10 percent of the portfolio.

Primarily large capitalization securities may be held,
although investments in small and mid capitalization
securities are also allowed. Firms will continually
monitor their country, currency, sector and security
selection risks associated with their international
portfolios. All of the risks will be included in the
manager’s quarterly reports and performance attribution based on these factors will also be included.

The System’s complete Investment Objectives and Policy
Statement can be found on the System’s website at
www.CFRS-CA.org or by contacting the Retirement
Office at 2828 Fresno Street, Suite 201, Fresno, CA
93721.

Rate of Return
For the fiscal years ended June 30, 2021 and 2020, the
annual money-weighted rate of return on the assets of the System, net of investment expense, was 30.43 percent and

1.26 percent, respectively. The money-weighted rate of return expresses investment performance, net of
investment expense, adjusted for timing of cash flows and the changing amounts actually invested.
8 Derivatives
The Retirement Board has authorized certain investment
managers to invest in or otherwise enter into transactions involving derivative financial instruments when, in the judgment of management, such transactions are consistent with the investment objectives established for a specific investment manager’s assignment. The acceptable
investment purposes for the use of derivatives are as
follows:
a. Mitigation of risk (or risk reduction).
b. A useful substitute for an existing, traditional
investment. In certain circumstances it may be cheaper, quicker or easier to invest in a derivative instrument or security rather than transacting in cash or in the traditional security market.
c. To provide investment value to the portfolio
while being consistent with the System’s overall and
specific investment policies.
d. To obtain investment exposure which is
appropriate for the manager’s investment strategy and the System’s investment guidelines, but could not be made
through traditional investment securities.

The Retirement Board monitors and reviews each
investment manager’s securities and derivative position as well as the manager’s performance relative to established benchmark rates of return and risk measures. In
management’s opinion, derivative activities must be
evaluated within the context of the overall portfolio
performance and cannot be evaluated in isolation.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 50 Allowable derivative financial instruments held by the
System include stable and well-structured mortgage
collateralized mortgage obligations (CMOs); centrally
cleared instruments including, but not limited to, futures, swaps and options; and forwards including currency
forwards. Derivative investments with allocation limits include mortgage derivatives (interest only and principal only CMOs); non centrally cleared derivatives; caps and floors; and inverse floating rate notes and bonds.

Allocation limits will be determined and specified in
portfolio guidelines with individual investment managers based on the objectives and risk tolerances of a given
strategy.

Cash securities containing derivative features include
callable bonds, structural notes, and collateralized
mortgage obligations (CMOs). These instruments are
generally traded in over-the-counter bond markets.

Financial instruments whose value is dependent upon a
contractual price or rate relative to one or more reference prices or rates, applied to a notional amount, including interest rate futures, options, swaps and caps, and foreign currency futures and forward contracts. Some of these
instruments are exchange-traded and others are traded
over-the-counter (OTC).

Market Risk
Market risk is the risk of change in fair value of an
instrument in response to changes in a market price or
index. While all investments are subject to market risk, derivatives often have a higher degree of market risk than other types of investment instruments. Values of cash
securities containing derivative features are often more susceptible to market risk than other types of fixed
income securities because the amounts and/or timing of
their scheduled cash flows may fluctuate under changing market conditions, according to their contractual terms.

For other types of derivatives, amounts of contractual
cash flows may be either positive or negative depending upon prevailing market conditions relative to the
reference prices or rates, and thus the values of such
instruments may be positive or negative, despite the fact that little or no cash is initially exchanged to enter into such contracts.

Credit Risk
Credit risk of cash securities containing derivative
features is based upon the credit worthiness of the issuers of such securities. The Retirement Board establishes
minimum credit requirements for such securities. The
other derivative instruments described above are subject to credit risk to the extent their value is a positive market fair value, and the counterparty to such contract fails to perform under the terms of the instrument.

Exchange traded derivatives are generally considered to be of lower credit risk than OTC derivatives due to the exchange margin requirements. Equity Index Swaps are
derivatives and represent an agreement between two
parties to swap two sets of equity values. Equity Futures are contracts used to replicate an underlying stock or
stock market index. These futures can be used for
hedging against an existing equity position, or for
speculating on future movement of the index.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 51 As of June 30, 2021 and 2020, the System held a total fair value of $17,719,435 and $5,563,650, respectively, in
derivative holdings. These holdings consisted of Rights/ Warrants, and Foreign Currency Forwards and Futures
designed to synthetically create equity returns and are held as components of the System’s international equity investments, and a variety of ACWIexUS index related
futures as components of the System’s investments in
ACWIexUS Index Funds. Holdings also consist of
futures – interest rate contracts, options and swaps held as components of the System’s absolute return fixed income strategy. These derivatives are used for the purpose of synthetically creating equity returns, synthetically
creating floating rates and to buy or sell credit protection on the assets.

There is no net counterparty exposure for which there is a positive replacement cost to the fund. The details of these derivative holdings are as follows:

Derivative Type: FY 2021 FY 2020 FY 2021 - FY 2020
Notional Change in Fair
Amount Fair Value Fair Value Value
Foreign Currency Forward $(3,756) $3,779 $— $ 3,779
Future Contracts - Domestic Fixed Income (16,010,718) 16,010,718 4,126,659 11,884,059 Future Contracts - International Equity Index — 1,784,693 1,415,710 368,983 Options/Swaption — — 4,410 (4,410)
Rights & Warrants — 1,867 11,257 (9,390)
Swaps — (81,622) 5,614 (87,236)
Total $17,719,435 $5,563,650
Derivative Type: FY 2020 FY 2019 FY 2020 - FY 2019
Notional Change in Fair
Amount Fair Value Fair Value Value
Foreign Currency Forward $— $— $2,103,210 $ (2,103,210) Future Contracts - Domestic Fixed Income (4,126,659) 4,126,659 — 4,126,659 Future Contracts - International Equity Index — 1,415,710 1,670,037 (254,327) Options/Swaption — 4,410 — 4,410
Rights & Warrants — 11,257 57,508 (46,251)
Swaps — 5,614 — 5,614
Total $5,563,650 $3,830,755
City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 52 9 Securities Lending
The City of Fresno Municipal Code and the Board’s
policies permit the Retirement Boards of the City of
Fresno Fire and Police Retirement System and the City of Fresno Employees Retirement System (the Systems) to
use investments of both Systems to enter into securities lending transactions, i.e., loans of securities to broker- dealers and other entities for collateral with a
simultaneous agreement to return the collateral for the same securities in the future. The Systems have
contracted with Northern Trust, their custodian, to
manage the securities lending program for the Systems
and all securities held in a separately managed account are available for lending. As the securities lending agent, Northern Trust calculates collateral margins and accepts collateral in the form of cash or marketable securities and irrevocable bank letters of credit for all securities lending transactions. Transactions are collateralized at 102
percent of fair value (contract value) for domestic
securities and 105 percent of fair value (contract value) for international securities. Collateral is marked to market daily. When a loan is secured by cash, a rebate is
negotiated and the cash collateral is invested according to the guidelines in the collateral pool.

As designated by the Board, cash collateral is invested in Northern Trust’s Core U.S.A. Collateral Section (short- term investment pool), which, as of June 30, 2021 and
2020, had a weighted average duration of 70 days and 65 days, respectively, an average maturity of 30 days and 31 days, respectively, and an average monthly yield of 0.22 percent and 0.49 percent respectively. The relationship between the maturities of the investment pool and the
System’s loans is affected by the maturities of the security loans made by other entities that use the Northern Trust Core U.S.A. Collateral Section and a definitive statement of that relationship cannot be formulated by the System.

As of June 30, 2021 and 2020, the Northern Trust CORE
U.S.A. Cash Collateral Fund had zero exposure in below
investment grade long-term securities and there were no known credit risks related to the securities lending
transactions.

As of June 30, 2021, the fair value of the securities on loan was $124.8 million. The fair value of associated
collateral was $128.4 million ($96.3 million of cash
collateral and $32.1 million of non-cash collateral). Non- cash collateral, the collateral which the System does not have the ability to sell unless the borrower defaults, is not reported in the Statement of Fiduciary Net Position. As of June 30, 2020, the fair value of the securities on loan was $76.2 million. The fair value of associated collateral was $77.6 million ($65.6 million of cash collateral and $12 million of non-cash collateral). Non-cash collateral, the collateral which the System does not have the ability to sell unless the borrower defaults, is not reported in the Statement of Fiduciary Net Position.

Northern Trust will ensure that, in any agreement with a borrower, it retains its absolute right to terminate the agreement without cause, upon short notice and without
any penalty. The System cannot pledge or sell collateral securities received unless the borrower defaults. In the event of a borrower default, Northern Trust indemnifies the System against losses and will replace or reimburse the System for any borrowed securities not replaced. In general, the average term of all System loans is overnight or “on demand." All securities loans can be terminated on demand by either the lender or the borrower, although the average term of the System’s loans was approximately 70 days and 65 days, respectively, as of June 30, 2021 and 2020.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 53 The System’s securities lending income is as follows:

Securities Lending Income
For Fiscal Years Ended June 30, 2021 and 2020
2021 2020
Gross Income $295,878 $1,498,843
Expenses:

Bank Fees 59,128 1,116,525
Total Expenses 59,128 1,116,525
Net Income from Securities Lending $236,750 $382,318
Fair Value of Loaned Securities
As of June 30, 2021 and 2020
FY 2021 FY 2020
Collateralized by Cash Securities Total Cash Securities Total U.S. Government & Agency $ 12,648,639 $ 1,010,254 $ 13,658,893 $ 7,085,799 $ 2,093,284 $ 9,179,083 Domestic Equities 49,639,355 26,362,445 76,001,800 43,429,825 8,721,669 52,151,494 Domestic Fixed 27,490,989 795,253 28,286,242 11,971,542 — 11,971,542 International Equities 3,949,261 2,849,109 6,798,370 1,458,407 994,936 2,453,343 International Fixed 39,407 — 39,407 455,179 — 455,179 Total Value $ 93,767,651 $ 31,017,061 $ 124,784,712 $ 64,400,752 $ 11,809,889 $ 76,210,641 Fair Value of Collateral Received for Loaned Securities As of June 30, 2021 and 2020
FY 2021 FY 2020
Collateralized by Cash Securities Total Cash Securities Total U.S. Government & Agency $ 12,896,518 $ 1,033,006 $ 13,929,524 $ 7,255,698 $ 2,139,709 $ 9,395,407 Domestic Equities 50,894,468 27,136,034 78,030,502 44,124,199 8,799,014 52,923,213 Domestic Fixed 28,197,947 814,415 29,012,362 12,182,345 — 12,182,345 International Equities 42,725 — 42,725 1,539,183 1,053,365 2,592,548 International Fixed 4,260,533 3,126,665 7,387,198 481,551 — 481,551 Total Value $ 96,292,191 $ 32,110,120 $ 128,402,311 $ 65,582,976 $ 11,992,088 $ 77,575,064 City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 54 10 Administrative Expenses
Section 3-325 of the City of Fresno Municipal Code
provides that all administrative costs of the System shall be a charge against the assets of the System. Per the City of Fresno Municipal Code, the Administrative expenses
are a component of the City’s contribution calculation. 11 Post Retirement Supplemental
Benefit (PRSB)
The Post Retirement Supplemental Benefit (PRSB)
Program was created as a contingent program to provide
supplemental distributions to eligible retirees which they could use to pay for various post-retirement expenses.

The Retirement Board will annually review the actuarial valuation report and declare an actuarial surplus if
available in accordance with the procedures in the City of Fresno Municipal Code Section 3-354.

If an actuarial surplus is declared, the surplus is allocated into two components, one component composed of two-
thirds of the declared surplus shall be used to reduce or eliminate the City’s pension contributions. Any unused portion shall be reserved in the City Surplus Reserve and drawn upon in subsequent years if needed. The remaining one-third component shall be distributed among eligible post-retirement supplemental benefit recipients in
accordance with procedures in the City of Fresno
Municipal Code Section 3-354(f)(4). Any unused portion shall be reserved in the PRSB Reserve and drawn upon in subsequent years if needed.

For the fiscal year ended June 30, 2021, the System
distributed PRSB benefits in the total amount of
$1,845,763 to eligible recipients (including $1,680,059 to retirees and $165,704 to DROP participants). As of June 30, 2021, the City Surplus Reserve balance was $623,619 and the PRSB Reserve balance was $1,486,603. As of
June, 30, 2020, the City Surplus Reserve balance was
$675,301 and the PRSB Reserve balance was $1,727,522.

For the fiscal years ended June 30, 2021 and 2020, there was a surplus (or prefunded actuarial accrued liability) as the System has a valuation value of assets which is in
excess of the actuarial accrued liability. The System’s funded ratio was 121.6 percent and 116.3 percent,
respectively, which was above the required 110 percent
for declaration of a surplus, thus a 11.6 percent and 6.3 percent, actuarial surplus was available to reduce the
City’s contributions and to fund new PRSB benefits for
the years ended June 30, 2021 and 2020, respectively.

The June 30, 2021 PRSB portion of the surplus is
$2,973,752, of which 80 percent will be allocated in the 2022 calendar year to retirees at $198.69 per month
commencing January 1, 2022. For June 30, 2020 the
PRSB portion of the surplus was $1,537,676, of which 80 percent was allocated in the 2021 calendar year to retirees at $130.33 per month commencing January 1, 2021.
12 Capital Assets
Capital assets are carried at historical cost, net of
accumulated depreciation. Capital assets are any items of equipment or furnishings purchased with a value of or an initial cost of $500 or greater and $5,000 for land,
buildings and infrastructure and an estimated useful life in excess of two years.

Accumulated depreciation shall be summarized and
reflected on the System’s annual financial statements.

Capital assets shall be depreciated over their estimated useful lives using the straight-line depreciation method.

Intangible assets with limited useful lives (e.g., by legal or contractual provisions) should be depreciated over their estimated useful lives. Depreciation of computer software begins when the program is placed into service.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 55 The System’s major two-year project to program and
install an upgrade to our original pension administration system that was installed in 1997 (the LRS Pension Gold Retirement Solutions’ Version 3 project) includes
software costs of $531,837 and $664,797 which are
capitalized as of June 30, 2021 and 2020, respectively, and will be amortized over a ten-year useful life period commencing July 1, 2015.

As of June 30, 2021, other capital assets consisting of office furniture and equipment for the System’s
Retirement Offices located at 2828 Fresno Street, Fresno, California, in the amount of $22,067 are capitalized and depreciated over remaining estimated useful lives of 2-15 years.

As of June 30, 2020, capital assets consisting of office furniture and equipment for the System’s Retirement
Offices in the amount of $24,762 were capitalized and
depreciated over remaining estimated useful lives of 2-15 years.
13 Leases
Under the lease agreement with CFRS Realty Holding
Corporation (the Corporation), the holding corporation
formed jointly by the Retirement Boards to take
ownership of the building, effective September 19, 2005, the City of Fresno Employees and City of Fresno Fire and Police Retirement Boards and their staff occupy
approximately 7,900 square feet of the second floor of the renovated building at 2828 Fresno Street, Fresno,
California. The term of the lease is ten years with an option for two additional five year extensions. The first five (5) year extension was exercised effective September 1, 2015. On March 1, 2020, the Corporation amended the lease with the Retirement Boards. The amended lease
agreement establishes the Retirement Boards as the sole tenant of the second floor, a total of 11,784 rentable
square feet, consisting of 10,426 net square feet in the premises and 1,358 square feet in common area. The
amendment also exercises the second five (5) year lease extension. As of June 30, 2021, the Systems share
equally a base rent of $19,223 per month, which is $1.63 per square foot per month, triple net. For the fiscal year ended June 30, 2020, the Systems equally shared a base rent of $18,846 per month, which is $1.60 per square foot per month, triple net.
14 Related Party Transactions
The Retirement System is involved in various business
transactions with the City of Fresno, the primary plan
sponsor. These include reimbursement to the City for the salary and benefits of the System’s Retirement Staff
members paid through the City, reimbursement to the City Personnel Department for personnel consulting services, and reimbursement to the City Information Services
Department for computer and telephone support.

The Retirement Systems lease office space from the
CFRS Realty Holding Corporation, a title holding
company controlled jointly by the City of Fresno
Employees and City of Fresno Fire and Police Retirement Systems. See Note 13 for a description of this
arrangement.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 56 15 Commitments and Contingencies
The Board, in accordance with its Asset Allocation Plan, has committed capital for investment in Private Debt/
Private Credit, Private Real Estate and Infrastructure
Funds. The following table details the outstanding capital commitments in these investments as of June 30, 2021
and 2020.

Unfunded
Commitments
Investment Type FY 2021 FY 2020
Commingled Fund - Real Estate
The Carlyle Group $ — $ 65,508,012
Total $ — $ 65,508,012
Private Real Estate Funds
Artemis $ 7,080,532 $ 8,471,426
Blue Vista 6,510,533 6,987,521
Brookfield 11,401,404 16,734,022
Oaktree Capital Mgt. 2,388,107 2,710,394
PIMCO BRAVO III 3,278,940 1,395,705
PCCP, LLC 4,693,485 6,838,328
Total $ 35,353,001 $ 43,137,396
Private Debt/Private Credit
Arcmont $ 72,927,633 $ —
Monroe Capital 9,023,072 13,721,121
Crescent Capital 14,912,597 7,579,213
PIMCO COF II 55,267,222 32,917,776
Total $ 152,130,524 $ 54,218,110
Private Equity
Pantheon $ 57,868,945 $ 83,105,903
Total $ 57,868,945 $ 83,105,903
Total Unfunded
Commitments $ 245,352,470 $ 245,969,421
16 Date of Management Review
The date to which events occurring after June 30, 2021, have been evaluated for possible adjustments to the
financial statements or disclosures is December 1, 2021, which is the date the financial statements were available to be issued.

Management identified the following subsequent financial events that require disclosure:

The Boards authorized a private real estate manager
search through its investment consultant, NEPC, during
Fiscal Year 2021. In September 2021, following a due
diligence process that included full legal review of
pertinent legal documents, investment due diligence,
operational due diligence and background investigations of key personnel at each firm, the Board selected Alidade Capital and Kayne Anderson Capital.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Basic Financial Statements Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 57 Required Supplementary Information
Schedule of Changes in the Net Pension Liability
(Dollars in Thousands)
For Fiscal Years Ended June 30, 2013-2021
GASB 67 Basis*
Financial Reporting
Change in Net Pension Liability 2021 2020 2019 2018
Total Pension Liability
Service cost $37,563 $37,619 $33,211 $30,298
Interest 109,739 105,570 100,609 95,274
Change of benefit terms — — — —
Differences between expected and actual experience (5,449) 260 (7,067) 6,723 Changes of assumptions — (14,745) 55,856 2,891
Benefit Payments (including refunds, excluding PRSB) (70,963) (67,202) (65,962) (63,071) Net Change in Total Pension Liability $70,890 $61,502 $116,647 $72,115 Total Pension Liability - Beginning $1,565,631 $1,504,129 $1,387,482 $1,315,367 Total Pension Liability - Ending (a)* $1,636,521 $1,565,631 $1,504,129 $1,387,482 Plan Fiduciary Net Position
Employee Contributions $10,256 $10,012 $9,597 $8,964
Employer Contributions 26,315 22,324 20,604 19,697
Net Investment Income 491,744 24,205 82,872 129,163
Actual Benefit Payments (including Refunds, PRSB) (70,963) (67,202) (65,962) (63,071) Administrative & Professional Expense (2,282) (1,839) (1,897) (1,710) Net Change in Plan Fiduciary Net Position $455,070 $(12,500) $45,214 $93,043 Plan Fiduciary Net Position - Beginning $1,635,300 $1,647,800 $1,602,586 $1,509,543 Plan Fiduciary Net Position - Ending (b) $2,090,370 $1,635,300 $1,647,800 $1,602,586 System Net Pension Liability (Surplus) - (a) - (b) $(453,849) $(69,669) $(143,671) $(215,104) Plan fiduciary net position as a percentage of
total pension liability 127.73% 104.45% 109.55% 115.50% Covered Payroll $115,341 $113,843 $109,803 $103,934
Net Pension Liability (Surplus) as a percentage of covered payroll (393.48)% (61.20)% (130.84)% (206.96)% * In accordance with provisions of GASB 67, the data on the next two pages show Total Pension Liability for the reporting periods from June 30, 2013 through June 30, 2021. Ten years of data in this format is not yet available, the System will provide 10 years in the format required by GASB 67 as information becomes available.

Note to Schedule:

Changes of Assumptions: The calculations above reflect various assumption changes, including the modification of the Board's assumed rate of return to

7.00 percent for use in preparing the June 30, 2019, 2020, and 2021 annual actuarial valuation and other assumption changes based on the triennial experience study for the period from July 1, 2015 through June 30, 2018. The calculations above also reflect the assumed rate of return of 7.25 percent for use in preparing the June 30, 2016, 2017 and 2018 annual actuarial valuation and other assumption changes based on the triennial experience study for the period from July 1, 2012 through June 30, 2015 and 7.50 percent for use in preparing the June 30, 2013, 2014 and 2015 annual actuarial valuation and other assumption changes based on the triennial experience study for the period from July 1, 2009 through June 30, 2012 which included changes in assumptions for retirement from active employment, pre-retirement mortality, healthy life post-retirement mortality, disabled life post-retirement mortality, vested termination, disability DROP election, percentage of members married, spouse age difference and salary increases.

City of Fresno Fire and Police Retirement System l FINANCIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 58 Schedule of Changes in the Net Pension Liability Continued (Dollars in Thousands)
For Fiscal Years Ended June 30, 2013-2021
GASB 67 Basis*
Financial Reporting
Change in Net Pension Liability 2017 2016 2015 2014 2013 Total Pension Liability
Service cost $28,838 $26,569 $26,518 $28,058 $25,663
Interest 90,184 88,363 86,772 86,092 87,850
Change of benefit terms — — — — —
Differences between expected and actual experience 10,896 (42,953) (36,529) (49,879) (30,574) Changes of assumptions — 49,427 — — 17,284
Benefit Payments (including refunds, excluding PRSB) (59,272) (56,581) (54,612) (52,720) (52,982) Net Change in Total Pension Liability $70,646 $64,825 $22,149 $11,551 $47,241 Total Pension Liability - Beginning $1,244,721 $1,179,896 $1,157,747 $1,146,196 $1,098,955 Total Pension Liability - Ending (a)* $1,315,367 $1,244,721 $1,179,896 $1,157,747 $1,146,196 Plan Fiduciary Net Position
Employee Contributions $8,169 $7,748 $7,385 $7,294 $7,399 Employer Contributions 18,543 18,738 18,967 18,575 18,725 Net Investment Income 192,315 6,063 39,164 201,838 140,701 Actual Benefit Payments (including Refunds, PRSB) (59,273) (56,581) (54,612) (52,720) (52,982) Administrative & Professional Expense (1,500) (1,397) (1,108) (1,119) (1,182) Net Change in Plan Fiduciary Net Position $158,254 $(25,429) $9,796 $173,868 $112,661 Plan Fiduciary Net Position - Beginning $1,351,289 $1,376,718 $1,366,922 $1,193,054 $1,080,393 Plan Fiduciary Net Position - Ending (b) $1,509,543 $1,351,289 $1,376,718 $1,366,922 $1,193,054 System Net Pension Liability (Surplus) - (a) - (b) $(194,176) $(106,568) $(196,822) $(209,175) $(46,858) Plan fiduciary net position as a percentage of
total pension liability 114.76% 108.56% 116.68% 118.07% 104.09% Covered Payroll $97,369 $94,266 $91,075 $91,721 $94,368 Net Pension Liability (Surplus) as a percentage of covered payroll (199.42)% (113.05)% (216.11)% (228.06)% (49.65)% City of Fresno Fire and Police Retirement System l FINANCIAL Required Supplementary Information Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 59 Schedule of Employer Contributions
Last Ten Fiscal Years
(Dollars in Thousands)
Fiscal Year
Ended June 30
Actuarially
Determined
Contribution (ADC)
Contributions in
Relation to the
ADC
Contribution
Deficiency
(Excess) Covered Payroll
Contributions as a
Percentage
of Covered Payroll
2021 $26,315 $26,315 $— $115,341 22.81%
2020 22,324 22,324 — 113,843 19.61%
2019 20,604 20,604 — 109,803 18.76%
2018 19,697 19,697 — 103,934 18.95%
2017 18,543 18,543 — 97,369 19.04%
2016 18,738 18,738 — 94,266 19.88%
2015 18,967 18,967 — 91,075 20.83%
2014 18,575 18,575 — 91,721 20.25%
2013 18,725 18,725 — 94,368 19.84%
2012 22,875 22,875 — 96,195 23.78%
Schedule of Investment Returns
Last Ten Fiscal Years
Fiscal Year Annual Money-Weighted Rate of Return Annual Money-Weighted Rate of Return Ending June 30 Gross of Investment Expenses Net of Investment Expense 2021 30.85% 30.43%
2020 1.61% 1.26%
2019 5.54% 5.20%
2018 8.93% 8.57%
2017 14.73% 14.35%
2016 0.82% 0.53%
2015 3.32% 2.93%
2014 17.61% 17.16%
2013 13.65% 13.20%
2012 (0.20%) (0.57%)
The Schedule of Investment Returns above shows the annual money-weighted rate of return on the assets of the System, both gross and net of investment expense for ten fiscal years (2012 – 2021). The money-weighted rate of return expresses investment performance adjusted for timing of cash flows and the changing amounts actually invested. These returns differ slightly from the time-weighted rate of returns calculated and reported by the System’s custodian, Northern Trust (shown in the Transmittal Letter on page i and within the Investment Section beginning on page 65) and as independently reported by the System’s investment consulting firm, NEPC, LLC (shown in the Investment Section on pages 70-71). The System’s custodian and investment consulting firm must use time-weighted returns as opposed to money-weighted returns in order to meet Global Investment Performance Standards for the purposes of effectively evaluating and reporting the performance of the System's investment managers.

The time-weighted return method is a measure of the compound rate of return of a portfolio over a stated period of time. It requires a set of sub-period returns to be calculated whenever there is an external cash flow, such as a deposit or withdrawal from the portfolio. In essence, it calculates the geometric total and mean return as opposed to the arithmetic total and mean return. This method does not include or have any distortions created when money is deposited or withdrawn from a portfolio. This is in contrast to money-weighted returns.

City of Fresno Fire and Police Retirement System l FINANCIAL Required Supplementary Information Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 60

For Fiscal Years Ended June 30, 2021 and 2020
Actuarial Assumptions
The Segal Company, the System’s actuary, performed the most recent annual actuarial valuation as of June 30, 2021, which computes the contribution requirements (employee and employer contributions rates for fiscal year 2023), and determines the funding status of the plan. The fiscal year 2021 contribution rates and assumptions were based on the actuarial valuation as of June 30, 2019; these assumptions are detailed below.

Valuation Date: Actuarially determined contribution rates are calculated as of June 30, two years prior to the end of the fiscal year in which contributions are reported.

Actuarial Cost Method: Entry Age Actuarial Cost Method
Amortization Method: Level percent of payroll for total Unfunded or Prefunded Actuarial Accrued Liability (UAAL or PAAL)
Remaining Amortization Period: Effective with the June 30, 2013 valuation, any new UAAL established on each subsequent valuation as a result of actuarial gains or losses or plan amendments are amortized over separate 15-year declining periods (with the exception of temporary retirement incentives which are amortized over its own declining period of up to 5 years). Any new UAAL established as a result of changes in actuarial assumptions or methods at each valuation is amortized over separate 25-year declining periods. Effective with the June 30, 2018 valuation, when there is any actuarial surplus (the funded ratio is over 110%) the portion of surplus in excess of 110% will be amortized over a non-declining 30-year period.

Asset Valuation Method: Fair value of assets less unrecognized returns from each of the last five years. Unrecognized returns are equal to the difference between the actual market return and the expected return on a fair value basis and are recognized over a five-year period. The Actuarial Value of Assets is reduced by the value of the non-valuation reserves.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Required Supplementary Information
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 61 Actuarial Assumptions Continued:

Investment Rate of Return: 7.00%
Inflation Rate: 2.75%
Real Across-the-Board Salary Increase: 0.50%
Projected Salary Increases: Ranges from 4.00 percent to 12.75 percent based on years of service.

Includes inflation at 2.75% plus real across-the-board salary increase of

0.50% plus merit and promotion increases.

Cost-of-Living Adjustments: 3.50% of Tier 1 retirement income and 3.00% of Tier 2 retirement income.

Other Assumptions: See June 30, 2018 funding valuation report, Section 4 for the service retirement rates after they have been adjusted to treat DROP participation as service retirement.

Post-Retirement Mortality Rates: For healthy members, Pub-2010 Safety Healthy Retiree Amount- Weighted Mortality Table (separate tables for males and females), projected generationally with the two-dimensional mortality improvement scale MP-2018. For beneficiaries, Pub-2010 General Healthy Retiree Amount-Weighted Mortality Table (separate tables for males and females) times 105%, projected generationally with the two- dimensional mortality improvement scale MP-2018. For disabled members, Pub-2010 Safety Disabled Retiree Amount-Weighted Mortality Table (separate tables for males and females), projected generationally with the two-dimensional mortality improvement scale MP-2018.

City of Fresno Fire and Police Retirement System l FINANCIAL Notes to the Required Supplementary Information Continued Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 62 Schedule of Administrative Expenses
For Fiscal Years Ended June 30, 2021 and 2020
2021 2020
Personnel Services
Staff Salaries $ 703,244 $ 657,358
Fringe Benefits 200,376 172,586
Total Personnel Services $ 903,620 $ 829,944
Professional Services
Actuarial $ 158,937 $ 66,763
Legal Counsel 274,416 111,599
Information Systems Services 207,496 183,882
Specialized Services 215,769 134,165
Total Professional Services $ 856,618 $ 496,409
Communication
Telephone $ 12,528 $ 5,451
Postage 5,928 1,785
Total Communication $ 18,456 $ 7,236
Rentals
Office Rent $ 114,961 $ 93,049
Common Area Maintenance (CAM) Charges 73,623 48,837
Total Rentals $ 188,584 $ 141,886
Other
Education and Conference $ 6,373 $ 67,860
Membership & Dues 5,908 6,565
Subscriptions & Publications 547 2,046
Office Supplies 5,404 3,393
Computer Equipment 4,992 316
Equipment Lease 23,577 13,461
Insurance 37,765 37,752
Miscellaneous 23,029 8,529
Reimbursement to City for Inter-Dept Services 68,084 84,577 Depreciation 136,340 139,297
Total Other $ 312,019 $ 363,796
Total Administrative Expenses $ 2,279,297 $ 1,839,271
City of Fresno Fire and Police Retirement System l FINANCIAL Other Supplementary Information
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 63 Schedule of Investment Management Expenses
For Fiscal Years Ended June 30, 2021 and 2020
2021 2020
Investment Manager Fees
Equity
Domestic $ 1,226,622 $ 972,908
International 2,144,486 1,768,130
Fixed Income 748,444 827,248
Alternatives 5,912,023 5,001,334
Real Estate 3,948,792 3,964,918
Total Investment Manager Fees 13,980,367 12,534,538
Other Investment Expenses
Foreign Income Taxes & Related Services, Charges 1,878,862 1,606,582 Custodial Services 342,034 193,591
Investment Consultant 137,949 144,399
Investment Legal Counsel 27,240 31,698
Analytical Database Service 72,229 23,187
Total Other Investment Expenses 2,458,314 1,999,457
Total Fees & Other Investment Expenses 16,438,681 14,533,995 Securities Lending Expenses
Agent Fees 59,128 1,116,525
Total Securities Lending Expenses 59,128 1,116,525
Total Investment Expenses $ 16,497,809 $ 15,650,520
Schedule of Payments To Consultants
For Fiscal Years Ended June 30, 2021 and 2020
2021 2020
Actuarial Services $ 158,937 $ 66,763
Audit Services 20,084 21,277
City Information Services 207,496 183,882
Legal Services 274,416 111,599
Medical Consultant 138,322 103,200
Miscellaneous 57,363 9,688
Total Payments to Consultants $ 856,618 $ 496,409
City of Fresno Fire and Police Retirement System l FINANCIAL Other Supplementary Information Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 64 We promise to carry
out our Mission
through a competent,
professional, impartial
and open decision-
making process. In
providing benefits and
services, all persons
will be treated fairly,
with courtesy and
respect.

INVESTMENT
66 Investment Report from the Retirement Administrator
71 Investment Consultant’s Report
73 Investment Results (Gross and Net of Fees)
75 Target Asset Allocation and Actual Asset Allocation
77 Largest Stock and Bond Holdings
78 Brokerage Commission Recapture
78 Schedule of Commissions
79 Investment Summary
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 65 Investment Report from the
Retirement Administrator
For the Years June 30, 2021 and 2020
Analysis of Our Portfolio in Fiscal Year 2021
The Retirement Board’s (the Board) responsibility, as a long-term investor, is to manage in and through the global financial market environments as they unfold. Our Board understands the City of Fresno Fire and Police Retirement System’s (the System) portfolio requires a sound and
stable strategy for meeting investment goals over the
long-term with appropriate risk levels and controls.

Fiscal year 2021 encountered many unprecedented events
such as: the “risk-on” rally continued for an uninterrupted thirteenth year, inflation and rising interest rates entered investors’ minds due to the injection of trillions of dollars of new capital of which households, businesses, real
estate, and the capital markets were the primary
beneficiaries, and vaccines became widely dispersed
globally to defeat the COVID-19 pandemic.

Unemployment is still above pre-pandemic levels but is
slowly decreasing as global central banks continued their coordinated efforts to stabilize local economies.

From an economic perspective, stock markets reached
new highs, personal savings increased dramatically, and real estate boomed in many areas due to employees living and working remotely. Also, a global rotation trade
pushed value stocks higher for the first time in years
while growth stocks retreated after years of strong
performance. From a profit and loss perspective, the total fund gained over $800 million in fair value with the bulk generated from public equity (over 60%). The Joint
Boards approved a new strategic asset allocation that went into effect July 1, 2021 which continues to diversify the portfolio over the long-term.

The System generated a net return of 30.4% and
outperformed its policy benchmark by 3.2% in Fiscal
Year 2021, as reported by its custodian Northern Trust.

The System outperformed its assumed rate of return by

23.4%. Across longer investment horizons, the System
has outperformed its assumed rate of return and policy
benchmark.

Public equities remained over-allocated by nearly 11%
while drawdowns in Private Real Estate, Private Debt,
and Private Equity continued to be funded. All strategies earned positive absolute performance ranging low single digits (core fixed income) to over 50% (midstream
energy). Certain individual managers achieved
significantly higher returns. The System's allocation to a European private credit mandate began investing while
searches in US private credit and private real estate were initiated at the end of the fiscal year.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 66 Investment Performance
The System earned a return of 30.8%, its highest ever,
while the table below highlights the gross and net of fees performance of each major asset class provided by the
System's custodian, Northern Trust, for Fiscal Year 2021.

These returns may differ slightly from the performance
reported by the System's investment consultant due to
rounding methodology:

Asset Class Gross Return Net Return
Total Fund 30.81% 30.40%
Domestic Equity 46.89% 46.60%
International Equity 38.24% 37.68%
Fixed Income 7.57% 7.27%
Real Estate 9.83% 9.36%
Alternatives 27.94% 27.45%
Fiscal Year End Fund
Value $2,090,370,123
The System’s 10 and 15-year long-term gross returns of

9.33 percent and 7.76 percent, respectively, illustrate the System’s ability to achieve our long-term objectives over extended periods. Meanwhile, the System remains highly funded and well positioned to serve our members and
retirees.

The principal goals of the System’s Board in managing
the System’s Investment Portfolio are the following:
1) To fund the System’s benefit payments;
2) To assume a prudent risk posture to minimize the
cost of meeting the obligations of the System;
3) To comply with legal statutes and regulations; and
4) To maintain a fully funded pension status.

Presented in the graph below are the System’s Total Fund returns versus NEPC, LLC’s InvestorForce (IF) Public
Funds Universe (Gross of Fee), for plans with $1 billion or more in assets:

Period Ending
Percentage %
City of Fresno Retirement Systems
Fiscal Year Total Fund and Median Fund Annual Returns
Fresno Total Fund (Gross of Fees) Weighted Benchmark Indexes IF Median Public Pension Fund
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
-5%
0%
5%
10%
15%
20%
25%
30%
City of Fresno Fire and Police Retirement System l INVESTMENT Investment Report from the Retirement Administrator Continued Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 67 Summary of Portfolio Results
The fiscal year ended June 30, 2021, marked yet another extraordinarily volatile year which ended with a decline from its peak fiscal year performance for the System. The System experienced a total investment gain of 30.81
percent for the fiscal year ended June 30, 2021,
outperforming the System’s actuarial interest rate
assumption of 7.00 percent by 23.81 percent and
outperforming the System’s policy benchmark (a
weighted average of the fund’s asset classes and their
respective benchmarks) return of 27.22 percent by 3.59
percent. The System’s ten-year annualized returns
averaged 9.33 percent, outperforming its policy
benchmarks return of 8.62 percent for the period by 0.71 percent. Over the longer term, our investment results
remain sound with annualized returns of 7.70 percent and

8.37 percent, respectively, over the past twenty and
twenty-five years. After paying all benefits and expenses of the System, the year-end value of the System reached $2.09 billion.

General Information
The System’s investment assets are managed by external
investment management firms. Professional investment
consultants, along with staff, closely monitor the activity of these managers and assist the Board with the
implementation of investment policies and long-term
strategies. The System’s goal is to fund benefit payments, while assuming a risk posture that is consistent with the Board’s risk tolerance, protecting against loss of
purchasing power by achieving rates of return above
inflation, and to maintain a fully funded pension status.

Summary of General Investment
Guidelines, Policies and Procedures
The Board, having the sole and exclusive authority and
fiduciary responsibility for the administration of the
System and its assets, has adopted an Investment Policy Statement which reflects the Board’s policies for
management of the System’s investments. The Board
reserves the right to amend, supplement or rescind this statement at any time. This Investment Policy Statement establishes the investment program goals and policies,
asset allocation policies, and beliefs. It also defines the principal duties of the Board, staff, investment managers, master custodian and consultants.

An integral part of the overall investment policy is the strategic asset allocation policy. This allocation mix is designed to provide an optimal mix of asset categories
with return expectations that reflect expected risk. This emphasizes a maximum diversification of the portfolio
that protects the System from declines that a particular asset class may experience in a given period. Both
traditional assets (equities and fixed income) and non- traditional assets (real estate, infrastructure, midstream energy, private equity, and private debt) are included in the mix.

Total portfolio return, over the long-term, is directed toward achieving and maintaining a fully funded status
for the System. Prudent risk taking is warranted within the context of overall portfolio diversification to meet this objective. All activities will be conducted so as to serve the best interests of the System’s members and
beneficiaries.

City of Fresno Fire and Police Retirement System l INVESTMENT Investment Report from the Retirement Administrator Continued Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 68 Summary of Proxy Voting Guidelines and
Procedures
In recognition of its duty to manage retirement plan assets in the best interest of the plan participants, the Board has established proxy voting guidelines and procedures which are intended to assist in the faithful discharge of the Board’s duty to vote proxies on behalf of plan
participants. These guidelines consist of preferences with respect to specific, recurring proxy-voting issues followed by a general statement of voting policies. The System
will at all times strive to cast proxy votes so as to advance the overall good of the System.

Specific Investment Results by Asset
Classification
As of June 30, 2021, the System’s portfolio was slightly over-weight in total equities, with 58.5 percent in total equities versus the target of 48.0 percent. Domestic
equities were slightly over-weight with 29.7 percent
versus the target of 23.0 percent, and international equity with 18.7 percent developed and 10.1 percent emerging
markets was slightly over-weight total international equity with 28.8 percent versus the target of 25.0 percent. Fixed income with 13.8 percent was 1.2 percent under-weight
its target of 15.0 percent and real estate at 11.6 percent was 3.4 percent under-weight its target of 15.0 percent.

Alternative investments represented 16.1 percent of the System's portfolio, which is 5.9 percent under-weight of its target of 22.0 percent.

The investments were further diversified into the following asset classes and target percentages:

Asset Classification Actual Target
Domestic Equities
Large-Cap 21.3% 15.8%
Small-Cap 8.4% 7.2%
International Equities
Developed Markets 18.7% 19.0%
Emerging Markets 10.1% 6.0%
Fixed Income
Domestic Fixed Income 8.9% 10.0%
High Yield Fixed Income 4.9% 5.0%
Real Estate
Core Real Estate 8.2% 11.0%
Value Add Real Estate/REITs 3.4% 4.0%
Alternatives
Infrastructure 3.5% 4.0%
Midstream Energy (MLP's) 5% 5.0%
Private Equity 2.4% 5.0%
Private Debt 5.2% 8.0%
Short-Term Investments 0.0% 0.0%
Total 100.0% 100.0%
City of Fresno Fire and Police Retirement System l INVESTMENT Investment Report from the Retirement Administrator Continued Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 69 City of Fresno Fire and Police Retirement System l INVESTMENT Investment Report from the Retirement Administrator Continued This asset class diversification allows the Retirement Board to monitor and adjust its risk in accordance with its Investment Policy Statement. The investment returns presented herein are based on a time-weighted rate of return methodology based upon fair values. As Fiscal Year 2021 came to a close, rising interest rates and inflation, due to historic liquidity injections, were at the forefront of investor’s minds. Readily available vaccines allowed countries the opportunities to ease lockdowns and return to some sort of normalcy. A rotation trade saw value stocks dramatically outperform for the first time in years and force investors away from growth-type stocks that became synonymous with low interest rates. The fund earned its highest ever fiscal year return and achieved a new high water mark in value.

Respectfully submitted,
Robert Theller
Robert T. Theller, Esq.

Retirement Administrator
December 1, 2021
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 70 Investment Consultant’s Report
City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 71 City of Fresno Fire and Police Retirement System l INVESTMENT Investment Consultant's Report Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 72 Investment Results
Gross of Fees Ending June 30, 2021
Fair Value ($) % of Portfolio 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 10 Yrs (%) Total Fund 3,801,093,940 100.00 30.83 11.96 11.88 9.32
Policy Index 28.20 10.73 10.94 8.64
InvMetrics Public DB > $1B Gross Median 27.40 11.03 10.95 8.71 Total Equity Composite 2,222,874,934 58.48 42.57 15.48 15.96 11.12 MSCI ACWI 39.26 14.57 14.61 9.90
InvMetrics Public DB Glbl Eq Gross Median 39.41 13.54 14.27 7.33 Domestic Equity Composite 1,130,008,324 29.73 46.87 17.86 17.82 14.42 Domestic Equity Index 49.07 17.27 17.44 14.29
InvMetrics Public DB US Eq Gross Median 44.42 17.45 17.13 14.08 Large Cap Equity Composite 809,444,030 21.30 43.05 19.19 18.09 15.01 Large Cap Equity Index 43.07 19.16 17.96 14.99
eV US Large Cap Equity Gross Median 41.57 17.71 16.84 14.22 Small Cap Equity Composite 320,564,294 8.43 58.48 16.47 18.33 13.46 Russell 2000 62.02 13.52 16.47 12.34
eV US Small Cap Equity Gross Median 61.32 13.96 16.26 13.19 International Equity Composite 1,092,866,610 28.75 38.20 13.06 14.16 7.93 International Equity Index 37.74 10.46 11.78 6.12
InvMetrics Public DB ex-US Eq Gross Median 37.63 10.06 11.59 6.66 ACWI ex US Equity Composite 946,295,632 24.90 36.95 13.17 14.41 8.09 MSCI ACWI ex USA Gross 36.29 9.88 11.59 5.93
eV ACWI ex-US All Cap Equity Gross Median 40.12 12.26 13.14 8.11 International Emerging Markets Equity Composite 146,570,976 3.86 46.76 14.69 15.90 5.89 MSCI Emerging Markets Gross 41.36 11.67 13.43 4.65
InvMetrics Public DB Emg Mkt Eq Gross Median 45.20 11.64 12.68 4.12 Total Fixed Income Composite 521,917,249 13.73 7.57 7.04 5.67 5.18 Fixed Income Index 4.99 6.19 4.81 4.57
Bloomberg US Aggregate TR -0.33 5.34 3.03 3.39
InvMetrics Public DB Total Fix Inc Gross Median 3.79 5.81 3.96 4.31 Core Fixed Composite 337,070,525 8.87 2.81 6.18 4.44 4.28 Bloomberg US Aggregate TR -0.33 5.34 3.03 3.39
InvMetrics Public DB US Fix Inc Gross Median 1.14 5.35 3.39 3.82 High Yield Composite 184,846,724 4.86 17.05 8.16 7.78 6.84 Bloomberg US High Yield TR 15.37 7.44 7.48 6.66
InvMetrics Public DB US Fix Inc Gross Median 1.14 5.35 3.39 3.82 Alternatives 610,648,258 16.07 27.71 7.50 0.00 0.00
Alternatives Index 29.23 9.93 0.00 0.00
Private Credit 195,880,151 5.15 19.65 8.85 9.17 0.00
Private Credit Index 8.34 7.56 7.60 0.00
Infrastructure 132,078,427 3.47 8.05 0.00 0.00 0.00
CPI + 4% (Unadjusted) 9.59 6.63 6.51 5.94
Midstream Energy 191,344,120 5.03 52.49 0.00 0.00 0.00
Alerian Midstream Energy Index 53.15 4.95 4.34 0.00
Private Equity 91,345,560 2.40 4.39 0.00 0.00 0.00
Private Equity Index -9.91 0.00 0.00 0.00
Real Estate Composite 444,807,588 11.70 9.83 5.89 5.98 9.60 Real Estate Index 7.41 5.25 5.04 8.93
InvMetrics Public DB Real Estate Pub+Priv Gross Median 9.11 5.77 6.66 9.48 Private Real Estate Composite 444,807,588 11.70 9.83 5.35 6.56 9.72 NCREIF ODCE 8.02 5.52 6.57 9.60
Public Real Estate Composite 0 0.00 0.00 0.00 0.00 0.00 Wilshire RESI 0.00 0.00 0.00 0.00
eV US REIT Gross Median 0.00 0.00 0.00 0.00
Cash & Equivalents Composite 845,911 0.02 0.47 1.37 1.25 0.71 91 Day T-Bills 0.05 1.20 1.11 0.59
Calculations are prepared by NEPC, LLC using a time-weighted rate of return based on fair values.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 73 Investment Results (Continued)
Net of Fees Ending June 30, 2021
Fair Value ($) % of Portfolio 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 10 Yrs (%) Total Fund 3,801,093,940 100.00 30.40 11.60 11.52 8.93
Policy Index 28.20 10.73 10.94 8.64
InvMetrics Public DB > $1B Net Median 26.97 10.58 10.54 8.18 Total Equity Composite 2,222,874,934 58.48 42.15 15.13 15.62 10.75 MSCI ACWI 39.26 14.57 14.61 9.90
InvMetrics Public DB Glbl Eq Net Median 38.60 13.74 14.10 7.05 Domestic Equity Composite 1,130,008,324 29.73 46.59 17.59 17.56 14.13 Domestic Equity Index 49.07 17.27 17.44 14.29
InvMetrics Public DB US Eq Net Median 44.33 17.20 16.80 13.76 Large Cap Equity Composite 809,444,030 21.30 43.04 19.18 18.08 14.94 Large Cap Equity Index 43.07 19.16 17.96 14.99
eV US Large Cap Equity Net Median 40.54 16.78 15.94 13.28 Small Cap Equity Composite 320,564,294 8.43 57.35 15.63 17.46 12.60 Russell 2000 62.02 13.52 16.47 12.34
eV US Small Cap Equity Net Median 59.62 13.16 15.35 12.08 International Equity Composite 1,092,866,610 28.75 37.66 12.66 13.76 7.49 International Equity Index 37.74 10.46 11.78 6.12
InvMetrics Public DB ex-US Eq Net Median 37.46 9.88 11.31 6.25 ACWI ex US Equity Composite 946,295,632 24.90 36.50 12.88 14.12 7.79 MSCI ACWI ex USA Gross 36.29 9.88 11.59 5.93
eV ACWI ex-US All Cap Equity Net Median 39.02 12.28 12.78 8.06 International Emerging Markets Equity Composite 146,570,976 3.86 45.54 13.73 14.91 4.97 MSCI Emerging Markets Gross 41.36 11.67 13.43 4.65
InvMetrics Public DB Emg Mkt Eq Net Median 44.04 11.07 12.23 3.56 Total Fixed Income Composite 521,917,249 13.73 7.27 6.77 5.42 4.93 Fixed Income Index 4.99 6.19 4.81 4.57
Bloomberg US Aggregate TR -0.33 5.34 3.03 3.39
InvMetrics Public DB Total Fix Inc Net Median 3.52 5.64 3.79 4.10 Core Fixed Composite 337,070,525 8.87 2.63 6.02 4.29 4.13 Bloomberg US Aggregate TR -0.33 5.34 3.03 3.39
InvMetrics Public DB US Fix Inc Net Median 0.75 5.10 3.09 3.56 High Yield Composite 184,846,724 4.86 16.53 7.64 7.25 6.30 Bloomberg US High Yield TR 15.37 7.44 7.48 6.66
InvMetrics Public DB US Fix Inc Net Median 0.75 5.10 3.09 3.56 Alternatives 610,648,258 16.07 27.46 7.35 0.00 0.00
Alternatives Index 29.23 9.93 0.00 0.00
Private Credit 195,880,151 5.15 19.65 8.85 9.17 0.00
Private Credit Index 8.34 7.56 7.60 0.00
Infrastructure 132,078,427 3.47 8.05 0.00 0.00 0.00
CPI + 4% (Unadjusted) 9.59 6.63 6.51 5.94
Midstream Energy 191,344,120 5.03 51.43 0.00 0.00 0.00
Alerian Midstream Energy Index 53.15 4.95 4.34 0.00
Private Equity 91,345,560 2.40 34.80 0.00 0.00 0.00
Private Equiy Index 59.90 0.00 0.00 0.00
Real Estate Composite 444,807,588 11.70 9.36 5.30 5.33 8.83 Real Estate Index 7.41 5.25 5.04 8.93
InvMetrics Public DB Real Estate Pub+Priv Net Median 7.92 5.37 6.55 8.85 Private Real Estate Composite 444,807,588 11.70 9.36 4.74 5.84 8.81 NCREIF ODCE 8.02 5.52 6.57 9.60
Public Real Estate Composite 0 0.00 0.00 0.00 0.00 0.00 Wilshire RESI 0.00 0.00 0.00 0.00
eV US REIT Net Median 0.00 0.00 0.00 0.00
Cash & Equivalents Composite 845,911 0.02 0.47 1.37 1.25 0.71 91 Day T-Bills 0.05 1.20 1.11 0.59
Calculations are prepared by NEPC, LLC using a time-weighted rate of return based on fair values.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 74 Target and Actual Asset Allocation
As of June 30, 2021
Asset Class Current Target Allocation Range Actual
Domestic Large Cap Equities 15.8% 10.0% - 26.0% 21.3%
Domestic Small Cap Equities 7.2% 2.0% - 12.0% 8.4%
International Developed Market Equities 19.0% 14.0% - 24.0% 18.7% International Emerging Market Equities 6.0% 3.0% - 9.0% 10.1% Core Fixed Income 10.0% 7.0% - 15.0% 8.9%
High Yield Bonds 5.0% 4.0% - 12.0% 4.9%
Core Real Estate 11.0% 7.0% - 15.0% 8.2%
Value Add Real Estate/REITs 4.0% 2.0% - 6.0% 3.4%
Infrastructure 4.0% 2.0% - 6.0% 3.5%
Midstream Energy (MLPs) 5.0% 2.0% - 8.0% 5.0%
Private Equity 5.0% 0.0% - 10.0% 2.4%
Private Debt 8.0% 4.0% - 12.0% 5.2%
Short-Term Investments 0.0% 0% 0%
Target Asset Allocation*
As of June 30, 2021
Domestic Large Cap Equities: 15.8%
Domestic Small Cap Equities: 7.2%
International Developed Market
Equities: 19.0%
International Emerging Market
Equities: 6.0%
Core Fixed Income: 10.0%
High Yield Bonds: 5.0%
Core Real Estate: 11.0%
Value Add Real Estate/REITs: 4.0%
Infrastructure: 4.0%
MLPs: 5.0%
Private Equity: 5.0%
Private Debt: 8.0%
* Short-Term Investments is 0%.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 75 Actual Asset Allocation*
As of June 30, 2021
Domestic Large Cap Equities: 21.3%
Domestic Small Cap Equities: 8.4%
International Developed Market
Equities: 18.7%
International Emerging Market
Equities: 10.1%
Core Fixed Income: 8.9%
High Yield Bonds: 4.9%
Core Real Estate: 8.2%
Value Add Real Estate/REITs: 3.4%
Infrastructure: 3.5%
MLPs: 5.0%
Private Equity: 2.4%
Private Debt: 5.2%
* Short-Term Investments is 0%.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 76 Largest Stock Holdings (by Fair Value)
As of June 30, 2021
Shares Stock Holding Fair Value
1) 647,771 TAIWAN SEMICONDUCTOR MANUFACTURING TWD10 $ 13,833,057 2) 152,911 CHENIERE ENERGY INC COM NEW 13,263,460
3) 180,457 SAMSUNG ELECTRONICS CO KRW5000 12,931,538
4) 424,006 MLP MPLX LP COM UNIT REPSTG LTD PARTNER 12,554,829 5) 438,959 MLP ENTERPRISE PRODS PARTNERS L P COM 10,592,087 6) 136,721 TENCENT HLDGS LIMITED COMMON STOCK 10,281,576 7) 951,606 MLP ENERGY TRANSFER LP COMMON UNITS REP 10,115,575 8) 165,765 TARGA RES CORP COM 7,368,242
9) 269,546 WILLIAMS COMPANY INC COMMON STOCK $1 PAR 7,156,458 10) 4,540 MERCADOLIBRE INC COM STK 7,073,010
Total Largest Stock Holdings $ 105,169,832
Largest Bond Holdings (by Fair Value)
As of June 30, 2021
Share/Par Coupon Maturity
Value Bond Holding Rate Date Fair Value
1) 3,378,365 UNITED STS TREAS NTS DTD 0.875% 2030/11/15 $ 3,212,614 2) 2,695,032 UNITED STATES TREAS NTS DTD 04/30/2021 0.750% 2026/04/30 2,681,347 3) 2,508,105 FNMA POOL #CA8441 2.0% DUE 01-01-2051 2.000% 2051/01/01 2,541,850 4) 2,178,254 PVTPL NAVIENT STUDENT LN TR 2021-2 0.642% 2070/02/25 2,180,649 5) 2,018,265 UNITED STATES OF AMER TREAS NOTES DTD 0.625% 2030/08/15 1,880,298 6) 1,756,203 PVTPL CCO HLDGS LLC/CAP CORP 4.75% DUE 4.750% 2030/03/01 1,857,184 7) 1,482,651 FORD MTR CO DEL 9.0% DUE 9.000% 2025/04/22 1,827,916 8) 1,739,789 UNITED STATES TREAS NTS DTD 05/15/2021 1.625% 2031/05/15 1,766,430 9) 1,250,132 CHARTER COMMUNICATIONS OPER LLC / 6.484% 2045/10/23 1,721,658 10) 1,542,010 GNMA SER 2017-H22 CL MX-FH 0.578% 2067/11/20 1,535,080 Total Largest Bond Holdings $ 21,205,026
A complete list of portfolio holdings is available upon request.

City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 77 Brokerage Commission Recapture
The System participates in a commission recapture program offered by Northern Trust Securities Inc. (NTSI). Investment Managers are instructed to seek best execution and to seek to minimize omission and market impact costs when trading securities. Consistent with the pursuit of best execution, equity managers participating in the Brokerage Commission Recapture Program are to give consideration to executing a portion of the trades for their account through brokerage firms identified by NTSI as eligible Broker Dealer firms. The System receives a rebate in the amount of 80 percent for domestic and 70 percent for international of the total commissions directed through the NTSI Network. For fiscal years ended June 30, 2021 and 2020, the net income from Brokerage Commission Recapture was $57 and $4,056, respectively. During these periods, the overall participating rate by the System’s equity managers was 0.01 percent and 3.38 percent, respectively. The percentage of equity trading being executed through the program is generally at a low cost and has resulted over the years in a meaningful cost recapture. Program economics are tough in the lower commission environment and participation by the System’s investment managers is voluntary.

Schedule of Commissions
For The Fiscal Year Ended June 30, 2021
Total Number of Commission
Brokerage Firm Commissions Shares Cost/Share
B.RILEY & CO. LLC $ 24,958 856,310 $ 0.0291
PIPER JAFFRAY & CO 12,505 882,006 0.0142
GOLDMAN, SACHS AND CO. 11,057 37,541,053 0.0003
UBS SECURITIES ASIA LIMITED 10,527 7,542,345 0.0014
HSBC SECURITIES (USA) INC. 9,299 17,902,385 0.0005
VIRTU AMERICAS LLC 9,283 373,267 0.0249
CREDIT SUISSE SECURITIES (USA) LLC 9,256 490,423 0.0189 MORGAN STANLEY AND CO., LLC 9,020 53,894,566 0.0002
UBS AG LONDON BRANCH 7,066 1,016,099 0.0070
CITIGROUP GLOBAL MARKETS INC. 6,979 43,958,229 0.0002 $ 109,950 164,456,683 $ 0.0007
All Other Brokerage Firms 226,626 584,372,082 0.0004 TOTAL $ 336,576 748,828,765 $ 0.0004
City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 78 Investment Summary
For The Fiscal Year Ended June 30, 2021
Investment Value Percent of Fund
Investment
Management Fees
Equity
Domestic $ 756,804,394 36.6% $ 1,226,622
International Developed Market 322,127,104 15.6% 1,539,009 International Emerging Market 79,062,676 3.8% 605,477 Fixed Income 290,611,970 14.0% 748,444
Alternatives 334,062,192 16.1% 5,912,023
Real Estate 254,209,598 12.3% 3,948,792
Short-term Investments 31,683,663 1.6% —
Total $ 2,068,561,597 100.0% $ 13,980,367
Investment Summary
For The Fiscal Year Ended June 30, 2020
Investment Value Percent of Fund
Investment
Management Fees
Equity
Domestic $ 599,330,006 36.7% $ 972,908
International Developed Market 278,817,237 17.1% 1,289,751 International Emerging Market 57,459,201 3.5% 478,378 Fixed Income 252,704,658 15.5% 827,248
Alternatives 266,776,428 16.3% 5,001,334
Real Estate 161,635,856 9.9% 3,964,918
Short-term Investments 16,747,278 1.0% —
Total $ 1,633,470,664 100.0% $ 12,534,537
City of Fresno Fire and Police Retirement System l INVESTMENT Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 79 Assets will be invested
and administered to
balance the need to
control risk with
superior performance.

We expect excellence
in all activities. We
will also be
accountable and act in
accordance with the
law.

ACTUARIAL
81 Actuarial Certification Letter
84 Summary of Actuarial Assumptions and Funding Method
86 Probabilities of Separation Prior to Retirement
87 Schedule of Active Member Valuation Data
88 Schedule of Retirees and Beneficiaries Added to or
Removed from Rolls
89 Solvency Test
90 Actuarial Analysis of Financial Experience
90 Schedule of Funding Progress
91 Major Benefit Provisions of the Retirement System
93 History of Employer Net Contribution Rates
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 80 Actuarial Certification Letter
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 81 City of Fresno Fire and Police Retirement System l ACTUARIAL Actuarial Certification Letter Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 82 City of Fresno Fire and Police Retirement System l ACTUARIAL Actuarial Certification Letter Continued
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 83 Summary of Actuarial Assumptions and Funding Method
These actuarial assumptions and methods based on June 30, 2021 data were adopted by the City of Fresno Fire and Police System (the System) Retirement Board on November 30, 2021, and were effective for July 1, 2022.

Assumptions
Valuation Interest Rate 7.00%
Inflation: 2.75%
Post-Retirement Mortality
(a) Service Retirement
Pub-2010 Safety Healthy Retiree Amount-
Weighted Mortality Table (separate tables for males and females), projected generationally with the two-
dimensional mortality improvement scale MP-2018.

Beneficiary: Pub-2010 General Healthy Retiree
Amount Weighted Mortality Table (separate tables for
males and females) times 105%, projected generationally with the two-dimensional mortality improvement scale
MP-2018.
(b) Disability Retirement
Pub-2010 Safety Disabled Retiree Amount-
Weighted Mortality Table (separate tables for males and females), projected generationally with the two
dimensional mortality improvement scale MP-2018.

Pre-Retirement Mortality
Based upon the Analysis of Actuarial Experience during
the period July 1, 2015 through June 30, 2018.

Withdrawal Rates
Based upon the Analysis of Actuarial Experience during
the period July 1, 2015 through June 30, 2018.

Disability Rates
Based upon the Analysis of Actuarial Experience during
the period July 1, 2015 through June 30, 2018.

Service Retirement Rates
Based upon the Analysis of Actuarial Experience during
the period July 1, 2015 through June 30, 2018.

Assets
Five-year smoothed recognition of realized and unrealized capital gains and losses greater or lesser than the actuarial assumed rate of return.

Funding Method
The System’s liability is being funded on the Entry Age Normal Cost method with the Unfunded Actuarial
Accrued Liability (UAAL) amortized as a level
percentage of payroll. There is no UAAL as of June 30, 2021.

The System’s funding policy for determining Total
Pension Liability (for funding purposes) uses a version of the Entry Age method whereby the Actuarial Accrued
Liability is fully accrued when a member retires from
employment after participating in DROP (Deferred
Retirement Option Program). While for financial
reporting purposes only, in accordance with GASB 67
provisions, for determining Total Pension Liability, the Actuarial Accrued Liability is fully accrued when a
member either enters DROP or is expected to elect
DROP. (See page 32 of the Financial Section and pages
60 and 61 of the Required Supplementary Information on
the different actuarial assumptions used for financial
reporting versus funding progress.)
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 84 Summary of Actuarial Assumptions and Funding Method Continued Cost-of-Living Adjustment (COLA)
Assumption
The annual cost-of-living adjustment (COLA) is 3.00%
for Tier 2 members and 3.25% for Tier 1 members and
retirees who have retired with the final average formula, or with the career average formula.

DROP Assumptions
Tier 1 Tier 2
1st year eligible 100% 40%
Following year 0% 10%
Next following year 0% 5%
Thereafter 0% 0%
Members are assumed to remain in the Deferred
Retirement Option Program (DROP) for 7 years.

Ultimate Salary Scale

5.85% for the first five years of service. Graded increases thereafter ranging from 1.70% at age 25 to 0.40% at ages 50 and over. Of the total salary increases assumed, 3.00% is for inflation, plus 0.50% real across-the-board salary increase.

City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 85 Probabilities of Separation Prior to Retirement
Rate (%)
Mortality
Tier 1 and Tier 2
Age Male Female
25 0.03 0.01
30 0.03 0.02
35 0.04 0.02
40 0.04 0.03
45 0.07 0.05
50 0.11 0.08
55 0.20 0.13
60 0.35 0.19
65 0.60 0.26
All pre-retirement deaths are assumed to be non-service connected Rate (%)
Disability
Tier 1 Tier 2
Age Duty Non-Duty Duty Non-Duty
20 0.02 0.00 0.14 0.00
25 0.14 0.01 0.29 0.01
30 0.26 0.01 0.50 0.01
35 0.39 0.03 0.72 0.03
40 0.60 0.12 0.98 0.12
45 0.88 0.25 1.22 0.25
50 2.80 0.20 1.48 0.20
55 8.20 0.00 1.78 0.00
60 0.00 0.00 0.00 0.00
Rate (%) Rate (%)
Total Termination
(Less Than 5 years of service)
Total Termination
(5 or more years of service)
Service Tier 1 Tier 2 Age
Tier 1
Tier 25-10 Years 10+ Years
0 – 1 4.47 12.00 20 2.87 3.57 3.10
1 – 2 4.47 8.00 25 2.87 3.57 2.85
2 – 3 4.47 2.00 30 1.88 2.63 2.36
3 – 4 4.47 1.50 35 0.87 1.44 1.74
4 – 5 4.47 1.00 40 0.44 0.92 1.32
45 0.19 0.63 0.96
100% of members are assumed to elect a
withdrawal of contributions. No
termination is assumed after a member is
assumed to retire.
50 0.00 0.00 0.00
100% of Tier 1 members with 5 – 10 years of service, 0% of Tier 1 members with 10+ years of service and 50% of Tier 2 members with 5+ years of service are assumed to elect a withdrawal of contributions. The remaining members are assumed to elect a deferred vested benefit. No termination is assumed after a member is assumed to retire.

City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 86 Schedule of Active Member Valuation Data
% Increase
Valuation Annual Annual (Decrease)
Date Active/DROP Number Payroll Average Pay in Average Pay June 30, 2021 Active Members 987 $ 108,105,135 $ 109,529 3.5% DROP Participants 95 12,071,386 127,067 0.8%
Totals 1,082 $ 120,176,521 $ 236,596
June 30, 2020 Active Members 999 $ 105,679,917 $ 105,786 5.2% DROP Participants 97 12,222,365 126,004 1.6%
Totals 1,096 $ 117,902,282 $ 231,790
June 30, 2019 Active Members 1,033 $ 103,910,274 $ 100,591 4.6% DROP Participants 90 11,163,174 124,035 4.3%
Totals 1,123 $ 115,073,448 $ 224,626
June 30, 2018 Active Members 1,043 $ 100,270,371 $ 96,137 3.6% DROP Participants 90 10,701,563 118,906 5.4%
Totals 1,133 $ 110,971,934 $ 215,043
June 30, 2017 Active Members 990 $ 91,850,923 $ 92,779 1.1% DROP Participants 96 10,828,198 112,794 1.1%
Totals 1,086 $ 102,679,121 $ 205,573
June 30, 2016 Active Members 947 $ 86,884,960 $ 91,748 (2.5)% DROP Participants 107 11,932,935 111,523 1.3%
Totals 1,054 $ 98,817,895 $ 203,271
June 30, 2015 Active Members 880 $ 82,820,376 $ 94,114 (0.8)% DROP Participants 113 12,441,847 110,105 2.3%
Totals 993 $ 95,262,223 $ 204,219
June 30, 2014 Active Members 872 $ 82,701,177 $ 94,841 (2.2)% DROP Participants 126 13,557,816 107,602 (3.1)%
Totals 998 $ 96,258,993 $ 202,443
June 30, 2013 Active Members 899 $ 87,164,227 $ 96,957 4.1% DROP Participants 122 13,540,941 110,991 3.9%
Totals 1,021 $ 100,705,168 $ 207,948
June 30, 2012 Active Members 939 $ 87,461,980 $ 93,144 1.3% DROP Participants 123 13,133,740 106,778 9.0%
Totals 1,062 $ 100,595,720 $ 199,922
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 87 Schedule of Retirees and Beneficiaries Added to
or Removed from Rolls
Added to Rolls Removed from Rolls Rolls at Fiscal Year End Fiscal Year
Ended June 30 Number
Annual
Allowance Number
Annual
Allowance Number
Annual
Allowance
Average
Annual
Allowance
% Increase /
(Decrease)
in Retiree
Allowance
2021 44 $1,429,318 (25) ($672,017) 1,125 $69,707,525 $61,962 2.31 2020 51 $1,341,603 (30) ($1,012,050) 1,106 $66,983,928 $60,564 0.92 2019 48 $1,585,314 (29) ($676,320) 1,085 $65,113,142 $60,012 2.34 2018 51 $1,231,992 (31) ($708,568) 1,066 $62,510,828 $58,641 4.41 2017 55 $1,432,672 (20) ($456,710) 1,046 $58,748,302 $56,165 2.48 2016 32 $728,058 (26) ($730,485) 1,011 $55,408,166 $54,805 2.55 2015 48 $1,429,630 (21) ($514,195) 1,005 $53,711,161 $53,444 (0.58) 2014 41 $1,068,770 (31) ($703,986) 978 $52,573,897 $53,757 0.05 2013 48 $1,438,868 (40) ($856,967) 968 $52,011,489 $53,731 0.39 2012 31 $481,428 (19) ($413,006) 960 $51,378,999 $53,520 0.36 City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 88 Solvency Test (In thousands)
Portion of Accrued Liabilities
Aggregate Accrued Liabilities for Covered by Reported Asset Valuation
Date as of
June 30
Active
Member
Contributions
Retirees and
Beneficiaries
(Includes
Deferred Vested)
Active Members
(Employer
Financed Portion)
Actuarial
Valuation
Value of
Assets
Active
Member
Contributions
Retirees and
Beneficiaries
(Includes
Deferred
Vested)
Active
Members
(Employer
Financed
Portion)
2021 $186,156 $920,277 $288,707 $1,695,906 100% 100% 100% 2020 180,093 880,163 270,890 1,547,641 100% 100% 100%
2019 173,489 839,837 264,423 1,495,023 100% 100% 100%
2018 165,233 801,931 227,567 1,436,725 100% 100% 100%
2017 154,607 770,352 206,389 1,354,974 100% 100% 100%
2016 143,208 728,510 195,698 1,276,604 100% 100% 100%
2015 131,828 713,712 174,376 1,220,269 100% 100% 100%
2014 124,550 717,618 163,860 1,142,649 100% 100% 100%
2013 115,277 711,124 171,435 1,061,399 100% 100% 100%
2012 107,138 697,622 148,106 1,003,929 100% 100% 100%
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 89 Actuarial Analysis of Financial Experience
(Dollars in Millions)
Plan Years
2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Prior Valuation Actuarial Accrued Liability $1,331 $1,278 $1,195 $1,131 $1,067 $1,020 $1,006 $998 $953 $918 Salary Increase Greater/ (Less) than Expected — 14 — 5 (9) (28) (10) (20) (1) (6) Asset Return (Greater)/ Less than Expected — — — — — — — — — — COLA Increase Greater/(Less) than Expected (2) (4) (5) (6) 11 (24) (27) (23) (23) (10) Other Experience 4 (5) 1 9 11 8 1 — (1) 2
Economic Assumption Changes — (14) 31 3 — 50 — — 20 —
Non-economic Assumption Changes — — — — — — — — — —
Normal Cost 39 39 35 33 32 30 30 30 28 28
Interest 92 88 85 81 76 76 75 74 75 73
Payments (69) (65) (64) (61) (57) (55) (54) (53) (53) (52) Change in Valuation Programs and Methods — — — — — (10) (1) — — — Ending Actuarial Accrued Liability $1,395 $1,331 $1,278 $1,195 $1,131 $1,067 $1,020 $1,006 $998 $953 Schedule of Funding Progress
(Dollars in Millions)
(6)
(1) (2) (4) Prefunded /
Actuarial Actuarial (3) Prefunded / (5) (Unfunded AAL)
Actuarial Valuation Accrued Percentage (Unfunded Annual Percentage of Valuation Value of Liability Funded AAL) Covered Covered Payroll As of June 30 Assets (AAL) (1) / (2) (2) - (1) Payroll [(2) - (1)] / (5) 2021 $1,696 $1,395 121.6% $301 $120 250.30%
2020 $1,548 $1,331 116.3% $216 $118 183.60%
2019 $1,495 $1,278 117.0% $217 $115 188.80%
2018 $1,437 $1,195 120.3% $242 $111 218.10%
2017 $1,355 $1,131 119.8% $224 $103 217.80%
2016 $1,277 $1,067 119.6% $209 $99 211.70%
2015 $1,220 $1,020 119.6% $200 $95 210.30%
2014 $1,143 $1,006 113.6% $137 $96 141.90%
2013 $1,061 $998 106.4% $64 $101 63.10%
2012 $1,004 $953 105.4% $51 $101 50.80%
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 90 Major Benefit Provisions of the Retirement System
Coverage All Fire and Police employees hired
on or after October 27, 1927, and before August
27, 1990.

All Fire and Police employees hired on or after
August 27, 1990.

Final Average Salary
(FAS)
A. Three-year final average salary; or
B. Salary attached to rank
average-service weighted
compensation for each rank held.

A. Highest three consecutive year average.

Service Retirement
Requirement:

Age 50 and 10 years of Service, or age 60.

Benefit: (1) and (2)

1. 2¾% of FAS times years of service
before age 50, not to exceed 20 years.

2. 2% of FAS times years of service
after age 50, not to exceed 10 years
Requirement:

Age 50 and 5 years of service.

Benefit:

Retirement Age Benefit Formula
50 51
52 53
54 55 and over

2.00% x FAS x service

2.14% x FAS x service

2.28% x FAS x service

2.42% x FAS x service

2.56% x FAS x service

2.70% x FAS x service
Maximum Benefit: 75% of FAS Maximum Benefit: 75% of FAS Deferred Retirement
Option Program
(DROP)
An employee who is age 50 with 10 years of
service may join the DROP program which is in
essence an alternative form of retirement
distribution. Retirement amount is calculated and
monthly deposits are made to the employee’s
DROP account while the employee continues to
work for a maximum of 10 years.

An employee who is age 50 with 5 years of service
may join the DROP program which is in essence an
alternative form of retirement distribution.

Retirement amount is calculated and monthly
deposits are made to the employee’s DROP account
while the employee continues to work for a
maximum of 10 years.

Disability Retirement a. Requirements:

1. Service-Connected: None

2. Non-Service Connected:
10 years of service.
a. Requirements:

1. Service-Connected: None

2. Non-Service Connected:
10 years of service.
b. Benefit:

1. Service-Connected:
55% of FAS or service retirement,
if higher.

2. Non-Service Connected:

1.65% x FAS x years of service, if
exceeds 36.67% of FAS; or 36.67% of
FAS; or service retirement, if higher.
b. Benefit:

1. Service-Connected:
50% of FAS or service retirement,
if higher.

2. Non-Service Connected:
1½% x FAS x years of service,
if exceeds 1/3 of FAS; or 1/3 of
FAS; or service retirement, if
higher.

Benefit reduced to the extent that income earned
while on disability and the amount of the disability
retirement benefits exceeds the current salary
attached to the last rank held.

Benefit reduced to the extent that income earned
while on disability and the amount of the disability
retirement benefits exceeds the current salary
attached to the last rank held.

Fire & Police First Tier Fire & Police Second Tier
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 91 Major Benefit Provisions of the Retirement System Continued Death Before
Retirement
a. Before eligible to retire for disability
(less than 5 years).

1. One month’s salary for each year of
service, not-to-exceed 6 months.

2. Return of contributions with interest.
a. While eligible to retire (after
10 years): 2/3 of Service or
Non-Service-connected
Disability Retirement Benefit.
b. Service-Connected Death:
55% of FAS
a. Before eligible to retire (less than 5 years).

1. One month’s salary for each year of
service, not-to-exceed 6 months.

2. Return of contributions with interest.
a. While eligible to retire (after 5
years): 2/3 of Service or Non-
Service-connected Disability
Retirement Benefit
b. Service-Connected Death:
50% of FAS
Death After Retirement Two-thirds of the member’s allowance continued to eligible spouse for life.

Two-thirds of the member’s allowance continued
to eligible spouse for life.

Withdrawal Benefits a. If less than 10 years of service, return of contributions.
b. If greater than 10 years of service, right to have vested deferred retirement benefit at normal
retirement date.
a. If less than 5 years of service, return of
contributions.
b. If greater than 5 years of service, right to have
vested deferred retirement benefit.

Post Retirement
Supplemental Benefit
(PRSB)
On May 27, 1998, the City Council adopted the Post
Retirement Supplemental Benefit (“PRSB”)
Program which is intended to provide assistance to
retirees to pay for various post retirement expenses.

Annually, after an actuarial study has been
performed, the Retirement Board will review the
availability of surplus earnings in the System and
determine whether a benefit can be paid to eligible
PRSB recipients. If a surplus is declared by the
Retirement Board, PRSB benefit payments will be
calculated for eligible recipients and payments for
the following calendar year will begin in January.

On May 27, 1998, the City Council adopted the
Post Retirement Supplemental Benefit (“PRSB”)
Program which is intended to provide assistance to
retirees to pay for various post retirement
expenses. Annually, after an actuarial study has
been performed, the Retirement Board will review
the availability of surplus earnings in the System
and determine whether a benefit can be paid to
eligible PRSB recipients. If a surplus is declared
by the Retirement Board, PRSB benefit payments
will be calculated for eligible recipients and
payments for the following calendar year will
begin in January.

Cost of Living Benefits a. Based on the weighted mean average compensation attached to all ranks in
the department, limited to a 5%
maximum change per year, if based on
three-year FAS.
b. Based on salary increase for each rank
held, if benefit was calculated on salary
attached to average rank.
a. Based on the Consumer Price Index
for all Urban Wage Earners and all
Clerical Workers (U.S. City Average)
limited to 3% change per year.

Member Contribution
Rates
Varies based on entry age. 9% of Compensation.

Fire & Police First Tier Fire and Police Second Tier
City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 92 History of Employer Net Contribution Rates (Tier 1)
Employer Normal Employer Net Contribution
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%
Fiscal Year Ending June 30 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Employer Normal 26.57 % 26.22 % 25.95 % 27.80 % 26.88 % 29.59 % 28.38 % 28.45 % 27.77 % 29.55 % Prefunded Liability/Prepaid Contributions 2.63 % 6.38 % 5.76 % 6.97 % 6.74 % 10.57 % 9.46 % 9.73 % 8.18 % 6.73 % Employer Net Contribution 23.94 % 19.84 % 20.19 % 20.83 % 20.14 % 19.02 % 18.92 % 18.72 % 19.59 % 22.82 % City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 93 History of Employer Net Contribution Rates (Tier 2)
Employer Normal Employer Net Contribution
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%
Fiscal Year Ending June 30 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Employer Normal 19.77 % 19.56 % 18.91 % 22.09 % 22.07 % 22.24 % 23.15 % 23.07 % 23.29 % 25.79 % Prefunded Liability/Prepaid Contributions 4.17 % 0.28 % 1.28 % 1.26 % 1.93 % 3.22 % 4.23 % 4.35 % 3.70 % 2.97 % Employer Net Contribution 15.60 % 19.28 % 17.63 % 20.83 % 20.14 % 19.02 % 18.92 % 18.72 % 19.59 % 22.82 % City of Fresno Fire and Police Retirement System l ACTUARIAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 94 To create an environment
in which Board Members
can maximize their
performance as trustees.

To improve business
processes and our delivery
of services provided to
members and retirees.

To improve
communications with
members, retirees and the
employer.

STATISTICAL
96 Statistical Section Review
97 Schedule of Changes in Fiduciary Net Position
98 Schedule and Graph of Additions by Source
99 Schedule and Graph of Deductions by Type
100 Membership Information
City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 95 Statistical Section Review
This section provides additional historical perspective, context, and detail in order to provide a more comprehensive understanding of this year’s financial statements, note disclosures, and supplementary information which covers the benefits provided by the City of Fresno Fire and Police Retirement System.

It also provides multi-year trend of financial and operation information to facilitate comprehensive understanding of how the organization’s financial position and performance has changed over time.

More specifically, the financial and operating information provides contextual data for the System’s net position, benefits, refunds, contribution rates and different types of retirement benefits.

The financial and operating trend information is located on the following pages.

City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 96 Schedule of Changes in Fiduciary Net Position
Last Ten Fiscal Years 2012 - 2021
(Dollars in Millions)
2021 2020 2019 2018 2017
Additions
Employer Contributions $ 26.3 $ 22.3 $ 20.6 $ 19.7 $ 18.5 Member Contributions 10.3 10.0 9.6 9.0 8.1
Investment Income (Loss) 491.7 24.2 82.9 129.1 192.30
Total Additions $ 528.3 $ 56.5 $ 113.1 $ 157.8 $ 218.9
Deductions
Benefit Payments $ 68.0 $ 65.0 $ 63.0 $ 60.5 $ 57.0
Post Retirement Supplemental Benefits 1.7 2.0 2.1 2.0 1.7 Refunds 1.2 0.2 1.0 0.6 0.5
Administrative 2.3 1.8 1.8 1.7 1.5
Total Deductions 73.2 69.0 67.9 64.8 60.7
Change in Fiduciary Net Position $ 455.1 $ (12.5) $ 45.2 $ 93.0 $ 158.2 2016 2015 2014 2013 2012
Additions
Employer Contributions $ 18.7 $ 19.0 $ 18.6 $ 18.7 $ 22.9 Member Contributions 7.7 7.4 7.3 7.4 7.5
Investment Income (Loss) 6.1 39.1 201.8 140.7 (6.2) Total Additions $ 32.5 $ 65.5 $ 227.7 $ 166.8 $ 24.2
Deductions
Benefit Payments $ 54.4 $ 53.5 $ 52.5 $ 51.8 $ 51.0
Post Retirement Supplemental Benefits 1.0 0.2 0.1 0.2 0.4 Refunds 1.2 0.9 0.1 1.0 0.5
Administrative 1.4 1.1 1.1 1.2 1.1
Total Deductions 58.0 55.7 53.8 54.2 53.0
Change in Fiduciary Net Position $ (25.5) $ 9.8 $ 173.9 $ 112.6 $ (28.8) City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 97 Schedule and Graph of Additions by Source (In Thousands) Last Ten Fiscal Years 2012 - 2021

EMPLOYER CONTRIBUTIONS EMPLOYEE CONTRIBUTIONS

INVESTMENT INCOME (LOSS)
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
$-300,000
$-200,000
$-100,000
$0
$100,000
$200,000
$300,000
$400,000
$500,000
$600,000
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
EMPLOYER CONTRIBUTIONS $ 22,875 $ 18,725 $ 18,575 $ 18,967 $ 18,738 $ 18,543 $ 19,697 $ 20,604 $ 22,324 $ 26,315 EMPLOYEE CONTRIBUTIONS 7,540 7,398 7,294 7,385 7,748 8,169 8,964 9,597 10,012 10,256 INVESTMENT INCOME (LOSS) (6,201) 140,701 201,838 39,164 6,063 192,318 129,162 82,872 24,205 491,745 TOTAL $ 24,214 $ 166,824 $ 227,707 $ 65,516 $ 32,549 $ 219,030 $ 157,823 $ 113,073 $ 56,541 $ 528,316 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 98 Schedule and Graph of Deductions by Type (In Thousands) Last Ten Fiscal Years 2012 - 2021

PROFESSIONAL & ADMINISTRATIVE REFUNDS

SURVIVORS NON-SERVICE DISABILITY

SERVICE DISABLITY SERVICE RETIREMENTS
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
$0
$10,000
$20,000
$30,000
$40,000
$50,000
$60,000
$70,000
$80,000
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
SERVICE RETIREMENTS $ 26,531 $ 26,332 $ 25,338 $ 25,657 $ 25,662 $ 28,079 $ 28,855 $ 27,381 $ 28,753 $ 31,484 SERVICE DISABLITY 20,464 21,250 22,848 23,336 24,753 25,539 28,533 31,033 30,529 30,743 NON-SERVICE DISABILITY 242 242 339 348 340 350 280 285 170 132 SURVIVORS 4,142 4,188 4,049 4,370 4,653 4,780 4,843 6,414 7,532 7,348 REFUNDS 535 970 146 901 1,173 525 560 849 218 1,255

PROFESSIONAL &
ADMINISTRATIVE 1,118 1,182 1,119 1,108 1,503 1,503 1,710 1,897 1,839 2,283 TOTAL $ 53,032 $ 54,164 $ 53,839 $ 55,720 $ 58,084 $ 60,776 $ 64,781 $ 67,859 $ 69,041 $ 73,245 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 99 Schedule of Average Benefit Payments
Years of Credited Service Fiscal Year
Average/New
Retirement Effective Dates 5-10 10-15 15-20 20-25 25-30 30+ Retirants Period 7/1/20 to 6/30/21*
Average Monthly Pension Benefits $ — $ 4,255 $ 3,651 $ 5,388 $ 7,268 $ 9,424 $ 4,998 Average Monthly DROP Payment — — 653 2,570 4,982 10,234 3,073 Average Final Average Salary — 9,661 8,278 8,864 11,179 14,679 8,777 Number of New Retired Members — 6 4 16 8 1 35
Period 7/1/19 to 6/30/20*
Average Monthly Pension Benefits $ 1,330 $ 3,419 $ 3,639 $ 4,620 $ 5,394 $ 11,451 $ 4,976 Average Monthly DROP Payment — 779 1,222 1,951 409 12,414 2,796 Average Final Average Salary 6,283 6,873 8,206 8,385 9,513 18,542 9,634 Number of New Retired Members 1 7 7 13 4 1 33
Period 7/1/18 to 6/30/19*
Average Monthly Pension Benefits $ 3,057 $ 3,519 $ 3,972 $ 5,317 $ 6,012 $ 7,064 $ 4,824 Average Monthly DROP Payment 205 — 858 3,765 4,303 6,515 2,608 Average Final Average Salary 5,052 9,006 8,182 9,428 9,754 11,499 8,820 Number of New Retired Members 3 4 7 8 7 1 30
Period 7/1/17 to 6/30/18*
Average Monthly Pension Benefits $ 2,603 $ 3,469 $ 4,020 $ 5,024 $ 4,923 $ 4,637 $ 4,113 Average Monthly DROP Payment — — 1,174 3,520 2,858 3,108 1,777 Average Final Average Salary 7,949 8,113 7,730 8,508 9,046 7,019 8,061 Number of New Retired Members 7 6 6 9 7 1 36
Period 7/1/16 to 6/30/17*
Average Monthly Pension Benefits $ 1,633 $ 3,211 $ 4,100 $ 5,027 $ 5,481 $ 5,909 $ 4,227 Average Monthly DROP Payment — — 2,305 2,560 4,372 4,266 2,251 Average Final Average Salary 6,049 7,648 8,067 8,565 9,524 10,141 8,332 Number of New Retired Members 3 4 5 11 10 1 34
Period 7/1/15 to 6/30/16*
Average Monthly Pension Benefits $ 612 $ 2,914 $ 3,448 $ 4,268 $ 4,922 $ 3,862 $ 3,338 Average Monthly DROP Payment 0 3,128 1,154 3,245 5,207 2,907 2,607 Average Final Average Salary 4,761 7,579 8,011 7,845 8,928 6,689 7,302 Number of New Retired Members 1 5 5 5 3 3 22
Period 7/1/14 to 6/30/15
Average Monthly Pension Benefits $ 3,735 $ 3,565 $ 3,846 $ 6,323 $ 8,405 $ 7,434 $ 5,551 Number of New Retired Members 1 4 6 10 10 3 34
Period 7/1/13 to 6/30/14
Average Monthly Pension Benefits $ 2,665 $ 2,540 $ 4,759 $ 7,181 $ 8,611 $ — $ 4,293 Number of New Retired Members 4 2 6 7 6 — 25
Period 7/1/12 to 6/30/13
Average Monthly Pension Benefits $ 2,450 $ 3,973 $ 4,169 $ 7,226 $ — $ 7,842 $ 4,277 Number of New Retired Members 3 8 6 6 — 3 26
Period 7/1/11 to 6/30/12
Average Monthly Pension Benefits $ 3,458 $ 3,265 $ 4,866 $ 4,484 $ 5,527 $ — $ 3,600 Number of New Retired Members 5 2 4 3 4 — 18
*The Schedule of Average Benefit Payments includes information in accordance with GASB Statement No. 44 for the periods from July 1, 2016 through June 30, 2021. Since implementing PG3 - our new Pension Administration System commencing July 1, 2015, we are now able to capture information prospectively that is necessary for the System to comply with GASB 44 reporting. The System will provide 10 years in the format required by GASB 44 as information becomes available.

City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 100 Retirees by Type of Benefit
As of June 30, 2021
Amount of Number of Type of Retirement*
Monthly Benefit Retirees 1 2 3
$1 - $1,000 62 59 1 2
$1,001 - $2,000 84 63 6 15
$2,001 - $3,000 89 34 11 44
$3,001 - $4,000 179 34 70 75
$4,001 - $5,000 275 66 182 27
$5,001 - $6,000 115 56 48 11
$6,001 - $7,000 70 28 37 5
$7,001 - $8,000 77 42 34 1
$8,001 - $9,000 50 29 21 —
> $9,000 124 74 50 —
Total 1,125 485 460 180
*Type of Retirement
1 - Service Retiree
2 - Disability Retiree
3 - Beneficiary/Continuant/Survivor
Amount of Number of Option Selected**
Monthly Benefit Retirees Unmodified Option 1 Option 2 Option 3 $1 - $1,000 62 51 7 4 —
$1,001 - $2,000 84 62 13 6 3
$2,001 - $3,000 89 53 19 13 4
$3,001 - $4,000 179 109 37 20 13
$4,001 - $5,000 275 164 49 48 14
$5,001 - $6,000 115 70 16 22 7
$6,001 - $7,000 70 43 8 18 1
$7,001 - $8,000 77 33 14 24 6
$8,001 - $9,000 50 26 9 13 2
> $9,000 124 63 12 44 5
Total 1,125 674 184 212 55
**Option Selected
Unmodified - Beneficiary receives 50% of the member's allowance Option 1 - Beneficiary receives lump sum of member's unused contributions Option 2 - Beneficiary receives 100% of member's reduced monthly benefit Option 3 - Beneficiary receives 75% of member's reduced monthly benefit City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 101 Schedule and Graph of Pension Benefit Payments
Deductions by Type
Last Ten Fiscal Years 2012 - 2021
(Dollars in Millions)
Service Retiree Benefits Disability Retiree Benefits Separation Death Benefits Misc
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
$0
$5
$10
$15
$20
$25
$30
$35
$40
$45
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Service Retiree Benefits $30.7 $30.5 $28.9 $30.0 $30.3 $32.9 $33.7 $33.8 $36.3 $38.8 Disability Retiree Benefits 20.7 21.5 23.7 23.7 25.1 25.9 28.8 31.3 30.7 30.9 Separation 0.4 1.0 0.1 0.9 1.1 0.5 0.6 0.9 0.2 1.3
Death Benefits — — — — 0.1 — — — — —
Misc 0.1 — — — — — — — — —
Total Benefit Deductions $51.9 $53.0 $52.7 $54.6 $56.6 $59.3 $63.1 $66.0 $67.2 $71.0 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 102 Schedule and Graph of Active Vested, Active Non-Vested and Deferred Membership History
Last Ten Fiscal Years 2012 - 2021

ACTIVE VESTED ACTIVE NON-VESTED DEFERRED
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
0 200
400
600
800
1000
1200
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
ACTIVE VESTED 937 979 959 925 899 863 808 795 805 845
ACTIVE NON-VESTED 125 42 44 72 152 221 330 331 291 240
DEFERRED 44 49 55 68 81 90 94 88 85 90
TOTAL 1,106 1,070 1,058 1,065 1,132 1,174 1,232 1,214 1,181 1,175 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 103 Schedule and Graph of Retirees Pension Benefit Payments by Type of Benefit
Last Ten Fiscal Years 2012 - 2021

SERVICE RETIREMENTS SERVICE DISABLITY

NON-SERVICE DISABILITY SURVIVORS
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
0 50
100
150
200
250
300
350
400
450
500
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
SERVICE RETIREMENTS 361 355 345 453 452 468 463 458 475 485 SERVICE DISABLITY 350 355 362 371 376 401 426 440 446 456 NON-SERVICE DISABILITY 4 4 5 5 5 5 4 5 3 4
SURVIVORS 238 248 259 169 168 168 169 176 182 180
TOTAL 953 962 971 998 1,001 1,042 1,062 1,079 1,106 1,125 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 104 Summary of Active Participants

NUMBER OF PENSIONABLE ANNUAL NET CHANGE IN

YEAR MEMBERS PAYROLL AVERAGE SALARY AVERAGE SALARY
2021 1,085 $115,341,276 $106,305 2.34%
2020 1,096 $113,842,558 $103,871 6.52%
2019 1,126 $109,803,190 $97,516 6.77%
2018 1,138 $103,934,234 $91,331 1.68%
2017 1,084 $97,368,618 $89,823 1.48%
2016 1,051 $93,030,822 $88,516 (3.10)%
2015 997 $91,075,093 $91,349 (0.39)%
2014 1,003 $91,980,224 $91,705 (0.78)%
2013 1,021 $94,368,329 $92,427 2.04%
2012 1,062 $96,194,537 $90,579 0.26%
Summary of Retirees

ANNUAL NET CHANGE

ANNUAL AVERAGE IN BENEFITS

NUMBER BENEFITS TO ALLOWANCE TO

YEAR OF RETIREES PARTICIPANTS (INDIVIDUAL) PARTICIPANTS 2021 1,125 $69,707,525 $61,962 2.31%
2020 1,106 $66,983,928 $60,564 0.36%
2019 1,079 $65,113,142 $60,346 2.52%
2018 1,062 $62,510,828 $58,861 4.40%
2017 1,042 $58,748,302 $56,380 1.86%
2016 1,001 $55,408,166 $55,353 2.85%
2015 998 $53,711,161 $53,819 (0.60%)
2014 971 $52,573,897 $54,144 0.14%
2013 962 $52,011,489 $54,066 0.28%
2012 953 $51,378,999 $53,913 1.09%
City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 105 Member and City Contribution Rates
Last Ten Fiscal Years 2012 - 2021
TIER I
As of June 30
Member Rates City Contribution Rates
Basic at Entry Age
Total
City
Less
Prefunded Actuarial
Accrued Liability
Net City
Contribution
Fiscal Year Valuation Date 20 30 40 Rate (PAAL) Rate
2021 2019 4.68% 8.34% 7.71% 25.94% (3.12%) 22.82%
2020 2018 4.34% 7.84% 7.30% 23.53% (3.94%) 19.59%
2019 2017 4.34% 7.84% 7.30% 23.44% (4.72%) 18.72%
2018 2016 4.34% 7.84% 7.30% 28.38% (9.46%) 18.92%
2017 2015 4.52% 7.75% 6.94% 29.59% (10.57%) 19.02%
2016 2014 4.52% 7.75% 6.94% 26.88% (6.74%) 20.14%
2015 2013 4.52% 7.75% 6.94% 27.80% (6.97%) 20.83%
2014 2012 4.05% 7.10% 6.40% 25.95% (5.76%) 20.19%
2013 2011 4.05% 7.10% 6.40% 26.22% (6.38%) 19.84%
2012 2010 4.05% 7.10% 6.40% 26.57% (2.63%) 23.94%

TIER II
As of June 30
Member Rates City Contribution Rates
Basic at Entry Age
Total
City
Less
Prefunded Actuarial
Accrued Liability
Net City
Contribution
Fiscal Year Valuation Date 20 30 40 Rate (PAAL) Rate
2021 2019 9.00% 9.00% 9.00% 25.94% (3.12%) 22.82%
2020 2018 9.00% 9.00% 9.00% 23.53% (3.94%) 19.59%
2019 2017 9.00% 9.00% 9.00% 23.44% (4.72%) 18.72%
2018 2016 9.00% 9.00% 9.00% 23.15% (4.23%) 18.92%
2017 2015 9.00% 9.00% 9.00% 22.24% (3.22%) 19.02%
2016 2014 9.00% 9.00% 9.00% 22.07% (1.93%) 20.14%
2015 2013 9.00% 9.00% 9.00% 22.09% (1.26%) 20.83%
2014 2012 9.00% 9.00% 9.00% 18.91% (1.28%) 17.63%
2013 2011 9.00% 9.00% 9.00% 19.56% (0.28%) 19.28%
2012 2010 9.00% 9.00% 9.00% 19.77% (4.17%) 15.60%
Data Source: Annual Actuarial Valuation Reports
City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 106 Economic Assumptions and Funding Method
Last Ten Fiscal Years 2012 - 2021
Valuation Date Salary Cost-of-Living Inflation Funding
June 30 Interest Scale Adjustment (COLA) Component Method 2021 7.00% 5.25% Avg 2.75 - 3.25% 2.75% Entry Age Normal 2020 7.00% 5.25% Avg 2.75 - 3.25% 2.75% Entry Age Normal 2019 7.00% 5.25% Avg 2.75 - 3.25% 2.75% Entry Age Normal 2018 7.25% 5.5% Avg 3.00 - 3.50% 3.00% Entry Age Normal 2017 7.25% 5.5% Avg 3.00 - 3.50% 3.00% Entry Age Normal 2016 7.25% 5.5% Avg 3.00 - 3.75% 3.00% Entry Age Normal 2015 7.50% 5.5% Avg 3.00 - 3.75% 3.25% Entry Age Normal 2014 7.50% 5.5% Avg 3.00 - 3.75% 3.25% Entry Age Normal 2013 7.50% 5.5% Avg 3.00 - 3.75% 3.25% Entry Age Normal 2012 8.00% 5.5% Avg 3.00 - 4.00% 3.50% Entry Age Normal Source: The Segal Company June 30, 2021, Actuarial Valuation Report City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 107 Benefits and Withdrawals Paid
Last Ten Fiscal Years 2012 - 2021
(In Thousands)

BENEFITS PRSB WITHDRAWALS
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
$0
$10000
$20000
$30000
$40000
$50000
$60000
$70000
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
BENEFITS $51,006 $51,827 $52,513 $53,471 $54,428 $57,029 $60,492 $62,991 $65,020 $68,027 PRSB 373 185 61 241 980 1,719 2,019 2,122 1,964 1,680
WITHDRAWALS 535 970 146 901 1,173 525 560 849 218 1,255 TOTAL $53,926 $54,995 $54,734 $56,628 $58,597 $61,290 $65,089 $67,981 $69,222 $72,983 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 108 Average Monthly Benefits to Retirees
Last Ten Fiscal Years 2012 - 2021
(In Thousands)
Average Monthly Benefit Average Monthly PRSB
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
$0
$500
$1000
$1500
$2000
$2500
$3000
$3500
$4000
$4500
$5000
$5500
Average Monthly 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Benefit $4,460 $4,490 $4,507 $4,465 $4,629 $4,560 $4,746 $4,864 $4,899 $5,039 PRSB 33 16 5 20 82 137 158 163 148 124
Average Monthly Benefit Total $4,493 $4,506 $4,512 $4,485 $4,711 $4,697 $4,904 $5,027 $5,047 $5,163 City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 109

EXPECTATION OF LIFE
(Age and Service Retirees)
Years of Age
Male Female
25 30 35 40 45 50 55 60 65 70

0.00 0.25

0.50 0.75

1.00 Separation Rate Before Retirement
Due to Death*
Rate %
Tier I & II
Age Male Female
25 0.04 0.02
30 0.04 0.03
35 0.05 0.04
40 0.06 0.05
45 0.08 0.07
50 0.12 0.09
55 0.18 0.12
60 0.26 0.17
65 0.41 0.23
70 0.77 0.45
*All pre-retirement deaths are presumed to be duty

EXPECTATION OF LIFE
(Disabled RetireeS)

Years of Age
Tier I Duty Tier I Non-Duty
Tier II Duty Tier II Non-Duty
20 25 30 35 40 45 50 55 60

0.00 5.00

10.00 15.00
Separation Rates Prior to Retirement
Due to Disability
Rate %
Age
Tier I
Duty
Tier I
Non-
Duty
Tier II
Duty
Tier II
Non-
Duty
20 0.02 0.00 0.06 0.00
25 0.14 0.01 0.16 0.01
30 0.26 0.01 0.50 0.01
35 0.39 0.03 0.88 0.03
40 0.60 0.12 1.12 0.12
45 0.88 0.25 1.20 0.25
50 2.80 0.20 1.56 0.20
55 8.20 0.00 3.90 0.00
60 0.00 0.00 9.62 0.00
City of Fresno Fire and Police Retirement System l STATISTICAL Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 110 To attract, develop and
retain competent and
professional staff.

To achieve and
maintain superior
investment
performance on a risk
controlled basis
measured by the
Public Fund Universe.

COMPLIANCE
112 Independent Auditor’s 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
Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 111 Independent Auditor’s Internal Control Letter
City of Fresno Fire and Police Retirement System l COMPLIANCE Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 112 Independent Auditor’s Internal Control Letter Continued City of Fresno Fire and Police Retirement System l COMPLIANCE Annual Comprehensive Financial Report For Fiscal Years Ended June 30, 2021 and 2020 113