Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
BWU00D7P7 IRS USD R V 03MLIBOR 12/16/45 3,700,000 3,912,864 3,878,359
BWU00DA57 IRS USD P F 2.50000 12/16/35 (3,700,000) (3,700,000) (3,700,000)
BWU00DA57 IRS USD R V 03MLIBOR 12/16/35 3,700,000 3,964,180 3,937,203
BWU00DAD0 IRS USD P F 2.25000 12/16/22 (49,400,000) (49,400,000) (49,400,000)
BWU00DAD0 IRS USD R V 03MLIBOR 12/16/22 49,400,000 49,866,769 49,593,297
CAN 10YR BOND FUT SEP15 14,300,000 - 93,869
CCS0AHN24 CYS CHF R V 03MLIBOR 12/16/17 9,000,000 9,662,181 9,630,303
CCS0AHN24 CYS USD P V 03MLIBOR 12/16/17 (9,635,974) (9,635,974) (9,635,974)
CCSAHN019 CYS EUR R V 03MEURIB 12/16/25 15,370,000 16,781,729 17,259,654
CCSAHN019 CYS USD P V 03MLIBOR 12/16/25 (16,768,670) (16,768,670) (16,768,847)
CCSBAN006 CYS EUR R V 03MEURIB 12/16/20 7,300,000 8,104,825 8,223,443
CCSBAN006 CYS USD P V 03MLIBOR 12/16/20 (8,103,000) (8,103,000) (8,103,076)
CCSBAN055 CYS EUR R V 03MEURIB 12/16/20 110,610,000 122,148,944 124,602,055
CCSBAN055 CYS USD P V 03MLIBOR 12/16/20 (120,786,120) (120,786,120) (120,787,260)
CCSGGC003 CYS CHF R V 03MLIBOR 12/16/17 8,600,000 9,093,793 9,185,278
CCSGGC003 CYS USD P V 03MLIBOR 12/16/17 (9,100,529) (9,100,529) (9,100,529)
DOLLAR INDEX SEP15 450,000 - 319,950
EURO BUXL 30Y BND SEP15 1,300,000 - 4,803
EURO STOXX 50 SEP15 79,030 - (2,299,418)
EURO-BOBL FUTURE SEP15 (100,000) - (145)
EURO-BTP FUTURE SEP15 22,300,000 - 202,088
EURO-BUND FUTURE SEP15 (31,100,000) - (11,956)
EURO-SCHATZ FUT SEP15 3,100,000 - 344
FTSE 100 IDX FUT SEP15 61,333 - (7,059,970)
IS0EWE8 IRS USD P F 1.69400 10/03/22 (29,720,000) (29,720,000) (29,720,000)
IS0EWE8 IRS USD R V 03MLIBOR 10/03/22 29,720,000 29,720,000 30,656,793
IS0EXZ6 IRS USD P F .76400 10/04/17 (13,260,000) (13,260,000) (13,260,000)
IS0EXZ6 IRS USD R V 03MLIBOR 10/04/17 13,260,000 13,260,000 13,328,230
IS0HDA0 IRS NZD P V 03MBKBM 05/09/23 (3,200,000) (2,701,119) (2,164,160)
IS0HDA0 IRS NZD R F 3.79500 05/09/23 3,200,000 2,701,119 2,171,840
IS0RFC6 IRS BRL P V 12MLIBOR 01/02/17 (50,000,000) (18,158,707) (16,095,802)
IS0RFC6 IRS BRL R F 13.03000 01/02/17 50,000,000 18,158,707 15,966,028
IS0RFE8 IRS BRL P F 12.44000 01/02/21 (27,000,000) (9,805,702) (8,691,733)
IS0RFE8 IRS BRL R V 12MLIBOR 01/02/21 27,000,000 9,805,702 8,747,760
IS0UYV7 IRS BRL P F 12.34000 01/04/21 (58,000,000) (19,277,108) (18,671,131)
IS0UYV7 IRS BRL R V 12MLIBOR 01/04/21 58,000,000 19,277,108 18,848,081
IS0UYZ1 IRS BRL P V 12MLIBOR 01/02/17 (135,000,000) (44,869,132) (43,458,666)
IS0UYZ1 IRS BRL R F 13.27000 01/02/17 135,000,000 44,869,132 43,141,194
IS0W1K1 IRS BRL P V 12MLIBOR 01/02/17 (138,000,000) (44,282,574) (44,424,414)
IS0W1K1 IRS BRL R F 13.81500 01/02/17 138,000,000 44,282,574 44,369,143
IS0W1M3 IRS BRL P F 12.45500 01/04/21 (60,000,000) (19,253,293) (19,314,963)
IS0W1M3 IRS BRL R V 12MLIBOR 01/04/21 60,000,000 19,253,293 19,428,174
JPN 10Y BOND(OSE) SEP15 (5,500,000,000) - 89,168
LONG GILT FUTURE SEP15 28,900,000 - 163,773
MINI MSCI EAFE SEP15 33,645 - (102,510)
MINI MSCI EMG MKT SEP15 201,437 - 2,421,300
RUSSELL 2000 MINI SEP15 578,826 - 2,472,050
S+P 500 FUTURE SEP15 6,750 - 26,325
S+P MID 400 EMINI SEP15 154,064 - 88,020