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CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong><br />
Mortgage-Backed Securities<br />
Security Name Rate Maturity Date Par Value Book Value Market Value<br />
FNMA POOL AI7951 4.50 08/01/36 1,425,406 1,517,521 1,543,142<br />
FNMA POOL AI8501 5.00 07/01/36 2,360,981 2,622,292 2,613,172<br />
FNMA POOL AI8772 4.50 08/01/41 96,019 102,379 103,950<br />
FNMA POOL AI8842 4.50 08/01/41 409,711 442,377 443,552<br />
FNMA POOL AI8959 4.00 09/01/26 6,075,638 6,445,443 6,419,397<br />
FNMA POOL AI9736 4.50 09/01/41 339,381 366,447 367,414<br />
FNMA POOL AJ0087 4.50 08/01/41 36,731 39,164 39,765<br />
FNMA POOL AJ0222 4.50 09/01/41 6,812,538 7,310,380 7,460,839<br />
FNMA POOL AJ0276 4.50 09/01/41 10,604,475 11,568,063 11,480,381<br />
FNMA POOL AJ0277 4.50 09/01/41 6,964,894 7,597,767 7,540,179<br />
FNMA POOL AJ0761 4.50 09/01/41 231,880 250,372 251,033<br />
FNMA POOL AJ1267 3.50 09/01/26 1,020,616 1,084,807 1,080,273<br />
FNMA POOL AJ1413 4.50 09/01/41 1,038,501 1,110,801 1,133,948<br />
FNMA POOL AJ1672 4.50 09/01/41 26,137,163 28,459,817 28,296,035<br />
FNMA POOL AJ1693 4.50 09/01/41 6,001,110 6,437,858 6,568,391<br />
FNMA POOL AJ1921 4.50 09/01/41 1,510,565 1,631,034 1,635,334<br />
FNMA POOL AJ1968 5.00 10/01/41 268,077 286,579 296,712<br />
FNMA POOL AJ2084 5.00 11/01/41 1,115,916 1,249,677 1,251,755<br />
FNMA POOL AJ2227 4.50 09/01/41 654,422 706,613 708,476<br />
FNMA POOL AJ2320 4.00 10/01/26 5,350,667 5,676,604 5,653,408<br />
FNMA POOL AJ2813 3.50 11/01/26 941,226 1,000,595 993,086<br />
FNMA POOL AJ3130 4.50 10/01/41 11,675,105 12,474,197 12,639,444<br />
FNMA POOL AJ3145 4.50 10/01/41 263,461 284,477 285,222<br />
FNMA POOL AJ3146 4.50 10/01/41 100,064 108,046 108,329<br />
FNMA POOL AJ4563 4.50 11/01/41 4,180,264 4,554,670 4,525,545<br />
FNMA POOL AJ5822 4.50 11/01/41 6,665,617 7,267,245 7,216,182<br />
FNMA POOL AJ6087 3.50 12/01/26 23,741 24,702 25,083<br />
FNMA POOL AJ6180 4.50 11/01/41 1,447,399 1,543,366 1,566,951<br />
FNMA POOL AJ6522 4.50 11/01/41 2,023,542 2,157,709 2,190,682<br />
FNMA POOL AJ7560 4.50 12/01/41 228,206 246,419 247,055<br />
FNMA POOL AJ7634 3.50 11/01/26 789,568 839,371 835,639<br />
FNMA POOL AJ8463 4.00 12/01/41 18,147,874 19,440,719 19,301,401<br />
FNMA POOL AJ9279 4.00 12/01/41 179,420,585 192,574,565 190,825,031<br />
FNMA POOL AK0001 4.50 01/01/42 1,021,254 1,089,011 1,105,607<br />
FNMA POOL AK0372 5.00 02/01/42 722,440 809,047 797,962<br />
FNMA POOL AK0843 4.50 01/01/42 7,181,104 7,681,409 7,774,248<br />
FNMA POOL AK0891 3.50 01/01/27 674,218 716,864 713,193<br />
FNMA POOL AK1120 5.00 02/01/42 863,551 967,074 968,227<br />
FNMA POOL AK1378 4.00 03/01/42 1,670,127 1,789,121 1,776,621<br />
FNMA POOL AK2427 4.50 02/01/42 13,177,069 14,355,711 14,270,571<br />
FNMA POOL AK2972 3.50 05/01/42 29,662 30,521 30,597<br />
FNMA POOL AK3420 5.00 01/01/42 840,519 941,276 932,592<br />
FNMA POOL AK3651 3.50 02/01/42 1,132,815 1,220,172 1,174,780<br />
FNMA POOL AK3658 4.00 02/01/42 1,886,821 2,017,435 2,008,588<br />
FNMA POOL AK3971 4.50 02/01/42 27,647 29,497 29,941<br />
FNMA POOL AK4906 3.50 02/01/32 2,865,356 2,929,685 2,995,960<br />
FNMA POOL AK5132 3.50 03/01/42 172,156 177,197 177,586<br />
FNMA POOL AK5551 4.00 04/01/42 33,024,818 35,377,902 35,130,621<br />
FNMA POOL AK5885 3.50 02/01/27 769,730 813,688 812,864<br />
FNMA POOL AK5920 4.50 02/01/37 1,154,745 1,235,479 1,250,572<br />
FNMA POOL AK7438 4.00 03/01/42 9,230,197 9,887,838 9,818,754<br />
FNMA POOL AK9733 4.50 04/01/42 1,857,140 2,023,512 2,011,255<br />
FNMA POOL AL0004 5.00 02/01/41 39,213,387 43,169,883 43,337,431<br />
FNMA POOL AL0071 5.00 05/01/40 9,769 10,469 10,784<br />
FNMA POOL AL0078 6.00 12/01/20 58,307 61,219 60,273<br />
FNMA POOL AL0095 6.00 07/01/38 43,142 47,059 48,958
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