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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 AL0763 6.00 07/01/40 89,657 98,009 101,742<br />
FNMA POOL AL0846 3.50 10/01/26 841 884 888<br />
FNMA POOL AL0920 5.00 07/01/37 5,786,717 6,386,510 6,417,413<br />
FNMA POOL AL0933 5.00 10/01/41 16,515,935 18,335,644 18,280,106<br />
FNMA POOL AL1054 5.50 01/01/38 119,173 129,427 134,517<br />
FNMA POOL AL1338 5.00 07/01/41 7,071 7,580 7,805<br />
FNMA POOL AL1432 4.00 01/01/27 12,058,601 12,755,744 12,740,877<br />
FNMA POOL AL1465 3.50 02/01/27 164,595 173,019 173,901<br />
FNMA POOL AL1503 3.42 01/01/42 12,584,522 13,202,000 13,161,239<br />
FNMA POOL AL1779 5.50 12/01/38 41,483 45,066 46,815<br />
FNMA POOL AL1947 4.00 04/01/42 22,592,978 24,217,997 24,029,048<br />
FNMA POOL AL2071 5.50 03/01/40 14,297,941 15,602,271 16,091,724<br />
FNMA POOL AL2278 6.00 05/01/41 2,218,158 2,411,748 2,517,726<br />
FNMA POOL AL2846 4.50 06/01/42 11,348,844 12,301,324 12,408,832<br />
FNMA POOL AL2869 4.50 01/01/42 18,853,500 20,384,861 20,584,858<br />
FNMA POOL AL3001 3.50 12/01/32 104,727,373 110,817,469 109,500,778<br />
FNMA POOL AL3146 2.50 01/01/28 30,891,535 31,837,560 31,499,188<br />
FNMA POOL AL3496 3.50 05/01/43 10,915,793 11,008,150 11,318,815<br />
FNMA POOL AL3650 5.00 02/01/41 43,145,247 47,005,505 47,682,802<br />
FNMA POOL AL3655 3.50 06/01/43 9,352,442 9,431,586 9,698,893<br />
FNMA POOL AL4163 4.00 05/01/23 100,829 106,607 105,791<br />
FNMA POOL AL4242 5.00 10/01/41 5,761,098 6,342,766 6,366,988<br />
FNMA POOL AL4626 2.29 08/01/43 9,182,199 9,306,783 9,402,574<br />
FNMA POOL AL4809 5.00 05/01/42 5,706,899 6,238,198 6,307,089<br />
FNMA POOL AL5955 5.00 01/01/42 83,329,339 92,333,725 92,093,027<br />
FNMA POOL AL5984 3.50 10/01/44 15,720,287 16,716,860 16,274,334<br />
FNMA POOL AL6127 2.93 12/01/44 7,710,909 7,964,638 7,971,513<br />
FNMA POOL AL6274 5.00 09/01/44 110,199,111 123,133,293 122,802,200<br />
FNMA POOL AL6392 3.50 01/01/45 34,078,683 36,312,904 35,838,973<br />
FNMA POOL AO0778 4.00 04/01/42 22,639,615 24,252,733 24,083,214<br />
FNMA POOL AO0882 3.50 04/01/42 47,975 50,633 49,604<br />
FNMA POOL AO0959 3.50 04/01/27 874,778 928,257 925,469<br />
FNMA POOL AO2102 4.50 05/01/42 942,973 1,034,695 1,021,226<br />
FNMA POOL AO4215 3.50 07/01/42 32,427 34,225 33,527<br />
FNMA POOL AO5103 3.50 06/01/32 251,715 257,378 263,331<br />
FNMA POOL AO5257 4.50 06/01/42 811,874 869,203 879,247<br />
FNMA POOL AO8954 4.00 07/01/42 635,519 681,236 677,296<br />
FNMA POOL AO9155 3.50 07/01/27 4,580,550 4,843,534 4,837,233<br />
FNMA POOL AO9344 3.50 06/01/32 1,682,244 1,719,614 1,759,712<br />
FNMA POOL AO9369 4.00 07/01/42 7,201,541 7,700,334 7,668,372<br />
FNMA POOL AP0005 2.65 07/01/42 35,950,716 36,559,381 36,727,573<br />
FNMA POOL AP0262 3.50 08/01/27 1,678,051 1,785,171 1,770,524<br />
FNMA POOL AP3614 3.50 08/01/27 4,717,236 5,018,367 4,994,070<br />
FNMA POOL AP3683 4.00 10/01/42 11,096,641 11,891,451 11,804,210<br />
FNMA POOL AP4970 3.50 09/01/42 2,110,906 2,247,754 2,182,580<br />
FNMA POOL AP5167 3.50 09/01/32 3,530,298 3,608,837 3,693,208<br />
FNMA POOL AP5331 3.50 08/01/42 2,239,011 2,363,174 2,314,903<br />
FNMA POOL AP5677 3.50 09/01/42 36,125 37,173 37,264<br />
FNMA POOL AP5735 3.50 11/01/42 2,810,437 3,011,886 2,905,806<br />
FNMA POOL AP6370 3.50 09/01/32 3,069,446 3,137,732 3,211,100<br />
FNMA POOL AP7374 3.50 09/01/27 2,764,678 2,941,390 2,916,982<br />
FNMA POOL AP8420 2.50 11/01/42 2,625,346 2,672,249 2,521,681<br />
FNMA POOL AP8452 2.50 11/01/42 1,934,083 1,968,636 1,857,713<br />
FNMA POOL AP8463 2.50 11/01/42 2,122,785 2,160,710 2,038,965<br />
FNMA POOL AP9449 3.50 09/01/42 1,266,843 1,348,971 1,307,011<br />
FNMA POOL AP9593 3.50 10/01/32 4,387,555 4,486,448 4,590,087
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