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 941846 6.00 09/01/37 28,074 30,612 31,858
FNMA POOL 942347 6.00 08/01/37 59,320 60,809 67,316
FNMA POOL 942700 6.00 08/01/37 11,067 12,085 12,558
FNMA POOL 942987 6.00 09/01/37 89,793 92,049 101,897
FNMA POOL 943597 6.00 07/01/37 11,514 12,554 13,066
FNMA POOL 943983 5.50 07/01/22 16,528 17,307 17,042
FNMA POOL 944037 6.00 08/01/37 7,016 7,662 7,962
FNMA POOL 944085 5.50 06/01/22 65,965 69,060 69,304
FNMA POOL 944215 6.00 07/01/37 418,214 428,700 474,586
FNMA POOL 944340 6.00 06/01/37 5,846 6,383 6,633
FNMA POOL 944358 5.50 06/01/22 23,593 24,972 25,763
FNMA POOL 944901 5.50 07/01/22 72,334 76,581 76,293
FNMA POOL 945896 6.00 08/01/22 5,052 5,361 5,627
FNMA POOL 946391 6.00 09/01/37 71,045 77,587 80,622
FNMA POOL 946993 4.50 09/01/22 32,317 32,635 33,661
FNMA POOL 947052 6.00 10/01/37 21,394 23,364 24,277
FNMA POOL 947217 4.50 10/01/22 6,181 6,467 6,479
FNMA POOL 947821 6.00 10/01/37 2,969 3,243 3,370
FNMA POOL 948226 6.00 08/01/37 17,856 19,469 20,262
FNMA POOL 950873 5.50 09/01/22 322,650 337,995 350,270
FNMA POOL 950903 5.50 10/01/22 60,864 64,482 65,616
FNMA POOL 952007 5.00 11/01/37 24,164 25,876 26,673
FNMA POOL 952459 6.00 09/01/37 67,838 73,986 76,982
FNMA POOL 952513 6.00 09/01/37 4,523 4,932 5,131
FNMA POOL 952727 5.50 09/01/22 286,697 303,673 305,324
FNMA POOL 952730 6.00 09/01/37 2,440 2,661 2,769
FNMA POOL 953419 6.00 11/01/22 45,021 47,813 49,155
FNMA POOL 953513 5.50 10/01/22 1,457 1,526 1,545
FNMA POOL 953927 6.00 12/01/37 13,645 14,880 15,484
FNMA POOL 955944 5.50 10/01/22 33,670 35,278 37,012
FNMA POOL 956230 6.00 11/01/37 21,113 23,023 23,959
FNMA POOL 956455 5.50 12/01/17 10,920 11,218 11,292
FNMA POOL 959610 7.00 11/01/37 17,989 20,149 18,679
FNMA POOL 959891 6.00 11/01/37 88,049 96,162 99,917
FNMA POOL 959983 6.00 11/01/37 609 664 691
FNMA POOL 960128 6.00 11/01/37 9,647 10,520 10,947
FNMA POOL 961427 6.00 02/01/38 20,096 21,916 22,804
FNMA POOL 961578 5.00 02/01/38 2,322 2,486 2,562
FNMA POOL 962343 5.00 03/01/38 12,364 13,242 13,644
FNMA POOL 963706 5.00 06/01/23 886,464 934,458 943,885
FNMA POOL 964530 6.00 07/01/38 10,919 11,910 12,390
FNMA POOL 964794 6.00 08/01/38 29,632 32,324 33,626
FNMA POOL 964844 6.00 08/01/38 17,283 18,853 19,612
FNMA POOL 965521 5.50 12/01/22 54,580 54,622 60,148
FNMA POOL 965547 5.50 01/01/23 262,144 277,880 283,335
FNMA POOL 965717 6.00 01/01/38 14,818 16,160 16,815
FNMA POOL 965879 6.00 12/01/22 10,617 11,278 10,819
FNMA POOL 966326 6.00 12/01/37 12,406 13,529 14,079
FNMA POOL 966482 7.00 01/01/38 19,259 21,573 20,885
FNMA POOL 966510 5.50 04/01/37 350,641 378,651 393,372
FNMA POOL 966511 6.00 08/01/37 298,606 325,281 338,856
FNMA POOL 966525 5.50 10/01/37 1,484,691 1,603,622 1,665,626
FNMA POOL 966526 6.00 09/01/37 105,040 114,428 119,199
FNMA POOL 966594 6.00 01/01/38 13,427 14,642 15,236
FNMA POOL 966727 5.50 01/01/23 139,349 147,731 150,711
FNMA POOL 966762 5.00 01/01/38 1,666 1,785 1,839