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 796893 6.00 09/01/34 64,999 65,959 74,654 FNMA POOL 796940 6.00 10/01/34 69,823 76,806 80,194 FNMA POOL 797163 6.00 01/01/35 48,388 53,208 55,031 FNMA POOL 797590 6.00 06/01/35 1,246 1,371 1,414 FNMA POOL 797959 6.00 11/01/34 5,763 6,275 6,619 FNMA POOL 799101 6.00 04/01/35 12,119 13,329 13,783 FNMA POOL 799133 6.00 04/01/35 3,875 4,262 4,432 FNMA POOL 799284 4.50 01/01/20 29,999 31,239 31,457 FNMA POOL 799694 6.00 11/01/34 84,483 92,939 97,032 FNMA POOL 799695 6.00 11/01/34 27,028 27,437 31,043 FNMA POOL 799921 6.00 11/01/34 3,423 3,766 3,881 FNMA POOL 800078 6.00 10/01/34 287,530 316,288 330,238 FNMA POOL 800153 6.00 12/01/34 1,727 1,900 1,984 FNMA POOL 800330 6.00 11/01/34 16,207 17,829 18,614 FNMA POOL 800813 6.00 11/01/34 13,479 14,828 15,481 FNMA POOL 800903 6.00 10/01/34 94,133 103,547 108,114 FNMA POOL 801000 6.00 12/01/34 1,882 1,910 2,162 FNMA POOL 801059 6.00 11/01/34 901 991 1,023 FNMA POOL 801119 6.00 08/01/34 127,684 140,413 146,649 FNMA POOL 801213 6.00 11/01/34 113,145 124,469 129,951 FNMA POOL 801455 6.00 11/01/34 86,926 95,626 99,837 FNMA POOL 801538 6.00 09/01/34 51,319 56,448 58,941 FNMA POOL 801726 5.00 10/01/19 32,281 32,351 34,037 FNMA POOL 801760 6.00 10/01/34 21,161 23,277 23,999 FNMA POOL 801763 6.00 12/01/34 24,366 26,806 27,911 FNMA POOL 802069 6.00 10/01/34 20,795 21,101 23,592 FNMA POOL 802182 6.00 11/01/34 52,194 57,418 59,761 FNMA POOL 802191 6.00 12/01/34 65,215 66,179 74,902 FNMA POOL 802398 6.00 10/01/34 11,996 13,195 13,614 FNMA POOL 802672 6.00 12/01/34 89,199 98,133 101,477 FNMA POOL 802791 6.00 11/01/34 42,019 46,224 48,260 FNMA POOL 803283 5.00 01/01/20 1,022 1,025 1,070 FNMA POOL 804029 6.00 09/01/34 84,994 93,489 97,619 FNMA POOL 804259 6.00 12/01/34 84,752 93,241 96,630 FNMA POOL 804305 6.00 11/01/34 13,090 14,400 15,034 FNMA POOL 804389 6.00 12/01/34 19,091 21,003 21,927 FNMA POOL 804520 6.00 12/01/34 21,145 23,263 24,286 FNMA POOL 804865 6.00 01/01/35 2,136 2,350 2,453 FNMA POOL 804993 6.00 01/01/35 7,102 7,814 8,157 FNMA POOL 806544 6.00 12/01/34 19,868 20,162 22,580 FNMA POOL 807835 6.00 12/01/34 73,257 80,595 84,224 FNMA POOL 809953 6.00 03/01/35 6,950 7,006 7,886 FNMA POOL 811099 6.00 12/01/34 2,394 2,634 2,750 FNMA POOL 813753 5.00 02/01/20 44,202 46,279 46,834 FNMA POOL 813786 6.00 04/01/32 140,011 153,610 160,923 FNMA POOL 813981 6.00 05/01/35 2,328 2,561 2,643 FNMA POOL 816012 5.00 02/01/20 1,933 2,024 2,048 FNMA POOL 817007 5.00 02/01/20 36,556 38,275 38,733 FNMA POOL 819244 6.00 04/01/35 2,423 2,459 2,755 FNMA POOL 819256 4.50 04/01/20 117,804 117,709 119,785 FNMA POOL 819972 6.00 04/01/35 15,829 17,409 18,002 FNMA POOL 820030 6.00 04/01/35 4,313 4,744 4,906 FNMA POOL 821037 6.00 05/01/35 1,658 1,809 1,886 FNMA POOL 823185 6.00 05/01/35 17,761 19,535 20,199 FNMA POOL 828175 6.00 07/01/35 12,195 13,415 13,869 FNMA POOL 828285 5.00 03/01/35 767,277 822,404 847,881
CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value FNMA POOL 828303 5.00 05/01/35 570,261 611,279 630,168 FNMA POOL 828304 5.50 05/01/35 120,468 130,548 135,201 FNMA POOL 828315 5.50 09/01/35 305,255 330,854 343,263 FNMA POOL 829377 6.00 06/01/35 10,416 11,457 11,846 FNMA POOL 831063 5.50 10/01/25 403,354 434,295 452,421 FNMA POOL 831287 6.00 01/01/36 23,144 25,252 26,269 FNMA POOL 831426 6.00 03/01/21 73,999 77,763 80,785 FNMA POOL 831905 6.00 11/01/16 5,052 5,163 5,176 FNMA POOL 832198 5.00 07/01/35 5,371 5,730 5,935 FNMA POOL 832270 6.00 08/01/35 6,387 6,957 7,263 FNMA POOL 833309 6.00 07/01/35 1,371 1,508 1,555 FNMA POOL 833565 6.00 10/01/35 1,662 1,811 1,890 FNMA POOL 835753 5.00 08/01/35 35,800 37,504 39,561 FNMA POOL 837564 6.00 06/01/35 1,522 1,658 1,731 FNMA POOL 840852 6.00 01/01/36 965 1,052 1,096 FNMA POOL 845166 4.50 01/01/21 60,185 62,784 62,747 FNMA POOL 845173 4.50 01/01/21 72,529 75,742 75,590 FNMA POOL 845193 6.00 11/01/35 14,426 15,742 16,406 FNMA POOL 850512 5.50 11/01/35 553,932 600,436 623,427 FNMA POOL 850534 6.00 02/01/36 245,209 269,361 278,872 FNMA POOL 850632 6.00 01/01/36 3,484 3,796 3,954 FNMA POOL 850801 5.63 01/01/36 651,288 643,140 685,216 FNMA POOL 851895 5.00 11/01/35 5,106 5,464 5,642 FNMA POOL 852522 5.00 02/01/36 2,218 2,367 2,451 FNMA POOL 867391 4.50 04/01/21 61,122 60,189 63,704 FNMA POOL 867659 6.00 05/01/36 45,516 49,680 51,664 FNMA POOL 867829 4.50 02/01/21 41,663 43,473 43,410 FNMA POOL 868588 4.50 04/01/21 62,062 64,790 64,717 FNMA POOL 868595 4.50 04/01/21 77,581 80,991 80,844 FNMA POOL 868620 4.50 04/01/21 1,383 1,444 1,442 FNMA POOL 868702 4.50 04/01/21 79,558 83,055 82,925 FNMA POOL 869472 4.50 03/01/21 108,517 113,258 113,123 FNMA POOL 869493 4.50 03/01/21 147,171 153,600 153,999 FNMA POOL 869858 4.50 04/01/21 12,740 13,300 13,276 FNMA POOL 870782 6.00 07/01/36 22,925 24,984 26,021 FNMA POOL 871137 6.00 01/01/37 28,854 31,502 32,750 FNMA POOL 879630 5.50 06/01/21 2,134 2,229 2,247 FNMA POOL 879721 4.50 02/01/21 36,441 35,894 37,980 FNMA POOL 880305 6.00 04/01/36 15,916 17,343 18,065 FNMA POOL 880500 6.00 07/01/36 3,543 3,867 4,021 FNMA POOL 880772 4.50 03/01/21 6,607 6,896 6,935 FNMA POOL 880926 6.00 05/01/36 8,033 8,753 9,118 FNMA POOL 883278 6.00 07/01/36 1,098 1,199 1,246 FNMA POOL 883560 6.00 05/01/36 51,477 56,094 58,429 FNMA POOL 886959 6.00 06/01/36 59,740 65,206 67,808 FNMA POOL 888074 6.00 10/01/16 79,916 81,589 81,647 FNMA POOL 888209 5.50 05/01/36 4,597 4,989 5,173 FNMA POOL 888334 6.00 04/01/37 28,810 31,458 32,701 FNMA POOL 888677 5.50 08/01/22 1,021 1,069 1,102 FNMA POOL 888979 6.00 12/01/17 61,349 63,369 62,777 FNMA POOL 889040 5.00 06/01/37 7,916 8,476 8,740 FNMA POOL 889117 5.00 10/01/35 22,548,101 24,910,521 25,005,624 FNMA POOL 889164 6.00 02/01/38 23,316 25,428 26,688 FNMA POOL 889338 6.00 12/01/37 68,244 74,535 77,443 FNMA POOL 889527 5.50 05/01/23 50,826 53,324 55,546 FNMA POOL 889574 6.00 08/01/37 5,719 6,246 6,492
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California Public Employees’ Reti
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