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 Q02982 5.00 08/01/41 412,205 461,609 457,028
FED HM LN PC POOL Q03009 4.50 09/01/41 1,537,599 1,662,598 1,683,153
FED HM LN PC POOL Q03039 4.50 09/01/41 1,908,684 2,050,452 2,089,376
FED HM LN PC POOL Q03089 4.50 09/01/41 6,016,503 6,458,078 6,505,727
FED HM LN PC POOL Q03090 4.50 09/01/41 1,226,157 1,325,837 1,341,895
FED HM LN PC POOL Q03147 5.00 09/01/41 960,997 1,076,180 1,074,590
FED HM LN PC POOL Q03227 4.50 09/01/41 388,451 416,199 420,037
FED HM LN PC POOL Q03232 4.50 09/01/41 2,490,918 2,668,851 2,693,463
FED HM LN PC POOL Q03240 4.50 09/01/41 941,991 1,017,614 1,028,252
FED HM LN PC POOL Q03447 4.50 09/01/41 141,644 148,971 153,161
FED HM LN PC POOL Q03457 4.50 09/01/41 2,327,629 2,514,493 2,540,828
FED HM LN PC POOL Q03526 4.50 09/01/41 213,234 228,466 230,573
FED HM LN PC POOL Q03550 4.50 09/01/41 1,319,387 1,413,634 1,426,671
FED HM LN PC POOL Q03580 4.50 09/01/41 416,115 445,362 449,951
FED HM LN PC POOL Q03643 4.50 10/01/41 6,843,206 7,399,650 7,491,090
FED HM LN PC POOL Q03645 4.50 09/01/36 5,975,288 6,406,171 6,461,160
FED HM LN PC POOL Q03686 4.50 10/01/41 193,457 207,058 209,188
FED HM LN PC POOL Q03779 4.50 07/01/41 2,267,035 2,408,273 2,451,375
FED HM LN PC POOL Q03805 4.50 10/01/41 43,489,829 46,202,027 47,026,144
FED HM LN PC POOL Q04049 4.50 10/01/41 928,162 994,483 1,003,634
FED HM LN PC POOL Q04141 4.50 10/01/41 6,833,337 7,321,609 7,388,981
FED HM LN PC POOL Q04220 4.50 10/01/41 207,307 221,882 224,164
FED HM LN PC POOL Q04296 4.50 11/01/41 229,570 248,008 250,599
FED HM LN PC POOL Q04368 4.00 11/01/41 128,720 135,772 136,892
FED HM LN PC POOL Q04441 4.00 11/01/41 8,369,098 8,992,201 8,900,422
FED HM LN PC POOL Q04442 4.50 11/01/41 30,166,383 32,048,313 32,619,321
FED HM LN PC POOL Q04448 5.00 11/01/41 755,986 844,618 832,347
FED HM LN PC POOL Q04643 5.00 11/01/41 1,131,220 1,263,845 1,251,041
FED HM LN PC POOL Q04660 4.50 11/01/41 1,453,595 1,570,345 1,586,701
FED HM LN PC POOL Q04663 5.00 11/01/41 2,194,571 2,451,865 2,437,791
FED HM LN PC POOL Q04741 4.50 11/01/41 6,087,854 6,540,151 6,582,879
FED HM LN PC POOL Q04789 4.50 11/01/41 5,886,175 6,300,101 6,364,802
FED HM LN PC POOL Q04941 4.50 12/01/41 482,406 516,338 521,632
FED HM LN PC POOL Q05316 4.50 12/01/41 2,392,200 2,521,692 2,586,719
FED HM LN PC POOL Q05451 4.00 01/01/42 17,344,036 18,314,310 18,374,636
FED HM LN PC POOL Q05535 3.50 01/01/42 2,607,854 2,570,740 2,698,207
FED HM LN PC POOL Q05599 4.00 01/01/42 18,360,315 19,594,954 19,525,946
FED HM LN PC POOL Q05711 4.50 01/01/42 866,248 935,855 945,502
FED HM LN PC POOL Q05717 3.50 01/01/42 1,214,923 1,197,632 1,253,883
FED HM LN PC POOL Q07114 3.50 04/01/42 1,032,560 1,092,952 1,066,687
FED HM LN PC POOL Q07221 3.50 04/01/42 800,863 847,704 825,763
FED HM LN PC POOL Q07479 3.50 04/01/42 110,978 109,397 114,445
FED HM LN PC POOL Q07480 4.00 04/01/42 38,125,772 40,848,985 40,391,243
FED HM LN PC POOL Q07863 4.00 04/01/42 3,089,227 3,336,254 3,269,178
FED HM LN PC POOL Q07990 3.50 04/01/42 16,406,564 16,163,961 16,918,816
FED HM LN PC POOL Q08126 4.50 05/01/42 1,597,491 1,752,878 1,728,123
FED HM LN PC POOL Q08305 3.50 05/01/42 921,812 979,670 951,430
FED HM LN PC POOL Q08311 4.00 05/01/42 7,149,099 7,706,683 7,598,650
FED HM LN PC POOL Q08837 3.50 06/01/42 1,456,416 1,544,743 1,503,271
FED HM LN PC POOL Q08862 3.50 06/01/42 34,666 36,695 35,736
FED HM LN PC POOL Q09396 3.50 07/01/42 4,118,413 4,368,251 4,250,920
FED HM LN PC POOL Q09426 4.00 07/01/42 2,501,538 2,686,949 2,658,852
FED HM LN PC POOL Q09716 4.00 07/01/42 1,146,159 1,237,887 1,212,930
FED HM LN PC POOL Q10004 3.50 08/01/42 927,394 983,669 957,232
FED HM LN PC POOL Q10056 4.50 08/01/42 3,140,183 3,445,834 3,396,965
FED HM LN PC POOL Q10062 3.50 07/01/42 987,028 1,056,665 1,017,870