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 966853 7.00 12/01/37 825 924 896
FNMA POOL 967986 6.00 01/01/38 12,073 13,166 13,700
FNMA POOL 968927 6.00 01/01/38 1,729 1,886 1,962
FNMA POOL 969437 5.50 01/01/23 58,686 61,525 61,797
FNMA POOL 969446 5.50 01/01/23 162,007 169,844 171,969
FNMA POOL 969756 5.00 02/01/38 25,247 26,960 27,860
FNMA POOL 969816 5.50 02/01/23 40,505 42,951 43,758
FNMA POOL 969822 4.50 01/01/23 140,034 146,568 147,927
FNMA POOL 970012 5.50 07/01/23 16,357 17,360 17,657
FNMA POOL 970673 6.00 10/01/38 7,091 7,735 8,046
FNMA POOL 970754 6.00 10/01/38 5,913 6,460 6,709
FNMA POOL 970769 5.00 11/01/38 2,762 2,950 3,048
FNMA POOL 970785 6.00 11/01/38 4,699 5,134 5,332
FNMA POOL 972448 6.00 03/01/38 7,701 8,399 8,739
FNMA POOL 972451 5.00 03/01/38 2,390 2,553 2,638
FNMA POOL 972504 6.00 03/01/38 110,455 120,465 125,340
FNMA POOL 973023 5.00 03/01/38 1,528 1,636 1,686
FNMA POOL 973126 5.50 12/01/37 869,255 938,949 975,188
FNMA POOL 973127 6.00 11/01/37 128,994 140,534 146,310
FNMA POOL 973142 5.50 01/01/38 89,715 96,911 100,644
FNMA POOL 973243 6.00 03/01/38 60,775 66,283 68,965
FNMA POOL 973717 6.00 04/01/38 1,698 1,852 1,927
FNMA POOL 973770 5.00 03/01/38 3,465 3,701 3,824
FNMA POOL 973994 5.50 02/01/23 90,308 95,750 97,392
FNMA POOL 974152 6.00 02/01/38 59,895 65,325 67,967
FNMA POOL 974335 5.50 03/01/38 78,385 85,133 87,908
FNMA POOL 974385 5.00 04/01/38 13,333 14,246 14,713
FNMA POOL 974435 6.00 03/01/38 7,634 8,338 8,662
FNMA POOL 974532 5.00 04/01/38 3,294 3,527 3,635
FNMA POOL 974640 5.00 03/01/38 2,189 2,338 2,416
FNMA POOL 974700 5.00 04/01/38 4,656 4,974 5,138
FNMA POOL 974789 4.50 05/01/23 35,704 35,894 38,000
FNMA POOL 976435 6.00 03/01/38 110,530 120,547 125,425
FNMA POOL 976896 6.00 01/01/38 110,517 120,525 125,414
FNMA POOL 976913 5.00 04/01/38 1,901 2,030 2,098
FNMA POOL 977143 5.50 08/01/23 4,073 4,276 4,461
FNMA POOL 979505 5.00 04/01/38 7,126 7,632 7,864
FNMA POOL 981445 6.00 09/01/38 7,617 8,309 8,701
FNMA POOL 981689 5.00 06/01/38 17,314 18,544 19,106
FNMA POOL 981785 5.00 04/01/38 1,476 1,576 1,629
FNMA POOL 982033 5.00 04/01/38 7,564 8,096 8,347
FNMA POOL 982643 6.00 06/01/38 15,548 16,959 17,633
FNMA POOL 982665 6.00 07/01/38 54,232 59,156 61,540
FNMA POOL 982894 5.50 05/01/23 57,882 60,726 63,442
FNMA POOL 983288 6.00 05/01/38 29,970 32,688 34,008
FNMA POOL 983475 6.00 05/01/38 13,014 14,206 14,767
FNMA POOL 984834 5.00 07/01/38 9,811 10,478 10,827
FNMA POOL 984937 6.00 06/01/38 2,552 2,783 2,896
FNMA POOL 984977 6.00 08/01/38 5,567 6,082 6,318
FNMA POOL 985560 6.00 06/01/38 13,023 14,204 14,778
FNMA POOL 985771 5.50 11/01/22 436,518 462,573 472,926
FNMA POOL 986092 5.50 09/01/23 54,155 57,499 55,789
FNMA POOL 986115 5.50 10/01/23 79,123 84,024 84,141
FNMA POOL 986199 5.50 07/01/23 1,044,403 1,096,107 1,155,611
FNMA POOL 986496 5.50 08/01/23 399,881 419,751 430,371
FNMA POOL 986508 5.50 01/01/24 49,425 52,502 52,424