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 889624 5.50 05/01/38 70,296 76,353 78,862
FNMA POOL 889697 6.00 07/01/38 3,808 4,160 4,321
FNMA POOL 889762 5.00 09/01/37 15,032 16,096 16,593
FNMA POOL 890262 4.00 08/01/20 121,456 127,923 127,318
FNMA POOL 890265 4.50 11/01/25 31,041,786 32,643,568 32,914,156
FNMA POOL 891281 6.00 09/01/36 51,877 56,630 58,883
FNMA POOL 891718 7.00 07/01/36 1,155 1,293 1,195
FNMA POOL 892369 6.00 07/01/36 9,145 9,967 10,381
FNMA POOL 892780 6.00 11/01/36 179,310 195,753 203,526
FNMA POOL 892933 7.00 08/01/36 7,760 8,685 8,443
FNMA POOL 893299 6.00 08/01/36 7,486 8,172 8,497
FNMA POOL 893511 6.00 09/01/36 30,099 32,856 34,164
FNMA POOL 894976 7.00 09/01/36 67,209 75,226 74,015
FNMA POOL 896713 7.00 07/01/36 5,265 5,892 5,501
FNMA POOL 896873 5.50 05/01/22 43,800 46,350 48,015
FNMA POOL 897205 6.00 08/01/36 26,368 28,737 29,930
FNMA POOL 897973 7.00 09/01/36 2,009 2,248 2,056
FNMA POOL 898415 6.00 10/01/36 618 675 702
FNMA POOL 899372 5.44 05/01/37 930,942 922,939 998,151
FNMA POOL 899396 5.00 04/01/37 21,391 22,836 23,613
FNMA POOL 899514 5.00 05/01/37 31,612 33,846 34,895
FNMA POOL 899743 6.00 07/01/37 29,517 32,182 33,495
FNMA POOL 899794 5.50 08/01/22 79,710 84,410 84,977
FNMA POOL 899887 5.50 10/01/21 13,070 13,659 13,726
FNMA POOL 899948 6.50 12/01/37 1,128,239 1,257,467 1,296,665
FNMA POOL 900291 6.00 09/01/36 25,849 28,172 29,340
FNMA POOL 900301 6.00 09/01/36 10,363 11,313 11,763
FNMA POOL 900562 6.00 09/01/36 17,982 19,599 20,411
FNMA POOL 900999 5.50 09/01/21 4,206 4,442 4,557
FNMA POOL 902172 5.00 11/01/36 24,797 26,594 27,377
FNMA POOL 902792 6.00 12/01/36 2,212 2,415 2,511
FNMA POOL 904453 6.00 11/01/36 1,670 1,820 1,893
FNMA POOL 906092 5.50 01/01/22 19,677 20,802 21,306
FNMA POOL 906561 5.00 01/01/37 19,412 20,782 21,428
FNMA POOL 906667 5.50 12/01/21 15,151 16,014 16,576
FNMA POOL 907399 5.50 01/01/22 5,753 6,081 6,089
FNMA POOL 907706 5.50 02/01/22 9,726 10,285 10,343
FNMA POOL 908596 6.00 02/01/37 5,098 5,558 5,786
FNMA POOL 908724 6.00 01/01/37 37,508 40,951 42,564
FNMA POOL 908745 6.00 01/01/37 7,267 7,934 8,248
FNMA POOL 909481 5.00 02/01/37 20,561 22,013 22,697
FNMA POOL 910390 5.00 03/01/37 9,731 10,418 10,742
FNMA POOL 912531 6.00 02/01/37 92,433 100,761 104,892
FNMA POOL 914024 5.00 03/01/37 1,137 1,213 1,255
FNMA POOL 914072 5.00 03/01/37 1,225 1,308 1,353
FNMA POOL 914290 5.53 03/01/37 3,372,700 3,359,434 3,589,430
FNMA POOL 914386 5.00 03/01/37 82,748 88,723 91,342
FNMA POOL 914725 6.00 04/01/37 3,538 3,864 4,015
FNMA POOL 915341 5.00 06/01/22 60,737 64,187 63,580
FNMA POOL 915344 5.50 10/01/22 42,415 45,112 44,081
FNMA POOL 915352 4.50 04/01/23 192,936 203,033 204,091
FNMA POOL 915439 5.50 12/01/36 113,826 122,902 127,702
FNMA POOL 915445 5.50 04/01/27 388,405 418,059 435,593
FNMA POOL 915447 6.00 08/01/36 39,869 43,520 45,253
FNMA POOL 915462 5.50 07/01/27 463,918 499,485 521,702
FNMA POOL 915811 6.00 12/01/36 49,790 54,271 57,424