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 789800 6.00 09/01/34 58,410 64,248 67,086
FNMA POOL 790212 6.00 08/01/34 16,833 18,514 19,333
FNMA POOL 790218 6.00 08/01/34 10,836 11,919 12,446
FNMA POOL 790431 6.00 09/01/34 19,136 21,049 21,979
FNMA POOL 790912 6.00 09/01/34 18,539 20,219 21,293
FNMA POOL 790915 6.00 09/01/34 57,214 62,932 65,712
FNMA POOL 790986 5.00 07/01/19 54,901 57,334 57,889
FNMA POOL 791090 5.00 08/01/19 6,005 6,274 6,331
FNMA POOL 791162 5.00 07/01/19 27,522 28,742 29,020
FNMA POOL 791216 6.00 08/01/34 59,073 64,973 67,005
FNMA POOL 791229 6.00 08/01/34 785 863 890
FNMA POOL 791239 6.00 08/01/34 26,086 26,469 29,961
FNMA POOL 791324 6.00 09/01/34 31,365 31,827 36,024
FNMA POOL 791552 6.00 09/01/34 22,907 25,196 25,983
FNMA POOL 791562 6.00 09/01/34 58,906 64,793 67,655
FNMA POOL 791608 5.00 07/01/19 2,571 2,685 2,691
FNMA POOL 791629 6.00 08/01/34 33,187 33,675 37,643
FNMA POOL 791655 6.00 09/01/34 115,632 127,188 132,807
FNMA POOL 791665 6.00 09/01/34 1,399 1,536 1,588
FNMA POOL 791820 6.00 09/01/34 9,019 9,920 10,358
FNMA POOL 791900 5.00 08/01/19 13,761 14,377 14,510
FNMA POOL 791906 5.00 08/01/19 108,523 113,383 114,430
FNMA POOL 792102 5.00 08/01/19 16,381 17,114 17,148
FNMA POOL 792196 6.00 09/01/34 21,410 21,725 24,590
FNMA POOL 792218 6.00 10/01/34 17,222 17,482 19,545
FNMA POOL 792232 6.00 10/01/34 62,929 69,222 72,276
FNMA POOL 792376 5.00 10/01/19 32,663 34,154 34,441
FNMA POOL 792791 5.00 08/01/19 1,042 1,089 1,091
FNMA POOL 793111 6.00 08/01/34 47,397 52,130 54,437
FNMA POOL 793187 6.00 07/01/34 73,208 80,514 84,082
FNMA POOL 793480 5.00 08/01/19 14,416 14,447 15,201
FNMA POOL 793536 5.00 08/01/19 14,012 14,042 14,775
FNMA POOL 793541 5.00 08/01/19 99,433 103,886 104,844
FNMA POOL 793564 5.00 09/01/19 2,185 2,284 2,296
FNMA POOL 793671 6.00 09/01/34 41,250 45,372 46,797
FNMA POOL 793675 6.00 09/01/34 40,820 44,900 46,883
FNMA POOL 793964 6.00 10/01/34 6,128 6,741 7,039
FNMA POOL 794000 6.00 09/01/34 129,034 141,930 148,200
FNMA POOL 794050 6.00 09/01/34 51,015 56,113 57,873
FNMA POOL 794051 6.00 09/01/34 166,646 183,301 191,398
FNMA POOL 794112 6.00 09/01/34 47,203 51,838 53,547
FNMA POOL 794200 5.00 09/01/19 73,627 76,958 77,634
FNMA POOL 794338 6.00 09/01/34 32,690 35,957 37,546
FNMA POOL 794430 6.00 09/01/34 31,147 34,260 35,774
FNMA POOL 794564 6.00 10/01/34 60,672 66,741 69,684
FNMA POOL 794749 6.00 09/01/34 216,715 238,374 248,904
FNMA POOL 795119 6.00 10/01/34 28,107 30,919 32,282
FNMA POOL 795234 6.00 09/01/34 87,414 96,150 100,397
FNMA POOL 795871 6.00 09/01/34 3,948 4,343 4,535
FNMA POOL 795875 6.00 09/01/34 25,466 25,840 29,248
FNMA POOL 795892 6.00 09/01/34 46,298 50,925 52,519
FNMA POOL 796147 6.00 10/01/34 22,047 22,381 25,322
FNMA POOL 796243 6.00 11/01/34 30,050 30,499 34,513
FNMA POOL 796430 6.00 09/01/34 21,302 23,431 24,272
FNMA POOL 796460 6.00 09/01/34 32,892 36,180 37,778
FNMA POOL 796565 6.00 09/01/34 35,708 36,234 41,012