Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
BCP2FSA37 TRS USD P F .00000 08/09/15 (129,590) (1,351,067) (1,351,044)
BCP2FSA37 TRS USD R F .00000 129,590 1,351,067 1,280,302
BCP2FSA60 TRS USD P F .07000 10/15/15 (7,043,071) (7,043,071) (7,043,071)
BCP2FSA60 TRS USD R F .00000 10/15/15 7,043,071 7,043,071 7,145,364
BCP2FSA94 TRS USD P F .07000 10/15/15 (7,468,877) (7,468,877) (7,468,877)
BCP2FSA94 TRS USD R F .00000 10/15/15 7,468,877 7,468,877 7,577,354
BCP2FSQD8 TRS USD P F .00000 08/10/15 (245,415) (1,212,931) (1,212,913)
BCP2FSQD8 TRS USD R F .00000 245,415 1,212,931 1,177,937
BCP2FUYG7 TRS USD P F .00000 11/09/15 (586,746) (3,362,474) (3,361,330)
BCP2FUYG7 TRS USD R F .00000 586,746 3,362,474 3,116,571
BCP2FUYK8 TRS USD P F .00000 11/09/15 (418,162) (2,066,705) (2,066,677)
BCP2FUYK8 TRS USD R F .00000 11/09/15 418,162 2,066,705 2,007,081
BCP2FVB39 TRS USD P F .07000 11/02/15 (92,755,051) (92,755,051) (92,755,051)
BCP2FVB39 TRS USD R F .00000 11/02/15 92,755,051 92,755,051 94,102,216
BCP2G5UF7 TRS USD P F .00000 (57,901) (216,817) (216,812)
BCP2G5UF7 TRS USD R F .00000 57,901 216,817 202,422
BCP2G62A7 TRS USD P F .00000 07/10/15 (89,500) (112,387) (112,385)
BCP2G62A7 TRS USD R F .00000 07/10/15 89,500 112,387 163,937
BCP2G62D1 TRS USD P F .00000 (15,511) (92,193) (92,192)
BCP2G62D1 TRS USD R F .00000 15,511 92,193 95,371
BCP2G62G4 TRS USD P F .00000 07/09/15 (1,177,900) (10,345,993) (10,345,993)
BCP2G62G4 TRS USD R F .00000 1,177,900 10,345,993 10,806,766
BCP2G6472 TRS USD P F .00000 11/09/15 (313,440) (3,346,437) (3,346,481)
BCP2G6472 TRS USD R F .00000 11/09/15 313,440 3,346,437 3,526,502
BCP2GE2L6 TRS USD P F .07000 11/16/15 (126,671,498) (126,671,498) (126,671,498)
BCP2GE2L6 TRS USD R F .00000 11/16/15 126,671,498 126,671,498 128,511,263
BCP2H6A25 TRS USD P F .00000 08/09/15 (847,296) (4,469,402) (4,469,340)
BCP2H6A25 TRS USD R F .00000 847,296 4,469,402 4,729,626
BCP2H6EN5 TRS USD P F .00000 12/09/15 (8,000) (79,817) (79,849)
BCP2H6EN5 TRS USD R F .00000 12/09/15 8,000 79,817 70,925
BCP2H6FJ3 TRS USD P F .00000 07/09/15 (730,320) (6,414,711) (6,414,711)
BCP2H6FJ3 TRS USD R F .00000 07/09/15 730,320 6,414,711 6,700,399
BCP2HEXZ0 TRS USD P F .07000 12/15/15 (14,092,536) (14,092,536) (14,092,536)
BCP2HEXZ0 TRS USD R F .00000 12/15/15 14,092,536 14,092,536 14,297,215
BCP2HJC82 TRS USD P F .00000 11/16/15 (9,847,761) (9,847,761) (9,847,761)
BCP2HJC82 TRS USD R F .00000 11/16/15 9,847,761 9,847,761 9,990,789
BCP2J00Q4 TRS USD P F .00000 01/11/16 (1,211,879) (1,876,840) (1,876,825)
BCP2J00Q4 TRS USD R F .00000 01/11/16 1,211,879 1,876,840 1,607,308
BCP2J00W1 TRS USD P F .00000 01/11/16 (1,307,511) (2,572,250) (2,572,207)
BCP2J00W1 TRS USD R F .00000 01/11/16 1,307,511 2,572,250 2,176,098
BCP2J05M8 TRS USD P F .00000 07/15/15 (563,151) (4,949,906) (4,949,906)
BCP2J05M8 TRS USD R F .00000 07/15/15 563,151 4,949,906 5,166,689
BCP2J05Q9 TRS USD P F .00000 07/15/15 (508,200) (5,367,018) (5,366,956)
BCP2J05Q9 TRS USD R F .00000 07/15/15 508,200 5,367,018 5,598,314
BCP2J05U0 TRS USD P F .00000 (345,458) (1,707,373) (1,707,351)
BCP2J05U0 TRS USD R F .00000 345,458 1,707,373 1,658,117
BCP2J05X4 TRS USD P F .00000 01/11/16 (269,172) (1,494,132) (1,494,126)
BCP2J05X4 TRS USD R F .00000 01/11/16 269,172 1,494,132 1,516,390
BCP2J0639 TRS USD P F .00000 01/11/16 (35,400) (132,560) (132,557)