Annual Investment Report

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