Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Derivatives
Security Name Maturity Date Par Value Book Value Market Value
SWU00BP71 IRS SEK R F 1.03625 01/23/25 9,400,000 1,147,538 1,079,044
SWU00BPM8 IRS SEK P V 03MSTIBO 01/26/25 (15,100,000) (1,843,442) (1,819,825)
SWU00BPM8 IRS SEK R F 1.08000 01/26/25 15,100,000 1,843,442 1,740,383
SWU00BPN6 IRS SEK P V 03MSTIBO 01/26/25 (17,900,000) (2,185,272) (2,157,276)
SWU00BPN6 IRS SEK R F 1.08500 01/26/25 17,900,000 2,185,272 2,064,080
SWU00BPW6 IRS JPY P V 06MLIBOR 06/17/35 (600,000,000) (5,090,247) (4,903,363)
SWU00BPW6 IRS JPY R F 1.25000 06/17/35 600,000,000 5,191,517 4,891,087
SWU028X10 IRS GBP P V 12MUKRPI 05/15/45 (1,200,000) (1,887,119) (1,887,241)
SWU028X10 IRS GBP R F 3.54300 05/15/45 1,200,000 1,890,830 1,861,189
SWU028X36 IRS GBP P V 12MUKRPI 05/15/45 (1,400,000) (2,200,379) (2,201,781)
SWU028X36 IRS GBP R F 3.53700 05/15/45 1,400,000 2,210,326 2,176,967
SWU0929R6 IRS GBP P V 12MUKRPI 05/15/45 (600,000) (941,041) (946,659)
SWU0929R6 IRS GBP R F 3.50250 05/15/45 600,000 941,041 943,620
SWU0AN667 IRS GBP P V 12MUKRPI 05/15/30 (1,000,000) (1,579,200) (1,572,700)
SWU0AN667 IRS GBP R F 3.31000 05/15/30 1,000,000 1,579,200 1,583,249
SWU0AN675 IRS GBP P V 12MUKRPI 05/15/45 (300,000) (473,760) (471,810)
SWU0AN675 IRS GBP R F 3.49250 05/15/45 300,000 473,760 475,299
SWU0AN683 IRS GBP P V 12MUKRPI 05/15/30 (800,000) (1,263,360) (1,258,160)
SWU0AN683 IRS GBP R F 3.31250 05/15/30 800,000 1,263,360 1,266,057
SWU0GG104 IRS GBP P V 12MUKRPI 05/15/30 (1,000,000) (1,579,200) (1,572,700)
SWU0GG104 IRS GBP R F 3.31100 05/15/30 1,000,000 1,579,200 1,582,978
SWU0GG112 IRS GBP P V 12MUKRPI 05/15/45 (300,000) (473,760) (471,810)
SWU0GG112 IRS GBP R F 3.49500 05/15/45 300,000 473,760 474,807
TOPIX INDX FUTR SEP15 (62,425,656) - (3,447,481)
US 10YR NOTE (CBT)SEP15 (205,900,000) - 64,344
US 2YR NOTE (CBT) SEP15 2,600,000 - (609)
US 5YR NOTE (CBT) SEP15 11,400,000 - (4,453)
US LONG BOND(CBT) SEP15 (7,600,000) - 4,750
Total $ 1,806,746 $ 32,824,920