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 987905 6.00 10/01/38 11,987 13,096 13,603
FNMA POOL 987914 5.00 11/01/38 23,354 24,945 25,771
FNMA POOL 988236 6.00 09/01/38 335,742 368,852 380,986
FNMA POOL 988301 5.50 09/01/23 176,844 187,762 189,901
FNMA POOL 988714 6.00 10/01/38 6,472 7,071 7,345
FNMA POOL 988841 6.00 08/01/38 12,161 13,286 13,800
FNMA POOL 988842 6.00 08/01/38 3,630 3,960 4,119
FNMA POOL 990040 6.00 09/01/38 69,969 76,326 79,398
FNMA POOL 990274 6.00 10/01/38 4,884 5,328 5,542
FNMA POOL 990406 6.00 11/01/38 7,707 8,420 8,746
FNMA POOL 990523 6.00 09/01/38 4,607 5,026 5,228
FNMA POOL 990895 5.50 10/01/23 1,119,745 1,175,783 1,241,988
FNMA POOL 990968 5.50 09/01/23 51,379 53,941 55,341
FNMA POOL 991092 5.50 11/01/23 204,845 215,133 223,105
FNMA POOL 991160 6.00 09/01/38 30,307 33,061 34,391
FNMA POOL 991397 5.50 10/01/23 195,700 207,821 212,556
FNMA POOL 991435 5.00 12/01/38 11,802 12,643 13,024
FNMA POOL 991472 6.00 10/01/38 4,529 4,941 5,140
FNMA POOL 991860 6.00 10/01/38 12,597 13,742 14,295
FNMA POOL 992144 6.00 10/01/38 25,542 27,891 29,043
FNMA POOL 992490 5.50 11/01/23 186,991 196,382 206,442
FNMA POOL 992630 6.00 11/01/38 20,870 22,768 23,682
FNMA POOL 992695 6.00 10/01/38 152,834 167,914 173,430
FNMA POOL 992910 5.50 11/01/23 418,391 439,404 451,938
FNMA POOL 992959 5.50 12/01/23 222,056 235,897 241,959
FNMA POOL 993075 6.00 12/01/38 13,157 13,492 14,930
FNMA POOL 995002 5.00 07/01/37 3,010,811 3,326,373 3,338,960
FNMA POOL 995039 5.00 04/01/38 10,788 11,554 11,908
FNMA POOL 995050 6.00 09/01/37 2,057 2,246 2,335
FNMA POOL 995069 6.00 10/01/38 10,510 11,482 12,027
FNMA POOL 995196 6.00 07/01/38 289,938 314,941 329,094
FNMA POOL 995238 5.00 01/01/24 579,996 613,151 630,888
FNMA POOL 995245 5.00 01/01/39 21,542 23,077 23,772
FNMA POOL 995253 5.50 12/01/23 5,456 5,730 5,948
FNMA POOL 995303 5.50 10/01/17 41,355 42,432 42,615
FNMA POOL 995442 6.00 12/01/38 150,361 164,274 170,629
FNMA POOL 995461 5.50 12/01/23 1,744 1,832 1,917
FNMA POOL 995477 5.50 01/01/29 95,757 103,472 107,473
FNMA POOL 995789 5.00 04/01/36 2,237,764 2,399,932 2,477,591
FNMA POOL 995872 5.00 06/01/39 22,410 23,941 24,737
FNMA POOL 995876 6.00 11/01/38 34,518 37,702 39,171
FNMA POOL 995883 6.00 06/01/39 98,232 107,345 111,473
FNMA POOL 995917 5.00 07/01/39 2,913 3,121 3,215
FNMA POOL 995951 5.00 04/01/39 6,997 7,497 7,722
FNMA POOL AA0587 4.50 02/01/39 184,663 196,402 202,167
FNMA POOL AA0601 4.50 02/01/39 367,087 390,423 401,885
FNMA POOL AA0708 5.50 01/01/24 7,699 8,088 8,346
FNMA POOL AA0890 6.00 12/01/38 2,666 2,909 3,025
FNMA POOL AA2040 4.50 02/01/39 583,998 617,788 638,233
FNMA POOL AA2180 4.50 02/01/39 6,498 6,564 7,025
FNMA POOL AA2441 4.50 02/01/39 210,169 223,530 227,216
FNMA POOL AA2778 5.00 10/01/39 79,879 85,591 88,169
FNMA POOL AA4298 4.50 03/01/29 290,715 307,919 314,371
FNMA POOL AA4434 5.00 03/01/39 1,828 1,959 2,018
FNMA POOL AA5270 4.00 03/01/24 266,450 278,697 279,592
FNMA POOL AA5781 5.00 04/01/39 1,183 1,264 1,306