Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
3175073P4 OTC ECAL USD VS CNY (2,630,000) $ (29,982) $ (2,893)
3175074P3 OTC ECAL USD VS CNY (3,100,000) (34,800) (3,410)
3175087C7 OTC EPUT USD VS JPY (20,400,000) (149,532) (18,360)
3175087H6 OTC EPUT USD VS JPY (3,700,000) (28,388) (3,330)
3175088K8 OTC ECAL USD VS JPY 5,800,000 62,118 60,494
3175088O0 OTC ECAL USD VS JPY (8,700,000) (53,418) (44,509)
317508BI9 OTC ECAL USD VS JPY 8,200,000 43,624 2,714
317508EO3 OTC ECAL USD VS JPY 15,900,000 92,461 5,263
3175091G2 OTC ECAL USD VS BRL 3,000,000 21,720 23,100
3175091H0 OTC EPUT USD VS BRL (3,000,000) (18,870) (18,900)
3175091I8 OTC ECAL USD VS BRL 3,300,000 21,120 25,410
3175091J6 OTC EPUT USD VS BRL (3,300,000) (19,470) (15,510)
3175091T4 OTC ECAL USD VS BRL 3,000,000 21,705 14,583
3175091U1 OTC EPUT USD VS BRL (3,000,000) (22,530) (35,025)
3175091V9 OTC ECAL USD VS BRL 2,900,000 21,460 14,097
3175091W7 OTC EPUT USD VS BRL (2,900,000) (21,460) (33,858)
317U092J0 IRO GBP 5Y P 1.75 (16,300,000) (64,729) (39,068)
317U100J0 IRO GBP 10Y P 2.2000 (3,800,000) (17,303) (22,746)
317U141J1 IRO GBP 10Y P 2.2000 (3,800,000) (11,782) (25,662)
317U142J0 IRO GBP 10Y C 1.4000 (3,800,000) (31,420) -
317U213J4 IRO EUR 5Y5Y P 1.400 (14,300,000) (124,893) (497,430)
317U214J3 IRO EUR 5Y5Y C 0.400 (14,300,000) (52,617) (5,545)
317U404H7 IRO EUR 10Y C 1.0000 20,600,000 337,993 210,819
317U406H5 IRO EUR 30Y C 1.5635 (8,200,000) (336,352) (362,534)
317U923H9 IRO EUR 30Y C 0.7500 (3,100,000) (83,599) (4,248)
317U924H8 IRO EUR 30Y P 1.3000 (3,100,000) (90,156) (374,761)
317U925H7 IRO USD 10Y P 2.5500 (10,900,000) (69,215) -
317U926H6 IRO USD 10Y C 1.9500 (10,900,000) (57,770) -
90DAY EUR FUTR DEC15 (36,250,000) - -
90DAY EUR FUTR JUN16 (3,750,000) - 188
90DAY EUR FUTR MAR16 (47,250,000) - 2,363
90DAY EUR FUTR MAR17 (19,500,000) - 975
90DAY EUR FUTR SEP15 (17,750,000) - (888)
90DAY EUR FUTR SEP16 (4,500,000) - 450
AUST 10Y BOND FUT SEP15 24,000,000 - (98,756)
BCP29XZL6 TRS USD P F .00000 07/15/15 (134,833) (58,935,238) (58,935,235)
BCP29XZL6 TRS USD R F .00000 07/15/15 134,833 58,935,238 55,734,839
BCP2AGE75 TRS USD P F .00000 07/10/15 (33,910) (353,534) (353,528)
BCP2AGE75 TRS USD R F .00000 07/10/15 33,910 353,534 335,017
BCP2AGEJ9 TRS USD P F .00000 (318,405) (399,826) (399,820)
BCP2AGEJ9 TRS USD R F .00000 318,405 399,826 583,223
BCP2AGZ07 TRS USD P F .00000 07/09/15 (1,158,813) (12,237,270) (12,237,894)
BCP2AGZ07 TRS USD R F .00000 1,158,813 12,237,270 12,765,445
BCP2AGZC1 TRS USD P F .00000 07/09/15 (698,094) (6,131,643) (6,131,658)
BCP2AGZC1 TRS USD R F .00000 698,094 6,131,643 6,404,740
BCP2AGZF4 TRS USD P F .00000 07/09/15 (1,194,078) (5,401,710) (5,401,674)