Annual Investment Report

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CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value FNMA POOL 257369 5.50 09/01/18 1,862 1,922 1,954 FNMA POOL 257372 6.00 09/01/28 78,147 84,672 88,595 FNMA POOL 257452 6.00 11/01/28 25,401 27,526 28,797 FNMA POOL 257500 6.00 11/01/28 132,632 143,733 150,391 FNMA POOL 257568 6.00 01/01/19 63,468 66,049 67,439 FNMA POOL 276644 7.50 06/01/24 2,051 2,116 2,271 FNMA POOL 303821 6.50 03/01/16 143 143 164 FNMA POOL 310098 4.50 06/01/36 371,324 394,467 402,824 FNMA POOL 323541 6.00 02/01/29 210,048 229,594 240,731 FNMA POOL 323881 6.00 07/01/29 186,075 203,504 213,252 FNMA POOL 333499 6.00 11/01/25 42,208 43,000 47,843 FNMA POOL 333641 6.00 02/01/26 48,710 53,040 55,236 FNMA POOL 335973 6.00 02/01/26 2,669 2,909 3,026 FNMA POOL 336931 6.00 02/01/26 26,821 29,230 30,407 FNMA POOL 339013 6.00 03/01/26 20,854 22,712 23,643 FNMA POOL 339175 6.00 03/01/26 83,924 91,475 96,125 FNMA POOL 339832 6.00 03/01/26 111,061 121,054 125,910 FNMA POOL 340365 6.00 03/01/26 29,997 32,696 34,011 FNMA POOL 344824 6.00 05/01/26 24,055 26,206 27,271 FNMA POOL 345830 6.00 05/01/26 3,346 3,645 3,793 FNMA POOL 346285 6.00 05/01/26 1,122 1,223 1,272 FNMA POOL 353235 6.00 12/01/23 23,312 25,006 26,429 FNMA POOL 357263 6.00 09/01/32 146,962 161,319 168,856 FNMA POOL 357420 5.00 08/01/18 63,184 63,048 66,288 FNMA POOL 357604 6.00 08/01/34 60,881 61,775 69,923 FNMA POOL 357641 5.00 11/01/34 3,351,035 3,592,470 3,710,174 FNMA POOL 357746 6.00 04/01/35 9,714 10,690 11,157 FNMA POOL 357778 6.00 05/01/35 3,676 4,044 4,181 FNMA POOL 368933 6.00 03/01/25 13,570 14,598 15,391 FNMA POOL 373903 6.00 06/01/24 51,400 55,572 58,273 FNMA POOL 413965 6.00 04/01/28 9,907 10,815 11,233 FNMA POOL 414516 6.00 03/01/28 32,806 35,811 37,215 FNMA POOL 422975 6.00 04/01/28 11,892 12,982 13,487 FNMA POOL 428297 6.00 05/01/28 22,495 24,562 25,509 FNMA POOL 429000 6.00 06/01/28 3,515 3,838 3,985 FNMA POOL 429994 6.00 06/01/28 3,449 3,766 3,910 FNMA POOL 440694 6.00 11/01/18 8,223 8,269 9,323 FNMA POOL 449218 6.00 01/01/29 116,626 127,464 132,258 FNMA POOL 450835 6.00 12/01/28 28,316 28,850 32,104 FNMA POOL 452481 6.00 11/01/28 11,738 12,825 13,453 FNMA POOL 453107 6.00 01/01/29 450 454 515 FNMA POOL 453862 6.00 12/01/28 50,249 54,912 57,286 FNMA POOL 456078 6.00 12/01/28 9,666 10,563 11,083 FNMA POOL 481451 6.00 02/01/29 86,153 94,188 99,479 FNMA POOL 481570 6.00 02/01/29 41,317 45,171 47,377 FNMA POOL 481623 6.00 01/01/29 279,555 305,533 320,557 FNMA POOL 481892 6.00 02/01/29 69,395 75,867 78,723 FNMA POOL 486203 6.00 02/01/29 50,247 50,695 57,623 FNMA POOL 511831 6.00 08/01/16 18,058 18,366 18,152 FNMA POOL 535672 6.00 01/01/16 165 166 165 FNMA POOL 535844 6.00 04/01/16 377 382 380 FNMA POOL 535899 6.00 04/01/31 3,969 4,350 4,535 FNMA POOL 545993 6.00 11/01/32 51,624 56,676 59,315 FNMA POOL 555178 6.00 01/01/33 6,623 7,272 7,609 FNMA POOL 555376 4.50 04/01/18 32,572 33,578 34,029 FNMA POOL 555417 6.00 05/01/33 2,030 2,230 2,332
CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value FNMA POOL 589083 6.00 10/01/31 216,451 237,308 245,674 FNMA POOL 589085 6.50 09/01/31 98,550 110,664 113,176 FNMA POOL 589115 6.00 09/01/16 4,729 4,814 4,738 FNMA POOL 589148 5.00 02/01/17 24,831 25,505 25,994 FNMA POOL 604593 6.00 09/01/31 13,272 14,552 15,254 FNMA POOL 605535 6.50 08/01/31 200,607 206,149 214,782 FNMA POOL 622890 6.00 01/01/32 2,825 3,099 3,207 FNMA POOL 625146 6.00 02/01/32 26,377 28,937 30,306 FNMA POOL 626898 5.00 10/01/17 58,850 60,830 61,710 FNMA POOL 626903 4.50 11/01/17 11,550 11,921 12,028 FNMA POOL 626904 5.00 11/01/17 25,653 26,535 26,854 FNMA POOL 626907 5.00 11/01/17 1,337 1,383 1,399 FNMA POOL 626935 6.00 01/01/32 137,485 150,765 156,082 FNMA POOL 626987 6.50 05/01/32 66,464 74,685 76,328 FNMA POOL 627002 6.50 07/01/32 152,059 170,897 174,627 FNMA POOL 630176 6.00 02/01/32 28,451 31,213 32,301 FNMA POOL 635141 6.00 07/01/32 58,147 58,967 66,809 FNMA POOL 641452 6.00 06/01/32 12,606 13,835 14,484 FNMA POOL 657009 6.00 09/01/32 47,151 51,734 53,493 FNMA POOL 657023 6.00 09/01/32 83,054 91,125 94,201 FNMA POOL 660677 6.00 10/01/32 15,109 16,587 17,360 FNMA POOL 663224 6.00 10/01/32 12,654 12,883 14,393 FNMA POOL 664020 6.00 03/01/33 24,960 27,415 28,321 FNMA POOL 666501 6.00 11/01/32 143,927 158,012 165,368 FNMA POOL 666637 6.00 11/01/32 25,055 25,410 28,787 FNMA POOL 666780 6.00 11/01/32 83,929 92,143 96,433 FNMA POOL 670401 6.00 06/01/32 12,123 13,304 13,929 FNMA POOL 671872 6.00 12/01/32 215,010 236,070 247,041 FNMA POOL 678122 6.00 01/01/33 29,700 32,612 34,125 FNMA POOL 678914 6.00 01/01/33 13,534 13,732 15,358 FNMA POOL 679539 6.00 03/01/33 79,533 87,356 91,406 FNMA POOL 682302 4.50 07/01/33 955,929 1,015,112 1,037,611 FNMA POOL 682321 4.50 08/01/33 2,120,157 2,251,508 2,301,319 FNMA POOL 682322 4.50 08/01/33 150,651 159,985 163,524 FNMA POOL 682337 4.50 09/01/33 2,409,171 2,558,529 2,615,028 FNMA POOL 682360 4.50 09/01/33 135,195 143,576 146,747 FNMA POOL 682403 4.50 03/01/18 350,459 362,261 365,003 FNMA POOL 682411 4.50 05/01/18 139,467 144,316 145,298 FNMA POOL 682412 4.50 04/01/18 154,017 159,291 160,424 FNMA POOL 682418 4.50 05/01/18 254,035 262,868 264,601 FNMA POOL 682420 4.50 05/01/18 175,747 181,858 183,067 FNMA POOL 682427 4.50 06/01/18 218,668 226,388 228,444 FNMA POOL 682429 4.50 06/01/18 302,454 313,132 315,976 FNMA POOL 682438 4.50 07/01/18 118,667 122,916 123,972 FNMA POOL 682467 4.50 10/01/18 105,875 109,820 110,298 FNMA POOL 682476 4.50 11/01/18 134,359 139,428 139,967 FNMA POOL 684025 6.00 02/01/33 12,321 12,502 14,161 FNMA POOL 685091 5.00 06/01/19 37,960 39,625 40,026 FNMA POOL 686225 6.00 02/01/33 110,569 121,436 127,075 FNMA POOL 686360 6.00 03/01/33 10,238 11,245 11,766 FNMA POOL 689004 5.50 04/01/18 2,185 2,269 2,247 FNMA POOL 693856 6.00 03/01/33 1,805 1,832 2,075 FNMA POOL 701202 6.00 04/01/33 98,980 108,724 113,756 FNMA POOL 702039 6.00 05/01/33 24,608 27,032 28,150 FNMA POOL 703926 6.00 04/01/33 120,872 132,772 138,917 FNMA POOL 707281 6.00 05/01/33 226,008 248,277 259,749
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Page 3 and 4: Chief Investment Officer’s Letter
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California Public Employees’ Reti
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