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 AD4437 4.50 04/01/40 923,937 1,007,628 1,000,084
FNMA POOL AD4452 4.50 04/01/40 973,469 1,061,252 1,053,698
FNMA POOL AD6049 5.00 07/01/40 336,990 377,360 372,212
FNMA POOL AD6495 5.00 05/01/40 426,099 477,139 477,704
FNMA POOL AD7916 4.50 07/01/40 14,701,660 16,010,628 15,913,309
FNMA POOL AD7952 5.50 09/01/24 328,876 345,927 355,584
FNMA POOL AD8918 5.00 06/01/40 700,569 748,655 774,247
FNMA POOL AD9029 4.50 10/01/40 1,626,431 1,772,014 1,760,475
FNMA POOL AD9452 4.50 08/01/40 102,404 109,901 110,843
FNMA POOL AD9966 4.50 08/01/40 1,028,405 1,120,448 1,113,161
FNMA POOL AE0374 6.00 11/01/39 4,212 4,604 4,780
FNMA POOL AE0550 5.00 09/01/40 657,144 735,872 737,122
FNMA POOL AE0674 4.50 11/01/40 85,658,783 91,851,038 93,216,087
FNMA POOL AE0822 4.50 02/01/41 145,139 154,531 157,101
FNMA POOL AE2851 4.50 10/01/40 465,084 495,135 503,414
FNMA POOL AE3026 4.50 09/01/40 65,056,295 70,508,644 70,417,962
FNMA POOL AE3382 4.00 11/01/40 37,161 39,165 39,453
FNMA POOL AE3389 4.50 11/01/40 2,423,268 2,600,837 2,645,930
FNMA POOL AE3470 4.50 10/01/40 80,786 87,211 87,444
FNMA POOL AE3824 4.50 09/01/40 3,472,722 3,787,295 3,758,929
FNMA POOL AE4486 4.00 09/01/30 430,161 450,624 459,979
FNMA POOL AE4935 4.50 09/01/40 379,283 407,061 410,542
FNMA POOL AE5026 5.00 12/01/40 14,504 15,502 16,029
FNMA POOL AE5637 4.50 06/01/41 508,566 545,927 550,572
FNMA POOL AE6393 4.50 03/01/41 6,483,519 6,958,871 7,078,296
FNMA POOL AE7620 4.50 11/01/40 269,325 290,750 291,521
FNMA POOL AE8184 4.50 10/01/40 190,129 202,414 205,798
FNMA POOL AE8930 4.50 11/01/40 375,978 403,534 406,965
FNMA POOL AE9274 4.50 02/01/41 252,682 269,385 273,553
FNMA POOL AE9292 4.50 11/01/40 760,936 810,121 830,887
FNMA POOL AE9761 4.50 12/01/40 25,666,358 27,973,869 27,781,671
FNMA POOL AH0055 4.50 02/01/41 3,249,473 3,487,684 3,564,561
FNMA POOL AH0353 4.50 02/01/41 1,152,735 1,257,159 1,247,949
FNMA POOL AH0426 4.50 04/01/41 201,351 214,669 217,982
FNMA POOL AH1338 4.00 12/01/40 172,643 174,433 184,305
FNMA POOL AH1504 4.50 12/01/40 2,332,297 2,487,178 2,524,516
FNMA POOL AH1620 4.50 01/01/41 1,097,644 1,170,174 1,188,307
FNMA POOL AH2159 4.50 03/01/41 96,945 102,461 104,952
FNMA POOL AH2714 4.50 01/01/41 27,289,829 29,726,612 29,538,942
FNMA POOL AH2727 4.50 01/01/41 4,029,526 4,388,402 4,361,622
FNMA POOL AH2899 4.50 01/01/41 225,206 241,723 243,767
FNMA POOL AH3519 4.00 02/01/41 7,870,885 8,436,801 8,371,179
FNMA POOL AH3526 4.50 02/01/41 272,665 294,373 295,186
FNMA POOL AH3865 4.50 09/01/41 519,844 554,288 562,782
FNMA POOL AH4493 4.50 02/01/41 331,502 354,514 358,883
FNMA POOL AH4546 4.50 02/01/41 1,527,207 1,639,253 1,653,351
FNMA POOL AH4855 3.50 02/01/41 831,029 876,909 859,119
FNMA POOL AH5448 4.50 06/01/41 186,671 199,028 202,090
FNMA POOL AH5457 4.50 06/01/41 1,969,063 2,099,399 2,131,704
FNMA POOL AH5850 4.50 02/01/41 28,103,147 30,154,915 30,650,930
FNMA POOL AH5980 4.50 03/01/41 319,955 343,437 346,383
FNMA POOL AH6151 4.50 03/01/41 2,595,592 2,841,244 2,809,982
FNMA POOL AH6169 4.50 02/01/41 1,345,170 1,434,088 1,456,278
FNMA POOL AH6264 4.00 04/01/41 65,672 69,219 69,846
FNMA POOL AH6690 4.00 03/01/41 32,008 33,736 34,043
FNMA POOL AH7373 5.00 05/01/41 223,951 250,789 249,086