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 A97152 4.50 02/01/41 1,729,954 1,868,607 1,888,053
FED HM LN PC POOL A97169 5.00 02/01/41 83,180 88,046 91,792
FED HM LN PC POOL A97248 4.50 03/01/41 1,589,926 1,717,385 1,735,151
FED HM LN PC POOL A97255 4.50 02/01/41 7,744,721 8,480,106 8,452,570
FED HM LN PC POOL A97323 5.00 03/01/41 1,199,040 1,339,575 1,331,923
FED HM LN PC POOL A97528 4.50 03/01/41 923,050 997,047 1,005,854
FED HM LN PC POOL A97661 4.50 03/01/41 4,506,385 4,867,646 4,918,245
FED HM LN PC POOL A97942 4.50 04/01/41 681,084 731,011 736,466
FED HM LN PC POOL B10920 5.00 11/01/18 7,095 7,370 7,435
FED HM LN PC POOL B18635 5.00 06/01/20 31,440 32,941 32,841
FED HM LN PC POOL B32155 3.50 04/01/42 166,126 165,783 171,252
FED HM LN PC POOL C00909 7.00 01/01/30 6,184 6,307 7,109
FED HM LN PC POOL C01367 7.00 05/01/32 3,139 3,470 3,795
FED HM LN PC POOL C03424 6.00 10/01/39 182,236 200,711 206,303
FED HM LN PC POOL C03427 5.50 10/01/39 27,050,042 29,494,368 30,577,968
FED HM LN PC POOL C03479 5.00 06/01/40 221,688 236,204 244,095
FED HM LN PC POOL C03533 5.00 10/01/40 118,914 127,787 130,934
FED HM LN PC POOL C03552 4.50 08/01/40 4,118,467 4,423,819 4,507,336
FED HM LN PC POOL C03812 3.50 04/01/42 1,599,288 1,707,138 1,663,009
FED HM LN PC POOL C03993 4.00 06/01/42 59,996,126 64,283,853 63,561,156
FED HM LN PC POOL C09005 4.00 07/01/42 179,819 192,161 190,504
FED HM LN PC POOL C09021 4.50 11/01/42 780,794 835,857 844,642
FED HM LN PC POOL C33003 7.50 11/01/29 1,706 1,744 1,713
FED HM LN PC POOL C35289 7.00 01/01/30 27,380 27,924 27,476
FED HM LN PC POOL C35511 7.00 01/01/30 11,111 12,278 12,657
FED HM LN PC POOL C35716 7.50 01/01/30 21,630 22,109 21,902
FED HM LN PC POOL C37060 7.00 03/01/30 19,525 21,578 20,971
FED HM LN PC POOL C43084 7.50 07/01/30 2,233 2,283 2,583
FED HM LN PC POOL C46835 7.50 01/01/31 15,572 15,925 16,840
FED HM LN PC POOL C46897 6.00 01/01/25 1,128 1,207 1,275
FED HM LN PC POOL C48025 7.50 02/01/31 4,820 4,929 4,965
FED HM LN PC POOL C48782 7.50 03/01/31 2,631 2,691 2,772
FED HM LN PC POOL C48961 7.50 03/01/31 35,366 36,171 36,186
FED HM LN PC POOL C50565 7.50 04/01/31 3,139 3,211 3,189
FED HM LN PC POOL C50763 7.50 04/01/31 7,700 7,876 7,956
FED HM LN PC POOL C51850 7.50 05/01/31 12,884 13,179 13,290
FED HM LN PC POOL C67539 6.00 01/01/29 554 606 627
FED HM LN PC POOL C76133 5.00 02/01/33 2,661 2,808 2,937
FED HM LN PC POOL C77128 5.00 03/01/33 948 1,000 1,042
FED HM LN PC POOL C91137 5.00 11/01/27 2,217 2,331 2,444
FED HM LN PC POOL C91154 5.00 01/01/28 7,451 7,835 8,192
FED HM LN PC POOL C91167 5.00 04/01/28 3,440 3,618 3,784
FED HM LN PC POOL C91222 5.00 12/01/28 17,279 18,229 18,998
FED HM LN PC POOL C91227 5.00 10/01/28 29,770 31,412 32,738
FED HM LN PC POOL C91485 3.50 08/01/32 26,658,661 28,225,080 27,897,950
FED HM LN PC POOL C91829 3.50 05/01/35 18,531,669 19,542,330 19,346,391
FED HM LN PC POOL D97372 5.00 07/01/27 29,272 30,532 32,186
FED HM LN PC POOL D97638 5.00 03/01/28 11,935 12,457 13,139
FED HM LN PC POOL D98316 5.00 01/01/30 19,763 20,816 21,755
FED HM LN PC POOL E00988 5.00 05/01/16 743 750 776
FED HM LN PC POOL E01206 5.00 08/01/17 10,904 11,213 11,421
FED HM LN PC POOL E02138 5.00 04/01/16 205 208 214
FED HM LN PC POOL E91376 5.00 09/01/17 6,631 6,766 6,945
FED HM LN PC POOL E92817 5.00 12/01/17 19,814 20,430 20,752
FED HM LN PC POOL G00029 8.00 06/01/21 78,545 80,814 85,285
FED HM LN PC POOL G00616 7.00 06/01/26 291 323 324