Annual Investment Report

CalPERS 2014-2015 Annual Investment Report
U.S. Treasuries and Agencies
Security Name Rate Maturity Date Par Value Book Value Market Value
FANNIE DISCOUNT NOTE 0.00 07/08/15 15,277,198 $ 15,276,797 $ 15,277,137
FANNIE MAE 0.00 10/09/19 389,508,415 325,623,840 356,603,523
FANNIE MAE 2.63 09/06/24 40,533,581 39,702,642 40,571,821
FANNIE MAE 7.25 05/15/30 43,428,837 55,475,840 64,639,807
FANNIE MAE 6.63 11/15/30 36,576,732 42,671,307 51,930,126
FARMER MAC GTD TR 07 1 5.13 04/19/17 38,603,411 39,046,402 41,528,198
FED HOME LN DISCOUNT NT 0.01 07/10/15 177,898,373 177,892,130 177,897,483
FED HOME LN DISCOUNT NT 0.00 07/08/15 29,194,646 29,193,851 29,194,529
FREDDIE MAC 0.00 12/11/25 16,406,450 12,041,300 12,069,902
STRIPS 0.00 11/15/33 5,950,000 3,201,199 3,384,063
STRIPS 0.00 11/15/34 5,900,000 3,061,125 3,233,731
STRIPS 0.00 11/15/35 5,900,000 2,951,229 3,119,566
STRIPS 0.00 11/15/30 5,800,000 3,490,694 3,706,954
STRIPS 0.00 11/15/31 5,800,000 3,363,597 3,563,172
STRIPS 0.00 11/15/36 5,800,000 2,801,666 2,945,530
STRIPS 0.00 11/15/37 5,700,000 2,655,105 2,784,564
STRIPS 0.00 11/15/38 5,600,000 2,509,014 2,636,872
STRIPS 0.00 11/15/39 5,500,000 2,376,657 2,491,940
STRIPS 0.00 11/15/23 4,900,000 3,934,730 4,020,597
STRIPS 0.00 11/15/24 4,900,000 3,774,110 3,895,108
STRIPS 0.00 11/15/19 4,600,000 4,259,184 4,295,572
STRIPS 0.00 11/15/18 4,500,000 4,279,983 4,320,585
STRIPS 0.00 11/15/16 4,400,000 4,351,155 4,372,104
STRIPS 0.00 11/15/17 4,400,000 4,278,297 4,316,004
STRIPS 0.00 11/15/15 4,300,000 4,292,293 4,298,495
TENN VALLEY AUTHORITY 5.88 04/01/36 297,246,263 333,271,312 388,292,140
TENN VALLEY AUTHORITY 4.88 01/15/48 111,949,891 142,162,479 127,604,248
TENN VALLEY AUTHORITY 5.38 04/01/56 72,381,395 101,141,716 87,239,088
TENN VALLEY AUTHORITY 5.25 09/15/39 9,650,853 12,161,075 11,745,885
TSY INFL IX N/B 0.13 07/15/24 1,617,861,734 1,603,849,113 1,579,939,055
TSY INFL IX N/B 0.63 01/15/24 2,164,654,060 2,192,477,978 2,204,570,281
TSY INFL IX N/B 1.13 01/15/21 668,913,935 705,452,245 708,319,655
TSY INFL IX N/B 0.13 04/15/16 545,556,380 548,355,067 548,196,873
TSY INFL IX N/B 0.13 01/15/23 535,029,120 537,560,566 526,249,292
TSY INFL IX N/B 2.00 01/15/26 488,241,765 515,961,466 561,097,201
TSY INFL IX N/B 1.38 02/15/44 342,095,440 379,968,266 365,398,981
TSY INFL IX N/B 2.13 02/15/40 451,572,882 602,116,630 556,491,325
TSY INFL IX N/B 0.25 01/15/25 440,494,596 440,867,905 432,063,089
TSY INFL IX N/B 0.13 04/15/18 374,586,360 382,304,653 380,321,277
TSY INFL IX N/B 0.75 02/15/42 401,972,137 391,209,089 369,405,963
TSY INFL IX N/B 0.38 07/15/23 234,486,566 237,911,554 235,621,481
TSY INFL IX N/B 0.13 04/15/19 227,173,500 231,189,275 230,119,940
TSY INFL IX N/B 0.13 04/15/17 399,982,080 408,747,299 405,293,842
TSY INFL IX N/B 0.13 01/15/22 209,056,000 209,942,208 207,454,631
TSY INFL IX N/B 0.63 07/15/21 327,374,583 339,429,447 338,269,609
TSY INFL IX N/B 3.63 04/15/28 275,630,584 360,598,868 376,106,201
TSY INFL IX N/B 2.38 01/15/27 247,259,387 303,866,174 296,441,752
TSY INFL IX N/B 2.50 01/15/29 372,794,195 464,379,171 460,225,617
TSY INFL IX N/B 1.25 07/15/20 189,843,500 204,733,144 203,280,623
TSY INFL IX N/B 0.75 02/15/45 227,824,041 220,950,927 208,174,217
TSY INFL IX N/B 0.13 04/15/20 142,446,660 143,571,245 143,715,860
TSY INFL IX N/B 2.13 01/15/19 110,193,000 120,768,250 119,938,469
TSY INFL IX N/B 0.63 02/15/43 233,202,862 209,129,026 206,967,540