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 GNMA II POOL 004600 5.50 12/20/39 96,120 105,694 108,527 GNMA II POOL 004635 4.00 02/20/40 423,807 459,306 454,483 GNMA II POOL 004715 5.00 06/20/40 21,290,858 23,264,099 23,674,770 GNMA II POOL 004748 5.50 07/20/40 48,772 53,644 55,066 GNMA II POOL 004770 4.00 08/20/40 3,220,003 3,362,923 3,453,073 GNMA II POOL 004772 5.00 08/20/40 7,175,034 7,922,575 7,978,414 GNMA II POOL 004800 4.00 09/20/40 1,079,643 1,127,575 1,157,790 GNMA II POOL 004803 5.50 09/20/40 5,380,517 5,918,547 6,002,215 GNMA II POOL 004833 4.00 10/20/40 4,657,031 4,874,569 4,994,116 GNMA II POOL 004834 4.50 10/20/40 63,041,259 68,107,086 68,978,509 GNMA II POOL 004836 5.50 10/20/40 555,138 611,732 624,798 GNMA II POOL 004853 4.00 11/20/40 38,184,472 40,824,991 40,948,341 GNMA II POOL 004882 4.00 12/20/40 11,657,720 12,636,717 12,501,529 GNMA II POOL 004885 5.50 12/20/40 177,696 195,487 199,345 GNMA II POOL 004925 5.50 01/20/41 272,077 299,849 306,218 GNMA II POOL 004945 4.00 02/20/41 7,793,246 8,156,619 8,304,520 GNMA II POOL 004949 4.00 02/20/41 643,085 684,879 668,802 GNMA II POOL 004950 5.50 02/20/41 555,239 610,877 619,395 GNMA II POOL 004951 3.00 12/20/40 490,020 526,746 489,552 GNMA II POOL 004952 3.50 02/20/41 176,533 189,285 180,792 GNMA II POOL 004953 3.00 01/20/41 585,007 616,895 591,474 GNMA II POOL 004986 3.00 01/20/41 274,862 289,844 277,900 GNMA II POOL 005081 4.00 06/20/41 3,578,788 3,879,771 3,813,574 GNMA II POOL 005117 5.50 07/20/41 3,472,181 3,820,803 3,895,208 GNMA II POOL 005140 4.50 08/20/41 14,995,934 16,261,585 16,309,409 GNMA II POOL 005177 5.50 09/20/41 156,685 172,730 174,790 GNMA II POOL 005206 5.50 10/20/41 5,050,072 5,567,411 5,683,769 GNMA II POOL 009226 8.75 12/20/16 983 994 987 GNMA II POOL 009240 8.75 03/20/17 4,789 4,852 4,856 GNMA II POOL 009245 8.75 04/20/17 1,187 1,203 1,192 GNMA II POOL 009265 8.75 08/20/17 1,872 1,902 1,898 GNMA II POOL 080152 1.75 01/20/28 4,398 4,533 4,575 GNMA II POOL 080169 1.75 02/20/28 3,253 3,353 3,382 GNMA II POOL 080174 1.75 03/20/28 5,538 5,709 5,762 GNMA II POOL 080178 1.75 03/20/28 12,171 12,545 12,665 GNMA II POOL 080180 1.75 03/20/28 3,084 3,179 3,209 GNMA II POOL 080186 1.63 04/20/28 5,341 5,517 5,560 GNMA II POOL 080197 1.63 05/20/28 5,496 5,676 5,729 GNMA II POOL 080198 1.63 05/20/28 13,952 14,411 14,525 GNMA II POOL 080204 1.63 06/20/28 5,935 6,130 6,122 GNMA II POOL 080205 1.63 06/20/28 7,223 7,460 7,520 GNMA II POOL 080207 1.63 06/20/28 11,697 12,083 12,050 GNMA II POOL 080221 1.63 08/20/28 13,783 14,196 14,186 GNMA II POOL 080311 1.63 08/20/29 4,306 4,436 4,484 GNMA II POOL 080317 1.63 09/20/29 8,237 8,487 8,567 GNMA II POOL 080562 1.63 12/20/31 79,840 79,843 82,857 GNMA II POOL 080932 1.63 06/20/34 139,227 138,845 144,826 GNMA II POOL 081401 1.63 07/20/35 94,071 93,564 97,779 GNMA II POOL 081560 2.13 12/20/35 64,492 64,443 66,635 GNMA II POOL 081635 1.75 03/20/36 93,385 92,969 96,953 GNMA II POOL 081734 2.13 08/20/36 39,584 39,528 41,011 GNMA II POOL 783038 5.50 07/20/40 178,396 196,219 199,009 GNMA II POOL 783377 4.50 05/20/41 22,018,658 23,827,061 23,947,245 GNMA II POOL AC9485 3.50 02/20/43 24,435,835 26,386,800 25,390,342 GNMA II POOL AL4508 3.50 02/20/45 32,268,258 33,991,800 33,613,926 GNMA II POOL AL4511 3.50 02/20/45 7,687,230 8,097,828 8,014,475
CalPERS 2014-2015 Annual Investment Report Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value GNMA II POOL MA0154 3.50 06/20/42 37,281 38,096 38,807 GNMA II POOL MA0391 3.00 09/20/42 65,039 62,861 65,955 GNMA II POOL MA0393 4.00 09/20/42 425,036 465,849 451,144 GNMA II POOL MA2892 3.50 06/20/45 83,769,401 87,021,421 87,031,826 GNMA II TBA 30 YR 3 3.00 07/20/45 50,473,960 51,167,977 50,951,095 GNMA II TBA 30 YR 3.5 3.50 08/20/45 289,525,581 299,131,196 299,704,255 GNMA II TBA 30 YR 3.5 3.50 07/20/45 79,402,391 82,533,791 82,407,906 GNMA POOL 353470 6.50 09/15/27 667 687 761 GNMA POOL 353933 6.50 10/15/23 25,528 26,178 29,122 GNMA POOL 375958 6.50 12/15/23 7,412 7,603 8,455 GNMA POOL 393403 6.50 04/15/26 741 761 845 GNMA POOL 412570 6.50 03/15/26 1,094 1,124 1,248 GNMA POOL 415053 6.50 02/15/26 142 146 162 GNMA POOL 417374 6.50 04/15/26 790 811 901 GNMA POOL 426034 6.50 04/15/26 111 114 127 GNMA POOL 433112 6.50 07/15/26 4,354 4,473 4,967 GNMA POOL 444136 5.00 08/15/40 382,954 415,778 427,069 GNMA POOL 562291 5.50 12/15/33 8,342 9,221 9,554 GNMA POOL 603567 5.50 04/15/33 94,429 95,752 109,007 GNMA POOL 603829 5.50 12/15/32 32,396 35,772 37,135 GNMA POOL 604183 5.50 04/15/33 4,018 4,074 4,601 GNMA POOL 604370 5.50 06/15/33 140,793 155,566 161,243 GNMA POOL 604382 5.50 06/15/33 31,658 34,980 36,257 GNMA POOL 604872 5.50 12/15/33 80,077 88,519 91,708 GNMA POOL 604949 5.50 01/15/34 11,820 13,067 13,536 GNMA POOL 606739 5.00 07/15/40 1,705,063 1,851,146 1,925,789 GNMA POOL 609460 5.50 08/15/33 17,431 17,677 19,865 GNMA POOL 611879 5.50 05/15/33 4,784 5,286 5,479 GNMA POOL 619120 5.50 10/15/34 984 999 1,110 GNMA POOL 622145 5.50 10/15/33 10,892 12,039 12,474 GNMA POOL 622611 5.50 10/15/33 17,524 19,369 19,748 GNMA POOL 636834 5.50 11/15/34 9,254 10,230 10,583 GNMA POOL 696976 5.00 06/15/40 484,131 525,592 539,902 GNMA POOL 696990 5.00 08/15/40 1,024,596 1,112,418 1,154,207 GNMA POOL 706805 5.00 06/15/40 862,485 936,347 971,596 GNMA POOL 710553 5.00 06/15/40 587,744 638,078 655,451 GNMA POOL 711520 5.00 06/15/40 1,181,866 1,283,080 1,318,014 GNMA POOL 716861 4.50 04/15/39 3,054 3,301 3,334 GNMA POOL 718536 5.00 06/15/40 1,103,894 1,198,430 1,231,060 GNMA POOL 719226 5.00 07/15/40 4,115,569 4,468,174 4,589,674 GNMA POOL 723807 5.00 06/15/40 716,476 777,834 799,012 GNMA POOL 726872 5.00 06/15/40 163,036 176,998 181,817 GNMA POOL 730927 5.00 07/15/40 1,284,452 1,394,499 1,439,250 GNMA POOL 732153 5.00 06/15/40 387,749 420,955 432,684 GNMA POOL 732516 5.00 07/15/40 1,010,040 1,096,577 1,126,395 GNMA POOL 733352 5.00 07/15/40 1,198,095 1,300,743 1,325,247 GNMA POOL 736055 5.00 06/15/40 1,092,029 1,185,549 1,217,828 GNMA POOL 736107 5.00 07/15/40 1,166,568 1,266,515 1,300,954 GNMA POOL 739192 5.00 07/15/40 1,182,601 1,283,922 1,324,689 GNMA POOL 739669 5.00 08/15/40 813,157 882,856 906,831 GNMA POOL 740478 5.00 07/15/40 2,916,971 3,166,885 3,253,000 GNMA POOL 740494 5.00 07/15/40 1,689,739 1,834,508 1,884,393 GNMA POOL 741230 5.00 08/15/40 49,245 53,466 54,559 GNMA POOL 741313 5.00 06/15/40 40,130 43,567 44,673 GNMA POOL 742393 5.00 06/15/40 198,626 215,636 221,507 GNMA POOL 742413 5.00 07/15/40 134,923 146,483 149,348
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California Public Employees’ Reti
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