0001099910-11-000111.txt : 20110531 0001099910-11-000111.hdr.sgml : 20110530 20110531135421 ACCESSION NUMBER: 0001099910-11-000111 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110331 FILED AS OF DATE: 20110531 DATE AS OF CHANGE: 20110531 EFFECTIVENESS DATE: 20110531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AFL CIO HOUSING INVESTMENT TRUST CENTRAL INDEX KEY: 0000225030 IRS NUMBER: 526220193 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03493 FILM NUMBER: 11880715 BUSINESS ADDRESS: STREET 1: 2401 PENNSYLVANIA AVENUE, NW STREET 2: SUITE 200 CITY: WASHINGTON STATE: DC ZIP: 20037 BUSINESS PHONE: 2023318055 MAIL ADDRESS: STREET 1: 2401 PENNSYLVANIA AVENUE, NW STREET 2: SUITE 200 CITY: WASHINGTON STATE: DC ZIP: 20037 0000225030 S000009768 AFL CIO HOUSING INVESTMENT TRUST C000026832 AFL CIO HOUSING INVESTMENT TRUST N-Q 1 aflcio_nq-seriesa.htm AFL-CIO HOUSING INVESTMENT TRUST N-Q 3-31-2011 aflcio_nq-seriesa.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549




FORM N-Q



QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act File Number:  811-03493

American Federation of Labor and
Congress of Industrial Organizations
Housing Investment Trust*
(Exact name of registrant as specified in charter)


2401 Pennsylvania Avenue, Suite 200, N.W., Washington, D.C.  20037
(Address of principal executive offices)  (Zip code)

Kenneth G. Lore, Esq.
Bingham McCutchen LLP
2020 K Street, N.W., Washington, D.C.  20006
(Name and address of agent for service)

(202) 331-8055
(Registrant’s telephone number, including area code)





Date of fiscal year end: December 31
Date of reporting period: March 31, 2011


*This filing relates solely to Series A—AFL-CIO Housing Investment Trust

 
 
 
 
 
 
Item 1. Schedule of Investments
(Schedule of Investments)
 
Schedule of Portfolio Investments
        
           
March 31, 2011 (Dollars in thousands; unaudited)
      
           
           
FHA Permanent Securities (3.3% of net assets)
      
           
           
           
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
Single Family
7.75%
Jul-2021
 $                  20
 $                 20
 $                20
           
Multifamily1
5.25%
Mar-2024
                 4,267
                4,267
              4,432
 
5.35%
Mar-2047
                 7,793
                7,804
              8,085
 
5.55%
Aug-2042
                 8,603
                8,600
              8,994
 
5.60%
Jun-2038
                 2,718
                2,716
              2,822
 
5.62%
Jun-2014
                   352
                  349
                 364
 
5.65%
Oct-2038
                 2,096
                2,149
              2,195
 
5.87%
Jun-2044
                 1,898
                1,896
              2,010
 
5.89%
Apr-2038
                 5,090
                5,103
              5,407
 
6.02%
Jun-2035
                 5,996
                5,984
              6,393
 
6.40%
Jul-2046
                 3,996
                3,995
              4,301
 
6.60%
Jan-2050
                 3,492
                3,535
              3,750
 
6.66%
May-2040
                 5,523
                5,510
              5,526
 
6.70%
Dec-2042
                 5,814
                5,800
              6,113
 
6.75%
Apr-2040 - Jul-2040
                 5,214
                5,183
              5,651
 
6.88%
Apr-2031
               26,532
              26,211
             26,551
 
7.05%
Jul-2043
                 5,174
                5,174
              5,554
 
7.13%
Mar-2040
                 7,598
                7,554
              8,305
 
7.20%
Dec-2033 - Oct-2039
                 9,538
                9,510
             10,343
 
7.50%
Sep-2032
                 1,521
                1,515
              1,689
 
7.75%
Oct-2038
                 1,346
                1,336
              1,348
 
7.93%
Apr-2042
                 2,818
                2,818
              3,157
 
8.15%
Mar-2037
                 1,147
                1,246
              1,149
 
8.27%
Jun-2042
                 2,472
                2,472
              2,614
 
8.40%
Apr-2012
                     83
                    83
                   83
 
8.75%
Aug-2036
                 3,565
                3,550
              3,573
     
             124,646
            124,360
           130,409
Forward Commitments1
5.80%
Mar-2052
                      -
                     -
                    (8)
Total FHA  Permanent Securities
  
 $          124,666
 $         124,380
 $        130,421
 
 

 
 
 
 
Schedule of Portfolio Investments
          
               
March 31, 2011 (Dollars in thousands; unaudited)
        
               
               
FHA Construction Securities (0.3% of net assets)
        
               
               
 
Interest Rates2
  
Commitment
    
 
Permanent
Construction
Maturity Date
Amount
Face Amount
Amortized Cost
Value
               
Multifamily1
6.20%
6.20%
Aug-2051
 $        11,900
 $        11,900
 $           11,895
 $          12,764
Total FHA Construction Securities
  
 $        11,900
 $        11,900
 $           11,895
 $          12,764
 
 
 
 
 

Schedule of Portfolio Investments
          
             
March 31, 2011 (Dollars in thousands; unaudited)
        
             
             
Ginnie Mae Securities (23.2% of net assets)
        
 
Interest Rate
Maturity Date
  
Face Amount
Amortized Cost
Value
             
Single Family
4.00%
Feb-2040 - Jun-2040
  
 $           19,488
 $             19,829
 $           19,529
 
4.50%
Aug-2040
  
             14,872
                15,330
              15,374
 
5.50%
Jan-2033 - Jun-2037
  
             16,624
                16,532
              18,054
 
6.00%
Jan-2032 - Aug-2037
  
               9,213
                  9,215
              10,147
 
6.50%
Jul-2028
  
                  120
                     120
                  135
 
7.00%
Nov-2016 - Jan-2030
  
               3,484
                  3,521
               3,931
 
7.50%
Apr-2013 - Aug-2030
  
               2,607
                  2,643
               2,917
 
8.00%
Jun-2023 - Nov-2030
  
               1,339
                  1,370
               1,538
 
8.50%
Jun-2022 - Aug-2027
  
               1,266
                  1,287
               1,443
 
9.00%
May-2016 - Jun-2025
  
                  386
                     394
                  442
 
9.50%
Sep-2021 - Sep-2030
  
                  143
                     144
                  164
 
10.00%
Jun-2019
  
                     1
                        1
                      1
 
13.25%
Dec-2014
  
                     1
                        1
                      1
       
             69,544
                70,387
              73,676
             
Multifamily1
2.34%
Aug-2034
  
             25,000
                25,236
              25,143
 
2.41%
May-2030
  
             15,000
                15,150
              15,155
 
3.17%
Oct-2043
  
             40,000
                40,673
              40,640
 
3.31%
Nov-2037
  
             19,807
                20,769
              20,338
 
3.49%
Mar-2042
  
             10,000
                10,052
               9,633
 
3.61%
Nov-2027
  
               4,189
                  4,267
               4,256
 
3.65%
Oct-2027
  
               1,413
                  1,378
               1,424
 
3.67%
Oct-2043
  
             25,000
                25,269
              25,048
 
4.04%
Feb-2039
  
               2,260
                  2,145
               2,343
 
4.15%
Apr-2046
  
               8,500
                  8,670
               8,752
 
4.22%
Nov-2035
  
             24,371
                25,044
              25,660
 
4.26%
Jul-2029
  
               3,000
                  2,991
               3,118
 
4.43%
Apr-2034 - Jun-2034
3
             91,981
                90,312
              96,417
 
4.49%
Apr-2023
  
               2,076
                  2,076
               2,083
 
4.54%
Sep-2034
  
               9,000
                  9,293
               9,426
 
4.63%
Sep-2037
3
               1,500
                  1,457
               1,266
 
4.66%
Apr-2029 - Dec-2030
  
             20,160
                20,819
              21,013
 
4.69%
Aug-2032
  
               7,215
                  7,189
               7,477
 
4.70%
Dec-2024
  
               7,144
                  7,023
               7,334
 
4.71%
May-2025
  
               8,389
                  8,376
               8,470
 
4.73%
Nov-2045
  
               3,000
                  3,058
               3,112
 
4.76%
Apr-2045
  
               7,950
                  8,296
               8,412
 
4.82%
Oct-2029
  
               4,100
                  4,326
               4,295
 
4.83%
May-2046
3
               5,390
                  5,390
               4,565
 
4.88%
Mar-2036
  
               8,848
                  8,731
               9,133
 
4.90%
Mar-2044
3
               1,000
                     990
                  863
 
4.92%
Feb-2034 - May-2034
  
             47,293
                47,119
              49,634
 
4.94%
Jun-2046
3
               3,855
                  3,859
               3,591
 
4.99%
Mar-2030 - Feb-2037
  
             19,750
                20,715
              21,172
 
5.00%
Dec-2033
  
               4,910
                  4,945
               4,920
 
5.01%
Mar-2038
  
             25,000
                26,104
              26,430
 
5.05%
Apr-2049
3
               2,930
                  2,936
               2,556
 
5.14%
Jul-2024
  
                  141
                     140
                  141
 
5.15%
Jun-2023
  
             29,595
                29,871
              31,196
 
5.17%
Sep-2045
  
             50,000
                53,463
              53,860
 
5.19%
May-2045
  
               8,865
                  8,649
               9,509
 
5.25%
Feb-2031
  
             37,497
                37,387
              39,774
 
 
 
Schedule of Portfolio Investments
          
             
March 31, 2011 (Dollars in thousands; unaudited)
        
             
             
Ginnie Mae Securities (23.2% of net assets)
 
 
5.30%
Apr-2039
  
             17,316
                17,058
              18,271
 
5.32%
Aug-2030
  
             18,450
                18,380
              19,269
 
5.34%
Jul-2040
  
             18,000
                17,683
              18,872
 
5.50%
Sep-2023 - Jul-2033
  
             18,628
                19,313
              19,269
 
5.55%
Aug-2027
  
               1,811
                  1,908
               1,851
 
5.55%
May-2049
3
             10,590
                10,594
               9,122
 
5.58%
May-2031 - Oct-2031
  
             94,582
                94,873
            103,003
 
5.68%
Jul-2027
  
             15,152
                15,110
              15,999
 
6.22%
Aug-2035
  
             13,942
                13,945
              15,378
 
6.26%
Apr-2027
  
             10,000
                10,540
              10,826
       
            804,600
              813,572
            840,019
Total Ginnie Mae Securities
    
 $         874,144
 $            883,959
 $         913,695
 
 
 
 
 
 

Schedule of Portfolio Investments
            
                 
March 31, 2011 (Dollars in thousands; unaudited)
          
                 
                 
Ginnie Mae Construction Securities (4.9% of net assets)
          
                 
                 
 
Interest Rates2
    
Commitment
    
 
Permanent
Construction
Maturity Date
  
Amount
Face Amount
Amortized Cost
Value
                 
Multifamily1
3.40%
3.40%
Apr-2017
  
 $          2,250
 $          2,250
 $             2,251
 $            2,276
 
4.49%
8.25%
Jun-2052
  
           44,954
           11,485
              11,048
             12,710
 
4.75%
4.75%
Mar-2052
3
           32,463
           11,163
              11,181
             11,790
 
4.80%
4.80%
Feb-2052
  
           11,940
             7,662
                8,040
               8,336
 
4.86%
4.86%
Jan-2053
  
           42,358
             3,067
                3,390
               3,502
 
4.87%
4.87%
Apr-2042
  
         100,000
           38,111
              38,991
             41,172
 
4.90%
6.50%
Oct-2051
  
           63,132
           47,953
              47,959
             52,319
 
4.98%
4.98%
Feb-2052
  
             4,700
                 25
                   166
                  286
 
5.00%
5.00%
Nov-2051
  
           13,543
             5,063
                5,335
               5,874
 
5.10%
7.00%
Dec-2050
3
           15,862
             2,186
                2,023
               2,662
 
5.21%
4.95%
Mar-2053
3
           49,950
           15,460
              15,470
             16,094
 
5.25%
5.25%
Apr-2037
  
           19,750
           19,750
              19,760
             20,032
 
5.35%
6.75%
May-2051
  
             1,547
                  -
                    23
                  115
 
5.39%
5.39%
Feb-2052
  
           26,094
             8,863
                9,392
             10,688
 
6.15%
6.15%
Nov-2039
  
             5,508
             5,150
                5,163
               5,694
Total Ginnie Mae Construction Securities
    
 $       434,051
 $      178,188
 $          180,192
 $         193,550
 
 
 
 
 
 
 
 
Schedule of Portfolio Investments
          
             
March 31, 2011 (Dollars in thousands; unaudited)
      
             
Fannie Mae Securities (44.3% of net assets)
      
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
             
Single Family
0.50%
4
Mar-2037
 $                    3,249
 $             3,201
 $                3,225
 
0.75%
4
Dec-2040
                     64,058
              63,458
                 63,419
 
2.06%
4
Nov-2033
                       6,066
                6,071
                   6,258
 
2.11%
4
Aug-2033
                         388
                   387
                      401
 
2.39%
4
Nov-2034
                       3,824
                3,968
                   3,993
 
2.41%
4
Sep-2035
                       1,521
                1,515
                   1,590
 
2.44%
4
May-2033
                       1,455
                1,463
                   1,519
 
2.50%
4
Apr-2034
                       3,074
                3,189
                   3,210
 
2.59%
4
Aug-2033
                       7,039
                7,024
                   7,382
 
2.62%
4
Jul-2033
                       1,266
                1,257
                   1,321
 
2.66%
4
Jul-2033
                       5,225
                5,253
                   5,484
 
4.00%
  
Jul-2024 - Jan-2041
                   139,429
             142,132
                138,743
 
4.50%
  
Jun-2018 - Sep-2040
                   117,668
             120,621
                121,551
 
5.00%
  
Jul-2018 - Apr-2041
                   133,964
             138,612
                140,526
 
5.50%
  
Jul-2017 - Jun-2038
                   101,130
             102,113
                108,591
 
6.00%
  
Apr-2016 - Nov-2038
                     77,200
              78,142
                 84,236
 
6.50%
  
Nov-2016 - Jul-2036
                       9,056
                9,343
                 10,117
 
7.00%
  
Nov-2013 - May-2032
                       3,496
                3,510
                   3,954
 
7.50%
  
Nov-2016 - Sep-2031
                       1,343
                1,324
                   1,507
 
8.00%
  
Jun-2012 - May-2031
                         335
                   339
                      363
 
8.50%
  
Jan-2012 - Apr-2031
                         398
                   399
                      440
 
9.00%
  
Jan-2024 - May-2025
                         137
                   138
                      157
       
                   681,321
             693,459
                707,987
             
Multifamily1
3.64%
4
Apr-2020
9,295
9,297
9,272
 
3.82%
  
Jul-2016
21,474
21,554
22,459
 
3.85%
  
Jan-2021
90,000
89,780
88,588
 
4.06%
  
Oct-2025
26,752
27,095
25,896
 
4.11%
4
Jun-2020
3,849
3,858
3,837
 
4.22%
  
Jul-2018
3,450
3,330
3,645
 
4.27%
  
Nov-2019
6,392
6,439
6,561
 
4.32%
  
Nov-2019
3,163
3,204
3,256
 
4.33%
  
Nov-2019 - Mar-2021
26,397
26,549
26,779
 
4.38%
  
Apr-2020
10,865
11,055
11,180
 
4.44%
  
May-2020
6,429
6,508
6,639
 
4.48%
  
Oct-2031
2,981
2,981
3,043
 
4.50%
  
Feb-2020
4,480
4,532
4,641
 
4.52%
  
Nov-2019
3,181
3,216
3,312
 
4.55%
  
Nov-2019
3,002
3,045
3,132
 
4.56%
  
Jul-2019
7,695
7,704
8,098
 
4.64%
  
Aug-2019
19,000
19,426
20,043
 
4.66%
  
Jul-2021 - Sep-2033
8,017
8,084
8,412
 
4.67%
  
Aug-2033
9,600
9,579
10,093
 
4.68%
  
Jul-2019
13,915
14,032
14,723
 
4.69%
  
Jan-2020
14,091
14,135
14,783
 
4.73%
  
Feb-2021
1,622
1,677
1,698
 
4.80%
  
Jun-2019
2,279
2,307
2,422
 
4.86%
  
May-2019
1,524
1,550
1,625
 
4.89%
  
Nov-2019
893
930
946
 
4.93%
  
Nov-2013
45,442
45,296
48,499
 
4.94%
  
Apr-2019
3,500
3,569
3,738
 
4.99%
  
Apr-2021
40,000
40,005
41,836
 
5.00%
  
Jun-2019
1,983
2,023
2,126
 
5.02%
  
Jun-2019
861
864
924
 
5.04%
  
Jun-2019
1,959
2,021
2,106
 
5.05%
  
Jun-2019 - Jul-2019
3,324
3,425
3,573
 
5.07%
  
Feb-2012
2,705
2,787
2,735
 
5.09%
  
Jun-2018
6,642
6,854
7,163
 
5.11%
  
Jul-2019
916
923
986
 
5.12%
  
Jul-2019
9,112
9,220
9,808
 
5.13%
  
Jul-2019
931
939
1,003
 
5.15%
  
Oct-2022
3,929
3,937
4,165
 
5.16%
  
Jan-2018
5,438
5,361
5,889
 
5.25%
  
Jan-2020
7,110
7,118
7,638
 
5.29%
  
May-2022
5,400
5,400
5,700
 
Schedule of Portfolio Investments
                    
                       
March 31, 2011 (Dollars in thousands; unaudited)
                
                       
Fannie Mae Securities (44.3% of net assets)
 
5.34%
  
Apr-2016
6,319
6,294
6,927
 
5.35%
  
Apr-2012 - Jun-2018
2,485
2,491
2,682
 
5.36%
  
Feb-2016
5,000
5,007
5,268
 
5.37%
  
Jun-2017
1,440
1,535
1,566
 
5.43%
  
Nov-2018
1,305
1,300
1,308
 
5.44%
  
Mar-2016
3,728
3,742
4,095
 
5.45%
  
May-2033
3,036
3,061
3,250
 
5.46%
  
Feb-2017
47,025
47,271
51,609
 
5.47%
  
Aug-2024
8,632
8,768
9,216
 
5.52%
  
Mar-2018
603
638
662
 
5.53%
  
Apr-2017
64,636
64,451
70,992
 
5.59%
  
May-2017
7,141
7,132
7,887
 
5.60%
  
Feb-2018 - Jan-2024
11,961
11,932
12,852
 
5.63%
  
Dec-2019
11,300
11,371
12,371
 
5.70%
  
Jun-2016
1,408
1,423
1,560
 
5.80%
  
Jun-2018
70,900
70,533
78,256
 
5.86%
  
Dec-2016
272
273
299
 
5.91%
  
Mar-2037
2,085
2,144
2,252
 
5.92%
  
Dec-2016
260
260
286
 
5.93%
  
Apr-2012
1,238
1,289
1,269
 
5.96%
  
Jan-2029
443
449
484
 
6.03%
  
Jun-2017 - Jun-2036
5,594
5,708
6,148
 
6.06%
  
Jul-2034
10,036
10,373
10,894
 
6.11%
  
Aug-2017
6,838
6,865
7,640
 
6.13%
  
Dec-2016
3,517
3,564
3,934
 
6.14%
  
Sep-2033
307
326
335
 
6.15%
  
Jul-2019 - Oct-2032
41,353
41,420
45,725
 
6.16%
  
Aug-2013
2,119
2,158
2,125
 
6.19%
  
Jul-2013
5,000
5,133
5,209
 
6.22%
  
Aug-2032
1,788
1,834
1,970
 
6.23%
  
Sep-2034
1,463
1,536
1,589
 
6.27%
  
Jan-2012
2,000
1,973
2,021
 
6.28%
  
Nov-2028
3,137
3,338
3,454
 
6.35%
  
Jun-2020 - Aug-2032
13,722
13,926
14,883
 
6.38%
  
Jul-2021
5,672
5,782
6,266
 
6.39%
  
Apr-2019
970
1,002
1,081
 
6.44%
  
Apr-2014 - Dec-2018
44,131
44,259
49,385
 
6.52%
  
May-2029
5,547
6,047
6,136
 
6.63%
  
Jun-2014 - Apr-2019
3,800
3,800
4,197
 
6.80%
  
Jul-2016
590
590
658
 
6.85%
  
Aug-2014
42,868
42,870
48,008
 
6.88%
  
Feb-2028
4,567
4,982
4,913
 
7.00%
  
Jun-2018
3,062
3,062
3,383
 
7.01%
  
Apr-2031
3,304
3,321
3,705
 
7.07%
  
Feb-2031
16,639
16,878
18,684
 
7.18%
  
Aug-2016
374
373
419
 
7.20%
  
Aug-2029
8,307
8,099
9,173
 
7.25%
  
Jul-2012
6,927
6,927
7,024
 
7.26%
  
Dec-2018
10,154
10,720
11,456
 
7.50%
  
Dec-2014
1,013
1,008
1,122
 
7.75%
  
Dec-2012 - Dec-2024
2,105
2,104
2,350
 
8.13%
  
Sep-2012
639
639
648
 
8.38%
  
Jan-2022
806
803
809
 
8.40%
  
Jul-2023
456
448
512
 
8.50%
  
Nov-2019
3,326
3,443
3,920
 
8.63%
  
Sep-2028
6,336
6,336
7,139
       
                   959,282
             964,620
             1,024,978
             
TBA5
4.25%
  
May-2021
4,500
4,523
4,508
 
4.71%
  
Apr-2021
6,200
6,433
6,453
       
                     10,700
              10,956
                 10,961
             
Total Fannie Mae Securities
    
 $              1,651,303
 $       1,669,035
 $          1,743,926

 
 
 

Schedule of Portfolio Investments
        
               
March 31, 2011 (Dollars in thousands; unaudited)
        
               
               
Freddie Mac Securities (11.2% of net assets)
        
               
               
       
Commitment
      
 
Interest Rate
Maturity Date
Amount
Face Amount
Amortized Cost
Value
               
Single Family
0.56%
4
Feb-2036
 $                        -
 $             8,911
 $                 8,911
 $              8,934
 
0.61%
4
Apr-2036
                          -
                5,874
                    5,866
                 5,850
 
0.76%
4
Nov-2040
                          -
              44,089
                  43,771
               43,652
 
2.26%
4
Apr-2035
                          -
                    98
                        98
                    102
 
2.49%
4
Oct-2033
                          -
                2,988
                    2,954
                 3,135
 
2.60%
4
Jun-2033
                          -
                1,270
                    1,266
                 1,332
 
2.80%
4
Jul-2035
                          -
                   715
                       711
                    749
 
4.00%
  
Dec-2024 - Jan-2041
                          -
              80,620
                  81,914
               80,303
 
4.50%
  
Aug-2018 - Sep-2040
                          -
              41,531
                  41,690
               42,638
 
5.00%
  
Jan-2019 - Mar-2041
                          -
              61,618
                  61,571
               64,649
 
5.50%
  
Oct-2017 - Jul-2038
                          -
              76,646
                  75,747
               81,923
 
6.00%
  
Mar-2014 - Feb-2038
                          -
              42,545
                  43,267
               46,467
 
6.50%
  
Oct-2013 - Nov-2037
                          -
              17,458
                  18,106
               19,487
 
7.00%
  
Apr-2011 - Mar-2030
                          -
                   385
                       369
                    419
 
7.50%
  
Sep-2012 - Apr-2031
                          -
                   386
                       373
                    431
 
8.00%
  
Jul-2012 - Feb-2030
                          -
                   133
                       130
                    144
 
8.50%
  
Jun-2015 - Jan-2025
                          -
                   226
                       227
                    257
 
9.00%
  
Mar-2025
                          -
                   110
                       110
                    127
         
         385,603
             387,081
          400,599
               
Multifamily1
5.38%
  
Dec-2028
                          -
              20,000
                  20,004
               20,037
 
5.42%
  
Apr-2016
                          -
              10,000
                    9,943
               10,930
 
5.65%
  
Apr-2016
                          -
                7,831
                    7,803
                 8,433
         
              37,831
                  37,750
               39,400
               
Forward Commitments1
2.95%
  
Aug-2017
                     2,585
                     -
                       (84)
                    (92)
Total Freddie Mac Securities
    
 $                   2,585
 $          423,434
 $              424,747
 $           439,907
 
 
 
 
 
 
 

 
Schedule of Portfolio Investments
        
           
March 31, 2011 (Dollars in thousands; unaudited)
      
           
           
Commercial Mortgage-Backed Securities1 (0.6% of net assets)
    
           
           
           
Issuer
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
Deutsche Bank
5.00%
Nov-2046
 $           18,990
 $               19,560
 $            19,525
Mizuho
6.58%
Mar-2034
                5,100
                    5,225
                 5,100
Total Commercial Mortgage Backed Securities
 $           24,090
 $               24,785
 $            24,625
 
 
 
 
 
 
 

Schedule of Portfolio Investments
                          
                               
March 31, 2011 (Dollars in thousands; unaudited)
                    
                               
                               
State Housing Finance Agency Securities (4.1% of net assets)
                
                               
                               
     
Interest Rates2
        
Commitment
     Amortized    
   
Issuer
Permanent
  
Construction
  
Maturity Date
    
Amount
Face Amount
  
 Cost
  
Value
                               
Multifamily1
  
NYC Housing Development Corp
0.00%
  
3.45%
  
May-2013
    
 $                 -
 $     9,500
  
 $          9,516
  
 $         9,525
   
MA Housing Finance Agency
-
  
3.85%
  
Dec-2012
6
  
                13,500
            2,790
  
                2,797
  
              2,790
   
NYC Housing Development Corp
2.00%
  
-
  
Sep-2013
    
-
            7,500
  
                7,500
  
              7,498
   
NYC Housing Development Corp
4.25%
  
-
  
Nov-2025
    
-
            1,150
  
                1,150
  
              1,120
   
NYC Housing Development Corp
4.40%
  
-
  
Nov-2024
    
-
            4,120
  
                4,121
  
              4,014
   
MA Housing Finance Agency
-
  
4.45%
  
Dec-2011
6
  
-
           30,570
  
               30,570
  
             30,587
   
NYC Housing Development Corp
4.50%
  
-
  
Nov-2030
    
-
            1,680
  
                1,682
  
              1,608
   
NYC Housing Development Corp
4.60%
  
-
  
Nov-2030
    
-
            4,665
  
                4,665
  
              4,462
   
NYC Housing Development Corp
4.70%
  
-
  
Nov-2035
    
-
            1,685
  
                1,685
  
              1,560
   
NYC Housing Development Corp
4.80%
  
-
  
Nov-2040
    
-
            2,860
  
                2,862
  
              2,672
   
NYC Housing Development Corp
4.90%
   -  
Nov-2034 - Nov-2041
     -  8,800    8,800   8,344
   
NYC Housing Development Corp
4.95%
   -  
Nov-2039 - May-2047
     -  13,680    13,682     12,705
   
NYC Housing Development Corp
5.55%
  
-
  
Nov-2039
    
-
            5,000
  
                4,979
  
              4,933
   
NYC Housing Development Corp
5.69%
  
-
  
Nov-2018
    
-
            6,605
  
                6,610
  
              6,799
   
MA Housing Finance Agency
5.70%
  
-
  
Jun-2040
    
-
           14,640
  
               14,642
  
             13,845
   
MA Housing Finance Agency
5.92%
  
-
  
Dec-2037
    
-
            6,475
  
                6,478
  
              6,100
   
NYC Housing Development Corp
6.42%
  
-
  
Nov-2039
    
-
           22,000
  
               22,000
  
             21,388
   
MA Housing Finance Agency
6.50%
  
-
  
Dec-2039
    
-
               745
  
                   749
  
                 676
   
MA Housing Finance Agency
6.58%
  
-
  
Dec-2039
    
-
           11,385
  
               11,386
  
             10,950
   
MA Housing Finance Agency
6.70%
  
-
  
Jun-2040
    
-
           11,955
  
               11,955
  
             10,920
                   
                13,500
         167,805
  
             167,829
  
           162,496
                               
Forward Commitments1
  
MA Housing Finance Agency
-
  
4.15%
  
Dec-2013
6
  
                26,700
                 75
  
                     75
  
                   75
Total State Housing Finance Agency Securities
            
 $         40,200
 $  167,880
  
 $       167,904
  
 $     162,571
 
 
 
 
 
 
 

 
Schedule of Portfolio Investments
          
                 
March 31, 2011 (Dollars in thousands; unaudited)
          
                 
                 
Other Mutifamily Investments (0.4% of net assets)
          
                 
                 
 
Interest Rates2
    
Commitment
      
 
Permanent
Construction
Maturity Date
  
Amount
Face Amount
Amortized Cost
Value
                 
Multifamily Construction/Permanent Mortgages1
          
 
8.63%
-
Jun-2025
  
            1,469
            1,127
            1,123
            1,120
         
            1,469
            1,127
            1,123
            1,120
                 
Privately Insured Construction/Permanent Mortgages1,7
      
 
5.40%
-
Mar-2047
  
            9,000
            8,716
            8,725
            7,207
 
5.73%
-
Aug-2047
  
            5,575
            5,432
            5,433
            4,536
 
6.20%
-
Dec-2047
  
            3,325
            3,257
            3,275
            2,785
 
6.40%
6.40%
Nov-2048
  
               993
               979
               995
              830
         
          18,893
          18,384
           18,428
          15,358
Total Other Multifamily Investments
  
 $       20,362
 $        19,511
 $        19,551
 $       16,478
 
 
 
 
 
 
 

Schedule of Portfolio Investments
        
           
March 31, 2011 (Dollars in thousands; unaudited)
      
           
           
United States Treasury Securities (6.0% of net assets)
      
           
           
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
           
 
1.88%
Jun-2015
 $             25,000
 $            25,087
 $           24,989
 
2.00%
Jan-2016
                20,000
              19,844
             19,856
 
2.63%
Aug-2020 - Nov-2020
                40,000
              39,542
             37,455
 
3.50%
May-2020
                40,000
              41,207
             40,545
 
3.63%
Feb-2021
              100,000
             102,021
            101,430
 
4.38%
May-2040
                10,000
              10,801
               9,780
Total United States Treasury Securities
 $           235,000
 $          238,502
 $         234,055
           
Total Fixed Income Investments
  
 $        3,710,116
 $       3,744,950
 $      3,871,992
 
 
 
 
 
 
 

Schedule of Portfolio Investments
      
           
March 31, 2011 (Dollars in thousands; unaudited)
    
           
           
Equity Investment in Wholly-Owned Subsidiary (0.0% of net assets)
  
           
       
Amount of
  
   
Number of
Face
Dividends
  
Issuer
  
Shares
Amount (Cost)
or Interest
Value
           
Building America CDE, Inc.8
  
1,000
 $                1
 $                  -
 $             (465)
Total Equity Investment
  
1,000
 $                1
 $                  -
 $             (465)
           
           
           
     
Face Amount
Amortized Cost
Value
Total Fixed Income and Equity Investments
 $   3,710,117
 $       3,744,951
 $     3,871,527
 
 
 
 
 
 
 

Schedule of Portfolio Investments
        
           
March 31, 2011 (Dollars in thousands; unaudited)
        
           
           
Short-Term Investments (1.3% of net assets)
        
           
           
           
 
Interest Rate
Maturity Date
Face Amount
Amortized Cost
Value
Commercial Paper
          
BNP PARIBAS
0.06%
 April 1, 2011
                25,000
              25,000
             25,000
BARCLAYS US
0.10%
 April 1, 2011
                25,000
              25,000
             25,000
Total Short-Term Investments
    
 $             50,000
 $            50,000
 $           50,000
           
           
     
Face Amount
Amortized Cost
Value
Total Investments
    
 $        3,760,117
 $       3,794,951
 $      3,921,527
 
 

 
 
 
 

Schedule of Portfolio Investments
      
             
March 31, 2011 (Dollars in thousands; unaudited)
      
             
Footnotes
        
             
1
  
Valued by the HIT's management in accordance with the fair value procedures adopted by the HIT's Board of Trustees.
             
2
  
Construction interest rates are the rates charged to the borrower during the construction phase of the project.
   
The permanent interest rates are charged to the borrower during the amortization period of the loan, unless
   
the U.S. Department of Housing and Urban Development requires that such rates be charged earlier.
  
             
3
  
Tax-exempt bonds collateralized by Ginnie Mae securities.
      
             
4
  
The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
    
             
5
  
Represents to be announced (TBA) securities: the particular securities to be delivered are not identified at the trade date.
   
However, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within
   
industry-accepted “good delivery” standards.   Until settlement, the HIT maintains cash reserves and liquid assets
   
sufficient to settle its TBA commitments.
      
             
6
  
Security exempt from registration under the Securities Act of 1933.  The construction notes were privately
  
   
placed directly by MassHousing with the HIT. The notes are for construction only and will mature on or prior to
   
December 1, 2013. The notes are general obligations of MassHousing and are secured by the full faith and credit of
   
MassHousing. These securities may be resold in transactions exempt from registration, normally to qualified institutional
   
buyers. These securities are considered liquid, under procedures established by and under the general supervision of the
   
HIT's Board of Trustees.
      
             
7
  
Loans insured by Ambac Assurance Corporation, which are additionally backed by repurchase option from the mortgagee
   
for the benefit of the HIT.  The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac
   
Assurance Corporation.
      
             
8
  
In July 2010 the HIT acquired the shares of Building America CDE, Inc. (BACDE), a wholly-owned subsidiary of the HIT
   
formed to help generate potential investments, principally through New Markets Tax Credit transactions. In addition to the
   
$351,000 in start up costs advanced in 2010, the HIT advanced approximately $114,000 to BACDE during the period in 2011.
   
The fair market value, as determined by procedures approved by the Board of Trustees, represents the net asset value of the BACDE.
   
This investment is neither consolidated nor accounted for under the equity method of accounting.
    
 
 

 
 
 
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS; unaudited
As of March 31, 2011

The accompanying notes are an integral part of this Schedule of Portfolio Investments.

Note 1. Summary of Significant Accounting Policies

The American Federation of Labor and Congress of Industrial Organizations (AFL-CIO) Housing Investment Trust (HIT) is a common law trust created under the laws of the District of Columbia and is registered under the Investment Company Act of 1940, as amended (the Investment Company Act), as a no-load, open-end investment company. The HIT has obtained certain exemptions from the requirements of the Investment Company Act that are described in the HIT’s Prospectus and Statement of Additional Information.

In July 2010, the HIT acquired the shares of Building America CDE, Inc. (BACDE), a wholly-owned subsidiary of the HIT formed to generate potential investments, principally through New Markets Tax Credit transactions.

Participation in the HIT is limited to eligible pension plans and  labor organizations, including health and welfare, annuity, general and other funds, that have beneficiaries who are represented by labor organizations.

The following is a summary of significant accounting policies followed by the HIT in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles (GAAP) in the United States.

Investment Valuation
Net asset value per share (NAV) is calculated as of the close of business of the major bond markets in New York City on the last business day of the month.   A description of the valuation techniques applied to the HIT’s major categories of assets and liabilities measured at fair value on a recurring basis follows.

Portfolio securities for which market quotations are readily available (U.S. Treasury securities, government-sponsored enterprise debt securities, single family mortgage-backed securities, and state housing finance agency securities) are valued by independent pricing services, published prices, market quotes and bids from dealers who make markets in such securities. For U.S. Treasury securities, pricing services generally base prices on actual transactions as well as dealer supplied prices.  For government-sponsored enterprise securities and single family mortgage-backed securities, pricing services generally base prices on discounted cash flow models and examine reference data such as issue name, issue size, ratings, maturity, call type, spread/benchmark yields and conditional prepayment
 
 
 
 
 
 
 
rates, as well as, dealer supplied prices.  For state housing finance agency securities, pricing services generally base prices on trading spreads, new issue scales, verified bid information, and credit ratings.

Portfolio investments for which market quotations are not readily available (multifamily mortgage-backed securities, mortgage securities, and construction mortgage securities and loans) are valued at their fair value determined in good faith under consistently applied procedures adopted by the Board of Trustees using dealer quotes and discounted cash flow models. The respective cash flow models utilize inputs from matrix pricing which considers market-based discount and prepayment rates, attributes of the collateral, and yield or price of bonds of comparable quality, coupon, maturity and type.  The market-based discount rate is composed of a risk-free yield (i.e., a U.S. Treasury note) adjusted for an appropriate risk premium. The risk premium reflects premiums in the marketplace over the yield on U.S. Treasury securities of comparable risk and average life to the security being valued as adjusted for other market considerations, such as: significant market or security specific events, changes in interest rates and credit quality. On investments for which the HIT finances the construction and permanent securities or participation interests, value is determined based upon the total amount, funded and/or unfunded, of the commitment. Commercial mortgage-backed securities and real estate mortgage investment conduits are valued by using a dealer quote. The HIT has retained an independent firm to determine the fair market value of securities for which market quotations are not readily available. In accordance with the procedures adopted by the HIT’s Board of Trustees, the monthly third-party valuation is reviewed by the HIT staff to determine whether valuation adjustments are appropriate based on any material impairments in value arising from specific facts and circumstances of the investment (e.g., prepayment speed). All such adjustments must be reviewed and reconciled with the independent valuation firm prior to incorporation in the NAV.

The shares of BACDE are valued at their fair value determined in good faith under consistently applied procedures adopted by the HIT’s Board of Trustees, which currently represents the net asset value of BACDE.

Short-term investments with remaining maturities of sixty days or less are valued at amortized cost, which approximates value. Cash and cash equivalents include overnight money market funds, which are also carried at cost.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. The HIT classifies its assets and liabilities into three levels based on the method used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities, interest rates, prepayment speeds, credit risk and quoted prices in inactive markets. Level 3 values are based on significant unobservable inputs that reflect the HIT’s
 
 
 
 
 
 
determination of assumptions that market participants might reasonably use in valuing the securities.

The following table presents the HIT’s valuation levels as of March 31, 2011:
  
Investment Securities:
($ in thousands)
Level 1
Level 2
Level 3
Total
 
FHA Permanent Securities
             $ -
$130,409
$20
$130,429
FHA Construction Securities
-
12,764
-
12,764
Ginnie Mae Securities
   -
913,695
-
913,695
Ginnie Mae Construction Securities
   -
193,550
-
193,550
Fannie Mae Securities
   -
1,743,926
-
1,743,926
Freddie Mac Securities
   -
439,999
-
439,999
Commercial Mortgage-Backed Securities
   -
24,625
-
24,625
State Housing Finance Agency Securities
   -
162,496
-
162,496
Other Multifamily Investments
   -
16,478
-
16,478
United States Treasury Securities
   -
234,055
-
234,055
Equity Investments
-
-
(465)
(465)
Short-Term Investments
-
50,000
-
50,000
Other Financial Instruments*
   -
(25)
-
(25)
 
Total Investment
$-
$3,921,972
$(445)
$3,921,527

*Other financial instruments include forward commitments.
The following table reconciles the valuation of the HIT’s Level 3 investment securities and related transactions for the period ended March 31, 2011.

Investments in Securities ($ in thousands)
 
FHA Permanent
Equity Investments
Total
Beginning balance, 12/31/2010
$20
$(351)
$(331)
 
Total Unrealized Gain (Loss)*
-
(114)
(114)
Ending balance, 3/31/2011
$20
$(465)
 $(445)

*Net change in unrealized loss attributable to Level 3 securities still held as of March 31, 2011, totaled $(114,000).
 
 
 
 
 
 
Level 3 investments in securities are not considered a significant portion of the HIT’s portfolio.

Federal Income Taxes
At March 31, 2011, the cost of investments for federal income tax purposes approximated book cost at amortized cost of $3,794.9 million.  Net unrealized gains aggregated $126.6 million at period-end, of which $155.3 million related to appreciated investments and $28.7 million related to depreciated investments.
 

 
 
 
 

Item 2.  Controls and Procedures.

(a)  
The HIT’s Chief Executive Officer (the principal executive officer) and Chief Financial Officer (the principal financial officer) have concluded that the design and operation of the HIT’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) are generally effective to provide reasonable assurance that information required to be disclosed by the HIT in this report is recorded, processed, summarized and reported within the time periods specified in the Securities Exchange Commission’s rules and forms, based on their evaluation of the effectiveness of the design and operation of such controls and procedures within 90 days of the filing of this report.

 
(b)  
There was no change in the HIT’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting.

Item 3.  Exhibits.

Separate certifications for the principal executive officer and the principal financial officer of the HIT as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) are filed herewith.
 
 
 
 
 
 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the AFL-CIO Housing Investment Trust has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AFL-CIO HOUSING INVESTMENT TRUST
 
By:  /s/ Stephen Coyle  
       Name: Stephen Coyle  
       Title:  Chief Executive Officer  
   
Date:  May 31, 2011
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the AFL-CIO Housing Investment Trust and in the capacities and on the dates indicated.
 
 
/s/ Stephen Coyle  
Stephen Coyle
  
Chief Executive Officer
  
(Principal Executive Officer)
  
   
Date:  May 31, 2011

 
/s/ Erica Khatchadourian  
Erica Khatchadourian
  
Chief Financial Officer
  
(Principal Financial Officer)
  
   
Date:  May 31, 2011

 
 

 EX-99 2 ex-99.htm CERTIFICATIONS FOR PRINCIPAL EXECUTIVE OFFICER & PRINCIPAL FINANCIAL OFFICER ex-99.htm
Exhibit 99
CERTIFICATION

I, Stephen Coyle, certify that:

1.           I have reviewed this report on Form N-Q of the AFL-CIO Housing Investment Trust (the “HIT”);

2.           Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.           Based on my knowledge, the schedule of investments included in this report fairly presents in all material respects the investments of the HIT as of the end of the fiscal quarter for which the report is filed;

4.           The HIT’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the HIT and have:

 
  (a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the HIT, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 
  (b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
 
 
  (c)
Evaluated the effectiveness of the HIT’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 
  (d)
Disclosed in this report any change in the HIT’s internal control over financial reporting that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting; and
 
 

 
 
 
 
5.           The HIT’s other certifying officer(s) and I have disclosed to the HIT’s auditors and the audit committee of the HIT’s board of trustees (or persons performing the equivalent functions):

 
  (a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the HIT’s ability to record, process, summarize, and report financial information; and

 
  (b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the HIT’s internal control over financial reporting.


 
/s/ Stephen Coyle  
Stephen Coyle  
Chief Executive Officer  
AFL-CIO Housing Investment Trust
 
Date: May 31, 2011
 

 
 
 
 

CERTIFICATION

I, Erica Khatchadourian, certify that:

1.           I have reviewed this report on Form N-Q of the AFL-CIO Housing Investment Trust (the “HIT”);

2.           Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.           Based on my knowledge, the schedule of investments included in this report fairly presents in all material respects the investments of the HIT as of the end of the fiscal quarter for which the report is filed;

4.           The HIT’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the HIT and have:

 
  (a)
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the HIT, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 
  (b)
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
 
 
 
  (c)
Evaluated the effectiveness of the HIT’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 
  (d)
Disclosed in this report any change in the HIT’s internal control over financial reporting that occurred during the HIT’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the HIT’s internal control over financial reporting; and
 

 
 
 
 
5.           The HIT’s other certifying officer(s) and I have disclosed to the HIT’s auditors and the audit committee of the HIT’s board of trustees (or persons performing the equivalent functions):

 
  (a)
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the HIT’s ability to record, process, summarize, and report financial information; and

 
  (b)
Any fraud, whether or not material, that involves management or other employees who have a significant role in the HIT’s internal control over financial reporting.
 
 
/s/ Erica Khatchadourian  
Erica Khatchadourian
  
Chief Financial Officer
  
AFL-CIO Housing Investment Trust
  
   
Date: May 31, 2011