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 Q10323 3.50 08/01/42 26,953 26,569 27,795
FED HM LN PC POOL Q10333 3.50 08/01/42 23,991 23,649 24,709
FED HM LN PC POOL Q10397 4.50 08/01/42 1,456,192 1,564,503 1,589,918
FED HM LN PC POOL Q10547 3.50 08/01/42 995,292 1,055,687 1,027,315
FED HM LN PC POOL Q10667 3.50 08/01/42 1,715,456 1,836,520 1,766,765
FED HM LN PC POOL Q10670 4.00 08/01/42 964,740 1,041,970 1,025,408
FED HM LN PC POOL Q10971 3.50 09/01/42 2,660,901 2,655,395 2,743,007
FED HM LN PC POOL Q11005 3.50 09/01/42 14,837,265 14,806,563 15,295,092
FED HM LN PC POOL Q11103 3.50 09/01/42 1,238,871 1,328,291 1,278,732
FED HM LN PC POOL Q11207 3.50 09/01/42 1,700,942 1,797,883 1,753,427
FED HM LN PC POOL Q11420 3.50 09/01/42 26,289 25,914 27,110
FED HM LN PC POOL Q11552 3.50 10/01/42 919,719 986,120 949,309
FED HM LN PC POOL Q11766 3.50 10/01/42 911,840 976,226 940,328
FED HM LN PC POOL Q12191 3.50 10/01/42 1,023,001 1,094,256 1,056,170
FED HM LN PC POOL Q12211 3.50 10/01/42 51,368 50,635 52,973
FED HM LN PC POOL Q12276 3.50 10/01/42 5,884,229 6,289,277 6,065,796
FED HM LN PC POOL Q12434 3.50 11/01/42 766,684 820,100 791,417
FED HM LN PC POOL Q12583 3.50 11/01/42 1,089,380 1,165,279 1,124,431
FED HM LN PC POOL Q12797 3.50 11/01/42 961,534 1,030,973 992,468
FED HM LN PC POOL Q12858 3.50 11/01/42 1,209,185 1,206,682 1,246,496
FED HM LN PC POOL Q13268 4.50 10/01/42 2,082,761 2,285,579 2,253,075
FED HM LN PC POOL Q13756 4.50 10/01/42 1,285,569 1,376,208 1,390,693
FED HM LN PC POOL Q13879 3.50 12/01/42 2,000,601 2,140,881 2,064,974
FED HM LN PC POOL Q13973 3.00 12/01/42 33,507 33,345 33,407
FED HM LN PC POOL Q14010 3.50 12/01/42 3,085,779 3,279,882 3,180,995
FED HM LN PC POOL Q14023 3.50 12/01/42 737,236 789,037 761,022
FED HM LN PC POOL Q14561 3.50 01/01/43 3,842,411 4,102,053 3,970,887
FED HM LN PC POOL Q14672 3.50 01/01/43 2,892,540 2,886,551 2,981,794
FED HM LN PC POOL Q14864 3.50 01/01/43 32,770 32,302 33,781
FED HM LN PC POOL Q14907 3.50 01/01/43 1,980,846 2,114,697 2,046,402
FED HM LN PC POOL Q14933 3.00 01/01/43 11,113,340 10,712,280 11,065,127
FED HM LN PC POOL Q15105 3.50 02/01/43 3,212,869 3,206,215 3,308,015
FED HM LN PC POOL Q15223 3.50 02/01/43 2,631,499 2,809,355 2,719,473
FED HM LN PC POOL Q15287 3.50 01/01/43 873,215 871,407 900,159
FED HM LN PC POOL Q15499 3.50 02/01/43 6,327,411 6,664,433 6,514,791
FED HM LN PC POOL Q15869 3.50 02/01/43 886,041 873,401 913,550
FED HM LN PC POOL Q16037 3.00 03/01/43 339,969 326,242 339,034
FED HM LN PC POOL Q16336 3.50 03/01/43 4,819,641 5,076,408 4,962,370
FED HM LN PC POOL Q16644 3.50 03/01/43 37,198 36,667 38,300
FED HM LN PC POOL Q16849 4.00 04/01/43 3,689,060 3,841,340 3,900,129
FED HM LN PC POOL Q16982 3.50 04/01/43 7,620,408 8,090,064 7,867,424
FED HM LN PC POOL Q17192 3.50 04/01/43 6,541,372 6,864,587 6,735,089
FED HM LN PC POOL Q17550 3.50 04/01/43 2,342,157 2,476,735 2,411,517
FED HM LN PC POOL Q17572 3.50 04/01/43 5,337,748 5,698,665 5,497,400
FED HM LN PC POOL Q17648 3.50 04/01/43 29,700 29,268 30,580
FED HM LN PC POOL Q18134 3.50 05/01/43 13,735,408 14,564,665 14,142,168
FED HM LN PC POOL Q18479 4.00 05/01/43 3,515,168 3,660,286 3,716,288
FED HM LN PC POOL Q18499 4.00 05/01/43 4,532,417 4,719,531 4,791,739
FED HM LN PC POOL Q19289 4.00 06/01/43 3,278,032 3,413,376 3,465,584
FED HM LN PC POOL Q19795 4.00 07/01/43 4,053,184 4,230,935 4,285,086
FED HM LN PC POOL Q20131 3.50 07/01/43 10,002 9,859 10,298
FED HM LN PC POOL Q22089 4.00 10/01/43 6,771,017 7,068,104 7,158,420
FED HM LN PC POOL Q22593 4.00 10/01/43 13,612,841 14,272,465 14,391,698
FED HM LN PC POOL Q22663 4.00 10/01/43 943,114 982,071 997,074
FED HM LN PC POOL Q23277 4.00 12/01/43 1,766,277 1,839,254 1,867,334
FED HM LN PC POOL Q23332 4.00 12/01/43 3,450,379 3,592,937 3,647,791