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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 />
MORGAN STANLEY MORTGAGE LOAN T 2.56 08/25/34 600,352 209,601 342,832<br />
MORGAN STANLEY MORTGAGE LOAN T 2.41 09/25/34 525,007 188,239 251,485<br />
MORGAN STANLEY MORTGAGE LOAN T 1.57 10/25/34 146,086 122,203 141,946<br />
MORGAN STANLEY MORTGAGE LOAN T 6.00 08/25/37 8,236 8,236 7,681<br />
NCUA GUARANTEED NOTES 2.65 10/29/20 656,542 655,846 669,839<br />
NEW YORK MORTGAGE TRUST 0.52 08/25/35 981,456 850,832 907,087<br />
NOMURA ASSET ACCEPTANCE CORPOR 6.00 03/25/47 1,057,705 1,007,268 846,500<br />
RESI FINANCE LIMITED PARTNERSH 1.59 09/10/35 1,866,566 1,422,502 1,691,934<br />
RESIDENTIAL ACCREDIT LOANS, IN 6.00 06/25/36 1,868,507 1,320,308 1,557,503<br />
RESIDENTIAL ACCREDIT LOANS, IN 1.66 08/25/35 1,224,841 861,456 1,038,300<br />
RESIDENTIAL ACCREDIT LOANS, IN 5.50 08/25/35 115,658 103,782 104,324<br />
RESIDENTIAL ASSET MORTGAGE PRO 7.50 05/25/32 296,284 292,379 83,973<br />
SALOMON BROTHERS MORTGAGE SECU 2.54 09/25/32 346,609 354,215 350,226<br />
SEQUOIA MORTGAGE TRUST 0.46 01/20/35 493,218 395,915 466,932<br />
SEQUOIA MORTGAGE TRUST 0.83 01/20/34 158,824 135,194 151,373<br />
SEQUOIA MORTGAGE TRUST 0.91 11/22/24 15,952 14,336 15,896<br />
STRUCTURED ADJUSTABLE RATE MOR 0.69 10/25/34 3,212,704 3,208,166 2,859,534<br />
STRUCTURED ADJUSTABLE RATE MOR 2.81 10/25/47 2,311,633 2,312,942 1,772,026<br />
STRUCTURED ADJUSTABLE RATE MOR 2.51 07/25/35 1,260,066 944,781 1,033,338<br />
STRUCTURED ADJUSTABLE RATE MOR 2.49 03/25/35 1,236,948 1,074,430 1,211,576<br />
STRUCTURED ADJUSTABLE RATE MOR 2.49 04/25/35 859,736 664,831 812,695<br />
STRUCTURED ADJUSTABLE RATE MOR 2.48 04/25/34 605,584 519,603 605,246<br />
STRUCTURED ADJUSTABLE RATE MOR 2.48 01/25/35 466,372 352,232 430,702<br />
STRUCTURED ADJUSTABLE RATE MOR 0.49 10/25/35 457,571 364,122 424,803<br />
STRUCTURED ADJUSTABLE RATE MOR 0.53 08/25/35 320,842 263,853 306,146<br />
STRUCTURED ASSET MORTGAGE INVE 0.40 08/25/36 2,446,452 1,616,239 1,908,624<br />
STRUCTURED ASSET MORTGAGE INVE 0.42 02/25/36 1,343,701 790,942 1,069,685<br />
STRUCTURED ASSET MORTGAGE INVE 0.50 12/25/35 282,870 178,333 215,410<br />
STRUCTURED ASSET SECURITIES CO 2.53 06/25/33 721,473 672,384 741,194<br />
STRUCTURED ASSET SECURITIES CO 2.95 11/25/32 506,672 513,636 483,655<br />
STRUCTURED ASSET SECURITIES CO 2.00 04/25/32 121,326 122,867 121,153<br />
STRUCTURED ASSET SECURITIES CO 2.22 01/25/32 11,329 11,310 10,888<br />
THORNBURG MORTGAGE SECURITIES 2.20 09/25/37 826,877 713,675 806,486<br />
UBS BARCLAYS COMMERCIAL MORTGA 1.47 04/10/46 120,917,568 10,762,266 8,798,325<br />
UBS BARCLAYS COMMERCIAL MORTGA 1.98 12/10/45 71,706,114 9,358,677 6,838,827<br />
VENDEE MORTGAGE TRUST 6.50 10/15/29 8,563,138 8,668,667 10,026,706<br />
WACHOVIA BANK COMMERCIAL MORTG 0.68 12/15/43 102,643,046 1,755,074 748,781<br />
WAMU COMMERCIAL MORTGAGE SECUR 0.75 12/27/49 34,371,204 1,536,689 631,055<br />
WAMU COMMERCIAL MORTGAGE SECUR 0.92 11/23/43 19,346,065 1,169,944 97,181<br />
WAMU MORTGAGE PASS THROUGH CER 1.94 04/25/37 4,167,895 4,170,605 3,605,817<br />
WAMU MORTGAGE PASS THROUGH CER 2.16 06/25/37 3,653,965 3,653,611 3,219,282<br />
WAMU MORTGAGE PASS THROUGH CER 2.38 02/25/37 2,477,120 1,850,949 2,166,180<br />
WAMU MORTGAGE PASS THROUGH CER 2.19 09/25/46 2,102,898 1,599,194 1,915,963<br />
WAMU MORTGAGE PASS THROUGH CER 2.08 03/25/37 2,053,044 1,394,930 1,741,411<br />
WAMU MORTGAGE PASS THROUGH CER 2.25 12/25/36 1,930,921 1,457,965 1,732,037<br />
WAMU MORTGAGE PASS THROUGH CER 0.55 01/25/45 1,516,989 1,516,989 1,379,201<br />
WAMU MORTGAGE PASS THROUGH CER 2.39 01/25/35 1,171,258 1,093,350 1,180,177<br />
WAMU MORTGAGE PASS THROUGH CER 2.43 07/25/37 867,665 576,987 699,734<br />
WAMU MORTGAGE PASS THROUGH CER 0.51 08/25/45 833,998 675,894 782,025<br />
WAMU MORTGAGE PASS THROUGH CER 1.07 11/25/34 815,743 815,743 758,835<br />
WAMU MORTGAGE PASS THROUGH CER 0.55 10/25/45 815,370 561,730 726,362<br />
WAMU MORTGAGE PASS THROUGH CER 0.59 08/25/45 777,456 581,096 702,960<br />
WAMU MORTGAGE PASS THROUGH CER 1.97 11/25/36 699,351 586,117 617,666<br />
WAMU MORTGAGE PASS THROUGH CER 0.63 07/25/44 938,726 785,556 865,030<br />
WAMU MORTGAGE PASS THROUGH CER 2.32 08/25/33 600,938 572,878 602,221<br />
WAMU MORTGAGE PASS THROUGH CER 2.25 08/25/46 588,875 476,945 498,194
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