Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
Mortgage-Backed Securities
Security Name Rate Maturity Date Par Value Book Value Market Value
FED HM LN PC POOL A12885 5.00 08/01/33 1,878 1,983 2,083
FED HM LN PC POOL A13679 6.00 09/01/33 626 668 723
FED HM LN PC POOL A13715 5.00 09/01/33 3,553,908 3,800,742 3,923,132
FED HM LN PC POOL A13890 5.00 09/01/33 2,537 2,678 2,801
FED HM LN PC POOL A13973 5.50 10/01/33 1,883 2,037 2,120
FED HM LN PC POOL A15044 6.00 11/01/33 774 851 877
FED HM LN PC POOL A18698 6.00 02/01/34 1,343,503 1,370,254 1,542,990
FED HM LN PC POOL A19680 5.00 03/01/34 5,754 6,076 6,405
FED HM LN PC POOL A23348 6.50 06/01/34 64,189 71,667 73,513
FED HM LN PC POOL A24457 6.00 07/01/34 2,123,607 2,166,223 2,438,926
FED HM LN PC POOL A25467 6.50 08/01/34 18,103 18,639 20,786
FED HM LN PC POOL A25557 6.00 08/01/34 1,371,375 1,508,105 1,575,000
FED HM LN PC POOL A25914 6.00 08/01/34 608,657 620,834 699,032
FED HM LN PC POOL A27926 6.00 10/01/34 1,570 1,674 1,803
FED HM LN PC POOL A30638 7.00 03/01/32 3,077 3,409 3,653
FED HM LN PC POOL A32056 4.50 04/01/35 13,556 13,077 14,645
FED HM LN PC POOL A36085 6.00 07/01/35 1,756 1,931 2,016
FED HM LN PC POOL A44350 6.00 04/01/36 1,157 1,271 1,311
FED HM LN PC POOL A44755 7.00 04/01/36 31,398 34,686 33,313
FED HM LN PC POOL A46250 4.50 07/01/35 374,125 367,613 404,176
FED HM LN PC POOL A51249 6.00 08/01/36 2,717,106 2,951,180 3,078,829
FED HM LN PC POOL A52748 7.00 09/01/36 36,690 40,543 38,808
FED HM LN PC POOL A52795 7.00 09/01/36 4,206 4,648 4,357
FED HM LN PC POOL A53990 7.00 11/01/36 53,690 59,335 55,630
FED HM LN PC POOL A55597 7.00 12/01/36 4,305 4,758 5,065
FED HM LN PC POOL A56815 6.00 01/01/37 105,167 115,498 119,150
FED HM LN PC POOL A58000 5.00 03/01/37 2,018 2,133 2,217
FED HM LN PC POOL A58297 6.00 03/01/37 136,572 135,411 154,730
FED HM LN PC POOL A59085 7.00 04/01/37 12,086 13,358 12,904
FED HM LN PC POOL A61946 6.00 06/01/37 98,127 107,794 111,174
FED HM LN PC POOL A61969 6.00 06/01/37 4,726 5,091 5,354
FED HM LN PC POOL A62176 6.00 06/01/37 25,795 28,336 29,224
FED HM LN PC POOL A62582 6.00 06/01/37 4,121 4,403 4,669
FED HM LN PC POOL A62725 6.00 07/01/37 342,386 376,134 387,908
FED HM LN PC POOL A62853 6.00 07/01/37 22,123 21,934 25,064
FED HM LN PC POOL A62906 6.00 06/01/37 391,894 430,501 443,999
FED HM LN PC POOL A63098 6.00 07/01/37 5,020 5,515 5,687
FED HM LN PC POOL A63205 6.00 07/01/37 56,152 61,687 63,617
FED HM LN PC POOL A63312 7.00 07/01/37 245,893 271,807 284,427
FED HM LN PC POOL A63860 6.00 07/01/37 41,821 45,944 47,382
FED HM LN PC POOL A64107 6.50 08/01/37 189,193 192,234 217,690
FED HM LN PC POOL A64161 6.00 08/01/37 311,651 308,988 353,087
FED HM LN PC POOL A64249 6.00 08/01/37 41,899 45,619 47,552
FED HM LN PC POOL A64281 6.00 08/01/37 77,159 84,769 87,418
FED HM LN PC POOL A64381 7.00 08/01/37 448,340 495,619 521,401
FED HM LN PC POOL A64472 7.00 08/01/37 21,908 24,219 25,055
FED HM LN PC POOL A64843 7.00 08/01/37 209,215 213,263 230,623
FED HM LN PC POOL A65572 6.50 09/01/37 11,349 11,531 12,998
FED HM LN PC POOL A66302 6.00 10/01/37 653,007 655,749 739,828
FED HM LN PC POOL A66825 6.00 10/01/37 9,375 10,300 10,621
FED HM LN PC POOL A67052 6.00 10/01/37 372,395 373,965 421,907
FED HM LN PC POOL A67245 6.00 10/01/37 21,039 22,478 23,836
FED HM LN PC POOL A67492 6.50 11/01/37 34,998 35,562 40,269
FED HM LN PC POOL A67530 6.00 11/01/37 1,187 1,304 1,344
FED HM LN PC POOL A68726 6.50 11/01/37 2,345 2,622 2,698
FED HM LN PC POOL A68739 6.50 10/01/37 32,209 32,727 37,060