CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> Mortgage Loans Security Name Rate Maturity Date Par Value Book Value Market Value DEFAULT MHLP 8.00 01/01/20 2,575,201 $ 2,575,201 $ 2,575,201 JUMBO MHLP 15 YEAR 912 5.31 12/10/24 231,268 231,065 227,445 JUMBO MHLP 30 YEAR 906 6.63 03/13/39 902,734 900,535 914,042 JUMBO MHLP 885 1.00 12/14/36 3,907,981 3,897,371 3,812,603 JUMBO MHLP 15 YEAR 889 5.73 06/15/22 47,961 47,886 47,605 JUMBO MHLP 15 YEAR 891 5.72 09/20/22 81,681 81,297 78,951 JUMBO MHLP 15 YEAR 894 5.96 12/20/22 82,602 82,602 81,852 JUMBO MHLP 15 YEAR 900 4.72 09/19/23 546,707 545,812 524,718 JUMBO MHLP 15 YEAR 903 5.83 12/12/23 108,339 108,339 108,548 JUMBO MHLP 15 YEAR 907 5.22 06/18/24 109,849 109,583 106,399 JUMBO MHLP 15 YEAR 910 5.27 09/10/24 31,992 31,992 31,708 JUMBO MHLP 15 YR 887 1.00 03/15/22 404,176 404,176 386,876 JUMBO MHLP 30 YEAR 890 6.09 06/15/37 2,644,436 2,633,480 2,436,098 JUMBO MHLP 30 YEAR 892 6.23 09/20/37 1,941,106 1,934,021 1,806,703 JUMBO MHLP 30 YEAR 895 6.15 12/20/37 6,356,817 6,326,209 6,027,041 JUMBO MHLP 30 YEAR 897 6.02 03/20/38 7,288,567 7,277,828 6,842,047 JUMBO MHLP 30 YEAR 898 6.21 06/20/38 2,981,419 2,969,130 2,644,186 JUMBO MHLP 30 YEAR 901 5.90 08/19/38 10,325,890 10,325,890 9,507,503 JUMBO MHLP 30 YEAR 904 6.28 12/12/38 16,329,874 16,311,433 15,598,339 JUMBO MHLP 30 YEAR 908 5.58 06/18/39 2,133,266 2,132,961 2,024,998 JUMBO MHLP 30 YEAR 911 4.99 09/10/39 497,954 496,405 449,971 JUMBO MHLP 30 YEAR 913 1.00 12/10/39 5,738,503 5,731,444 5,396,729 JUMBO MHLP 30 YEAR 915 4.27 03/12/40 670,362 668,758 617,895 JUMBO MHLP 30 YEAR ARM 91 6.38 06/15/40 301,617 301,617 264,026 JUMBO MHLP 30 YR 888 1.00 03/15/37 7,408,619 7,384,562 7,050,540 JUMBO MHLP 844 9.14 07/01/29 2,890 2,890 3,126 JUMBO MHLP 848 7.55 08/01/31 276,851 276,851 289,831 JUMBO MHLP 851 1.00 05/01/32 1,091,852 1,090,352 1,101,362 JUMBO MHLP 853 5.73 02/01/18 351,458 351,308 350,073 JUMBO MHLP 854 6.21 02/01/33 869,474 868,678 881,943 JUMBO MHLP 855 5.40 06/01/18 107,912 107,903 107,234 JUMBO MHLP 856 5.93 06/01/33 2,118,116 2,117,914 2,056,980 JUMBO MHLP 858 5.64 09/01/33 4,752,324 4,744,972 4,610,405 JUMBO MHLP 859 5.03 12/15/18 215,162 215,003 201,535 JUMBO MHLP 860 1.00 12/15/33 3,411,379 3,403,591 3,323,448 JUMBO MHLP 864 5.00 07/25/34 350,715 350,715 337,937 JUMBO MHLP 866 5.30 09/24/34 225,396 225,332 216,652 JUMBO MHLP 867 5.00 12/30/15 20,935 20,935 20,610 JUMBO MHLP 868 5.00 12/30/30 759,771 759,017 647,023 JUMBO MHLP 870 3.50 03/25/35 1,022,738 1,021,635 983,020 JUMBO MHLP 871 1.00 07/19/25 161,172 160,911 157,785 JUMBO MHLP 872 1.00 07/25/34 3,139,743 3,134,723 3,011,720 JUMBO MHLP 873 1.00 07/25/34 193,202 192,778 188,873 JUMBO MHLP 874 1.00 07/25/34 2,081,204 2,080,173 1,995,247 JUMBO MHLP 875 1.00 12/19/20 53,707 53,707 53,236 JUMBO MHLP 876 1.00 12/19/35 4,613,483 4,600,290 4,113,804 JUMBO MHLP 877 1.00 12/19/35 191,166 191,166 174,371 JUMBO MHLP 879 5.00 03/24/36 1,691,186 1,681,768 1,583,745 JUMBO MHLP 882 1.00 09/19/36 1,184,224 1,179,977 1,149,887 JUMBO MHLP 883 1.00 09/19/21 64,159 64,159 63,179 JUMBO MHLP 884 1.00 12/14/21 97,770 97,602 97,357
CalPERS 2014-2015 <strong>Annual</strong> <strong>Investment</strong> <strong>Report</strong> Mortgage Loans Security Name Rate Maturity Date Par Value Book Value Market Value JUMBO MHLP 886 1.00 12/14/36 465,641 465,641 423,527 JUMBO MHLP ARM 893 6.22 09/20/37 662,546 661,848 606,189 PERSONAL LOAN MHLP 6.75 03/01/21 10,109,277 10,452,630 10,328,952 Total $ 114,084,065 $ 108,641,073
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