CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value MORGAN STANLEY MORTGAGE LOAN T 2.56 08/25/34 600,352 209,601 342,832 MORGAN STANLEY MORTGAGE LOAN T 2.41 09/25/34 525,007 188,239 251,485 MORGAN STANLEY MORTGAGE LOAN T 1.57 10/25/34 146,086 122,203 141,946 MORGAN STANLEY MORTGAGE LOAN T 6.00 08/25/37 8,236 8,236 7,681 NCUA GUARANTEED NOTES 2.65 10/29/20 656,542 655,846 669,839 NEW YORK MORTGAGE TRUST 0.52 08/25/35 981,456 850,832 907,087 NOMURA ASSET ACCEPTANCE CORPOR 6.00 03/25/47 1,057,705 1,007,268 846,500 RESI FINANCE LIMITED PARTNERSH 1.59 09/10/35 1,866,566 1,422,502 1,691,934 RESIDENTIAL ACCREDIT LOANS, IN 6.00 06/25/36 1,868,507 1,320,308 1,557,503 RESIDENTIAL ACCREDIT LOANS, IN 1.66 08/25/35 1,224,841 861,456 1,038,300 RESIDENTIAL ACCREDIT LOANS, IN 5.50 08/25/35 115,658 103,782 104,324 RESIDENTIAL ASSET MORTGAGE PRO 7.50 05/25/32 296,284 292,379 83,973 SALOMON BROTHERS MORTGAGE SECU 2.54 09/25/32 346,609 354,215 350,226 SEQUOIA MORTGAGE TRUST 0.46 01/20/35 493,218 395,915 466,932 SEQUOIA MORTGAGE TRUST 0.83 01/20/34 158,824 135,194 151,373 SEQUOIA MORTGAGE TRUST 0.91 11/22/24 15,952 14,336 15,896 STRUCTURED ADJUSTABLE RATE MOR 0.69 10/25/34 3,212,704 3,208,166 2,859,534 STRUCTURED ADJUSTABLE RATE MOR 2.81 10/25/47 2,311,633 2,312,942 1,772,026 STRUCTURED ADJUSTABLE RATE MOR 2.51 07/25/35 1,260,066 944,781 1,033,338 STRUCTURED ADJUSTABLE RATE MOR 2.49 03/25/35 1,236,948 1,074,430 1,211,576 STRUCTURED ADJUSTABLE RATE MOR 2.49 04/25/35 859,736 664,831 812,695 STRUCTURED ADJUSTABLE RATE MOR 2.48 04/25/34 605,584 519,603 605,246 STRUCTURED ADJUSTABLE RATE MOR 2.48 01/25/35 466,372 352,232 430,702 STRUCTURED ADJUSTABLE RATE MOR 0.49 10/25/35 457,571 364,122 424,803 STRUCTURED ADJUSTABLE RATE MOR 0.53 08/25/35 320,842 263,853 306,146 STRUCTURED ASSET MORTGAGE INVE 0.40 08/25/36 2,446,452 1,616,239 1,908,624 STRUCTURED ASSET MORTGAGE INVE 0.42 02/25/36 1,343,701 790,942 1,069,685 STRUCTURED ASSET MORTGAGE INVE 0.50 12/25/35 282,870 178,333 215,410 STRUCTURED ASSET SECURITIES CO 2.53 06/25/33 721,473 672,384 741,194 STRUCTURED ASSET SECURITIES CO 2.95 11/25/32 506,672 513,636 483,655 STRUCTURED ASSET SECURITIES CO 2.00 04/25/32 121,326 122,867 121,153 STRUCTURED ASSET SECURITIES CO 2.22 01/25/32 11,329 11,310 10,888 THORNBURG MORTGAGE SECURITIES 2.20 09/25/37 826,877 713,675 806,486 UBS BARCLAYS COMMERCIAL MORTGA 1.47 04/10/46 120,917,568 10,762,266 8,798,325 UBS BARCLAYS COMMERCIAL MORTGA 1.98 12/10/45 71,706,114 9,358,677 6,838,827 VENDEE MORTGAGE TRUST 6.50 10/15/29 8,563,138 8,668,667 10,026,706 WACHOVIA BANK COMMERCIAL MORTG 0.68 12/15/43 102,643,046 1,755,074 748,781 WAMU COMMERCIAL MORTGAGE SECUR 0.75 12/27/49 34,371,204 1,536,689 631,055 WAMU COMMERCIAL MORTGAGE SECUR 0.92 11/23/43 19,346,065 1,169,944 97,181 WAMU MORTGAGE PASS THROUGH CER 1.94 04/25/37 4,167,895 4,170,605 3,605,817 WAMU MORTGAGE PASS THROUGH CER 2.16 06/25/37 3,653,965 3,653,611 3,219,282 WAMU MORTGAGE PASS THROUGH CER 2.38 02/25/37 2,477,120 1,850,949 2,166,180 WAMU MORTGAGE PASS THROUGH CER 2.19 09/25/46 2,102,898 1,599,194 1,915,963 WAMU MORTGAGE PASS THROUGH CER 2.08 03/25/37 2,053,044 1,394,930 1,741,411 WAMU MORTGAGE PASS THROUGH CER 2.25 12/25/36 1,930,921 1,457,965 1,732,037 WAMU MORTGAGE PASS THROUGH CER 0.55 01/25/45 1,516,989 1,516,989 1,379,201 WAMU MORTGAGE PASS THROUGH CER 2.39 01/25/35 1,171,258 1,093,350 1,180,177 WAMU MORTGAGE PASS THROUGH CER 2.43 07/25/37 867,665 576,987 699,734 WAMU MORTGAGE PASS THROUGH CER 0.51 08/25/45 833,998 675,894 782,025 WAMU MORTGAGE PASS THROUGH CER 1.07 11/25/34 815,743 815,743 758,835 WAMU MORTGAGE PASS THROUGH CER 0.55 10/25/45 815,370 561,730 726,362 WAMU MORTGAGE PASS THROUGH CER 0.59 08/25/45 777,456 581,096 702,960 WAMU MORTGAGE PASS THROUGH CER 1.97 11/25/36 699,351 586,117 617,666 WAMU MORTGAGE PASS THROUGH CER 0.63 07/25/44 938,726 785,556 865,030 WAMU MORTGAGE PASS THROUGH CER 2.32 08/25/33 600,938 572,878 602,221 WAMU MORTGAGE PASS THROUGH CER 2.25 08/25/46 588,875 476,945 498,194
CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> Mortgage-Backed Securities Security Name Rate Maturity Date Par Value Book Value Market Value WAMU MORTGAGE PASS THROUGH CER 4.24 08/25/36 368,061 348,337 326,004 WAMU MORTGAGE PASS THROUGH CER 0.51 07/25/45 310,869 255,557 297,328 WAMU MORTGAGE PASS THROUGH CER 0.58 10/25/44 206,215 166,454 199,065 WAMU MORTGAGE PASS THROUGH CER 2.52 01/25/33 192,274 180,716 194,052 WAMU MORTGAGE PASS THROUGH CER 0.46 07/25/45 72,783 58,307 68,255 WAMU MORTGAGE PASS THROUGH CER 1.36 11/25/42 47,175 43,598 44,011 WAMU MORTGAGE PASS THROUGH CER 6.04 10/25/36 18,253 17,710 15,282 WASHINGTON MUTUAL MORTGAGE PAS 1.12 08/25/46 1,973,167 1,148,122 1,376,269 WASHINGTON MUTUAL MORTGAGE PAS 2.76 04/25/37 1,931,420 1,915,454 1,289,532 WASHINGTON MUTUAL MORTGAGE PAS 0.45 12/25/35 1,787,361 1,201,096 1,482,597 WASHINGTON MUTUAL MORTGAGE PAS 1.15 06/25/46 875,683 453,535 627,645 WELLS FARGO COMMERCIAL MORTGAG 1.36 12/15/47 115,713,865 9,593,006 9,162,525 WELLS FARGO COMMERCIAL MORTGAG 2.24 10/15/45 73,001,591 9,904,533 7,123,860 WELLS FARGO COMMERCIAL MORTGAG 3.41 12/15/47 56,704,550 58,378,654 57,104,459 WELLS FARGO MORTGAGE BACKED SE 2.53 10/25/36 480,095 380,086 447,261 WELLS FARGO MORTGAGE BACKED SE 5.11 03/25/36 223,662 205,953 222,473 WELLS FARGO MORTGAGE BACKED SE 2.62 12/25/33 5,379 5,226 5,384 WF RBS COMMERCIAL MORTGAGE TRU 1.62 03/15/45 171,613,023 13,517,100 11,443,500 WF RBS COMMERCIAL MORTGAGE TRU 1.20 09/15/46 168,094,675 10,668,297 8,543,076 WF RBS COMMERCIAL MORTGAGE TRU 1.04 06/15/46 144,332,119 9,500,806 7,160,316 WF RBS COMMERCIAL MORTGAGE TRU 2.58 04/15/45 91,528,729 14,711,903 8,955,079 WF RBS COMMERCIAL MORTGAGE TRU 1.13 11/15/47 91,413,624 6,435,519 6,002,493 WF RBS COMMERCIAL MORTGAGE TRU 1.11 09/15/57 87,964,846 5,758,795 5,395,500 Total $ 13,034,521,147 $ 12,950,262,682
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