0001099910-14-000046.txt : 20140314 0001099910-14-000046.hdr.sgml : 20140314 20140314111453 ACCESSION NUMBER: 0001099910-14-000046 CONFORMED SUBMISSION TYPE: 497 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20140314 DATE AS OF CHANGE: 20140314 EFFECTIVENESS DATE: 20140314 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: 497 SEC ACT: 1933 Act SEC FILE NUMBER: 333-59762 FILM NUMBER: 14693261 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 497 1 aflcio_497.htm AFL-CIO HOUSING INVESTMENT TRUST 497 PORTFOLIO PERFORMANCE COMMENTARY: FEBRUARY 2014 aflcio_497.htm
 
 
AFL-CIO HOUSING INVESTMENT TRUST 
Portfolio Performance Commentary:
February 2014
 
 
For the month of February 2014, the AFL-CIO Housing Investment Trust (HIT) had a gross return of 0.49% and a net return of 0.46%.  Its benchmark, the Barclays Capital Aggregate Bond Index (Barclays Aggregate), reported a return of 0.53% for the month.
 
February gross relative performance: -0.04%
 
Performance for periods ended February 28, 2014
(Returns for periods exceeding one year are annualized)
  
   
   
YTD
  
1 Year
  
3 Year
  
5 Year
  
10 Year
  
 
HIT Total Gross Rate of Return
2.05%
  
0.01%
  
4.05%
  
5.11%
  
4.98%
  
 
HIT Total Net Rate of Return
1.96%
  
(0.43%)
  
3.60%
  
4.66%
  
4.54%
  
 
Barclays Capital Aggregate Bond Index
2.02%
  
0.15%
  
3.83%
  
5.13%
  
4.56%
  
                       
The performance data quoted represents past performance and is no guarantee of future results.  Investment results and principal value will fluctuate so that units in the HIT, when redeemed, may be worth more or less than their original cost.  The HIT's current performance may be lower or higher than the performance quoted.  Performance data current to the most recent month-end is available from the HIT's website at www.aflcio-hit.com.  Gross performance figures do not reflect the deduction of HIT expenses.  Net performance figures reflect the deduction of HIT expenses and are the performance figures investors experience in the HIT.  Information about HIT expenses can be found on page 1 of the HIT’s current prospectus.
  
 
Positive contributions to the HIT’s performance included:
 
●  
The HIT’s ongoing yield advantage over the Barclays Aggregate.
 
●  
Strong performance of the HIT’s agency multifamily mortgage-backed securities (MBS) as spreads to Treasuries tightened for both government-sponsored enterprise (GSE) and FHA/Ginnie Mae-insured multifamily MBS. Ginnie Mae permanent and construction/ permanent loan certificate spreads tightened by about 8 basis points (bps) and 10 bps, respectively. Fannie Mae multifamily DUS security spreads tightened across all structures, with the benchmark 10/9.5s contracting by about 10 bps and intermediate duration 7/6.5s tightening by 7 bps. The HIT had 22.5% of its portfolio invested in DUS securities across various structures as of February 28, 2014, whereas the Barclays Aggregate does not hold DUS securities.
 
●  
The HIT’s underweight to Treasuries as swap spreads tightened and spread-based assets outperformed. The HIT had a 5.0% allocation to Treasuries compared to 35.3% for the Barclays Aggregate at the end of February.
 
●  
Good performance by the Ginnie Mae REMICs in the HIT’s portfolio. Spreads to swaps for these structured securities tightened by 6 basis points. The HIT had 10.9% of its portfolio invested in Ginnie Mae REMICs as of February 28, whereas the Barclays Aggregate does not hold these securities.
 
 
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AFL-CIO HOUSING INVESTMENT TRUST                                   February 2014 Performance Commentary
 
Negative contributions to the HIT’s performance included:
 
●  
Very strong performance by corporate bonds, the best performing major sector in the Barclays Aggregate with excess returns of 64 bps.  The HIT does not invest in corporate bonds, whereas the sector comprised 22.7% of the index as of February 2014.
 
●  
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 2, 29, 54, and 106 bps, respectively.  The HIT has an overweight with respect to the index in high credit quality investments.  Approximately 92% of the HIT portfolio is AAA-rated or carried a government or government-sponsored enterprise guarantee compared to 72% for the Barclays Aggregate at the end of February.
 
February 2014 Sector Performance
 
Sector
Absolute
Return
Excess Return
(bps)
Modified Adjusted
Duration
U.S. Treasuries
+0.27%
0
5.15
Agencies
+0.52%
29
4.10
Single family agency MBS (RMBS)
+0.34%
2
5.38
Corporates
+1.04%
64
6.96
Commercial MBS (CMBS)
+0.58%
38
3.23
Asset-backed securities (ABS)
+0.24%
11
2.43
   Source: Bloomberg L.P.
Change in Treasury Yields
 
   Maturity
1/31/14
2/28/14
Change
1 Month
0.033%
0.043%
0.010%
3 Month
0.023%
0.048%
0.025%
6 Month
0.053%
0.074%
0.020%
1 Year
0.086%
0.104%
0.018%
2 Year
0.330%
0.319%
-0.011%
3 Year
0.666%
0.669%
0.004%
5 Year
1.491%
1.502%
0.011%
7 Year
2.124%
2.122%
-0.002%
10 Year
2.645%
2.648%
0.004%
30 Year
3.599%
3.583%
-0.016%
            Source: Bloomberg L.P.
 

 
Investors should consider the HIT’s investment objectives, risks, and charges and expenses carefully before investing. This and other information is contained in the HIT’s prospectus. To obtain a prospectus, call the HIT at 202-331-8055 or visit www.aflcio-hit.com. The prospectus should be read carefully before investing.
 
This document contains forecasts, estimates, opinions, and/or other information that is subjective. It should not be considered as investment advice or a recommendation of any kind.

 
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