Annual Investment Report

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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
CalPERS 2014-2015 Annual Investment Report Real Estate Partnerships Security Name Book Value Market Value 301 CAPITOL MALL, LP $ 60,711,732 $ 16,704,565 AETOS ASIA REAL ESTATE SECURITIES 3,455,853 3,796,438 AETOS CAPITAL ASIA TE II, LTD. 165,844,337 AEW SENIOR HOUSING COMPANY LLC 4,186,864 4,186,864 AEW-SHP MANAGED PORTFOLIO 7,137,020 7,137,020 AGI RESMARK HOUSING FUND, LLC 33,986,883 42,374,479 AGI-TMG HOUSING PARTNERS I, LLC -2,122,765 5,104,735 AMERICAN VALUE PARTNERS FUND I, LP 36,808,163 APOLLO REAL ESTATE FINANCE CORPORATION 35,985,129 35,985,129 ARA ASIA DRAGON FUND 68,662,681 109,295,399 ARA ASIA DRAGON FUND II 33,220,678 37,562,042 ARA CHINA LONG TERM HOLD 298,406,295 339,934,290 AREA REAL ESTATE INVESTMENT FUND V, LP 35,955,662 45,511,964 BENTALL KENNEDY OPCO 116,929,033 116,929,033 BLACKROCK ASIA PROPERTY FUND II, L.P. 12,304,129 27,160,169 BLACKROCK EUROPE PARALLEL PROPERTY FUND II L.P. 18,718,671 1,879,615 BUCHANAN URBAN INVESTORS II LLC 12,016,305 CALEAST CANADA LIMITED PARTNERSHIP 67,413,794 82,508,515 CALEAST INDUSTRIAL INVESTORS, LLC 413,012,364 287,117,004 CALEAST SOLSTICE, LLC 3,147,857,756 3,427,192,169 CALIFORNIA SMART GROWTH FUND IV LP 41,193,065 39,039,718 CALSMART LLC (CANYON) -2,574,149 -2,574,149 CALWEST - CALPERS 256,511,369 250,012,349 CANYON CATALYST FUND, LLC 131,444,072 164,398,350 CANYON JOHNSON URBAN FUND, III 146,912,342 146,912,342 CBRE STRATEGIC PARTNERS EUROPE FUND III 36,163,453 20,711,420 CBRE STRATEGIC PARTNERS UK FUND II -25,987,674 -25,987,674 CBRE STRATEGIC PARTNERS UK FUND III 12,402,714 3,828,708 CIM FUND III, LP 270,079,491 960,175,143 CIM URBAN REAL ESTATE FUND, LP 245,329,136 282,439,081 CIM URBAN REIT LLC 513,647,408 542,189,658 CITYVIEW LA URBAN FUND I, LP 24,594,367 24,594,367 CUC III, LLC 22,709,795 24,855,874 DB REAL ESTATE GLOBAL OPPORTUNITIES IA LP 0 0 DB REAL ESTATE GLOBAL OPPORTUNITIES IB LP 2,248,227 2,248,227 ERPMI 222,739 EUROPEAN PROPERTY INVESTORS, LP 28,581,019 11,341,558 FIFTH STREET PROPERTIES 3,819 3,819 FILLMORE EAST FUND, LP 932,940 FORTRESS HOLIDAY INVESTMENT FUND L.P. 38,947,696 76,023,915 FORTRESS INVESTMENT FUND IV (FUND A) L.P. 76,946,553 62,483,181 FORTRESS RESIDENTIAL INVESTMENT DEUTSCHLAND (FUND A) 0 0 FSP - BASE 369,022,493 514,835,483 FSP - DT 2011 408,897,147 672,209,222 FSP - DT 2012 AND BEYOND 624,866,666 937,413,905 FTSE EPRA NAREIT DEVELOPED REIT (SWLQ) 28,189 GI PARTNERS FUND II, L.P. 115,992,139 204,435,074 GI PARTNERS FUND III, L.P. 160,954,435 311,160,123 GLOBAL INNOVATION PARTNERS, LLC 10,428,319 10,428,319 GLOBAL RETAIL INVESTORS LLC -75,441,808 1,128,263,472 GRI - BASE 214,116,175 240,136,732 GRI - DT 2011 72,248,328 116,790,323 GUGGENHEIM STRUCTURED REAL ESTATE III, L.P. 0 HAMPSHIRE PARTNERS FUND VI, LP 30,218,355 10,093,386 HARBERT EUROPEAN REAL ESTATE FUND II, LP 16,589,107 20,798,251
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Annual Investment Report Fiscal Yea
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Chief Investment Officer’s Letter
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CalPERS 2014-2015 Annual Investment
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Page 327: California Public Employees’ Reti
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