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 G13748 5.00 12/01/24 13,896 14,680 15,123
FED HM LN PC POOL G13756 5.00 01/01/25 65,595 69,402 70,945
FED HM LN PC POOL G13827 5.00 03/01/25 95,107 99,172 103,104
FED HM LN PC POOL G13888 5.00 06/01/25 5,047,625 5,369,838 5,470,470
FED HM LN PC POOL G13911 5.00 06/01/25 647,633 675,392 699,974
FED HM LN PC POOL G14181 3.50 06/01/21 78,851 81,762 83,312
FED HM LN PC POOL G14496 3.00 06/01/27 35,384,775 37,006,386 36,708,068
FED HM LN PC POOL G18156 5.00 12/01/21 6,825 7,178 7,253
FED HM LN PC POOL G18247 5.00 04/01/23 139,674 147,036 151,864
FED HM LN PC POOL G18304 5.00 03/01/24 651,397 677,266 710,333
FED HM LN PC POOL G30109 6.00 03/03/18 2,482 2,556 2,806
FED HM LN PC POOL G30359 5.00 08/01/27 3,424 3,599 3,765
FED HM LN PC POOL G30419 5.00 11/01/28 22,981 23,999 25,269
FED HM LN PC POOL J01665 5.00 04/01/16 5,652 5,702 5,902
FED HM LN PC POOL J01893 5.00 06/01/16 13,738 13,882 14,344
FED HM LN PC POOL J02286 5.00 07/01/15 112 112 118
FED HM LN PC POOL J02841 5.00 06/01/16 13,905 14,050 14,518
FED HM LN PC POOL J02969 5.00 07/01/16 12,433 12,574 12,981
FED HM LN PC POOL J03958 5.00 12/01/21 29,218 30,293 31,413
FED HM LN PC POOL J04178 5.00 01/01/22 16,443 17,051 17,676
FED HM LN PC POOL J04229 5.00 02/01/22 3,595 3,729 3,899
FED HM LN PC POOL J04324 5.00 02/01/22 12,123 12,574 12,978
FED HM LN PC POOL J04508 5.00 03/01/22 3,801 3,997 3,972
FED HM LN PC POOL J04625 5.00 04/01/17 34,837 35,440 36,373
FED HM LN PC POOL J04743 5.00 04/01/17 173,393 176,426 181,038
FED HM LN PC POOL J05659 5.00 09/01/22 65,752 69,240 69,875
FED HM LN PC POOL J06770 5.00 12/01/22 9,699 10,219 10,518
FED HM LN PC POOL J06787 5.00 01/01/23 107,929 112,092 112,752
FED HM LN PC POOL J06806 5.00 02/01/23 78,157 81,166 84,548
FED HM LN PC POOL J06832 5.00 01/01/23 1,733 1,800 1,879
FED HM LN PC POOL J06843 5.00 02/01/18 32,493 33,202 33,927
FED HM LN PC POOL J06857 5.00 01/01/23 4,407 4,580 4,753
FED HM LN PC POOL J07005 5.00 02/01/23 67,667 70,286 73,372
FED HM LN PC POOL J07046 5.00 02/01/23 13,096 13,607 14,123
FED HM LN PC POOL J07161 5.00 03/01/23 233,625 245,895 253,227
FED HM LN PC POOL J07567 5.00 04/01/23 116,808 122,965 126,334
FED HM LN PC POOL J07575 5.00 04/01/23 61,478 63,895 66,665
FED HM LN PC POOL J07704 5.00 04/01/23 58,039 61,098 62,692
FED HM LN PC POOL J07844 5.00 05/01/23 11,500 12,108 12,220
FED HM LN PC POOL J07891 5.00 05/01/23 326,384 338,992 353,744
FED HM LN PC POOL J07926 5.00 05/01/23 60,449 62,853 65,545
FED HM LN PC POOL J08023 5.00 07/01/23 1,165,369 1,210,329 1,257,182
FED HM LN PC POOL J08068 5.00 06/01/18 94,241 96,452 98,493
FED HM LN PC POOL J08112 5.00 06/01/23 21,434 22,258 22,396
FED HM LN PC POOL J08160 5.00 12/01/22 72,794 76,701 78,640
FED HM LN PC POOL J08248 5.00 12/01/22 57,535 59,775 60,117
FED HM LN PC POOL J08266 5.00 07/01/23 171,476 178,091 185,944
FED HM LN PC POOL J08278 5.00 03/01/21 41,344 43,458 43,192
FED HM LN PC POOL J08289 5.00 07/01/18 17,983 18,412 18,797
FED HM LN PC POOL J08503 5.00 08/01/18 25,307 25,950 26,431
FED HM LN PC POOL J08657 5.00 09/01/23 197,139 204,932 205,873
FED HM LN PC POOL J08743 5.00 09/01/20 36,590 38,392 38,222
FED HM LN PC POOL J08811 5.00 10/01/18 1,022 1,047 1,067
FED HM LN PC POOL J09312 5.00 02/01/24 309,750 322,310 328,377
FED HM LN PC POOL J09331 5.00 09/01/18 17,202 17,642 17,961
FED HM LN PC POOL J09411 5.00 03/01/19 27,273 28,039 28,486