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 G01324 7.00 10/01/31 18,831 19,164 22,527
FED HM LN PC POOL G01649 5.00 02/01/34 618,959 655,947 683,264
FED HM LN PC POOL G01740 5.50 12/01/34 6,191,981 6,694,643 6,969,400
FED HM LN PC POOL G01770 5.50 01/01/35 15,842,107 17,150,783 17,831,122
FED HM LN PC POOL G01981 5.00 12/01/35 31,695 33,863 34,947
FED HM LN PC POOL G01992 6.50 12/01/35 24,670 25,058 28,254
FED HM LN PC POOL G02319 6.50 08/01/36 398,229 404,552 458,313
FED HM LN PC POOL G02366 6.50 10/01/36 10,787 12,052 12,354
FED HM LN PC POOL G02496 6.00 12/01/36 560,855 609,140 635,520
FED HM LN PC POOL G02611 6.00 02/01/37 146,094 156,034 165,543
FED HM LN PC POOL G02735 7.00 03/01/37 471,832 481,016 568,739
FED HM LN PC POOL G02789 6.00 04/01/37 2,054,052 2,231,307 2,327,152
FED HM LN PC POOL G02985 6.00 06/01/37 57,434 61,352 65,070
FED HM LN PC POOL G02996 6.00 05/01/37 542,571 537,948 614,709
FED HM LN PC POOL G03120 6.00 08/01/37 89,918 98,786 101,873
FED HM LN PC POOL G03158 6.00 08/01/37 187,149 187,712 212,031
FED HM LN PC POOL G03202 5.50 09/01/37 833,426 880,174 931,246
FED HM LN PC POOL G03218 6.00 09/01/37 47,856 52,578 54,218
FED HM LN PC POOL G03362 6.00 09/01/37 978,603 1,075,173 1,108,714
FED HM LN PC POOL G03521 6.50 07/01/37 370,764 414,532 426,609
FED HM LN PC POOL G03550 6.00 11/01/37 51,555 55,084 58,409
FED HM LN PC POOL G03617 6.50 12/01/37 467,243 474,779 537,620
FED HM LN PC POOL G03618 6.50 12/01/37 776,368 862,792 893,306
FED HM LN PC POOL G03698 6.00 12/01/37 63,370 69,633 71,795
FED HM LN PC POOL G03781 6.00 01/01/38 955,351 1,020,848 1,082,372
FED HM LN PC POOL G03973 6.00 01/01/38 3,047,776 3,085,709 3,452,998
FED HM LN PC POOL G04015 6.00 02/01/38 649,494 705,859 735,849
FED HM LN PC POOL G04214 5.50 05/01/38 962,882 1,017,151 1,076,054
FED HM LN PC POOL G04445 5.50 06/01/38 100,124 105,771 111,892
FED HM LN PC POOL G04477 6.00 08/01/38 202,784 222,885 229,782
FED HM LN PC POOL G04570 6.00 11/01/37 37,040 39,576 41,965
FED HM LN PC POOL G04610 6.00 07/01/38 46,474 49,673 52,662
FED HM LN PC POOL G04765 6.00 09/01/38 29,411 30,820 33,322
FED HM LN PC POOL G04953 4.50 09/01/38 39,423 39,694 42,613
FED HM LN PC POOL G05182 5.00 02/01/33 17,659,577 18,705,338 19,652,137
FED HM LN PC POOL G05227 6.00 02/01/39 24,790 25,982 28,091
FED HM LN PC POOL G05228 6.00 01/01/39 99,491 109,379 112,738
FED HM LN PC POOL G05354 5.00 03/01/39 117,603 131,373 130,505
FED HM LN PC POOL G05380 6.00 04/01/39 9,191 9,633 10,403
FED HM LN PC POOL G05535 4.50 07/01/39 64,783,119 70,681,851 69,903,047
FED HM LN PC POOL G05661 5.00 09/01/39 217,878 243,396 241,522
FED HM LN PC POOL G05668 5.00 04/01/35 53,453,803 56,973,860 59,007,240
FED HM LN PC POOL G05749 6.00 03/01/38 3,643 4,003 4,127
FED HM LN PC POOL G05774 5.00 01/01/40 680,780 760,527 756,051
FED HM LN PC POOL G05830 6.00 12/01/39 1,290,010 1,403,206 1,461,761
FED HM LN PC POOL G05832 5.00 03/01/40 46,131 48,817 50,794
FED HM LN PC POOL G05929 5.00 07/01/40 1,923,752 2,149,157 2,136,942
FED HM LN PC POOL G05958 5.00 08/01/40 578,972 621,030 637,494
FED HM LN PC POOL G05978 6.00 05/01/40 18,408 20,252 20,859
FED HM LN PC POOL G06024 4.50 08/01/40 87,104 94,074 94,557
FED HM LN PC POOL G06395 5.00 04/01/40 214,786 229,344 238,054
FED HM LN PC POOL G06492 4.50 05/01/41 525,560 568,245 575,237
FED HM LN PC POOL G06503 4.50 09/01/40 201,761 218,116 220,740
FED HM LN PC POOL G06719 4.50 09/01/41 7,405,566 8,000,089 8,083,842
FED HM LN PC POOL G06782 4.00 10/01/41 20,213 20,914 21,496
FED HM LN PC POOL G06875 5.50 12/01/38 500,559 545,836 561,469