Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Asset-Backed Securities
Security Name Rate Maturity Date Par Value Book Value Market Value
LCM LTD PARTNERSHIP 1.78 07/15/26 230,259,165 230,040,474 230,144,266
LCM LTD PARTNERSHIP 1.58 01/19/23 212,927,830 211,182,452 211,839,343
LCM LTD PARTNERSHIP 1.58 04/19/22 203,024,210 201,325,046 203,020,150
LCM LTD PARTNERSHIP 1.43 07/15/25 163,409,730 161,157,201 161,781,189
LCM LTD PARTNERSHIP 1.48 07/14/22 101,665,586 101,689,828 101,654,606
LCM LTD PARTNERSHIP 2.28 07/15/26 41,100,023 39,574,590 41,079,555
LCM LTD PARTNERSHIP 1.93 07/15/25 39,614,480 37,571,055 38,878,007
LONG BEACH MORTGAGE LOAN TRUST 1.01 09/25/31 889,142 682,584 813,597
LONG BEACH MORTGAGE LOAN TRUST 0.66 08/25/35 831,236 768,041 823,007
LONG BEACH MORTGAGE LOAN TRUST 0.43 01/25/46 423,628 330,287 403,846
MADISON PARK FUNDING LTD 1.73 07/20/26 406,048,420 404,026,708 405,967,210
MADISON PARK FUNDING LTD 1.73 01/19/25 297,108,600 295,058,948 296,763,360
MADISON PARK FUNDING LTD 2.43 07/20/26 89,132,580 87,338,988 89,298,367
MADISON PARK FUNDING LTD 1.65 01/20/25 74,277,150 74,059,127 74,058,701
MADISON PARK FUNDING LTD 2.43 01/19/25 50,756,053 50,556,422 50,805,540
MAGNETITE CLO LTD 1.73 01/18/27 222,831,450 221,618,061 222,801,813
MAGNETITE CLO LTD 2.63 01/18/27 63,135,578 62,379,135 63,436,355
MARINE PARK CLO LTD 1.75 05/18/23 212,927,830 212,154,606 212,921,229
MARINE PARK CLO LTD 2.08 10/12/23 9,903,620 9,903,620 9,903,620
MASTR SPECIALIZED LOAN TRUST 0.56 01/25/37 2,104,301 972,229 1,355,071
MASTR SPECIALIZED LOAN TRUST 0.58 07/25/34 96,655 88,267 96,471
MERRILL LYNCH MORTGAGE INVESTO 0.79 02/25/37 3,816,104 3,816,104 447,335
MERRILL LYNCH MORTGAGE INVESTO 0.59 03/25/37 2,638,300 418,857 52,932
MERRILL LYNCH MORTGAGE INVESTO 0.46 01/25/47 868,366 607,296 819,001
MERRILL LYNCH MORTGAGE INVESTO 0.31 02/25/37 759,032 759,032 357,517
MORGAN STANLEY CAPITAL INC 0.49 12/25/35 1,513,093 1,088,238 1,441,965
MORGAN STANLEY CAPITAL INC 0.51 11/25/35 1,143,810 1,102,881 1,124,006
MORGAN STANLEY CAPITAL INC 1.25 09/25/34 95,008 76,130 89,129
MORGAN STANLEY DEAN WITTER CAP 3.26 11/25/32 150,044 150,772 137,546
NATIONAL COLLEGIATE STUDENT LO 0.66 02/25/32 2,500,000 2,500,000 30
NEW CENTURY HOME EQUITY LOAN T 1.16 10/25/33 683,045 686,232 638,172
NOMURA HOME EQUITY LOAN INC 6.06 02/25/37 1,211,263 632,954 684,574
NOVASTAR HOME EQUITY LOAN 0.29 03/25/37 118,231 118,231 59,803
OAK HILL CREDIT PARTNERS 1.68 10/20/25 190,644,685 189,090,780 190,218,975
OAKTREE ENHANCED INCOME FUNDIN 1.79 10/20/22 166,380,816 166,269,802 166,600,272
OAKTREE ENHANCED INCOME FUNDIN 1.48 04/20/23 112,901,268 112,775,598 113,014,847
OPTION ONE MORTGAGE LOAN TRUST 0.99 02/25/35 420,196 359,734 411,631
OPTION ONE MORTGAGE SECURITIES 5.44 08/26/35 213,614 - -
OWNIT MORTGAGE LOAN NIM 5.00 08/25/36 939,567 - -
PARALLEL LTD 1.00 07/20/27 114,881,992 114,583,299 114,583,299
PARALLEL LTD 2.34 07/20/27 21,787,964 21,578,800 21,578,800
PROVIDENT BANK HOME EQUITY LOA 0.73 08/25/31 476,542 293,143 361,844
RAAC SERIES 0.56 10/25/46 1,544,350 988,722 1,361,021
RAAC SERIES 0.47 05/25/46 1,159,742 771,248 1,052,623
RAAC SERIES 1.39 09/25/47 783,129 638,044 767,785
RESIDENTIAL ASSET MORTGAGE PRO 0.97 02/25/33 58,819 32,975 48,896
RESIDENTIAL ASSET SECURITIES C 0.51 01/25/36 1,353,279 1,316,968 1,336,082
RESIDENTIAL ASSET SECURITIES C 0.79 06/25/32 262,995 155,588 213,891
RESMAE MORTGAGE LOAN TRUST 0.34 02/25/36 1,252,905 1,252,905 467,565
SAIL NET INTEREST MARGIN NOTES 7.35 11/27/33 86,012 21,760 1
SAXON ASSET SECURITIES TRUST 2.77 12/25/32 268,660 202,738 204,206
SB FINANCE NIM TRUST 7.50 06/25/36 111,419 - -
SECURITIZED ASSET BACKED RECEI 0.85 10/25/35 126,918 123,749 125,839
SHACKLETON CLO LTD 1.80 04/15/27 108,939,820 108,778,693 109,367,409
SHARPS SP I LLC NET INTEREST M 5.00 05/25/35 428,624 - -