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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 AU6973 2.78 11/01/43 13,547,251 14,029,985 14,204,264<br />
FNMA POOL AU7276 4.00 10/01/38 4,799,636 5,140,899 5,086,175<br />
FNMA POOL AU9351 4.00 11/01/43 10,208,348 10,628,545 10,875,162<br />
FNMA POOL AU9432 5.00 10/01/43 1,523,473 1,664,247 1,684,279<br />
FNMA POOL AU9782 2.29 09/01/43 6,356,663 6,476,157 6,586,532<br />
FNMA POOL AU9929 4.00 10/01/33 4,098,848 4,314,921 4,384,704<br />
FNMA POOL AV2334 2.87 01/01/44 16,485,687 16,908,536 17,053,914<br />
FNMA POOL AV2592 4.00 11/01/33 1,751,412 1,838,122 1,873,556<br />
FNMA POOL AV2593 4.00 11/01/33 1,299,827 1,364,180 1,390,478<br />
FNMA POOL AV2594 4.00 11/01/33 1,826,646 1,917,081 1,954,037<br />
FNMA POOL AV3451 3.50 02/01/29 13,854,982 14,694,106 14,616,598<br />
FNMA POOL AV3538 4.00 12/01/38 4,703,402 5,037,861 4,984,196<br />
FNMA POOL AV5373 5.00 12/01/43 2,378,793 2,598,655 2,629,880<br />
FNMA POOL AV6610 4.00 04/01/39 6,505,051 6,967,729 6,891,299<br />
FNMA POOL AV6685 4.50 01/01/44 797,076 853,487 861,725<br />
FNMA POOL AV6735 4.50 03/01/44 629,566 674,132 680,629<br />
FNMA POOL AV9206 4.00 03/01/39 10,100,627 10,819,004 10,700,368<br />
FNMA POOL AV9631 3.19 03/01/44 7,884,331 8,178,873 8,181,447<br />
FNMA POOL AW0966 2.88 06/01/44 20,944,387 21,568,257 21,652,056<br />
FNMA POOL AW1963 4.00 03/01/44 3,059,990 3,184,162 3,260,957<br />
FNMA POOL AW2234 3.40 05/01/44 7,017,819 7,304,635 7,333,049<br />
FNMA POOL AW6278 3.12 07/01/44 11,473,115 11,826,144 11,841,866<br />
FNMA POOL AW7961 3.50 09/01/44 1,402,374 1,494,085 1,454,423<br />
FNMA POOL AW9483 3.50 11/01/44 5,107,216 5,430,207 5,287,270<br />
FNMA POOL AW9592 3.50 08/01/44 1,848,150 1,969,008 1,906,749<br />
FNMA POOL AX1040 2.94 10/01/44 5,097,847 5,210,440 5,239,026<br />
FNMA POOL AX2377 3.02 09/01/44 2,351,476 2,409,709 2,419,519<br />
FNMA POOL AX2763 4.00 09/01/44 4,666,855 4,996,228 4,943,957<br />
FNMA POOL AX3608 3.50 01/01/45 5,176,923 5,492,368 5,353,015<br />
FNMA POOL AX6039 2.95 10/01/44 3,074,474 3,144,967 3,159,378<br />
FNMA POOL AX6103 3.50 10/01/44 4,060,296 4,325,836 4,210,370<br />
FNMA POOL AX7770 4.00 02/01/45 5,097,254 5,458,622 5,404,009<br />
FNMA POOL AX8417 3.50 11/01/44 3,880,033 4,133,793 4,023,507<br />
FNMA POOL AX8724 3.50 01/01/45 7,014,545 7,438,715 7,253,141<br />
FNMA POOL AY0089 2.80 12/01/44 11,688,239 12,128,521 12,037,834<br />
FNMA POOL AY0357 3.50 01/01/45 7,211,529 7,647,610 7,456,816<br />
FNMA POOL AY1814 4.00 01/01/45 2,575,959 2,757,379 2,735,615<br />
FNMA POOL AY5472 4.00 03/01/45 25,084,732 26,939,251 26,732,258<br />
FNMA POOL AY5654 2.67 06/01/45 28,835,278 29,507,234 29,490,868<br />
FNMA POOL AY5790 4.00 03/01/45 23,933,701 25,626,790 25,374,044<br />
FNMA POOL AZ0439 2.86 05/01/45 9,411,625 9,708,298 9,712,722<br />
FNMA POOL MA0052 6.00 03/01/29 16,938 18,403 19,202<br />
FNMA POOL MA0115 4.50 07/01/29 63,616 67,397 68,793<br />
FNMA POOL MA0171 4.50 09/01/29 12,635 13,293 13,663<br />
FNMA POOL MA0200 4.50 10/01/29 870,641 916,036 941,488<br />
FNMA POOL MA0343 3.50 02/01/20 32,212 33,205 33,980<br />
FNMA POOL MA0383 4.50 04/01/30 24,571,547 26,258,777 26,572,142<br />
FNMA POOL MA0424 3.50 05/01/20 70,578 72,800 74,453<br />
FNMA POOL MA0486 3.50 07/01/20 631,942 652,102 666,645<br />
FNMA POOL MA0511 4.50 09/01/30 71,051,766 75,899,015 76,836,741<br />
FNMA POOL MA0521 3.50 09/01/20 24,203 24,985 25,532<br />
FNMA POOL MA0534 4.00 10/01/30 12,777,896 13,153,166 13,663,626<br />
FNMA POOL MA0548 3.50 10/01/20 271,519 280,341 286,429<br />
FNMA POOL MA0577 3.50 11/01/20 129,371 133,599 136,476<br />
FNMA POOL MA0598 3.50 12/01/20 12,518 12,931 13,206<br />
FNMA POOL MA0629 3.50 01/01/21 58,469 60,404 61,680
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