Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Mortgage-Backed Securities
Security Name Rate Maturity Date Par Value Book Value Market Value
COUNTRYWIDE HOME LOANS 2.42 11/25/34 685,331 460,087 588,692
COUNTRYWIDE HOME LOANS 0.52 02/25/35 576,373 387,080 522,382
COUNTRYWIDE HOME LOANS 2.52 02/25/34 169,284 141,109 165,171
CREDIT SUISSE FIRST BOSTON MOR 0.76 10/15/39 5,809,659 66,914 63,988
CREDIT SUISSE MORTGAGE TRUST 0.92 12/15/39 80,656,612 697,526 600,972
CREDIT SUISSE MORTGAGE TRUST 6.00 06/15/38 3,864,263 3,938,815 3,946,599
CSAIL COMMERCIAL MORTGAGE TRUS 1.05 06/15/57 151,120,987 9,642,577 9,451,454
DBUBS MORTGAGE TRUST 1.53 11/10/46 127,623,536 8,456,740 2,371,373
DBUBS MORTGAGE TRUST 1.50 08/10/44 116,744,959 10,596,599 1,631,744
DSLA MORTGAGE LOAN TRUST 0.99 11/19/44 252,817 104,582 219,307
FANNIE MAE 3.50 06/25/42 56,907,465 59,590,946 59,650,974
FANNIE MAE 3.00 05/25/37 33,314,086 34,229,917 33,912,274
FANNIE MAE 3.00 08/25/31 12,690,871 12,949,138 13,016,811
FANNIE MAE 5.50 02/25/33 2,693,842 2,729,270 2,935,997
FANNIE MAE 6.50 11/25/31 2,625,367 2,697,081 3,048,634
FANNIE MAE 7.00 11/25/29 1,979,166 2,171,493 2,222,567
FANNIE MAE 6.50 08/18/28 421,847 425,716 484,543
FANNIE MAE 0.00 09/25/23 328,024 279,025 314,337
FANNIE MAE 6.50 09/25/23 209,287 213,136 233,045
FANNIE MAE 7.00 03/25/20 54,253 54,904 58,675
FANNIEMAE STRIP 5.00 04/25/36 165,152 67,532 35,318
FANNIEMAE STRIP 5.00 03/25/36 152,573 60,731 34,374
FANNIEMAE WHOLE LOAN 2.69 04/25/45 872,171 903,731 930,565
FED HM LN PC POOL 1G2058 5.96 07/01/37 2,303,908 2,301,924 2,468,063
FED HM LN PC POOL 1G3603 6.01 05/01/37 316,104 312,944 326,700
FED HM LN PC POOL 1G3621 5.37 06/01/37 5,041,147 4,956,340 5,372,938
FED HM LN PC POOL 1Q0266 5.91 05/01/37 1,525,638 1,522,893 1,628,386
FED HM LN PC POOL 1Q0288 5.76 07/01/37 3,162,423 3,118,455 3,385,535
FED HM LN PC POOL 1Q0292 5.86 07/01/37 2,938,005 2,910,515 3,128,915
FED HM LN PC POOL 1Q0309 5.74 08/01/37 9,706,957 9,580,532 10,415,759
FED HM LN PC POOL 293716 7.00 05/01/17 1,254 1,264 1,256
FED HM LN PC POOL 2B0649 2.67 07/01/42 30,571,790 31,058,886 31,216,120
FED HM LN PC POOL 2B0893 2.62 11/01/42 5,495,347 5,618,096 5,665,709
FED HM LN PC POOL 2B1771 2.23 10/01/43 10,338,325 10,516,311 10,694,092
FED HM LN PC POOL 2B1985 3.00 12/01/43 8,260,689 8,563,653 8,564,498
FED HM LN PC POOL 2B2161 2.56 01/01/44 17,269,133 17,664,759 17,913,484
FED HM LN PC POOL 2B2622 3.17 05/01/44 13,671,809 14,055,872 14,115,049
FED HM LN PC POOL 2B2821 3.23 07/01/44 10,574,622 10,980,540 10,935,999
FED HM LN PC POOL 2B3169 3.20 09/01/44 7,150,127 7,390,689 7,359,645
FED HM LN PC POOL 2B3249 3.18 09/01/44 18,574,003 19,189,673 19,173,904
FED HM LN PC POOL 2B3271 3.18 08/01/44 2,596,884 2,687,330 2,680,753
FED HM LN PC POOL 2B3309 3.12 10/01/44 23,555,773 24,347,436 24,273,948
FED HM LN PC POOL 2B3317 3.09 10/01/44 13,765,887 14,174,785 14,172,468
FED HM LN PC POOL 2B3403 3.23 11/01/44 8,732,011 9,011,121 9,023,120
FED HM LN PC POOL 2B3878 2.74 03/01/45 7,800,633 8,036,199 7,989,100
FED HM LN PC POOL 303304 7.00 05/01/17 19,265 19,430 19,310
FED HM LN PC POOL 781228 2.39 02/01/34 1,836,002 1,850,786 1,957,050
FED HM LN PC POOL 846961 2.81 07/01/31 254,152 259,263 267,736
FED HM LN PC POOL 849316 3.22 07/01/43 7,087,190 7,412,016 7,325,256
FED HM LN PC POOL 849345 3.31 05/01/44 30,837,093 32,013,589 31,942,662
FED HM LN PC POOL 849433 3.26 08/01/44 16,857,530 17,433,691 17,442,521
FED HM LN PC POOL 849473 3.20 05/01/44 16,145,941 16,757,616 16,725,003
FED HM LN PC POOL 849628 2.86 10/01/44 6,265,823 6,506,720 6,471,172
FED HM LN PC POOL A11314 6.00 07/01/33 2,968 3,261 3,390
FED HM LN PC POOL A11732 5.00 08/01/33 4,188 4,421 4,623
FED HM LN PC POOL A12739 5.00 08/01/33 290,407 309,499 319,923