Annual Investment Report

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CalPERS 2014-2015 Annual Investment Report Asset-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value ACCESS GROUP INC 1.58 10/27/25 716,419 $ 712,125 $ 716,766 ACCREDITED MORTGAGE LOAN TRUST 5.21 01/25/34 1,492,068 1,244,891 1,449,831 ACCREDITED MORTGAGE LOAN TRUST 1.39 10/25/34 55,585 53,362 55,472 ACCREDITED MORTGAGE LOAN TRUST 0.95 01/25/34 31,055 23,367 25,289 ACE SECURITIES CORP. 0.84 11/25/35 991,609 958,298 967,685 ACE SECURITIES CORP. 1.24 12/25/33 298,072 299,345 281,407 ACE SECURITIES CORP. 0.54 02/25/36 34,693 31,597 34,618 AEGIS ASSET BACKED SECURITIES 1.24 01/25/34 67,806 68,014 64,310 AFC HOME EQUITY LOAN TRUST 0.98 06/25/30 232,170 160,298 208,577 AFC HOME EQUITY LOAN TRUST 0.86 04/25/28 33,375 26,976 30,987 AMERICAN EXPRESS CREDIT ACCOUN 0.68 03/15/18 64,988,081 65,010,497 64,999,649 AMERICAN HOME MORTGAGE INVESTM 1.08 07/25/46 1,256,410 472,789 448,814 AMERICAN HOME MORTGAGE INVESTM 0.59 01/25/47 1,128,403 355,808 178,065 AMERIQUEST MORTGAGE SECURITIES 1.54 03/25/33 337,106 338,457 321,229 APIDOS CLO 1.73 01/19/25 234,715,794 232,791,113 234,115,626 APIDOS CLO 1.43 04/15/25 194,110,952 190,424,863 191,297,120 APIDOS CLO 1.66 01/17/23 174,303,712 173,196,833 173,720,492 APIDOS CLO 1.70 10/30/22 99,036,200 98,489,055 98,771,971 APIDOS CLO 1.98 04/15/25 41,595,204 39,485,518 40,621,294 APIDOS CLO 1.98 01/19/25 34,167,489 32,417,057 33,350,203 APIDOS CLO 2.52 01/17/23 14,855,430 14,843,716 14,855,980 APIDOS CLO 1.38 04/15/25 13,988,863 13,693,827 13,800,867 ARGENT SECURITIES INC. 1.22 01/25/34 441,754 443,525 424,721 ARGENT SECURITIES INC. 1.23 10/25/33 111,817 112,554 109,184 ASSET BACKED FUNDING CERTIFICA 0.81 12/25/34 481,829 425,527 479,501 ASSET BACKED FUNDING CERTIFICA 1.31 05/25/32 225,589 195,424 218,757 ASSET BACKED FUNDING CORPORATI 6.00 07/26/35 314,228 - - ASSET BACKED SECURITIES CORP H 1.31 09/15/33 529,265 531,177 510,277 ATRIUM CDO CORP 1.75 10/23/22 209,956,744 209,922,873 209,960,313 AVERY POINT CLO LTD 1.68 01/18/25 208,966,382 207,352,513 208,480,535 BAYVIEW FINANCIAL ACQUISITION 1.19 05/28/39 1,708,185 1,074,171 1,559,128 BAYVIEW FINANCIAL ACQUISITION 0.54 05/28/37 1,703,013 1,070,088 1,315,933 BAYVIEW FINANCIAL ACQUISITION 0.47 12/28/36 990,503 731,451 934,976 BAYVIEW FINANCIAL ACQUISITION 5.66 12/28/36 562,940 547,056 561,467 BAYVIEW FINANCIAL ASSET TRUST 0.64 03/25/37 1,537,559 1,198,201 1,260,799 BAYVIEW FINANCIAL ASSET TRUST 0.79 12/25/39 599,339 488,063 575,042 BAYVIEW FINANCIAL ASSET TRUST 1.34 03/25/37 448,455 258,110 278,042 BAYVIEW FINANCIAL ASSET TRUST 1.69 03/25/37 352,358 181,863 200,844 BEAR STEARNS ASSET BACKED SECU 0.35 08/25/36 2,016,333 1,955,351 1,746,102 BEAR STEARNS ASSET BACKED SECU 0.59 09/25/46 1,243,354 716,490 1,061,366 BEAR STEARNS ASSET BACKED SECU 0.59 03/25/35 718,759 643,662 712,327 BEAR STEARNS ASSET BACKED SECU 1.23 06/25/34 176,536 171,224 177,194 BEAR STEARNS ASSET BACKED SECU 5.50 12/25/35 87,300 - - CARLYLE GLOBAL MARKET STRATEGI 1.80 10/16/25 314,935,116 313,234,514 315,178,246 CARLYLE GLOBAL MARKET STRATEGI 1.79 04/17/25 296,118,238 295,267,246 296,259,190 CARLYLE GLOBAL MARKET STRATEGI 2.48 10/16/25 58,431,358 56,569,234 58,596,427 CARLYLE GLOBAL MARKET STRATEGI 2.37 04/17/25 44,566,290 43,443,781 44,385,351 CARLYLE GLOBAL MARKET STRATEGI 1.40 07/15/25 30,547,716 30,011,889 30,123,194 CATAMARAN CLO LTD 1.79 10/18/26 186,188,056 184,618,027 185,431,202 CATAMARAN CLO LTD 1.83 04/20/26 177,274,798 176,219,914 177,217,184 CATAMARAN CLO LTD 1.43 01/27/25 158,457,920 155,214,141 156,508,412 CATAMARAN CLO LTD 2.08 04/20/26 44,566,290 42,145,747 44,032,564 CATAMARAN CLO LTD 2.03 01/27/25 40,604,842 39,447,902 40,006,530 CATAMARAN CLO LTD 2.58 10/18/26 35,653,032 34,616,014 35,696,921 CHASE ISSUANCE TRUST 0.59 08/15/17 31,389,243 31,395,319 31,389,337
CalPERS 2014-2015 Annual Investment Report Asset-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value CHASE ISSUANCE TRUST 0.32 08/15/17 19,996,333 19,994,800 19,994,733 CIFC FUNDING LTD 1.43 04/21/25 197,082,038 193,118,395 194,036,332 CITIBANK CREDIT CARD ISSUANCE 6.15 06/15/39 180,643,696 192,647,242 231,838,047 CITIBANK CREDIT CARD ISSUANCE 5.65 09/20/19 38,555,157 38,478,519 42,262,223 CITIGROUP MORTGAGE LOAN TRUST 0.58 11/25/46 2,415,061 1,310,222 2,033,482 COACHELLA HOUSING 8.40 08/01/20 877,374 877,374 901,092 COUNTRYWIDE ASSET BACKED CERTI 0.27 03/25/34 80,000,000 - 1 COUNTRYWIDE ASSET BACKED CERTI 1.09 10/25/47 2,185,207 1,528,229 1,945,590 COUNTRYWIDE ASSET BACKED CERTI 0.52 04/25/36 1,630,000 944,704 1,521,577 COUNTRYWIDE ASSET BACKED CERTI 1.19 08/25/47 1,431,495 923,752 1,316,034 COUNTRYWIDE ASSET BACKED CERTI 0.84 02/25/37 955,507 234,281 7,489 COUNTRYWIDE ASSET BACKED CERTI 0.85 04/25/32 261,147 162,279 174,929 COUNTRYWIDE ASSET BACKED CERTI 0.65 09/25/34 158,465 158,576 156,167 COUNTRYWIDE ASSET BACKED CERTI 1.09 06/25/33 91,862 82,974 88,557 COUNTRYWIDE HOME EQUITY LOAN T 0.47 02/15/34 362,571 240,654 319,589 COUNTRYWIDE HOME EQUITY LOAN T 0.47 02/15/34 249,320 166,809 227,957 COUNTRYWIDE HOME EQUITY LOAN T 0.48 12/15/33 105,665 83,504 96,269 COVENANT CREDIT PARTNERS CLO L 1.74 10/17/26 207,976,020 206,351,187 206,758,736 COVENANT CREDIT PARTNERS CLO L 1.76 07/20/26 198,567,581 197,291,923 197,548,135 COVENANT CREDIT PARTNERS CLO L 2.33 07/20/26 43,080,747 41,243,322 42,592,685 COVENANT CREDIT PARTNERS CLO L 2.47 10/17/26 37,138,575 36,322,641 37,114,509 CREDIT BASED ASSET SERVICING A 0.85 04/25/36 73,699 69,392 73,567 CREDIT SUISSE FIRST BOSTON MOR 0.66 05/25/44 17,500 17,033 17,197 CREDIT SUISSE MORTGAGE TRUST 0.73 10/25/36 469,976 405,962 462,407 EMC MORTGAGE LOAN TRUST 1.69 05/25/39 339,344 279,696 324,195 EQUITY ONE ABS INC 5.91 02/25/33 97,488 97,518 56,916 FBR SECURITIZATION TRUST 3.53 11/25/35 570,753 - - FBR SECURITIZATION TRUST 3.53 09/25/35 300,000 - - FIRST FRANKLIN MORTGAGE LOAN N 6.50 09/25/35 198,940 198,004 20 FIRST FRANKLIN MORTGAGE LOAN N 5.68 12/25/35 42,874 - - FIRST FRANKLIN MTG LOAN ASSET 0.70 09/25/35 1,552,720 1,557,053 1,544,520 FIRST FRANKLIN MTG LOAN ASSET 0.45 12/25/26 778,257 778,257 545,608 GE WMC MORTGAGE SECURITIES NIM 5.50 01/25/36 103,549 - - GOLDENTREE LOAN OPPORTUNITIES 1.57 04/17/22 207,976,020 206,669,143 207,226,059 GOLDENTREE LOAN OPPORTUNITIES 1.79 10/29/26 153,010,929 152,167,633 152,970,381 GRAYSON CLO LTD 0.52 11/01/21 114,154,541 112,292,786 111,298,851 GREENPOINT MORTGAGE FUNDING TR 1.21 09/25/34 111,945 18,923 173,692 GSAMP NIM TRUST 5.50 11/25/35 539,975 - - GSAMP TRUST 0.68 05/25/36 3,104,000 1,398,265 2,876,151 GSAMP TRUST 0.49 12/25/36 1,442,185 930,286 1,337,416 GSAMP TRUST 0.48 05/25/36 387,823 326,752 383,645 HEAT EQUITY ASSET TRUST NIM 6.00 01/27/36 419,282 - - HEAT EQUITY ASSET TRUST NIM 6.50 05/27/36 131,313 - - HOME EQUITY ASSET TRUST 0.34 10/25/36 2,193,213 1,226,001 1,915,381 HOME EQUITY ASSET TRUST 2.59 10/25/33 44,818 45,341 40,910 HOME EQUITY MORTGAGE TRUST 6.00 01/25/37 3,689,804 3,688,172 2,183,803 HULL STREET CDO LTD 1.78 10/18/26 103,988,010 102,925,078 103,984,890 ICG US CLO LTD 2.37 07/19/27 106,959,096 106,959,096 106,959,096 ICG US CLO LTD 2.37 07/19/27 31,196,403 31,098,063 31,098,883 INDYMAC HOME EQUITY LOAN ASSET 1.09 06/25/31 517,257 397,273 459,203 IXIS REAL ESTATE CAPITAL TRUST 0.35 08/25/36 4,746,092 2,018,053 1,982,300 JP MORGAN MORTGAGE ACQUISITION 0.47 01/25/37 7,150,000 7,139,881 5,181,491 JP MORGAN MORTGAGE ACQUISITION 0.26 08/25/36 20,183 20,183 10,144 KVK CLO LTD 1.83 07/15/26 235,706,156 234,249,371 234,562,981 KVK CLO LTD 2.43 07/15/26 44,566,290 42,934,441 44,316,719
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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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California Public Employees’ Reti
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