Annual Investment Report

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CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value FNMA POOL AP9653 3.50 10/01/42 1,924,435 2,049,228 1,989,777 FNMA POOL AP9667 3.50 11/01/42 7,342,241 7,820,066 7,591,542 FNMA POOL AP9889 3.50 10/01/42 31,056 31,957 32,035 FNMA POOL AP9999 3.50 10/01/42 5,648,157 5,969,676 5,839,930 FNMA POOL AQ0221 2.50 11/01/42 8,169,244 8,315,192 7,846,672 FNMA POOL AQ0846 3.50 10/01/42 944,455 1,012,135 976,486 FNMA POOL AQ1065 3.50 11/01/42 2,369,083 2,503,973 2,449,460 FNMA POOL AQ1184 2.50 10/01/42 1,384,148 1,408,870 1,329,493 FNMA POOL AQ1239 3.50 12/01/42 3,022,205 3,226,378 3,124,826 FNMA POOL AQ1287 3.50 02/01/43 2,534,196 2,674,922 2,620,223 FNMA POOL AQ1903 3.50 10/01/42 937,722 998,530 969,506 FNMA POOL AQ2243 3.50 10/01/27 3,765,405 3,998,054 3,976,409 FNMA POOL AQ2633 2.50 11/01/42 1,208,020 1,229,602 1,160,320 FNMA POOL AQ2864 2.50 11/01/42 336,181 342,187 322,907 FNMA POOL AQ3498 3.50 11/01/42 1,317,630 1,392,653 1,359,409 FNMA POOL AQ4507 3.50 11/01/32 7,780,118 8,007,218 8,139,865 FNMA POOL AQ4601 4.00 12/01/42 11,120,731 11,648,046 11,829,837 FNMA POOL AQ4692 2.50 11/01/42 7,586,363 7,721,897 7,286,807 FNMA POOL AQ5230 2.50 12/01/42 1,818,585 1,849,783 1,746,776 FNMA POOL AQ5241 2.50 12/01/42 162,689 165,480 156,265 FNMA POOL AQ5244 2.50 12/01/42 919,649 935,426 883,335 FNMA POOL AQ5688 3.50 12/01/42 2,744,299 2,900,589 2,831,313 FNMA POOL AQ5708 3.50 01/01/43 3,063,660 3,238,178 3,167,410 FNMA POOL AQ6015 2.50 11/01/42 5,572,539 5,672,095 5,352,501 FNMA POOL AQ6321 2.50 11/01/42 1,492,515 1,518,113 1,433,582 FNMA POOL AQ6333 3.50 11/01/42 1,128,316 1,209,192 1,166,602 FNMA POOL AQ6643 3.50 01/01/43 1,371,986 1,450,139 1,418,534 FNMA POOL AQ6654 3.50 01/01/43 46,089 47,427 47,514 FNMA POOL AQ6881 2.50 12/01/42 907,524 923,741 871,689 FNMA POOL AQ6935 2.50 12/01/42 892,958 908,915 857,698 FNMA POOL AQ6937 2.50 12/01/42 383,070 389,915 367,944 FNMA POOL AQ6938 2.50 12/01/42 1,698,147 1,728,493 1,631,094 FNMA POOL AQ6939 2.50 12/01/42 4,799,993 4,885,770 4,610,460 FNMA POOL AQ8047 3.50 02/01/43 1,468,435 1,480,853 1,522,827 FNMA POOL AQ8196 3.50 01/01/33 3,243,179 3,337,906 3,393,132 FNMA POOL AQ8254 3.50 12/01/42 2,897,461 3,110,599 2,988,836 FNMA POOL AQ8429 3.50 12/01/42 15,794,365 16,956,205 16,292,459 FNMA POOL AQ9946 3.50 01/01/43 5,747,413 6,074,808 5,942,511 FNMA POOL AR0135 3.00 01/01/43 506,019 494,709 505,663 FNMA POOL AR0144 3.50 01/01/43 6,805,675 7,183,514 7,036,679 FNMA POOL AR0154 3.50 02/01/43 9,314,354 9,860,218 9,630,387 FNMA POOL AR1401 3.50 01/01/43 4,766,191 5,030,801 4,927,961 FNMA POOL AR1786 3.50 02/01/43 1,517,474 1,606,405 1,568,988 FNMA POOL AR3236 3.50 05/01/43 3,368,664 3,608,710 3,486,863 FNMA POOL AR3370 3.50 02/01/28 3,859,876 4,099,308 4,071,269 FNMA POOL AR4121 3.00 02/01/43 167,571 163,825 167,350 FNMA POOL AR4130 4.00 02/01/43 6,848,296 7,151,474 7,295,558 FNMA POOL AR4705 3.00 02/01/43 560,333 547,807 559,593 FNMA POOL AR4878 3.50 01/01/43 1,566,429 1,655,659 1,616,096 FNMA POOL AR5454 3.50 02/01/33 1,062,143 1,093,176 1,113,892 FNMA POOL AR5455 3.50 02/01/33 733,953 755,397 767,672 FNMA POOL AR6399 3.50 03/01/33 1,645,006 1,693,083 1,720,885 FNMA POOL AR6761 3.50 02/01/43 7,350,535 7,853,737 7,599,685 FNMA POOL AR7032 3.50 02/01/43 2,032,994 2,137,369 2,101,921 FNMA POOL AR7783 3.50 03/01/43 1,752,133 1,849,451 1,811,579 FNMA POOL AR8152 3.00 03/01/43 381,479 372,950 380,975
CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value FNMA POOL AR8171 3.50 03/01/43 5,273,799 5,582,933 5,441,016 FNMA POOL AR8212 3.50 04/01/43 31,796,713 33,659,781 32,872,426 FNMA POOL AR8293 3.00 05/01/43 1,380,014 1,348,898 1,378,189 FNMA POOL AR8948 3.50 03/01/28 2,027,436 2,153,856 2,138,472 FNMA POOL AR9017 3.50 02/01/43 2,170,288 2,318,547 2,243,883 FNMA POOL AR9900 3.50 04/01/43 13,049,751 13,814,867 13,487,122 FNMA POOL AR9927 3.50 04/01/33 2,452,646 2,519,687 2,560,683 FNMA POOL AS0026 3.50 07/01/43 102,671 105,654 105,845 FNMA POOL AS0278 3.50 08/01/33 859,975 885,146 899,863 FNMA POOL AS1627 3.50 02/01/34 20,187,517 20,714,303 21,077,795 FNMA POOL AS1760 4.00 02/01/29 1,459,797 1,548,144 1,545,366 FNMA POOL AS3766 3.50 11/01/44 1,915,931 2,041,236 1,987,039 FNMA POOL AS4085 4.00 12/01/44 159,853,746 172,016,865 170,352,511 FNMA POOL AS4336 3.50 01/01/45 31,662,402 33,733,326 32,778,617 FNMA POOL AT0505 3.50 03/01/43 3,229,436 3,418,736 3,338,981 FNMA POOL AT1572 3.00 05/01/43 74,111 72,440 74,013 FNMA POOL AT2476 3.50 05/01/33 1,302,646 1,338,263 1,360,026 FNMA POOL AT2478 3.50 05/01/33 1,160,032 1,191,750 1,211,131 FNMA POOL AT2482 3.50 05/01/33 1,885,403 1,936,955 1,968,454 FNMA POOL AT2609 3.00 09/01/43 35,520 34,440 35,473 FNMA POOL AT2858 3.50 05/01/33 912,264 937,208 952,449 FNMA POOL AT2934 3.50 05/01/33 2,509,481 2,578,096 2,620,021 FNMA POOL AT2958 3.50 05/01/33 3,236,217 3,324,703 3,378,770 FNMA POOL AT2960 3.50 05/01/33 2,509,748 2,578,370 2,620,300 FNMA POOL AT3055 3.50 04/01/43 7,594,449 8,111,260 7,851,989 FNMA POOL AT3992 3.50 05/01/43 3,667,255 3,914,207 3,791,509 FNMA POOL AT4187 3.50 05/01/33 2,269,081 2,331,123 2,369,032 FNMA POOL AT4943 3.50 05/01/43 10,033,221 10,719,050 10,373,509 FNMA POOL AT5419 3.50 05/01/33 1,129,971 1,160,868 1,179,746 FNMA POOL AT5421 3.50 05/01/33 2,362,519 2,427,116 2,466,586 FNMA POOL AT5895 3.00 06/01/43 1,740,796 1,701,854 1,738,495 FNMA POOL AT7585 3.50 06/01/43 17,050,743 18,005,132 17,577,824 FNMA POOL AT7587 3.50 06/01/43 11,472,887 12,088,376 11,827,542 FNMA POOL AT7589 3.50 06/01/43 12,976,675 13,733,211 13,377,816 FNMA POOL AT7590 4.00 05/01/43 1,218,950 1,323,487 1,291,722 FNMA POOL AT7602 3.50 05/01/43 1,843,714 1,939,388 1,900,708 FNMA POOL AT7893 2.30 08/01/43 25,573,691 25,148,638 25,834,846 FNMA POOL AT8446 3.50 06/01/33 1,067,558 1,096,756 1,114,583 FNMA POOL AT8620 4.50 06/01/43 1,209,395 1,294,919 1,307,079 FNMA POOL AT8624 3.50 06/01/43 696,845 717,091 718,386 FNMA POOL AT8750 3.50 05/01/33 1,297,367 1,332,840 1,354,515 FNMA POOL AT9610 3.50 06/01/33 6,693,587 6,876,662 6,988,434 FNMA POOL AU1724 4.00 07/01/43 1,960,366 2,047,791 2,095,627 FNMA POOL AU2551 3.50 07/01/33 945,213 972,870 991,198 FNMA POOL AU2553 3.50 07/01/33 2,380,835 2,445,972 2,485,709 FNMA POOL AU2554 3.50 07/01/33 2,234,851 2,295,993 2,333,294 FNMA POOL AU2610 3.50 08/01/33 5,362,122 5,519,069 5,622,052 FNMA POOL AU2611 3.50 08/01/33 4,206,606 4,329,731 4,403,529 FNMA POOL AU4356 4.00 10/01/43 1,404,241 1,462,035 1,495,972 FNMA POOL AU4367 4.00 10/01/43 607,455 632,456 647,135 FNMA POOL AU4980 3.50 09/01/33 1,548,695 1,594,038 1,624,046 FNMA POOL AU4981 3.50 09/01/33 1,515,850 1,560,231 1,586,834 FNMA POOL AU4982 3.50 09/01/33 1,293,407 1,331,276 1,353,931 FNMA POOL AU5400 3.50 08/01/43 4,013,336 4,267,622 4,154,546 FNMA POOL AU5767 3.50 09/01/43 4,586,144 4,876,734 4,746,933 FNMA POOL AU6240 4.00 10/01/43 650,229 681,016 689,048
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Page 3 and 4: Chief Investment Officer’s Letter
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California Public Employees’ Reti
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