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 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