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 780343 5.00 07/01/19 1,648 1,721 1,725
FNMA POOL 780494 5.00 07/01/19 4,766 4,977 4,989
FNMA POOL 780521 5.00 07/01/19 51,813 54,110 54,633
FNMA POOL 780570 5.00 07/01/19 1,528 1,531 1,600
FNMA POOL 780661 5.00 06/01/19 4,167 4,349 4,362
FNMA POOL 781291 5.00 07/01/19 17,229 17,993 18,036
FNMA POOL 781662 6.00 02/01/35 3,908 4,298 4,445
FNMA POOL 781752 6.00 09/01/34 1,592 1,751 1,828
FNMA POOL 781753 6.00 09/01/34 19,049 20,953 21,878
FNMA POOL 781776 6.00 10/01/34 26,180 26,566 30,069
FNMA POOL 782359 5.00 05/01/19 52,096 52,203 55,202
FNMA POOL 782528 5.00 06/01/19 14,712 15,357 15,480
FNMA POOL 782597 5.00 06/01/19 19,718 20,583 20,791
FNMA POOL 782605 5.00 07/01/19 62,349 65,113 65,742
FNMA POOL 782609 5.00 06/01/19 35,433 36,988 37,361
FNMA POOL 782827 5.00 07/01/19 19,013 19,053 20,047
FNMA POOL 782828 5.00 07/01/19 69,007 72,066 72,763
FNMA POOL 783937 5.00 07/01/19 6,705 7,002 7,019
FNMA POOL 784036 5.00 06/01/19 68,149 71,139 71,858
FNMA POOL 784213 5.00 06/01/19 1,494 1,559 1,575
FNMA POOL 784326 6.00 11/01/34 3,089 3,398 3,548
FNMA POOL 785121 5.00 07/01/19 55,992 58,473 59,039
FNMA POOL 785236 5.00 06/01/19 56,229 58,696 59,289
FNMA POOL 785263 5.00 07/01/19 7,915 8,266 8,346
FNMA POOL 785264 5.00 07/01/19 64,942 67,820 68,476
FNMA POOL 785265 5.00 07/01/19 17,534 18,311 18,489
FNMA POOL 785786 5.00 11/01/19 20,983 21,030 22,125
FNMA POOL 785819 5.00 07/01/19 10,454 10,918 11,023
FNMA POOL 785821 5.00 07/01/19 1,652 1,725 1,729
FNMA POOL 785931 5.00 07/01/19 18,912 19,750 20,011
FNMA POOL 786090 4.50 07/01/19 27,732 27,712 28,983
FNMA POOL 786296 5.00 07/01/19 39,505 41,256 41,655
FNMA POOL 786957 5.00 08/01/19 40,437 42,248 42,638
FNMA POOL 787591 6.00 08/01/34 38,968 42,859 44,756
FNMA POOL 787864 5.00 06/01/19 48,151 50,263 50,482
FNMA POOL 787925 5.00 06/01/19 29,832 31,141 31,228
FNMA POOL 787992 5.00 08/01/19 48,206 50,365 50,830
FNMA POOL 788045 6.00 09/01/34 9,027 9,929 10,368
FNMA POOL 788049 6.00 10/01/34 115,234 126,759 132,350
FNMA POOL 788121 5.00 07/01/19 2,061 2,153 2,174
FNMA POOL 788251 5.00 07/01/19 40,586 42,385 42,795
FNMA POOL 788497 5.00 07/01/19 66,460 69,406 70,077
FNMA POOL 789005 5.00 08/01/19 1,861 1,945 1,962
FNMA POOL 789019 5.00 07/01/19 3,466 3,620 3,628
FNMA POOL 789038 5.00 08/01/19 34,643 36,195 36,529
FNMA POOL 789125 5.00 07/01/19 52,809 55,150 55,581
FNMA POOL 789249 6.00 10/01/34 76,989 84,689 88,424
FNMA POOL 789254 6.00 10/01/34 109,551 120,316 124,661
FNMA POOL 789430 5.00 07/01/19 2,669 2,788 2,794
FNMA POOL 789490 5.00 07/01/19 4,520 4,721 4,766
FNMA POOL 789514 5.00 05/01/19 81,285 84,813 85,709
FNMA POOL 789711 6.00 09/01/34 3,376 3,427 3,830
FNMA POOL 789712 6.00 09/01/34 2,367 2,402 2,718
FNMA POOL 789716 6.00 09/01/34 28,812 31,692 32,989
FNMA POOL 789722 6.00 09/01/34 76,934 84,623 88,244
FNMA POOL 789798 6.00 08/01/34 30,121 33,129 34,169