Annual Investment Report

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CalPERS 2014-2015 Annual Investment Report International Currency Security Name Par Value Book Value Market Value AUSTRALIAN DOLLAR 16,261,068 $ 12,573,822 $ 12,498,256 BRAZILIAN REAL 13,441,045 4,542,993 4,326,888 CANADIAN DOLLAR 13,271,050 10,689,086 10,630,021 CHILEAN PESO 54,012,517 90,443 84,457 COLOMBIAN PESO 140,523,054 55,775 54,056 CZECH KORUNA 40,557,808 1,655,028 1,657,755 DANISH KRONE 3,269,664 491,586 488,352 EGYPTIAN POUND 14,430,906 1,891,684 1,891,325 EURO CURRENCY 89,394,151 99,784,060 99,602,956 HONG KONG DOLLAR 38,930,782 5,021,661 5,021,674 HUNGARIAN FORINT 27,549,691 100,765 97,364 INDIAN RUPEE 213,081,847 3,341,374 3,346,135 INDONESIAN RUPIAH 26,310,416,498 1,991,471 1,973,405 JAPANESE YEN 6,970,455,567 56,609,068 56,964,455 MALAYSIAN RINGGIT 1,806,586 487,906 478,820 MEXICAN PESO 175,679,178 11,451,377 11,196,425 MOROCCAN DIRHAM 262,927 27,216 27,022 NEW ISRAELI SHEQEL 7,105,057 1,878,788 1,883,431 NEW RUSSIAN RUBLE 40,661,747 750,629 729,818 NEW TAIWAN DOLLAR 44,193,709 1,430,878 1,432,326 NEW ZEALAND DOLLAR 2,414,480 1,722,515 1,632,912 NORWEGIAN KRONE 12,923,274 1,650,592 1,642,615 PAKISTAN RUPEE 3,635,915 35,657 35,725 PERUVIAN NOUVEAU SOL 114,740 39,786 36,109 PHILIPPINE PESO 3,874,738 86,136 85,933 POLISH ZLOTY 3,719,218 1,008,288 988,917 POUND STERLING 24,024,514 37,247,879 37,783,363 ROMANIAN LEU 2,700,375 674,478 671,902 SINGAPORE DOLLAR 1,870,759 1,393,163 1,389,349 SOUTH AFRICAN RAND 36,304,816 2,968,585 2,991,066 SOUTH KOREAN WON 1,044,415,904 936,327 936,318 SRI LANKA RUPEE 345,784 3,209 2,584 SWEDISH KRONA 7,336,170 882,161 884,142 SWISS FRANC 7,464,387 8,034,515 7,987,145 THAILAND BAHT 20,903,732 620,378 618,902 TURKISH LIRA 7,759,877 2,893,336 2,896,557 UAE DIRHAM 339,876 92,533 92,535 US DOLLAR 5,980,229 5,980,229 5,980,229 Total $ 281,135,381 $ 281,041,247
CalPERS 2014-2015 Annual Investment Report U.S. Treasuries and Agencies Security Name Rate Maturity Date Par Value Book Value Market Value FANNIE DISCOUNT NOTE 0.00 07/08/15 15,277,198 $ 15,276,797 $ 15,277,137 FANNIE MAE 0.00 10/09/19 389,508,415 325,623,840 356,603,523 FANNIE MAE 2.63 09/06/24 40,533,581 39,702,642 40,571,821 FANNIE MAE 7.25 05/15/30 43,428,837 55,475,840 64,639,807 FANNIE MAE 6.63 11/15/30 36,576,732 42,671,307 51,930,126 FARMER MAC GTD TR 07 1 5.13 04/19/17 38,603,411 39,046,402 41,528,198 FED HOME LN DISCOUNT NT 0.01 07/10/15 177,898,373 177,892,130 177,897,483 FED HOME LN DISCOUNT NT 0.00 07/08/15 29,194,646 29,193,851 29,194,529 FREDDIE MAC 0.00 12/11/25 16,406,450 12,041,300 12,069,902 STRIPS 0.00 11/15/33 5,950,000 3,201,199 3,384,063 STRIPS 0.00 11/15/34 5,900,000 3,061,125 3,233,731 STRIPS 0.00 11/15/35 5,900,000 2,951,229 3,119,566 STRIPS 0.00 11/15/30 5,800,000 3,490,694 3,706,954 STRIPS 0.00 11/15/31 5,800,000 3,363,597 3,563,172 STRIPS 0.00 11/15/36 5,800,000 2,801,666 2,945,530 STRIPS 0.00 11/15/37 5,700,000 2,655,105 2,784,564 STRIPS 0.00 11/15/38 5,600,000 2,509,014 2,636,872 STRIPS 0.00 11/15/39 5,500,000 2,376,657 2,491,940 STRIPS 0.00 11/15/23 4,900,000 3,934,730 4,020,597 STRIPS 0.00 11/15/24 4,900,000 3,774,110 3,895,108 STRIPS 0.00 11/15/19 4,600,000 4,259,184 4,295,572 STRIPS 0.00 11/15/18 4,500,000 4,279,983 4,320,585 STRIPS 0.00 11/15/16 4,400,000 4,351,155 4,372,104 STRIPS 0.00 11/15/17 4,400,000 4,278,297 4,316,004 STRIPS 0.00 11/15/15 4,300,000 4,292,293 4,298,495 TENN VALLEY AUTHORITY 5.88 04/01/36 297,246,263 333,271,312 388,292,140 TENN VALLEY AUTHORITY 4.88 01/15/48 111,949,891 142,162,479 127,604,248 TENN VALLEY AUTHORITY 5.38 04/01/56 72,381,395 101,141,716 87,239,088 TENN VALLEY AUTHORITY 5.25 09/15/39 9,650,853 12,161,075 11,745,885 TSY INFL IX N/B 0.13 07/15/24 1,617,861,734 1,603,849,113 1,579,939,055 TSY INFL IX N/B 0.63 01/15/24 2,164,654,060 2,192,477,978 2,204,570,281 TSY INFL IX N/B 1.13 01/15/21 668,913,935 705,452,245 708,319,655 TSY INFL IX N/B 0.13 04/15/16 545,556,380 548,355,067 548,196,873 TSY INFL IX N/B 0.13 01/15/23 535,029,120 537,560,566 526,249,292 TSY INFL IX N/B 2.00 01/15/26 488,241,765 515,961,466 561,097,201 TSY INFL IX N/B 1.38 02/15/44 342,095,440 379,968,266 365,398,981 TSY INFL IX N/B 2.13 02/15/40 451,572,882 602,116,630 556,491,325 TSY INFL IX N/B 0.25 01/15/25 440,494,596 440,867,905 432,063,089 TSY INFL IX N/B 0.13 04/15/18 374,586,360 382,304,653 380,321,277 TSY INFL IX N/B 0.75 02/15/42 401,972,137 391,209,089 369,405,963 TSY INFL IX N/B 0.38 07/15/23 234,486,566 237,911,554 235,621,481 TSY INFL IX N/B 0.13 04/15/19 227,173,500 231,189,275 230,119,940 TSY INFL IX N/B 0.13 04/15/17 399,982,080 408,747,299 405,293,842 TSY INFL IX N/B 0.13 01/15/22 209,056,000 209,942,208 207,454,631 TSY INFL IX N/B 0.63 07/15/21 327,374,583 339,429,447 338,269,609 TSY INFL IX N/B 3.63 04/15/28 275,630,584 360,598,868 376,106,201 TSY INFL IX N/B 2.38 01/15/27 247,259,387 303,866,174 296,441,752 TSY INFL IX N/B 2.50 01/15/29 372,794,195 464,379,171 460,225,617 TSY INFL IX N/B 1.25 07/15/20 189,843,500 204,733,144 203,280,623 TSY INFL IX N/B 0.75 02/15/45 227,824,041 220,950,927 208,174,217 TSY INFL IX N/B 0.13 04/15/20 142,446,660 143,571,245 143,715,860 TSY INFL IX N/B 2.13 01/15/19 110,193,000 120,768,250 119,938,469 TSY INFL IX N/B 0.63 02/15/43 233,202,862 209,129,026 206,967,540
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