CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> 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 - -
CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> Asset-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value SLATER MILL LOAN FUND LP 1.73 08/17/22 96,065,114 95,768,567 95,896,712 SLM STUDENT LOAN TRUST 0.68 12/15/39 1,550,224 1,550,224 1,241,650 STRUCTURED ASSET INVESTMENT LO 1.09 11/25/34 794,897 795,700 698,491 STRUCTURED ASSET SECURITIES CO 0.32 02/25/37 3,250,000 3,035,471 2,836,038 STRUCTURED ASSET SECURITIES CO 0.33 05/25/36 364,034 345,387 348,805 SYMPHONY CLO LTD 1.58 10/15/25 330,780,908 325,758,196 329,065,147 SYMPHONY CLO LTD 1.57 01/17/25 306,517,039 303,881,319 304,825,065 SYMPHONY CLO LTD 1.58 04/16/22 249,571,224 248,460,599 249,572,222 SYMPHONY CLO LTD 1.53 07/28/21 138,122,448 137,610,920 138,123,415 SYMPHONY CLO LTD 2.03 10/15/25 30,701,222 29,458,057 30,453,862 TERWIN MORTGAGE TRUST 1.68 07/25/37 3,470,390 3,441,622 1,790,711 TERWIN MORTGAGE TRUST 1.74 05/25/37 3,279,383 3,253,650 2,024,252 TERWIN MORTGAGE TRUST 1.56 03/25/37 1,845,985 1,837,553 1,145,354 TICP CLO LTD 1.88 07/20/27 212,927,830 212,380,312 212,601,625 TICP CLO LTD 2 46,407 99,036,200 98,544,620 98,753,749 TICP CLO LTD 2.58 07/20/27 32,929,537 32,825,322 32,824,755 WASHINGTON MILL CLO LTD 1.78 04/20/26 49,518,100 49,188,829 49,341,518 WELLS FARGO HOME EQUITY TRUST 0.56 04/25/34 3,750,000 3,738,750 3,566,940 WELLS FARGO HOME EQUITY TRUST 3.19 10/25/34 97,463 97,668 91,879 ZAIS CLO 3, LTD 1.87 07/15/27 80,219,322 80,219,322 80,096,025 ZIGGURAT CLO LTD 1.86 10/17/26 99,036,200 98,574,532 99,034,516 Total $ 9,501,805,461 $ 9,588,372,906
Change language