Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
BCP2RE9V5 TRS USD P F .00000 05/09/16 (9,800) (40,988) (40,988)
BCP2RE9V5 TRS USD R F .00000 05/09/16 9,800 40,988 38,331
BCP2RE9Z6 TRS USD P F .00000 04/09/16 (126,600) (158,971) (158,971)
BCP2RE9Z6 TRS USD R F .00000 04/09/16 126,600 158,971 231,894
BCP2REA27 TRS USD P F .00000 (3,266) (11,883) (11,883)
BCP2REA27 TRS USD R F .00000 3,266 11,883 11,335
BCP2REA50 TRS USD P F .00000 04/09/16 (3,000) (20,874) (20,874)
BCP2REA50 TRS USD R F .00000 04/09/16 3,000 20,874 21,855
BCP2REAA9 TRS USD P F .00000 06/09/16 (6,300) (23,591) (23,591)
BCP2REAA9 TRS USD R F .00000 06/09/16 6,300 23,591 22,025
BCP2READ3 TRS USD P F .00000 10/09/15 (65,300) (56,557) (56,557)
BCP2READ3 TRS USD R F .00000 10/09/15 65,300 56,557 48,769
BCP2REB18 TRS USD P F .08000 06/10/16 (125,665,009) (125,665,009) (125,665,009)
BCP2REB18 TRS USD R F .08000 06/10/16 125,665,009 125,665,009 123,712,009
BCP2REBT7 TRS USD P F .00000 (2,615,173) (1,094,620) (1,094,620)
BCP2REBT7 TRS USD R F .00000 2,615,173 1,094,620 1,069,170
BCP2REHY0 TRS USD P F .00000 04/11/16 (25,100) (413,774) (413,774)
BCP2REHY0 TRS USD R F .00000 04/11/16 25,100 413,774 425,740
BCP2RGKY1 TRS USD P F .00000 06/27/16 (42,444,877) (42,444,877) (42,444,877)
BCP2RGKY1 TRS USD R F .00000 06/27/16 42,444,877 42,444,877 42,748,156
BCP2RYDC8 TRS USD P F .07000 06/15/16 (18,348,115) (18,348,115) (18,348,115)
BCP2RYDC8 TRS USD R F .08000 06/15/16 18,348,115 18,348,115 18,614,601
BCP2RYDX2 TRS USD P F .08000 06/15/16 (64,844,060) (64,844,060) (64,844,060)
BCP2RYDX2 TRS USD R F .00000 06/15/16 64,844,060 64,844,060 65,785,849
BCP2RYE03 TRS USD P F .08000 06/15/16 (84,273,221) (84,273,221) (84,273,221)
BCP2RYE03 TRS USD R F .00000 06/15/16 84,273,221 84,273,221 85,497,197
BCP2S2916 TRS USD P F .07000 05/18/16 (179,167,950) (179,167,950) (179,167,950)
BCP2S2916 TRS USD R F .00000 05/18/16 179,167,950 179,167,950 181,212,045
BCP2T2NL5 TRS USD P F .08000 05/13/16 (79,778,146) (79,778,146) (79,778,146)
BCP2T2NL5 TRS USD R F .00000 05/13/16 79,778,146 79,778,146 80,544,590
BCP2T4GN5 TRS USD P F .07000 06/15/16 (16,000,000) (16,000,000) (16,000,000)
BCP2T4GN5 TRS USD R F .00000 06/15/16 16,000,000 16,000,000 16,203,440
BCP2T7542 TRS USD P F .08000 06/15/16 (152,349,035) (152,349,035) (152,349,035)
BCP2T7542 TRS USD R F .00000 06/15/16 152,349,035 152,349,035 154,640,011
BWU00A708 IRS GBP P F 3.00000 09/16/45 (3,900,000) (6,267,065) (6,133,532)
BWU00A708 IRS GBP R V 06MLIBOR 09/16/45 3,900,000 5,889,496 5,235,184
BWU00AR30 IRS EUR P F 2.30700 10/21/44 (4,100,000) (4,942,243) (4,568,220)
BWU00AR30 IRS EUR R V 06MEURIB 10/21/44 4,100,000 4,681,974 4,381,976
BWU00BT10 IRS EUR P F 1.50000 03/16/46 (15,200,000) (17,018,084) (16,935,839)
BWU00BT10 IRS EUR R V 06MEURIB 03/16/46 15,200,000 16,913,933 17,853,660
BWU00BT44 IRS EUR P F .75000 09/16/25 (6,500,000) (7,039,564) (7,242,299)
BWU00BT44 IRS EUR R V 06MEURIB 09/16/25 6,500,000 7,121,004 7,545,489
BWU00CAS9 IRS GBP P F 2.00000 09/16/25 (39,800,000) (60,292,651) (62,593,477)
BWU00CAS9 IRS GBP R V 06MLIBOR 09/16/25 39,800,000 60,131,375 63,591,333
BWU00CDZ0 IRS GBP P F 2.00000 09/16/45 (3,500,000) (5,514,946) (5,504,452)
BWU00CDZ0 IRS GBP R V 06MLIBOR 09/16/45 3,500,000 6,005,949 5,926,307
BWU00D7M4 IRS USD P F 1.50000 12/16/17 (48,800,000) (48,800,000) (48,800,000)
BWU00D7M4 IRS USD R V 03MLIBOR 12/16/17 48,800,000 48,585,275 48,539,927
BWU00D7P7 IRS USD P F 2.75000 12/16/45 (3,700,000) (3,700,000) (3,700,000)