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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 />
JP MORGAN MORTGAGE TRUST 5.19 04/25/36 251,588 241,707 233,034<br />
JP MORGAN MORTGAGE TRUST 2.67 07/25/35 138,157 123,743 137,287<br />
JP MORGAN MORTGAGE TRUST 2.44 11/25/33 28,492 27,183 28,725<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.24 11/15/47 125,086,172 8,856,101 8,063,055<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.43 04/15/47 95,540,751 6,058,336 5,025,252<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.75 11/15/45 94,689,235 8,001,335 6,148,267<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.31 02/15/47 93,224,612 6,752,632 5,765,476<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.28 08/15/47 64,131,253 5,276,784 4,813,371<br />
JPMBB COMMERCIAL MORTGAGE SECU 1.35 10/15/48 60,747,797 4,792,697 4,600,710<br />
JPMBB COMMERCIAL MORTGAGE SECU 4.13 11/15/45 34,743,070 35,844,702 37,198,254<br />
JPMBB COMMERCIAL MORTGAGE SECU 3.77 08/15/47 9,650,853 9,998,862 10,008,814<br />
JUMBO MHLP 862 5.00 03/15/34 259,977 259,977 260,434<br />
JUMBO MHLP 881 1.00 06/23/36 360,454 358,258 353,469<br />
LANARK MASTER ISSUER PLC 1.68 12/22/54 2,078,252 2,078,252 2,089,753<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.86 09/15/39 271,326,433 2,549,358 1,922,348<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.85 11/15/38 76,801,011 1,759,581 615,176<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.85 11/15/38 74,969,582 677,358 600,506<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.60 02/15/40 48,007,176 547,330 311,375<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.60 02/15/40 38,291,523 430,090 256,591<br />
LB UBS COMMERCIAL MORTGAGE TRU 0.69 08/15/36 25,138,934 81,626 46,180<br />
LB UBS COMMERCIAL MORTGAGE TRU 1.32 03/15/36 14,145,562 283,138 191,262<br />
LB UBS COMMERCIAL MORTGAGE TRU 2.51 02/15/37 1,624,513 33,943 1,199<br />
LB UBS COMMERCIAL MORTGAGE TRU 2.27 07/15/35 545,733 6,049 1,733<br />
LEHMAN XS TRUST 0.32 03/25/47 354,797 353,996 344,149<br />
LUMINENT MORTGAGE TRUST 0.38 07/25/36 1,783,752 1,057,550 1,258,116<br />
MASTR ADJUSTABLE RATE MORTGAGE 2.66 03/25/35 549,955 549,955 480,672<br />
MASTR ADJUSTABLE RATE MORTGAGE 2.39 11/25/34 150,049 124,138 144,031<br />
MASTR ALTERNATIVE LOANS TRUST 6.50 05/25/33 152,678 165,130 161,741<br />
MASTR REPERFORMING LOAN TRUST 0.54 05/25/35 1,510,762 1,257,821 1,236,054<br />
MELLON RESIDENTIAL FUNDING COR 1.05 08/15/32 1,255,875 1,189,089 1,187,647<br />
MERRILL LYNCH MORTGAGE INVESTO 2.46 02/25/35 3,982,677 3,252,389 4,003,447<br />
MERRILL LYNCH MORTGAGE INVESTO 2.61 07/25/35 804,094 803,654 650,887<br />
MERRILL LYNCH MORTGAGE INVESTO 2.39 02/25/34 377,881 354,802 379,792<br />
MERRILL LYNCH MORTGAGE TRUST 5.46 11/12/37 384,917 382,238 384,954<br />
ML CFC COMMERCIAL MORTGAGE TRU 0.91 07/12/46 323,170,821 8,830,883 2,254,116<br />
ML CFC COMMERCIAL MORTGAGE TRU 0.80 12/12/49 219,562,170 1,324,294 1,649,571<br />
ML CFC COMMERCIAL MORTGAGE TRU 0.76 08/12/48 174,038,149 3,233,863 1,403,792<br />
ML CFC COMMERCIAL MORTGAGE TRU 5.38 08/12/48 69,033,752 69,010,879 72,150,431<br />
ML CFC COMMERCIAL MORTGAGE TRU 6.08 08/12/49 41,791,087 41,016,647 44,899,285<br />
ML CFC COMMERCIAL MORTGAGE TRU 5.17 12/12/49 8,676,467 8,478,720 8,999,289<br />
MORGAN STANLEY BAML TRUST 1.45 02/15/47 224,291,255 16,720,721 14,566,820<br />
MORGAN STANLEY BAML TRUST 1.57 05/15/46 219,982,688 16,344,373 14,462,982<br />
MORGAN STANLEY BAML TRUST 1.60 12/15/48 162,293,886 13,035,045 9,154,187<br />
MORGAN STANLEY BAML TRUST 1.58 02/15/48 122,635,768 12,236,180 11,628,814<br />
MORGAN STANLEY BAML TRUST 1.15 10/15/47 122,586,241 7,068,911 6,425,726<br />
MORGAN STANLEY BAML TRUST 1.40 06/15/47 117,462,140 9,567,362 8,459,506<br />
MORGAN STANLEY BAML TRUST 1.98 08/15/45 113,407,586 12,097,862 8,680,897<br />
MORGAN STANLEY BAML TRUST 1.44 08/15/47 86,654,690 7,099,870 6,326,226<br />
MORGAN STANLEY BAML TRUST 2.28 11/15/45 71,190,373 9,249,010 6,107,493<br />
MORGAN STANLEY BAML TRUST 3.89 06/15/47 38,603,411 40,455,958 40,231,708<br />
MORGAN STANLEY BAML TRUST 3.60 06/15/47 24,127,132 24,710,526 24,743,315<br />
MORGAN STANLEY CAPITAL I TRUST 1.40 07/15/49 247,212,650 11,879,499 7,977,058<br />
MORGAN STANLEY CAPITAL I TRUST 1.34 06/15/44 93,521,592 9,725,486 2,888,788<br />
MORGAN STANLEY MORTGAGE LOAN T 2.37 11/25/37 2,537,841 2,544,623 1,790,757<br />
MORGAN STANLEY MORTGAGE LOAN T 2.55 07/25/35 1,227,041 896,061 1,062,899<br />
MORGAN STANLEY MORTGAGE LOAN T 1.81 06/25/37 732,772 723,632 460,751
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