YTD
|
1 Year
|
3 Year
|
5 Year
|
10 Year
|
|||||
HIT Total Gross Rate of Return
|
4.44%
|
4.71%
|
7.44%
|
6.93%
|
6.18%
|
||||
HIT Total Net Rate of Return
|
4.16%
|
4.26%
|
6.97%
|
6.48%
|
5.76%
|
||||
Barclays Capital Aggregate Bond Index
|
4.35%
|
4.44%
|
7.05%
|
6.57%
|
5.68%
|
●
|
The HIT’s ongoing yield advantage over the Barclays Aggregate.
|
●
|
The HIT’s underweight to agency single family fixed-rate mortgage-backed securities (RMBS) as this sector was the worst performing major sector in the Barclays Aggregate, with “excess returns” of -65 basis points (bps). As of July 31, 2011, the portfolio had a 25.9% allocation to RMBS compared to the index’s 33.0% allocation.
|
●
|
Strong performance by corporate bonds, which had excess returns relative to Treasuries of 33 bps, the best performing major sector in the Barclays Aggregate. The HIT does not invest in corporate bonds, whereas this sector comprised 20.1% of the index as of July 31, 2011.
|
●
|
The portfolio’s overweight to the highest credit quality sector of the investment grade universe, whose “excess returns” were the lowest among the four credit ratings buckets (AAA, AA, A, and BBB) of the Barclays Aggregate. Those returns were -28, 3, 26, and 30 bps, respectively. The HIT has an overweight with respect to the index in high credit quality investments. Approximately 94% of the HIT portfolio is AAA-rated or carries a government or government-sponsored enterprise (GSE) guarantee, compared to approximately 76% for the Barclays Aggregate.
|
●
|
Widening of spreads relative to Treasuries for agency multifamily MBS in the HIT’s portfolio. Spreads on Ginnie Mae permanent loan certificates widened by approximately 11 bps relative to Treasuries, while construction/permanent loan certificate spreads widened by approximately 24 bps. Fannie Mae multifamily DUS securities experienced similar weaker performance relative to Treasuries, with longer duration structures widening the most and the 10/9.5 structure widening 8 bps.
|
Sector
|
Absolute
Return
|
Excess Return
(bps)
|
Modified Adjusted
Duration
|
U.S. Treasuries
|
+1.82%
|
0
|
5.48
|
Agencies
|
+0.98%
|
-5
|
3.37
|
Single family agency MBS (RMBS)
|
+0.93%
|
-65
|
4.33
|
Corporates
|
+2.52%
|
+33
|
6.65
|
Commercial MBS (CMBS)
|
+0.89%
|
-37
|
3.53
|
Asset-backed securities (ABS)
|
+1.14%
|
+18
|
3.19
|
Maturity
|
6/30/11
|
7/31/11
|
Change
|
3 Month
|
0.010%
|
0.092%
|
0.0813%
|
6 Month
|
0.097%
|
0.153%
|
0.0560%
|
1 Year
|
0.183%
|
0.199%
|
0.0153%
|
2 Year
|
0.458%
|
0.355%
|
-0.1023%
|
3 Year
|
0.796%
|
0.537%
|
-0.2586%
|
5 Year
|
1.761%
|
1.356%
|
-0.4051%
|
7 Year
|
2.496%
|
2.094%
|
-0.4018%
|
10 Year
|
3.160%
|
2.796%
|
-0.3639%
|
30 Year
|
4.371%
|
4.118%
|
-0.2526%
|