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 AH7549 4.50 03/01/41 1,593,057 1,703,658 1,724,640
FNMA POOL AH7614 4.50 03/01/41 471,490 502,666 510,434
FNMA POOL AH7620 4.50 05/01/41 304,971 325,150 330,161
FNMA POOL AH7621 4.50 06/01/41 3,074,440 3,277,942 3,328,382
FNMA POOL AH7628 4.50 07/01/41 2,140,030 2,281,730 2,316,792
FNMA POOL AH7633 4.50 08/01/41 2,083,614 2,221,625 2,255,716
FNMA POOL AH7642 4.50 10/01/41 2,562,971 2,732,847 2,774,667
FNMA POOL AH7780 4.50 04/01/41 214,113 228,276 231,799
FNMA POOL AH8040 5.00 04/01/41 160,745 171,817 177,915
FNMA POOL AH8924 4.50 04/01/41 6,359,013 6,927,595 6,884,253
FNMA POOL AH9507 5.00 06/01/41 125,178 133,806 138,549
FNMA POOL AH9708 4.50 04/01/41 21,591 23,176 23,375
FNMA POOL AI0309 4.50 08/01/41 1,411,861 1,505,378 1,528,478
FNMA POOL AI0742 4.50 05/01/41 229,060 245,473 247,980
FNMA POOL AI0788 4.50 06/01/41 592,861 634,505 641,830
FNMA POOL AI0814 4.50 08/01/41 2,470,705 2,634,356 2,674,780
FNMA POOL AI0987 4.50 07/01/41 619,318 662,988 670,473
FNMA POOL AI1019 4.50 05/01/41 628,003 678,037 679,874
FNMA POOL AI1116 4.50 04/01/41 541,277 589,741 585,985
FNMA POOL AI1616 4.50 04/01/41 152,838 162,948 165,463
FNMA POOL AI2123 4.50 05/01/41 67,779 72,756 73,377
FNMA POOL AI2404 4.50 05/01/41 1,802,449 1,946,054 1,951,327
FNMA POOL AI2468 4.50 05/01/41 57,166 61,721 61,888
FNMA POOL AI2572 4.50 05/01/41 134,022 143,865 145,092
FNMA POOL AI2574 5.00 05/01/41 16,427 17,559 18,181
FNMA POOL AI2828 4.50 06/01/41 193,954 206,792 209,974
FNMA POOL AI2898 4.50 05/01/41 1,941,383 2,076,204 2,101,737
FNMA POOL AI3051 4.50 07/01/41 6,035,355 6,440,682 6,533,863
FNMA POOL AI3097 5.00 06/01/41 788,796 883,329 871,258
FNMA POOL AI3653 4.50 05/01/41 13,985,080 15,012,123 15,140,217
FNMA POOL AI4162 5.00 06/01/41 2,168,191 2,428,038 2,432,087
FNMA POOL AI4835 4.50 06/01/41 7,449,205 8,125,991 8,064,493
FNMA POOL AI4890 4.50 06/01/41 11,053,605 11,678,630 12,040,942
FNMA POOL AI4895 4.50 02/01/40 1,419,777 1,523,501 1,533,745
FNMA POOL AI4918 4.50 08/01/41 5,081,982 5,418,595 5,501,743
FNMA POOL AI4931 4.50 09/01/41 5,177,578 5,520,639 5,605,234
FNMA POOL AI4937 4.50 10/01/41 717,091 764,621 776,321
FNMA POOL AI4951 4.50 11/01/41 778,546 830,166 842,852
FNMA POOL AI5048 4.50 07/01/41 79,282 84,532 85,831
FNMA POOL AI5074 4.50 07/01/41 475,869 507,378 515,174
FNMA POOL AI5595 5.00 07/01/41 1,172,587 1,281,600 1,297,838
FNMA POOL AI5710 5.00 06/01/41 641,114 685,305 709,596
FNMA POOL AI5868 4.50 07/01/41 1,535,529 1,642,193 1,662,360
FNMA POOL AI6092 4.00 06/01/31 19,761 20,708 21,180
FNMA POOL AI6307 4.00 07/01/26 10,497,356 11,135,228 11,091,297
FNMA POOL AI6515 4.50 07/01/41 34,470 36,753 37,317
FNMA POOL AI6581 4.50 07/01/41 1,207,665 1,303,930 1,307,415
FNMA POOL AI6729 4.50 07/01/41 675,903 725,573 731,731
FNMA POOL AI7004 4.50 07/01/41 1,232,913 1,314,549 1,334,749
FNMA POOL AI7190 4.50 07/01/41 1,317,600 1,435,589 1,426,431
FNMA POOL AI7294 4.50 08/01/41 1,089,441 1,161,602 1,179,427
FNMA POOL AI7417 4.50 09/01/41 5,194,324 5,666,312 5,623,364
FNMA POOL AI7560 4.50 06/01/41 812,942 870,257 880,089
FNMA POOL AI7569 4.50 09/01/41 1,944,059 2,118,164 2,104,634
FNMA POOL AI7578 4.50 09/01/41 1,288,737 1,374,128 1,395,184
FNMA POOL AI7662 4.50 07/01/41 949,956 1,034,584 1,028,420