Annual Investment Report

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