Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
BCP2MG7W5 TRS USD P F .00000 05/09/16 (254,476) (852,936) (852,936)
BCP2MG7W5 TRS USD R F .00000 254,476 852,936 857,700
BCP2MY748 TRS USD P F .07000 12/15/15 (76,743,859) (76,743,859) (76,743,859)
BCP2MY748 TRS USD R F .00000 12/15/15 76,743,859 76,743,859 77,858,479
BCP2MY771 TRS USD P F .07000 12/15/15 (67,150,876) (67,150,876) (67,150,876)
BCP2MY771 TRS USD R F .00000 12/15/15 67,150,876 67,150,876 68,126,169
BCP2N1MS9 TRS USD P F .00000 10/09/15 (1,900) (18,970) (18,964)
BCP2N1MS9 TRS USD R F .00000 10/09/15 1,900 18,970 16,845
BCP2N1MY6 TRS USD P F .00000 07/10/15 (415,569) (824,510) (824,220)
BCP2N1MY6 TRS USD R F .00000 415,569 824,510 782,603
BCP2N1QD8 TRS USD P F .00000 08/10/15 (19,200) (101,259) (101,259)
BCP2N1QD8 TRS USD R F .00000 08/10/15 19,200 101,259 107,175
BCP2N1XZ1 TRS USD P F .00000 04/09/16 (510,577) (3,553,821) (3,552,514)
BCP2N1XZ1 TRS USD R F .00000 510,577 3,553,821 3,719,535
BCP2N1Y80 TRS USD P F .00000 04/09/16 (81,000) (907,860) (907,578)
BCP2N1Y80 TRS USD R F .00000 04/09/16 81,000 907,860 917,065
BCP2N1YB3 TRS USD P F .00000 04/09/16 (197,000) (170,682) (170,623)
BCP2N1YB3 TRS USD R F .00000 04/09/16 197,000 170,682 147,129
BCP2N1YF4 TRS USD P F .00000 04/09/16 (680,500) (854,500) (854,500)
BCP2N1YF4 TRS USD R F .00000 04/09/16 680,500 854,500 1,246,473
BCP2N1YM9 TRS USD P F .00000 08/10/15 (97,700) (466,818) (466,818)
BCP2N1YM9 TRS USD R F .00000 08/10/15 97,700 466,818 417,043
BCP2N1YQ0 TRS USD P F .00000 04/09/16 (13,200) (73,271) (73,271)
BCP2N1YQ0 TRS USD R F .00000 04/09/16 13,200 73,271 74,363
BCP2N1YT4 TRS USD P F .00000 04/09/16 (194,256) (641,715) (641,715)
BCP2N1YT4 TRS USD R F .00000 194,256 641,715 619,089
BCP2N1YX5 TRS USD P F .00000 08/10/15 (1,017,790) (2,018,638) (2,018,638)
BCP2N1YX5 TRS USD R F .00000 08/10/15 1,017,790 2,018,638 1,916,711
BCP2N1ZK2 TRS USD P F .00000 04/09/16 (6,900) (25,837) (25,837)
BCP2N1ZK2 TRS USD R F .00000 04/09/16 6,900 25,837 24,122
BCP2N2036 TRS USD P F .00000 07/10/15 (380,600) (748,967) (748,737)
BCP2N2036 TRS USD R F .00000 07/10/15 380,600 748,967 633,435
BCP2N2077 TRS USD P F .00000 (49,351) (514,509) (514,509)
BCP2N2077 TRS USD R F .00000 49,351 514,509 487,569
BCP2N2F63 TRS USD P F .00000 04/09/16 (80,228) (680,651) (680,651)
BCP2N2F63 TRS USD R F .00000 80,228 680,651 635,076
BCP2N2GC9 TRS USD P F .00000 04/09/16 (87,841) (1,448,057) (1,448,057)
BCP2N2GC9 TRS USD R F .00000 87,841 1,448,057 1,489,934
BCP2N8CA4 TRS USD P F .07000 12/15/15 (140,128,999) (140,128,999) (140,128,999)
BCP2N8CA4 TRS USD R F .00000 12/15/15 140,128,999 140,128,999 142,164,219
BCP2N8CD8 TRS USD P F .07000 12/15/15 (53,933,180) (53,933,180) (53,933,180)
BCP2N8CD8 TRS USD R F .00000 12/15/15 53,933,180 53,933,180 54,716,500
BCP2NUH36 TRS USD P F .08000 03/18/16 (75,273,929) (75,273,929) (75,273,929)
BCP2NUH36 TRS USD R F .00000 03/18/16 75,273,929 75,273,929 76,367,200
BCP2PC2B2 TRS USD P F .07000 05/10/16 (238,565,850) (238,565,850) (238,565,850)
BCP2PC2B2 TRS USD R F .00000 05/10/16 238,565,850 238,565,850 242,030,756
BCP2PDQZ1 TRS USD P F .08000 05/17/16 (238,369,923) (238,369,923) (238,369,923)
BCP2PDQZ1 TRS USD R F .00000 05/17/16 238,369,923 238,369,923 241,831,984
BCP2PJE16 TRS USD P F .00000 08/10/15 (570,430) (1,208,503) (1,208,503)