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AFL-CIO Housing Investment Trust
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2012 ANNUAL REPORT |
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Steve Coyle, Chief Executive Officer | |||
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MESSAGE FROM RICHARD L. TRUMKA | ||
AFL-CIO President
All of us who care deeply about managing workers’ pension capital should read carefully this annual report from the AFL-CIO Housing Investment Trust. The report highlights the HIT’s success in doing what many fixed-income managers cannot: outperforming its industry benchmark year after year and keeping its investors’ capital growing through the ups and downs of our economy. 2012 was the 20th consecutive calendar year in which the HIT beat its benchmark on a gross basis. That is a record few can match. It is responsible investing at its best.
More than that, the HIT generates its strong returns by investing in our communities – investments that are building affordable housing, creating union jobs, improving the quality of life for working people, and supporting economic growth. Those are benefits you cannot get from most Wall Street investments. The HIT – and its Construction Jobs Initiative – are a vital source of financing to meet the urgent needs of our communities at a time when unemployment remains stubbornly high.
The HIT’s Construction Jobs Initiative has been a key part of labor’s response to the unemployment crisis since 2009. In 2012, the initiative exceeded its job-creation goal of 15,000 union jobs and is now working to reach a new target of 20,000 union jobs before the end of 2013. Projects financed through the initiative by the HIT and its subsidiary, Building America, are providing family-supporting wages to thousands of union construction workers, while also generating jobs in other industries.
The HIT’s responsible investment strategy extends to its Green Jobs Initiative, which is doing a great job of seeking out investments in projects that promote environmental sustainability and energy efficiency. The HIT’s financing of energy-saving rehabilitation and retrofit projects supports the AFL-CIO’s broader efforts to promote job-generating investments in the nation’s infrastructure.
The HIT is a responsible investment choice that achieves its strong performance by putting labor’s pension capital to work in America’s communities. I urge pension investors to consider an investment in the HIT. The HIT’s competitive fixed-income returns, its job creation, and its impact on communities are helping to build our future and demonstrating beyond a doubt that the labor movement remains the leader in socially responsible investing.
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MESSAGE FROM JOHN J. SWEENEY | ||
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HIT Chairman
As we report on the outstanding financial performance of the AFL-CIO Housing Investment Trust in 2012, it is important to reflect as well on what the Trust’s investments mean to working people and their families. I have had the opportunity to see these effects firsthand as a long-time member of the HIT’s Board of Trustees and for the last four years as its Chairman. It has been a privilege to participate in and support the development of the HIT from a pioneering $104 million start-up to today’s successful $4.6 billion fund. As the labor movement’s premier fixed-income investment vehicle, the HIT has consistently provided competitive returns to its investors while financing more than 105,000 affordable housing units and generating nearly 71,000 family-supporting union jobs in our communities. I am especially proud of what the HIT has done, in the worst economy in a generation, through the Construction Jobs Initiative. Begun in 2009, in a period when construction workers faced Depression-era unemployment rates, the Construction Jobs Initiative has created 16,000 on-site union construction jobs and an additional 11,000 jobs supplying and servicing the projects. Thanks to this job-creating initiative, the HIT’s connection to the grassroots of the American labor movement is stronger than ever. The personal impact of the HIT’s investments is evident every time I visit HIT projects. I will never forget the union worker who spoke up at a groundbreaking event to say “thank you” for calling him back to work. Or the smiles of the union retirees whose renovated co-op apartments will be kept affordable well into the future. Or the excitement of a young girl in a wheelchair anticipating the care she will receive at a new state-of-the-art pediatric center. The HIT touches the lives of people like these every day through its prudent investment of your pension capital.
I want to thank you for your investments that make these important projects and the benefits they create possible. Together, with your support, we are making a difference in the lives of working families across the country, while generating competitive returns for pension beneficiaries.
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The AFL-CIO Housing Investment Trust has completed another year of strong performance, producing competitive returns for its investors while creating union jobs and affordable housing in communities from coast to coast. The HIT outperformed its benchmark, the Barclays Capital Aggregate Bond Index, on both a gross and net basis for the year ended December 31, 2012. The HIT returned 4.71% gross and 4.27% net against 4.22% for the benchmark. This marked the HIT’s 20th consecutive calendar year of outperforming the benchmark on a gross basis, and the 13th year in that period in which it outperformed on a net basis. The HIT’s overweight in the government-insured multifamily mortgage-backed securities (MBS) in which it specializes contributed to its outperformance of the benchmark in 2012. The HIT achieved superior returns as multifamily spreads tightened as well as earning higher income versus the benchmark.
As U.S. unemployment remained high and the economy weak, the HIT worked to generate much-needed union construction
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jobs and affordable housing through projects financed under its Construction Jobs Initiative. Since its launch in 2009, this initiative has helped generate 16,000 union construction jobs on projects financed by the HIT and its subsidiary, Building America CDE, Inc. Construction-related investments have contributed substantially to the HIT’s returns while helping put unemployed union members back on the job and assisting communities to meet their development needs.
Net assets grew to nearly $4.6 billion at year-end. In a year of considerable market uncertainty, investors responded to the HIT’s consistent performance, its diversification benefits, and its success in creating jobs by investing $424 million of new capital – the largest annual investment amount since 2003. This new capital included $165 million of earnings reinvested by participants, reflecting a 90% dividend reinvestment rate. The HIT attracted 15 new investors for a total of 368 investors at year-end.
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Investors once again benefited from the HIT’s expertise in high credit quality multifamily securities, as the sector performed very well in 2012. Multifamily MBS generated a higher level of income than comparable U.S. Treasuries, and spread tightening on these MBS helped their price performance.
The HIT’s strategy focuses on multifamily MBS that are insured or guaranteed by a U.S. government agency or a government-sponsored enterprise (GSE). It seeks to outperform the Barclays Aggregate by substituting these multifamily assets for corporate debt and some Treasury and GSE debt securities in the benchmark. Multifamily MBS tend to generate higher income than Treasuries while offering similar credit quality. By managing portfolio duration and convexity, the HIT manages its interest rate risk to be similar to the benchmark.
As a result of this strategy, approximately 92% of the HIT’s portfolio at year-end consisted of investments that were U.S. government or agency insured or guaranteed, compared to 72% in the benchmark. The overweight in multifamily MBS contributed to the HIT’s 63 basis point yield advantage over the benchmark at December 31. In addition, the HIT’s performance benefited from the tightening of spreads to Treasuries for these multifamily MBS during 2012. The construction-related multifamily MBS generated by the Construction Jobs Initiative contributed to the HIT’s higher returns in 2012 and are expected to generate future income for the portfolio as construction projects are funded.
Fixed-income investments such as the HIT can be an important part of a balanced portfolio. The HIT’s returns provide diversification as seen in the growth comparisons and correlations to other major investment classes at right.
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Extremely low interest rates continued to prevail in the U.S. in 2012. Amid concerns over a global economic slowdown, the European sovereign debt crisis, and uncertainty over U.S. fiscal policy, the Federal Reserve and other central banks added monetary stimulus during the year, which kept interest rates low. The Fed’s purchase of Treasuries and MBS via quantitative easing created heightened demand for investments that could provide higher yields.
Treasury rates peaked in the first quarter and then fell again, with 2-year and 30-year Treasuries ending the year barely higher than a year earlier and intermediate Treasuries ending marginally lower than the prior year. Lower quality investments outperformed higher quality ones, with AAA, AA, A, and BBB-rated securities showing excess returns to Treasuries of 59, 344, 754, and 875 basis points, respectively, at year-end.
Spreads to Treasuries contracted significantly during the year for multifamily securities, including Ginnie Mae construction/permanent and permanent loan certificates and Fannie Mae multifamily securities. Most of this tightening occurred in the first and third quarters due to strong demand from investors for yield, safety, and prepayment protection.
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“We are proud of the HIT’s success in investing workers’ pension capital to build retirement security and create good union jobs. Together we are supporting the economic recovery.”
—Sean McGarvey, President
Building and Construction Trades Department, AFL-CIO
Trustee, AFL-CIO Housing Investment Trust
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The HIT made new commitments of $285 million in 2012 to finance 13 projects that should generate more than 1,650 union construction jobs. The investments will help fund the construction or rehabilitation of 3,908 units of multifamily housing, nearly 90% of which will be affordable to low- and middle-income households. Through these investments of union and public employee pension capital, the HIT leveraged $442 million of total development investment in eight cities. In keeping with the HIT’s support of green jobs, many of the financed projects are working to achieve environmental sustainability, ranging from new construction designed to meet LEED standards to energy-saving improvements in older housing undergoing rehabilitation.
The HIT’s Construction Jobs Initiative, established in 2009 to create jobs and promote economic recovery, celebrated the funding of its 15,000th union construction job in October 2012. At the direction of the HIT’s Board of Trustees, the initiative’s job-creation goal was raised to 20,000 jobs, and
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the HIT is now is working to reach that target before the end of 2013. To date, the Construction Jobs Initiative has created 16,000 union construction jobs on 56 projects in 29 cities through the investment of nearly $1.3 billion of HIT’s capital and $68 million of federal New Markets Tax Credits (NMTCs) from Building America CDE Inc., the HIT’s wholly owned subsidiary.
Building America extended the HIT’s job-creation efforts by investing NMTCs in union-built projects that will enhance the economic base of low-income communities. After successfully allocating the $35 million of NMTCs it received in 2011 to five projects, Building America was selected in 2012 to receive a new allocation of $50 million. By year-end, two-thirds of the new allocation had been invested in four projects representing more than 1,350 union construction jobs, 78 affordable housing units, and 400,000 square feet of commercial development – with the remainder of the allocation on track to be funded in 2013.
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The 44 projects under construction in 2012 through the Construction Jobs Initiative represented $2.5 billion of development and an estimated 13,450 family-supporting union construction jobs. Some notable new projects include:
Electchester Housing Companies, New York. The HIT made a commitment to directly invest $49 million in this cooperative housing complex in Queens, which was developed 60 years ago by the International Brotherhood of Electrical Workers. The financing is enabling the 2,399-unit co-op to maintain its affordability for working families and make needed capital improvements. The rehab work, creating about 175 union jobs, will update the complex to meet New York City’s Green Building Code. With this project, the HIT has now invested a total of $702 million under its New York City investment initiative, which was begun in early 2002.
The Penfield, St. Paul. This $62.5 million mixed-use project is considered a key step in St. Paul’s downtown revitalization plan. The HIT is providing $40.9 million to help finance the six-story, LEED-designed building, which will have 254 rental units and a grocery store staffed by United Food and Commercial Workers members. The project is expected to create more than 250 union construction jobs while attracting additional downtown investment. The HIT has invested over $400 million in the St. Paul/Minneapolis metro area over the last 10 years.
Old Colony II, Boston. The HIT is helping the Boston Housing Authority and MassHousing transform one of Boston’s largest and most distressed public housing properties into a model
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for affordable urban living. After providing financing for the successful first phase of this redevelopment, which opened in early 2012, the HIT invested an additional $33 million for Phase II. The $61 million second phase, with 129 new apartments, is expected to generate 289 union construction jobs. The project is designed to meet LEED criteria for sustainable development.
Bronzeville Senior Apartments, Chicago. The HIT committed $8.8 million toward the $18.7 million rehabilitation of this high-rise senior residence on Chicago’s South Side. All of the property’s 97 units receive project-based Section 8 rental assistance. The work on the project, which will create over 110 union construction jobs, includes energy efficient improvements to reduce operating costs. The HIT’s investments in Chicago in the past 10 years exceed $256 million.
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The HIT is well-positioned to meet its objectives in 2013. Its superior portfolio fundamentals should offer higher income, higher credit quality, and similar interest rate risk as compared to the Barclays Aggregate, along with the benefits of liquidity and diversification. The HIT’s pipeline of prospective investments includes additional multifamily projects that are expected to be ready for funding in the coming year. Those that are financed should help the portfolio to maintain its competitive performance while generating union construction jobs and affordable housing.
A robust demand for multifamily rental housing continues to be a bright spot in the economy. For the HIT, with its specialization in this sector, the need to build or rehabilitate multifamily housing should generate favorable investment opportunities in the period ahead. Multifamily demand is projected to exceed supply for a number of years because of the rising rate of household formation, the slow recovery of the single-family housing sector, and the choice many households are making to rent rather than own. Although the single-family market showed signs of improvement in 2012, demand was dampened by a tight credit market for potential homebuyers and lingering weakness in the labor market.
Going forward, with low inflation expectations, the HIT should remain an attractive fixed-income investment. Its core competency in multifamily MBS differentiates it from other fixed-income choices, helps investors achieve diversification from corporate bonds, and provides an opportunity to generate superior returns relative to the benchmark. The construction-related assets that are the focus of the HIT’s Construction Jobs Initiative should continue to benefit the portfolio. The projects built with these construction loans will put more union members to work, increase the nation’s affordable housing stock, and bring economic stimulus to local communities.
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EXPENSE EXAMPLE
Participants in the HIT incur ongoing expenses related to the management and distribution activities of the HIT, as well as certain other expenses. The expense example in the table below is intended to help participants understand the ongoing costs (in dollars) of investing in the HIT and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period, July 1, 2012, and held for the entire period ended December 31, 2012.
Actual Expenses: The first line of the table below provides information about actual account values and actual expenses. Participants may use the information in this line, together with the amount they invested, to estimate the expenses that they paid over the period. Simply divide the account value by $1,000 (for example, an $800,000 account value divided by $1,000 = 800), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Six-Month Period Ended December 31, 2012” to estimate the expenses paid on a particular account during this period.
Hypothetical Expenses (for Comparison Purposes Only):
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the HIT’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the HIT’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses a participant paid for the period. Participants may use this information to compare the ongoing costs of investing in the HIT and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
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Please note that this example is useful in comparing funds’ ongoing costs only. It does not include any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. The HIT does not have such transactional costs, but many other funds do.
AVAILABILITY OF QUARTERLY
PORTFOLIO SCHEDULES
In addition to disclosure in the Annual and Semi-Annual Reports to Participants, the HIT also files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The HIT’s reports on Form N-Q are made available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information relating to the hours and operation of the SEC’s Public Reference Room may be obtained by calling 800-SEC-0330. Participants may also obtain copies of the HIT’s Form N-Q reports, without charge, upon request, by calling the HIT collect at 202-331-8055.
PROXY VOTING
Except for its shares in its wholly owned subsidiary, Building America CDE, Inc., the HIT invests exclusively in non-voting securities and has not deemed it necessary to adopt policies and procedures for the voting of portfolio securities. The HIT has reported information regarding how it voted in matters related to its subsidiary in its most recent filing with the SEC on Form N-PX. This filing is available on the SEC’s website at http://www.sec.gov. Participants may also obtain a copy of the HIT’s report on Form N-PX, without charge, upon request, by calling the HIT collect at 202-331-8055.
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Beginning
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Ending
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Expenses Paid During
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Account Value
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Account Value
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Six-Month Period Ended
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July 1, 2012
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December 31, 2012
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December 31, 2012*
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Actual expenses | $ 1,000 | $ 1,015.90 | $ 2.05 |
Hypothetical expenses | |||
(5% annual return before expenses) | $ 1,000 | $ 1,023.10 | $ 2.06 |
The 2012 Annual Meeting of Participants was held in Washington, D.C., on Thursday, December 27, 2012. The following matters were put to a vote of the Participants at the meeting through the solicitation of proxies:
John J. Sweeney was elected to chair the Board of Trustees by: votes for 2,427,224.069; votes against 0.000; votes abstaining 2,418.758; votes not cast 1,443,856.738.
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The following Trustees were not up for reelection and their terms of office continued after the meeting: Richard L. Trumka, Arlene Holt Baker, Jack Quinn, Kenneth E. Rigmaiden, and Tony Stanley.
Ernst & Young LLP was ratified as the HIT’s Independent Registered Public Accounting Firm by: votes for 2,426,182.843; votes against 0.000; votes abstaining 3,459.984; votes not cast 1,443,856.738.
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Trustee
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Votes For
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Votes Against
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Votes Abstaining
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Vincent Alvarez
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2,429,092.014
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0
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550.813
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James Boland
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2,429,092.014
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0
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550.813
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Sean McGarvey
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2,429,092.014
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0
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550.813
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Liz Shuler
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2,429,092.014
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0
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550.813
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Stephen Frank
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2,427,685.673
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0
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1,957.154
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Richard Ravitch
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2,427,685.673
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0
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1,957.154
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Marlyn Spear
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2,330,163.862
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97,521.811
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1,957.154
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Votes not cast: 1,443,856.738 |
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Investments, at value (cost $4,296,995)
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$
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4,573,218
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Cash
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1,005
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Accrued interest receivable
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16,383
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Receivables for investments sold
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31,369
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Other assets
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1,577
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Total assets
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4,623,552
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Liabilities
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Payables for investments purchased
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37,212
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Redemptions payable
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1,680
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Income distribution and capital gains payable, net of dividends reinvested of $38,636
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4,168
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Refundable deposits
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574
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Accrued salaries and fringe benefits
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3,740
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Accrued expenses
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543
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Total liabilities
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47,917
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Net assets applicable to participants’ equity —
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Certificates of participation—authorized unlimited;
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Outstanding 3,906,752 units
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$
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4,575,635
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Net asset value per unit of participation (in dollars)
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$
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1,171.21
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Participants’ equity
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Participants’ equity consisted of the following:
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Amount invested and reinvested by current participants
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$
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4,302,542
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Net unrealized appreciation of investments
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276,223
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Distribution in excess of net investment income
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(2,828)
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Accumulated net realized gains, net of distributions
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(302)
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Total participants’ equity
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$
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4,575,635
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Interest Rate
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Maturity Date
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Face Amount
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Amortized Cost
|
Value
|
||||
Single Family
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7.75%
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Jul-2021
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$
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17
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$
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17
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$
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17
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Multifamily1
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3.75%
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Aug-2048
|
4,175
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4,171
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4,333
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4.00%
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Dec-2053
|
66,755
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66,729
|
68,267
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||||
5.35%
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Mar-2047
|
7,662
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7,673
|
8,391
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||||
5.55%
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Aug-2042
|
8,414
|
8,407
|
9,292
|
||||
5.60%
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Jun-2038
|
2,640
|
2,635
|
2,669
|
||||
5.62%
|
Jun-2014
|
170
|
170
|
174
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||||
5.65%
|
Oct-2038
|
2,041
|
2,086
|
2,091
|
||||
5.80%
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Jan-2053
|
2,100
|
2,090
|
2,264
|
||||
5.87%
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Jun-2044
|
1,864
|
1,862
|
2,100
|
||||
5.89%
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Apr-2038
|
4,949
|
4,959
|
5,531
|
||||
6.02%
|
Jun-2035
|
5,523
|
5,507
|
5,848
|
||||
6.20%
|
Apr-2052
|
11,849
|
11,842
|
12,868
|
||||
6.40%
|
Jul-2046
|
3,941
|
3,938
|
4,479
|
||||
6.60%
|
Jan-2050
|
3,456
|
3,495
|
3,877
|
||||
6.66%
|
May-2040
|
5,408
|
5,413
|
5,418
|
||||
6.70%
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Dec-2042
|
5,716
|
5,720
|
5,727
|
||||
6.75%
|
Apr-2040 - Jul-2040
|
5,109
|
5,091
|
5,580
|
||||
7.05%
|
Jul-2043
|
5,097
|
5,096
|
5,225
|
||||
7.13%
|
Mar-2040
|
7,451
|
7,436
|
8,129
|
||||
7.20%
|
Dec-2033 - Oct-2039
|
9,270
|
9,263
|
9,757
|
||||
7.50%
|
Sep-2032
|
1,467
|
1,462
|
1,693
|
||||
7.93%
|
Apr-2042
|
2,779
|
2,779
|
3,226
|
||||
8.15%
|
Mar-2037
|
1,123
|
1,215
|
1,126
|
||||
8.27%
|
Jun-2042
|
2,440
|
2,440
|
2,448
|
||||
8.75%
|
Aug-2036
|
3,496
|
3,500
|
3,509
|
||||
174,895
|
174,979
|
184,022
|
||||||
Total FHA Permanent Securities
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$
|
174,912
|
$
|
174,996
|
$
|
184,039
|
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
||||
Single Family
|
4.00%
|
Feb-2040 - Jun-2040
|
$
|
15,693
|
$
|
15,939
|
$
|
17,254
|
4.50%
|
Aug-2040
|
9,545
|
9,815
|
10,508
|
||||
5.50%
|
Jan-2033 - Jun-2037
|
10,655
|
10,602
|
11,821
|
||||
6.00%
|
Jan-2032 - Aug-2037
|
5,913
|
5,915
|
6,628
|
||||
6.50%
|
Jul-2028
|
113
|
113
|
129
|
||||
7.00%
|
Nov-2016 - Jan-2030
|
2,530
|
2,546
|
2,895
|
||||
7.50%
|
Apr-2013 - Aug-2030
|
1,568
|
1,586
|
1,794
|
||||
8.00%
|
Jun-2023 - Nov-2030
|
1,011
|
1,033
|
1,191
|
||||
8.50%
|
Jun-2022 - Aug-2027
|
1,025
|
1,038
|
1,192
|
||||
9.00%
|
May-2016 - Jun-2025
|
292
|
297
|
332
|
||||
9.50%
|
Sep-2021 - Sep-2030
|
106
|
107
|
118
|
||||
10.00%
|
Jun-2019
|
1
|
1
|
1
|
||||
48,452
|
48,992
|
53,863
|
||||||
Multifamily1
|
2.11%
|
Apr-2033
|
23,965
|
24,173
|
24,323
|
|||
2.18%
|
May-2039
|
24,366
|
24,635
|
25,068
|
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continued |
Interest Rates4
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Commitment
|
||||||||||
Permanent
|
Construction
|
Maturity Date
|
Amount
|
Face Amount
|
Amortized Cost
|
Value
|
|||||
Multifamily1
|
2.32%
|
2.32%
|
Apr-2054
|
$
|
23,500
|
$
|
1,873
|
$
|
2,578
|
$
|
1,696
|
2.35%
|
2.35%
|
Jan-2054
|
15,850
|
1,387
|
1,867
|
1,456
|
|||||
2.87%
|
2.87%
|
Mar-2054
|
40,943
|
25
|
1,259
|
1,232
|
|||||
3.20%
|
3.20%
|
Oct-2053
|
10,078
|
6,421
|
6,723
|
7,157
|
|||||
3.40%
|
3.40%
|
Apr-20172
|
2,250
|
1,975
|
1,974
|
2,080
|
|||||
3.95%
|
3.95%
|
Feb-2052 - May-20542
|
12,722
|
9,832
|
9,851
|
10,886
|
|||||
4.15%
|
2.00%
|
Apr-2053
|
70,000
|
60,092
|
61,515
|
66,994
|
|||||
4.15%
|
4.15%
|
Jul-20532
|
2,274
|
2,274
|
2,307
|
2,481
|
|||||
4.75%
|
4.75%
|
Mar-20522
|
32,463
|
31,500
|
31,518
|
35,108
|
|||||
4.86%
|
4.86%
|
Jan-2053
|
42,358
|
39,834
|
40,158
|
44,488
|
|||||
4.87%
|
4.87%
|
Apr-2042
|
100,000
|
97,448
|
98,327
|
109,690
|
|||||
5.10%
|
5.10%
|
Dec-20502
|
15,862
|
15,741
|
15,579
|
17,392
|
|||||
5.21%
|
4.95%
|
Mar-20532
|
49,950
|
49,950
|
50,025
|
55,540
|
|||||
5.25%
|
5.25%
|
Apr-20372
|
19,750
|
19,750
|
19,742
|
21,971
|
|||||
Total Ginnie Mae Construction Securities
|
$
|
438,000
|
$
|
338,102
|
$
|
343,423
|
$
|
378,171
|
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||||
Single Family | 0.46% | 5 |
Mar-2037
|
$ |
1,880
|
$ |
1,854
|
$ |
1,877
|
0.59%
|
5
|
Nov-2042
|
14,186
|
14,193
|
14,186
|
||||
0.61%
|
5
|
Apr-2037 - Oct-2042
|
22,727
|
22,730
|
22,702
|
||||
0.67%
|
5
|
Oct-2042
|
11,625
|
11,695
|
11,671
|
||||
0.71%
|
5
|
Dec-2040
|
53,433
|
52,962
|
53,635
|
||||
0.71%
|
5
|
Feb- 2042 - Jun-2042
|
36,358
|
36,384
|
36,474
|
||||
0.76%
|
5
|
Mar-2042
|
23,518
|
23,575
|
23,631
|
||||
0.81%
|
5
|
Mar-2042
|
11,224
|
11,223
|
11,325
|
||||
2.22%
|
5
|
May-2033
|
1,022
|
1,028
|
1,080
|
||||
2.27%
|
5
|
Nov-2033
|
4,925
|
4,929
|
5,173
|
||||
2.30%
|
5
|
Sep-2035
|
1,440
|
1,434
|
1,528
|
||||
2.32%
|
5
|
Aug-2033
|
3,661
|
3,653
|
3,853
|
||||
2.34%
|
5
|
Jul-2033 - Aug-2033
|
5,808
|
5,825
|
6,164
|
||||
2.36%
|
5
|
Aug-2033
|
311
|
310
|
328
|
||||
2.60%
|
5
|
Jul-2033
|
898
|
892
|
954
|
||||
2.63%
|
5
|
Nov-2034
|
3,294
|
3,409
|
3,514
|
||||
2.75%
|
5
|
Apr-2034
|
2,607
|
2,698
|
2,778
|
||||
3.00%
|
Jun-2042 - Dec-2042
|
53,856
|
55,897
|
56,484
|
|||||
3.00%
|
Apr-2042
|
20,137
|
20,733
|
21,120
|
|||||
3.00%
|
May-2042
|
23,184
|
23,808
|
24,315
|
|||||
3.00%
|
Nov-2042
|
25,000
|
25,804
|
26,220
|
|||||
3.50%
|
Jan-2042 - Jun-2042
|
53,110
|
54,850
|
56,618
|
|||||
4.00%
|
Jul-2024 - Apr-2041
|
96,332
|
97,717
|
103,447
|
|||||
4.50%
|
Jun-2018 - Sep-2040
|
69,278
|
70,594
|
74,980
|
|||||
5.00%
|
Jul-2018 - Apr-2041
|
82,830
|
85,533
|
89,822
|
|||||
continued
|
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
||||
5.50%
|
Jul-2017 - Jun-2038
|
$
|
46,077
|
$
|
46,224
|
$
|
50,165
|
|
6.00%
|
Apr-2016 - Nov-2038
|
40,524
|
40,903
|
44,576
|
||||
6.50%
|
Nov-2016 - Jul-2036
|
5,404
|
5,547
|
6,031
|
||||
7.00%
|
Nov-2013 - May-2032
|
2,491
|
2,495
|
2,838
|
||||
7.50%
|
Nov-2016 - Sep-2031
|
833
|
814
|
961
|
||||
8.00%
|
Apr-2030 - May-2031
|
91
|
93
|
106
|
||||
8.50%
|
Mar-2015 - Apr-2031
|
215
|
214
|
239
|
||||
9.00%
|
Jan-2024 - May-2025
|
123
|
123
|
143
|
||||
718,402
|
730,143
|
758,938
|
||||||
Multifamily1
|
2.21%
|
Dec-2022
|
25,800
|
25,864
|
26,064
|
|||
2.21%
|
Dec-2022
|
33,995
|
34,079
|
34,343
|
||||
2.24%
|
Dec-2022
|
33,200
|
33,282
|
33,546
|
||||
2.26%
|
Nov-2022
|
6,880
|
6,948
|
6,969
|
||||
2.84%
|
Mar-2022
|
3,879
|
3,941
|
4,103
|
||||
2.85%
|
Mar-2022
|
33,000
|
33,305
|
34,806
|
||||
3.54%
|
Oct-2021
|
7,670
|
7,772
|
8,366
|
||||
3.66%
|
Jul-2021
|
128,145
|
128,574
|
140,389
|
||||
4.00%
|
Sep-2021
|
16,218
|
16,272
|
17,934
|
||||
4.03%
|
Oct-2021
|
7,387
|
7,417
|
8,197
|
||||
4.06% 5
|
Jun-2020
|
3,720
|
3,727
|
3,710
|
||||
4.06%
|
Oct-2025
|
26,122
|
26,367
|
28,580
|
||||
4.15%
|
Jun-2021
|
9,473
|
9,533
|
10,611
|
||||
4.22%
|
Jul-2018
|
2,730
|
2,680
|
2,972
|
||||
4.25%
|
May-2021
|
4,411
|
4,422
|
4,948
|
||||
4.27%
|
Nov-2019
|
6,236
|
6,253
|
7,003
|
||||
4.32%
|
Nov-2019
|
3,084
|
3,102
|
3,472
|
||||
4.33%
|
Nov-2019 - Mar-2021
|
26,248
|
26,317
|
30,096
|
||||
4.38%
|
Apr-2020
|
10,593
|
10,694
|
11,941
|
||||
4.44%
|
May-2020
|
6,272
|
6,312
|
7,098
|
||||
4.49%
|
Jun-2021
|
1,012
|
1,035
|
1,142
|
||||
4.50%
|
Feb-2020
|
4,380
|
4,404
|
4,921
|
||||
4.52%
|
Nov-2019 - May-2021
|
7,427
|
7,550
|
8,402
|
||||
4.55%
|
Nov-2019
|
2,935
|
2,955
|
3,318
|
||||
4.56%
|
Jul-2019 - May-2021
|
8,710
|
8,733
|
9,870
|
||||
4.64%
|
Aug-2019
|
18,698
|
18,904
|
21,209
|
||||
4.66%
|
Jul-2021 - Sep-2033
|
7,706
|
7,750
|
8,020
|
||||
4.67%
|
Aug-2033
|
6,615
|
6,608
|
6,709
|
||||
4.68%
|
Jul-2019
|
13,589
|
13,625
|
15,434
|
||||
4.69%
|
Jan-2020 - Jun-2035
|
14,514
|
14,548
|
16,456
|
||||
4.71%
|
Mar-2021
|
6,069
|
6,221
|
6,903
|
||||
4.73%
|
Feb-2021
|
1,588
|
1,623
|
1,808
|
||||
4.80%
|
Jun-2019
|
2,224
|
2,233
|
2,538
|
||||
4.86%
|
May-2019
|
1,487
|
1,497
|
1,696
|
||||
4.89%
|
Nov-2019 - May-2021
|
2,799
|
2,907
|
3,193
|
||||
4.93%
|
Nov-2013
|
44,352
|
44,351
|
44,961
|
||||
4.94%
|
Apr-2019
|
3,500
|
3,528
|
4,005
|
||||
5.00%
|
Jun-2019
|
1,937
|
1,954
|
2,224
|
||||
continued
|
Fannie Mae Securities (43.3% of net assets) continued
|
|||||||
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||
5.02%
|
Jun-2019
|
$
|
841
|
$
|
840
|
$
|
963
|
5.04%
|
Jun-2019
|
1,915
|
1,944
|
2,196
|
|||
5.05%
|
Jun-2019 - Jul-2019
|
3,259
|
3,305
|
3,738
|
|||
5.08%
|
Apr-2021
|
40,000
|
40,003
|
45,304
|
|||
5.09%
|
Jun-2018
|
6,501
|
6,658
|
7,407
|
|||
5.11%
|
Jul-2019
|
895
|
897
|
1,030
|
|||
5.12%
|
Jul-2019
|
8,918
|
8,956
|
10,264
|
|||
5.13%
|
Jul-2019
|
910
|
912
|
1,048
|
|||
5.15%
|
Oct-2022
|
3,526
|
3,523
|
3,971
|
|||
5.16%
|
Jan-2018
|
5,285
|
5,234
|
5,857
|
|||
5.25%
|
Jan-2020
|
6,967
|
6,960
|
8,045
|
|||
5.29%
|
May-2022
|
5,363
|
5,363
|
6,151
|
|||
5.30%
|
Aug-2029
|
7,022
|
6,851
|
7,872
|
|||
5.34%
|
Apr-2016
|
6,127
|
6,125
|
6,724
|
|||
5.35%
|
Jun-2018
|
1,682
|
1,687
|
1,881
|
|||
5.36%
|
Feb-2016
|
2,119
|
2,120
|
2,158
|
|||
5.37%
|
Jun-2017
|
1,407
|
1,462
|
1,579
|
|||
5.43%
|
Nov-2018
|
344
|
344
|
345
|
|||
5.45%
|
May-2033
|
2,919
|
2,937
|
3,308
|
|||
5.46%
|
Feb-2017
|
45,741
|
46,118
|
52,053
|
|||
5.47%
|
Aug-2024
|
8,460
|
8,550
|
9,691
|
|||
5.52%
|
Mar-2018
|
598
|
620
|
687
|
|||
5.53%
|
Apr-2017
|
62,880
|
62,878
|
71,875
|
|||
5.59%
|
May-2017
|
6,941
|
6,944
|
7,874
|
|||
5.60%
|
Feb-2018 - Jan-2024
|
11,475
|
11,477
|
13,246
|
|||
5.63%
|
Dec-2019
|
9,185
|
9,233
|
10,380
|
|||
5.69%
|
Jun-2041
|
4,941
|
5,107
|
5,555
|
|||
5.70%
|
Jun-2016
|
1,368
|
1,366
|
1,539
|
|||
5.75%
|
Jun-2041
|
2,394
|
2,486
|
2,688
|
|||
5.80%
|
Jun-2018
|
69,248
|
68,889
|
80,763
|
|||
5.86%
|
Dec-2016
|
199
|
199
|
219
|
|||
5.91%
|
Mar-2037
|
2,025
|
2,076
|
2,326
|
|||
5.92%
|
Dec-2016
|
181
|
181
|
200
|
|||
5.96%
|
Jan-2029
|
420
|
423
|
485
|
|||
6.03%
|
Jun-2017 - Jun-2036
|
5,437
|
5,493
|
6,167
|
|||
6.06%
|
Jul-2034
|
9,703
|
9,984
|
11,209
|
|||
6.11%
|
Aug-2017
|
6,671
|
6,650
|
7,773
|
|||
6.13%
|
Dec-2016
|
3,409
|
3,513
|
3,932
|
|||
6.14%
|
Sep-2033
|
298
|
315
|
345
|
|||
6.15%
|
Jan-2019
|
33,359
|
33,369
|
39,152
|
|||
6.15%
|
Jan-2023- Oct-2032
|
7,219
|
7,273
|
8,221
|
|||
6.16%
|
Aug-2013
|
152
|
152
|
153
|
|||
6.22%
|
Aug-2032
|
1,727
|
1,764
|
1,989
|
|||
6.23%
|
Sep-2034
|
1,415
|
1,475
|
1,648
|
|||
continued
|
Fannie Mae Securities (43.3% of net assets) continued
|
|||||||
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||
6.28%
|
Nov-2028
|
$
|
2,967
|
$
|
3,132
|
$
|
3,455
|
6.35%
|
Aug-2032
|
10,545
|
10,600
|
12,146
|
|||
6.38%
|
Jul-2021
|
5,519
|
5,582
|
6,527
|
|||
6.39%
|
Apr-2019
|
934
|
947
|
1,070
|
|||
6.44%
|
Apr-2014
|
5,419
|
5,386
|
5,725
|
|||
6.44%
|
Dec-2018
|
37,087
|
37,087
|
43,517
|
|||
6.52%
|
May-2029
|
5,316
|
5,732
|
6,237
|
|||
6.63%
|
Jun-2014 - Apr-2019
|
3,484
|
3,484
|
3,858
|
|||
6.80%
|
Jul-2016
|
422
|
422
|
467
|
|||
6.85%
|
Aug-2014
|
41,762
|
41,763
|
44,534
|
|||
7.01%
|
Apr-2031
|
3,178
|
3,187
|
3,631
|
|||
7.07%
|
Feb-2031
|
15,983
|
16,160
|
18,226
|
|||
7.18%
|
Aug-2016
|
270
|
270
|
301
|
|||
7.20%
|
Aug-2029
|
889
|
873
|
892
|
|||
7.26%
|
Dec-2018
|
8,354
|
8,655
|
9,426
|
|||
7.50%
|
Dec-2014
|
580
|
580
|
620
|
|||
7.75%
|
Dec-2024
|
1,648
|
1,648
|
1,828
|
|||
8.40%
|
Jul-2023
|
419
|
411
|
433
|
|||
8.50%
|
Nov-2019
|
2,859
|
2,875
|
3,468
|
|||
8.63%
|
Sep-2028
|
6,068
|
6,068
|
6,349
|
|||
1,099,754
|
1,104,805
|
1,220,678
|
|||||
Total Fannie Mae Securities
|
$
|
1,818,156
|
$
|
1,834,948
|
$
|
1,979,616
|
Interest Rate
|
Maturity Date
|
Commitment Amount
|
Face Amount
|
Amortized Cost
|
Value
|
||||||
Single Family | 0.51% |
5
|
Feb-2036
|
$ | - | $ |
5,919
|
$ |
5,919
|
$ |
5,935
|
0.56%
|
5
|
Apr-2036
|
-
|
3,462
|
3,458
|
3,465
|
|||||
0.71%
|
5
|
Nov-2040
|
-
|
10,469
|
10,403
|
10,504
|
|||||
0.71%
|
5
|
Nov-2040
|
-
|
24,449
|
24,277
|
24,553
|
|||||
2.35%
|
5
|
Jun-2033
|
-
|
920
|
918
|
976
|
|||||
2.45%
|
5
|
Oct-2033
|
-
|
2,326
|
2,300
|
2,469
|
|||||
2.80%
|
5
|
Jul-2035
|
-
|
676
|
675
|
726
|
|||||
3.00%
|
Nov-2042
|
-
|
20,000
|
20,567
|
20,920
|
||||||
3.00%
|
Aug-2042
|
-
|
44,226
|
45,264
|
46,261
|
||||||
3.00%
|
Sep-2042 - Jan-2043
|
-
|
84,054
|
87,106
|
87,920
|
||||||
3.50%
|
Oct-2041 - Feb-2042
|
-
|
37,932
|
38,558
|
40,339
|
||||||
4.00%
|
Nov-2013 - Jan-2041
|
-
|
67,003
|
68,476
|
71,373
|
||||||
4.50%
|
Aug-2018 - Sep-2040
|
-
|
25,960
|
26,026
|
27,995
|
||||||
5.00%
|
Jan-2019 - Mar-2041
|
-
|
35,826
|
35,830
|
38,621
|
||||||
continued
|
Freddie Mac Securities (10.2% of net assets) continued
|
||||||||||
Interest Rate
|
Maturity Date
|
Commitment Amount
|
Face Amount
|
Amortized Cost
|
Value
|
|||||
5.50%
|
Oct-2017 - Jul-2038
|
$
|
-
|
$
|
37,975
|
$
|
37,560
|
$
|
41,022
|
|
6.00%
|
Mar-2014 - Feb-2038
|
-
|
22,833
|
23,164
|
25,128
|
|||||
6.50%
|
Oct-2013 - Nov-2037
|
-
|
7,321
|
7,594
|
8,107
|
|||||
7.00%
|
Sep-2013 - Mar-2030
|
-
|
187
|
173
|
210
|
|||||
7.50%
|
Aug-2029 - Apr-2031
|
-
|
152
|
145
|
178
|
|||||
8.00%
|
Jul-2015 - Feb-2030
|
-
|
67
|
65
|
76
|
|||||
8.50%
|
Jun-2015 - Jan-2025
|
-
|
189
|
190
|
224
|
|||||
9.00%
|
Mar-2025
|
-
|
101
|
101
|
119
|
|||||
-
|
432,047
|
438,769
|
457,121
|
|||||||
Multifamily1
|
5.38%
|
Dec-2028
|
-
|
20,000
|
20,004
|
22,629
|
||||
5.42%
|
Apr-2016
|
-
|
10,000
|
9,961
|
10,869
|
|||||
5.65%
|
Apr-2016
|
-
|
5,689
|
5,682
|
6,303
|
|||||
-
|
35,689
|
35,647
|
39,801
|
|||||||
Forward Commitments1
|
2.95%
|
Aug-2017
|
2,585
|
-
|
(84)
|
85
|
||||
TBA6
|
3.00%
|
Jan-2043
|
-
|
(30,000)
|
(31,298)
|
(31,350)
|
||||
Total Freddie Mac Securities
|
$
|
2,585
|
$
|
437,736
|
$
|
443,034
|
$
|
465,657
|
Interest Rates4
|
Maturity
|
Commitment
|
Face
|
Amortized
|
|||||||
Issuer
|
Permanent
|
Construction
|
Date
|
Amount
|
Amount
|
Cost
|
Value
|
||||
Direct Loans1
|
|||||||||||
First Housing Company, Inc.
|
2.70%
|
-
|
May-2014
|
$
|
8,960
|
$
|
5,953
|
$
|
5,969
|
$
|
5,949
|
Second Housing Company, Inc.
|
2.70%
|
-
|
May-2014
|
10,800
|
5,079
|
5,100
|
5,075
|
||||
Third Housing Company, Inc.
|
2.70%
|
-
|
May-2014
|
15,110
|
6,687
|
6,715
|
6,680
|
||||
Fourth Housing Company, Inc.
|
2.70%
|
-
|
May-2014
|
9,630
|
5,500
|
5,518
|
5,496
|
||||
Fifth Housing Company, Inc.
|
2.70%
|
-
|
May-2014
|
4,500
|
2,126
|
2,134
|
2,124
|
||||
49,000
|
25,345
|
25,436
|
25,324
|
||||||||
Privately Insured Construction/Permanent Mortgages1,7
|
|||||||||||
IL Housing Development Authority
|
5.40%
|
5.40%
|
Mar-2047
|
9,000
|
8,572
|
8,577
|
8,153
|
||||
IL Housing Development Authority
|
5.73%
|
5.73%
|
Aug-2047
|
5,575
|
5,350
|
5,350
|
5,141
|
||||
IL Housing Development Authority
|
6.20%
|
-
|
Dec-2047
|
3,325
|
3,213
|
3,230
|
3,164
|
||||
IL Housing Development Authority
|
6.40%
|
6.40%
|
Nov-2048
|
993
|
968
|
982
|
952
|
||||
18,893
|
18,103
|
18,139
|
17,410
|
||||||||
Total Other Multifamily Investments
|
$
|
67,893
|
$
|
43,448
|
$
|
43,575
|
$
|
42,734
|
Interest Rates4
|
Commitment
|
Face
|
Amortized
|
|||||||||
Issuer
|
Permanent
|
Construction
|
Maturity Date
|
Amount
|
Amount
|
Cost
|
Value
|
|||||
Multifamily1
|
IL Housing Development Authority
|
-
|
1.70%
|
Dec-2013
|
$
|
-
|
$
|
2,670
|
$
|
2,670
|
$
|
2,671
|
MassHousing
|
-
|
3.05%
|
Dec-20138
|
20,380
|
20,110
|
20,041
|
20,092
|
|||||
MassHousing
|
-
|
3.25%
|
Oct-20158
|
21,050
|
50
|
43
|
140
|
|||||
MassHousing
|
-
|
3.40%
|
Dec-20138
|
3,000
|
3,000
|
2,997
|
2,997
|
|||||
NYC Housing Development Corp
|
-
|
3.45%
|
May-2013
|
9,500
|
5,600
|
5,609
|
5,609
|
|||||
MassHousing
|
-
|
3.83%
|
Apr-20158
|
5,000
|
1,495
|
1,476
|
1,504
|
|||||
MassHousing
|
-
|
4.15%
|
Dec-20138
|
26,700
|
7,395
|
7,395
|
7,442
|
|||||
MassHousing
|
-
|
4.30%
|
Jun-20158
|
34,700
|
10,285
|
10,198
|
10,358
|
|||||
MassHousing
|
-
|
4.37%
|
Jun-20148
|
23,500
|
10,230
|
10,171
|
10,260
|
|||||
NYC Housing Development Corp
|
2.00%
|
-
|
Sep-2013
|
-
|
7,500
|
7,500
|
7,517
|
|||||
NYC Housing Development Corp
|
4.04%
|
-
|
Nov-2032
|
-
|
1,305
|
1,305
|
1,317
|
|||||
NYC Housing Development Corp
|
4.25%
|
-
|
Nov-2025
|
-
|
1,150
|
1,150
|
1,220
|
|||||
NYC Housing Development Corp
|
4.29%
|
-
|
Nov-2037
|
-
|
1,190
|
1,190
|
1,199
|
|||||
NYC Housing Development Corp
|
4.40%
|
-
|
Nov-2024
|
-
|
4,120
|
4,120
|
4,456
|
|||||
NYC Housing Development Corp
|
4.44%
|
-
|
Nov-2041
|
-
|
1,120
|
1,120
|
1,129
|
|||||
NYC Housing Development Corp
|
4.49%
|
-
|
Nov-2044
|
-
|
1,000
|
1,000
|
1,008
|
|||||
NYC Housing Development Corp
|
4.50%
|
-
|
Nov-2030
|
-
|
1,680
|
1,682
|
1,808
|
|||||
NYC Housing Development Corp
|
4.60%
|
-
|
Nov-2030
|
-
|
4,665
|
4,665
|
4,945
|
|||||
NYC Housing Development Corp
|
4.70%
|
-
|
Nov-2035
|
-
|
1,685
|
1,685
|
1,793
|
|||||
NYC Housing Development Corp
|
4.78%
|
-
|
Aug-2026
|
-
|
12,500
|
12,505
|
13,108
|
|||||
NYC Housing Development Corp
|
4.80%
|
-
|
Nov-2040
|
-
|
2,860
|
2,863
|
3,060
|
|||||
NYC Housing Development Corp
|
4.90%
|
-
|
Nov-2034 - Nov-2041
|
-
|
8,800
|
8,800
|
9,331
|
|||||
NYC Housing Development Corp
|
4.95%
|
-
|
Nov-2039 - May-2047
|
-
|
13,680
|
13,682
|
14,368
|
|||||
MassHousing
|
5.55%
|
-
|
Nov-2039
|
-
|
5,000
|
4,979
|
5,334
|
|||||
MassHousing
|
5.69%
|
-
|
Nov-2018
|
-
|
5,210
|
5,213
|
6,016
|
|||||
MassHousing
|
5.70%
|
-
|
Jun-2040
|
-
|
14,190
|
14,192
|
14,900
|
|||||
NYC Housing Development Corp
|
5.92%
|
-
|
Dec-2037
|
-
|
6,260
|
6,263
|
6,485
|
|||||
MassHousing
|
6.42%
|
-
|
Nov-2039
|
-
|
22,000
|
22,000
|
24,782
|
|||||
MassHousing
|
6.50%
|
-
|
Dec-2039
|
-
|
730
|
734
|
797
|
|||||
MassHousing
|
6.58%
|
-
|
Dec-2039
|
-
|
11,385
|
11,388
|
11,954
|
|||||
MassHousing
|
6.70%
|
-
|
Jun-2040
|
-
|
11,560
|
11,560
|
12,056
|
|||||
143,830
|
200,425
|
200,196
|
209,656
|
|||||||||
Forward Commitments1
|
MassHousing
|
-
|
3.50%
|
Oct-20158
|
12,435
|
-
|
-
|
(12)
|
||||
MassHousing
|
-
|
3.98%
|
Apr-20158
|
4,915
|
-
|
(18)
|
6
|
|||||
17,350
|
-
|
(18)
|
(6)
|
|||||||||
Total State Housing Finance Agency Securities
|
$
|
161,180
|
$
|
200,425
|
$
|
200,178
|
$
|
209,650
|
Issuer
|
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||
JP Morgan
|
3.48%
|
Jun-2045
|
$
|
10,000
|
$
|
10,568
|
$
|
10,896
|
Deutsche Bank
|
5.00%
|
Nov-2046
|
18,990
|
19,525
|
22,622
|
|||
Total Commercial Mortgage Backed Securities
|
$
|
28,990
|
$
|
30,093
|
$
|
33,518
|
United States Treasury Securities (9.1% of net assets)
|
|||||||
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||
0.63%
|
Nov-2017
|
$
|
20,000
|
$
|
19,946
|
$
|
19,934
|
1.63%
|
Nov-2022
|
50,000
|
49,998
|
49,452
|
|||
2.00%
|
Nov-2021
|
30,000
|
30,199
|
31,136
|
|||
2.13%
|
Aug-2021
|
35,000
|
35,175
|
36,794
|
|||
3.00%
|
May-2042
|
10,000
|
10,845
|
10,184
|
|||
3.13%
|
May-2021
|
105,000
|
107,469
|
119,070
|
|||
3.13%
|
Nov-2041
|
65,000
|
65,521
|
68,014
|
|||
3.75%
|
Aug-2041
|
70,000
|
77,497
|
82,239
|
|||
Total United States Treasury Securities
|
$
|
385,000
|
$
|
396,650
|
$
|
416,823
|
|
Total Fixed-Income Investments
|
$
|
4,194,333
|
$ 4,243,148
|
$ 4,519,439
|
Amount of Dividends
|
||||||||
Issuer
|
Number of Shares
|
Face Amount (Cost)
|
or Interest
|
Value
|
||||
Building America CDE, Inc.9
|
1,000
|
$
|
1
|
$
|
-
|
$
|
(68)
|
|
Total Equity Investment
|
1,000
|
$
|
1
|
$
|
-
|
$
|
(68)
|
Short-Term Investments (1.2% of net assets)
|
||||||||
Issuer
|
Interest Rate
|
Maturity Date
|
Face Amount
|
Amortized Cost
|
Value
|
|||
Blackrock Federal Funds 30
|
0.01%
|
January 2, 2013
|
$
|
53,847
|
$
|
53,847
|
$
|
53,847
|
Total Short-Term Investments
|
$
|
53,847
|
$
|
53,847
|
$
|
53,847
|
||
Total Investments
|
$
|
4,248,181
|
$ 4,296,995
|
$
|
4,573,218
|
1
|
Valued by the HIT’s management in accordance with the fair value procedures adopted by the HIT’s Board of Trustees.
|
2
|
Tax-exempt bonds collateralized by Ginnie Mae securities.
|
3
|
The HIT records when issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued basis are marked to market monthly and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
|
4
|
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.
|
5
|
The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
|
6
|
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.
|
7
|
Loans insured by Ambac Assurance Corporation, which are additionally backed by a repurchase option from the mortgagee for the benefit of the HIT. The repurchase price is defined as the unpaid principal balance of the loan plus all accrued unpaid interest due through the remittance date. The repurchase option can be exercised by the HIT in the event of a payment failure by Ambac Assurance Corporation.
|
8
|
Securities exempt from registration under the Securities Act of 1933. The construction notes were privately placed directly by MassHousing (a not-for-profit public agency) with the HIT. The notes are for construction only and will mature on or prior to October 1, 2015. 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.
|
9
|
The HIT holds the shares of Building America CDE, Inc. (BACDE), a wholly owned subsidiary of the HIT. BACDE is a Community Development Entity, certified by the Community Development Financial Institutions Fund of the U.S. Department of Treasury, which can facilitate the generation of investments for the HIT or parties other than the HIT. The fair value of the HIT’s investment in BACDE approximates its carrying value.
|
Investment income
|
$
|
163,880
|
Expenses
|
||
Non-officer salaries and fringe benefits
|
8,744
|
|
Officer salaries and fringe benefits
|
4,201
|
|
Investment management
|
849
|
|
Marketing and sales promotion (12b-1)
|
665
|
|
Consulting fees
|
556
|
|
Legal fees
|
452
|
|
Auditing, tax and accounting fees
|
412
|
|
Insurance
|
342
|
|
Trustee expenses
|
36
|
|
Rental expenses
|
866
|
|
General expenses
|
1,538
|
|
Total expenses
|
18,661
|
|
Net investment income
|
145,219
|
|
Net realized gain on investments
|
38,253
|
|
Net change in unrealized appreciation on investments
|
1,570
|
|
Net realized and unrealized gain on investments
|
39,823
|
|
Net increase in net assets resulting from operations
|
$
|
185,042
|
For the Years Ended December 31, 2012 and 2011 (Dollars in thousands)
|
||||
Increase in net assets from operations
|
2012
|
2011
|
||
Net investment income
|
$
|
145,219
|
$
|
152,788
|
Net realized gain on investments
|
38,253
|
33,589
|
||
Net change in unrealized appreciation on investments
|
1,570
|
120,362
|
||
Net increase in net assets resulting from operations
|
185,042
|
306,739
|
||
Decrease in net assets from distributions
|
||||
Distributions to participants or reinvested from:
|
||||
Net investment income
|
(153,392)
|
(159,575)
|
||
Net realized gains on investments
|
(29,525)
|
(19,721)
|
||
Net decrease in net assets from distributions
|
(182,917)
|
(179,296)
|
||
Increase (decrease) in net assets from unit transactions
|
||||
Proceeds from the sale of units of participation
|
259,267
|
186,650
|
||
Dividend reinvestment of units of participation
|
164,956
|
160,096
|
||
Payments for redemption of units of participation
|
(113,184)
|
(101,557)
|
||
Net increase from unit transactions
|
311,039
|
245,189
|
||
Total increase in net assets
|
313,164
|
372,632
|
||
Net assets
|
||||
Beginning of period
|
$
|
4,262,471
|
$
|
3,889,839
|
End of period
|
$
|
4,575,635
|
$
|
4,262,471
|
Distribution in excess of net investment income
|
$
|
(2,828)
|
$
|
(2,867)
|
Unit information
|
||||
Units sold
|
220,270
|
161,499
|
||
Distributions reinvested
|
140,088
|
138,701
|
||
Units redeemed
|
(96,091)
|
(88,452)
|
||
Increase in units outstanding
|
264,267
|
211,748
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||
FHA Permanent Securities
|
$
|
-
|
$
|
184,022
|
$
|
17
|
$
|
184,039
|
Ginnie Mae Securities
|
-
|
784,266
|
-
|
784,266
|
||||
Ginnie Mae Construction Securities
|
-
|
378,171
|
-
|
378,171
|
||||
Fannie Mae Securities | - |
1,979,616
|
- |
1,979,616
|
||||
Freddie Mac Securities
|
-
|
496,922
|
-
|
496,922
|
||||
Other Multifamily Investments
|
-
|
42,734
|
-
|
42,734
|
||||
State Housing Finance Agency Securities
|
-
|
209,656
|
-
|
209,656
|
||||
Commercial Mortgage-Backed Securities
|
-
|
33,518
|
-
|
33,518
|
||||
United States Treasury Securities
|
-
|
416,823
|
-
|
416,823
|
||||
Equity Investments
|
-
|
-
|
(68)
|
(68)
|
||||
Short-Term Investments
|
53,847
|
-
|
-
|
53,847
|
||||
Other Financial Instruments*
|
-
|
(6,306)
|
-
|
(6,306)
|
||||
Total | $ |
53,847
|
$ |
4,519,422
|
$ | (51) | $ | 4,573,218 |
FHA Permanent
|
Equity Investment
|
Total
|
|||||
Beginning balance, 12/31/2011 | $ | 19 | $ | (535) | $ |
(516)
|
|
Total unrealized gain (loss)*
|
-
|
467
|
$
|
467
|
|||
Amortization/accretion
|
(2)
|
-
|
$
|
(2)
|
|||
Ending balance, 12/31/2012
|
$
|
17
|
$
|
(68)
|
$
|
(51)
|
$ in Thousands
|
||
As of December 31, 2012
|
||
Assets
|
$
|
639
|
Liabilities
|
(708)
|
|
Equity
|
$
|
(69)
|
For the year ended December 31, 2012
|
||
Income | $ |
1,696
|
Expenses |
(1,213)
|
|
Income tax expense
|
(210)
|
|
Net income
|
$
|
273
|
Advances to BACDE by HIT
|
$ in Thousands
|
|
Beginning balance, 12/31/2011
|
$
|
763
|
Advances in 2012
|
1,066
|
|
Repayment by BACDE in 2012 |
(1,283)
|
|
Ending Balance, 12/31/2012
|
$
|
546
|
2012 2011 | ||
Ordinary investment income
|
$ 174,961
|
$ 163,242
|
Long-term capital gain on investments
|
7,956
|
16,054
|
Total distributions paid to participants or reinvested
|
$182,917
|
$179,296
|
2012 | |
Unrealized appreciation
|
$ 275,893
|
Undistributed ordinary income
|
1,087
|
Undistributed long-term capital gain
|
28
|
Other temporary differences
|
(3,916)
|
Total accumulated earnings
|
$273,092
|
2012 | |
Accumulated net investment income
|
$ 8,212
|
Accumulated net realized losses
|
$ (8,170)
|
Amount invested and reinvested by current participants
|
$ (42) |
a.
|
Assets contributed to a multiemployer plan by one employer may be used to provide benefits to employees of other participating employers.
|
b.
|
If a participating employer stops contributing to the plan, the unfunded obligations of the plan may be borne by the remaining participating employers based on their level of contributions to the plan.
|
c.
|
If the HIT chooses to stop participating in its multiemployer plan, the HIT may be required to pay the plan an amount based on the HIT’s share of the underfunded status of the plan, referred to as a withdrawal liability.
|
EIN/Pension Plan Number
|
53-0228172 / 001
|
2012 PPA Zone Status
|
Green
|
FIP/RP Status Pending/ Implemented
|
No
|
2012 Contributions
|
$2,004,658
|
2012 Contribution Rate
|
26%
|
Surcharge Imposed
|
no
|
Expiration Date of Collective Bargaining Agreement
|
03/31/2017
|
Years Contributions to Plan Exceeded More
|
|
Pension Fund
|
Than 5 Percent of Total Contributions
|
AFL-CIO Staff Retirement Plan
|
20101
|
Financial Highlights
|
||||||||||
Selected Per Share Data and Ratios for the Years Ended December 31 (Dollars in thousands)
|
||||||||||
Per share data
|
2012
|
2011
|
2010
|
2009
|
2008
|
|||||
Net asset value, beginning of period
|
$ 1,170.21
|
$ 1,133.82
|
$ 1,114.72
|
$ 1,098.48
|
$ 1,097.01
|
|||||
Income from investment operations:
|
||||||||||
Net investment income*
|
38.55
|
43.58
|
47.27
|
50.68
|
53.64
|
|||||
Net realized and unrealized gains on investments
|
10.81
|
43.81
|
20.75
|
17.15
|
1.91
|
|||||
Total income from investment operations
|
49.36
|
87.39
|
68.02
|
67.83
|
55.55
|
|||||
Less distributions from:
|
||||||||||
Net investment income
|
(40.74)
|
(45.52)
|
(48.92)
|
(51.59)
|
(54.08)
|
|||||
Net realized gains on investments
|
(7.62)
|
(5.48)
|
-
|
-
|
-
|
|||||
Total distributions
|
(48.36)
|
(51.00)
|
(48.92)
|
(51.59)
|
(54.08)
|
|||||
Net asset value, end of period
|
$ 1,171.21
|
$ 1,170.21
|
$ 1,133.82
|
$ 1,114.72
|
$ 1,098.48
|
|||||
Ratios/supplemental data
|
||||||||||
Ratio of expenses to average net assets
|
0.42%
|
0.44%
|
0.44%
|
0.43%
|
0.41%
|
|||||
Ratio of net investment income to average net assets
|
3.3%
|
3.8%
|
4.1%
|
4.5%
|
5.0%
|
|||||
Portfolio turnover rate
|
27.3%
|
33.9%
|
42.2%
|
28.5%
|
23.8%
|
|||||
Number of outstanding units at end of period
|
3,906,752
|
3,642,485
|
3,430,737
|
3,250,549
|
3,156,720
|
|||||
Net assets, end of period (in thousands)
|
$
|
4,575,635
|
$
|
4,262,471
|
$
|
3,889,839
|
$
|
3,623,437
|
$
|
3,467,603
|
Total return
|
4.27%
|
7.86%
|
6.16%
|
6.28%
|
5.25%
|
John J. Sweeney,** age 78; 815 16th Street, NW, Washington, DC 20006; Chairman of the Board; service commenced 1981, expires 2013; President Emeritus, AFL-CIO; formerly President, AFL-CIO; formerly Chairman, AFL-CIO Staff Retirement Plan.
Richard L. Trumka,** age 63; 815 16th Street, NW, Washington, DC 20006; Union Trustee; service commenced 1995, expires 2014; President, AFL-CIO; Chairman, AFL-CIO Staff Retirement Plan; formerly Secretary-Treasurer, AFL-CIO.
Liz Shuler, age 42; 815 16th Street, NW, Washington, DC 20006; Union Trustee; service commenced 2009, expires 2015; Secretary-Treasurer, AFL-CIO; Trustee, AFL-CIO Staff Retirement Plan; formerly Executive Assistant to the President, IBEW.
Arlene Holt Baker, age 62; 815 16th Street, NW, Washington, DC 20006; Union Trustee; service commenced 2008, expires 2014; Executive Vice President, AFL-CIO; Trustee, AFL-CIO Staff Retirement Plan; formerly President, Voices for Working Families and Executive Assistant to the President, AFL-CIO.
Vincent Alvarez, age 44; 275 Seventh Avenue, 18th Floor, New York, NY 10001; Union Trustee; service commenced 2012; expires 2015; President, New York City Central Labor Council (NYCCLC); formerly Assistant Legislative Director, New York State AFL-CIO; formerly NYCCLC Chief of Staff.
|
James Boland, age 62; 620 F Street, NW, Suite 700, Washington, DC 20004; Union Trustee; service commenced 2010, expires 2015; President, International Union of Bricklayers and Allied Craftworkers (BAC); Co-Chair, International Masonry Institute; Co-Chair, International Trowel Trades Pension Fund
and BAC International Health Fund; Executive Member, BAC Staff Health Plan; Trustee, BAC Local Union Officers and Employees Pension Fund and BAC Salaried Employees Pension Fund; formerly Executive Vice President and Secretary Treasurer, BAC.
Stephen Frank, age 72; 8584 Via Avellino, Lake Worth, FL 33467; Management Trustee; service commenced 2003, expires 2015; retired; formerly Vice President and Chief Financial Officer, The Small Business Funding Corporation.
Sean McGarvey, age 50; 815 16th Street, NW, Suite 600, Washington, DC 20006; Union Trustee; service commenced 2012, expires 2015; President, Building and Construction Trades Department, AFL-CIO (BCTD); formerly Secretary-Treasurer, BCTD.
Jack Quinn, age 61; 121 Ellicott Street, Buffalo, NY 14203; Management Trustee; service commenced 2005, expires 2014; President, Erie County Community College; Director, Kaiser Aluminum Corporation; formerly President, Cassidy & Associates; Member of Congress, 27th District, New York.
|
Richard Ravitch,** age 79; 610 5th Avenue, Suite 420, New York, NY 10020; Management Trustee; service commenced 1991, expires 2015; Principal, Ravitch Rice & Co. LLC; formerly Lieutenant Governor, State of New York; Director, Parsons, Brinckerhoff Inc.; Co-Chair, Millennial Housing Commission; President and Chief Executive Officer, Player Relations Committee of Major League Baseball.
Kenneth E. Rigmaiden, age 59; 7234 Parkway Drive, Hanover, MD 21076; Union Trustee; service commenced 2011, expires 2014; Executive General Vice President, International Union of Painters and Allied Trades of the United States and Canada (IUPAT); Director, Coalition of Black Trade Unionists and Board for Partnership for Working Families; Trustee, IUPAT International Pension Fund; formerly Assistant to the General President, IUPAT; National Project Coordinator, IUPAT Job Corps Program; Director, United Way.
Marlyn J. Spear,** CFA, age 59; 500 Elm Grove Road, Elm Grove, WI 53122; Management Trustee; service commenced 1995, expires 2015; Chief Investment Officer, Building Trades United Pension Trust Fund (Milwaukee and Vicinity); Member, Greater Milwaukee Foundation Investment Committee; Director, Baird Funds, Inc.
Tony Stanley,** age 79; 191 SE Bella Strano, Port St. Lucie, FL 34984; Management Trustee; service commenced 1983, expires 2013; Director, TransCon Builders, Inc.; formerly Executive Vice President, TransCon Builders, Inc.
|
*
|
Includes any directorships in a corporation or trust having securities registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended, or subject to the requirements of Section 15(d) of such Act, or a company registered as an investment company under the Investment Company Act of 1940, as amended.
|
**
|
Executive Committee member.
|
Stephen Coyle,† age 67; Chief Executive Officer, AFL-CIO Housing Investment Trust since 1992.
Theodore S. Chandler,† age 53; Chief Operating Officer, AFL-CIO Housing Investment Trust since 2009; formerly Vice President, Fannie Mae.
Erica Khatchadourian,† age 45; Chief Financial Officer, AFL-CIO Housing Investment Trust since 2001; formerly Controller, Chief of Staff and Director of Operations, AFL-CIO Housing Investment Trust; Senior Consultant, Price Waterhouse.
Chang Suh,† CFA, CPA, age 41; Senior Executive Vice President and Chief Portfolio Manager, AFL-CIO Housing Investment Trust since 2005; formerly Chief Portfolio Manager, Assistant Portfolio Manager, and Senior Portfolio Analyst, AFL-CIO Housing Investment Trust; Senior Auditor, Arthur Andersen.
Christopher Kaiser,† age 48; Acting General Counsel (since 2013) and Chief Compliance Officer (since 2007), AFL-CIO Housing Investment Trust; formerly Deputy General
|
Counsel, AFL-CIO Housing Investment Trust; Branch Chief, Division of Investment Management, U.S. Securities and Exchange Commission.
Debbie Cohen,† age 62; Chief Development Officer, AFL-CIO Housing Investment Trust since 2009; formerly Chief Director of Marketing and Investor Relations and Assistant Portfolio Manager, AFL-CIO Housing Investment Trust; Realtor, Coldwell Banker Realty and Weichert Realty; Senior Director of Planning and Research, Federal Home Loan Banks.
Thalia B. Lankin,† age 34; Director of Operations, AFL-CIO Housing Investment Trust since 2012; Chief Operating Officer, Building America CDE, Inc.; formerly Chief of Staff and Special Counsel, AFL-CIO Housing Investment Trust.
Harpreet Singh Peleg,† CPA, age 39; Controller, AFL-CIO Housing Investment Trust since 2005; Chief Financial Officer, Building America CDE, Inc.; formerly Chief Financial Officer, AFL-CIO Investment Trust Corporation; Financial
|
Analyst, Goldman Sachs & Co.; Senior Associate, Pricewaterhouse Coopers.
Eric W. Price,† age 51; Executive Vice President, AFL-CIO Housing Investment Trust since 2010; Chief Executive Officer, Building America CDE, Inc.; formerly Senior Vice President, Abdo Development; Senior Vice President, Local Initiative Support Corporation; Deputy Mayor for Planning and Economic Development, District of Columbia.
Lesyllee White, age 50; Senior Vice President and Managing Director of Marketing, AFL-CIO Housing Investment Trust since 2004; formerly Director of Marketing, Regional Marketing Director and Senior Marketing Associate, AFL-CIO Housing Investment Trust; Vice President, Northern Trust Company.
Stephanie H. Wiggins,† age 47; Executive Vice President and Chief Investment Officer, AFL-CIO Housing Investment Trust since 2001; formerly Director of Fannie Mae Finance, AFL-CIO Housing Investment Trust; Director, Prudential Mortgage Capital Company; Vice President/Multifamily Transaction Manager, WMF Capital Corporation.
|
AFL-CIO Housing
|
Service Providers
|
|
Investment Trust
|
National Office
2401 Pennsylvania Avenue, N.W.
Suite 200
Washington, D.C. 20037
(202) 331-8055
www.aflcio-hit.com
New York City Office
Carol Nixon, Director
1270 Avenue of the Americas
Suite 210
New York, New York 10020
(212) 554-2750
New England Regional Office
Thomas O’Malley, Senior Vice President
Ten Post Office Square, Suite 800
Boston, Massachusetts 02109
(617) 850-9071
Western Regional Office
Liz Diamond, Director
101 California Street, Suite 2450
San Francisco, California 94111
(415) 433-3044
Southern California Office
155 North Lake Avenue, Suite 800
Pasadena, CA 91101
(626) 993-6676
Gulf Coast Office
935 Gravier Street, Suite 640
New Orleans, Louisiana 70112
(504) 599-8750
|
Independent Registered Public Accounting Firm
Ernst & Young LLP
McLean, Virginia
Corporate Counsel
Bingham McCutchen LLP
Washington, D.C.
Securities Counsel
Perkins Coie LLP
Washington, D.C.
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
Wilmington, Delaware
Custodian
Bank of New York Mellon
New York, New York
|
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